In [1]:
import backtrader as bt
import pandas as pd
from statsmodels.tsa.statespace.sarimax import SARIMAX
import logging
import requests
import pandas as pd
import numpy as np
import matplotlib.pyplot as plt
from polygon import StocksClient
import logging
In [2]:
API_KEY = "uwQtl3txGt5BLbecq7ZbIu0ZbuitCGjc"
In [3]:
async def get_GLD(plot=False):
try:
logging.info("Initializing StocksClient...")
async_stock_client = StocksClient(API_KEY, True)
logging.info("Fetching aggregate bars data for 'GLD'...")
response = await async_stock_client.get_aggregate_bars(
'GLD',
'2010-01-01',
'2024-09-01',
full_range=True
)
if not response:
logging.error("Received empty response from StocksClient.")
return None
logging.info("Converting response to DataFrame...")
df = pd.DataFrame(response)
if 't' not in df.columns:
logging.error("Expected column 't' not found in response.")
return None
logging.info(
"Converting 't' column to datetime and setting as index...")
df['Date'] = pd.to_datetime(df['t'], unit='ms')
df.set_index('Date', inplace=True)
df.drop(columns=['t'], inplace=True)
logging.info("Renaming columns...")
df.rename(columns={
'o': 'Open',
'h': 'High',
'l': 'Low',
'c': 'Close',
'v': 'Volume',
'n': 'Transactions'
}, inplace=True)
logging.info("Selecting relevant columns...")
df = df[['Open', 'High', 'Low', 'Close', 'Volume']]
logging.info("Converting columns to numeric types...")
numeric_columns = ['Open', 'High', 'Low', 'Close', 'Volume']
df[numeric_columns] = df[numeric_columns].apply(
pd.to_numeric, errors='coerce')
if plot:
logging.info("Plotting close prices...")
plt.figure(figsize=(14, 7))
plt.plot(df.index, df['Close'], label='Close Price', color='blue')
plt.title('GLD Close Prices (2010-01-01 to 2024-09-01)')
plt.xlabel('Date')
plt.ylabel('Price')
plt.legend()
plt.grid(True)
plt.tight_layout()
plt.show()
csv_filename = 'GLD-Prices.csv'
df.to_csv(csv_filename, index=True)
logging.info(f"GLD prices saved to '{csv_filename}'.")
except Exception as e:
logging.error(f"An error occurred in get_GLD: {e}")
return None
return df
async def get_SLV(plot=False):
try:
logging.info("Initializing StocksClient...")
async_stock_client = StocksClient(API_KEY, True)
logging.info("Fetching aggregate bars data for 'SLV'...")
response = await async_stock_client.get_aggregate_bars(
'SLV',
'2010-01-01',
'2024-09-01',
full_range=True
)
if not response:
logging.error("Received empty response from StocksClient.")
return None
logging.info("Converting response to DataFrame...")
df = pd.DataFrame(response)
if 't' not in df.columns:
logging.error("Expected column 't' not found in response.")
return None
logging.info(
"Converting 't' column to datetime and setting as index...")
df['Date'] = pd.to_datetime(df['t'], unit='ms')
df.set_index('Date', inplace=True)
df.drop(columns=['t'], inplace=True)
logging.info("Renaming columns...")
df.rename(columns={
'o': 'Open',
'h': 'High',
'l': 'Low',
'c': 'Close',
'v': 'Volume',
'n': 'Transactions'
}, inplace=True)
logging.info("Selecting relevant columns...")
df = df[['Open', 'High', 'Low', 'Close', 'Volume']]
logging.info("Converting columns to numeric types...")
numeric_columns = ['Open', 'High', 'Low', 'Close', 'Volume']
df[numeric_columns] = df[numeric_columns].apply(
pd.to_numeric, errors='coerce')
if plot:
logging.info("Plotting close prices...")
plt.figure(figsize=(14, 7))
plt.plot(df.index, df['Close'], label='Close Price', color='blue')
plt.title('SLV Close Prices (2010-01-01 to 2024-09-01)')
plt.xlabel('Date')
plt.ylabel('Price')
plt.legend()
plt.grid(True)
plt.tight_layout()
plt.show()
csv_filename = 'SLV-Prices.csv'
df.to_csv(csv_filename, index=True)
logging.info(f"SLV prices saved to '{csv_filename}'.")
except Exception as e:
logging.error(f"An error occurred in get_SLV: {e}")
return None
return df
gld_data = await get_GLD()
slv_data = await get_SLV()
In [16]:
# def fetch_polygon_data(ticker, timespan='day', from_date='2020-01-01', to_date='2023-12-31', api_key='YOUR_POLYGON_API_KEY'):
# """
# Fetches historical data from Polygon.io.
# Parameters:
# ticker (str): Stock ticker symbol (e.g., 'GLD', 'SLV').
# timespan (str): Timespan of the data (e.g., 'minute', 'hour', 'day').
# from_date (str): Start date in 'YYYY-MM-DD' format.
# to_date (str): End date in 'YYYY-MM-DD' format.
# api_key (str): Your Polygon.io API key.
# Returns:
# pd.DataFrame: DataFrame containing historical data.
# """
# url = f'https://api.polygon.io/v2/aggs/ticker/{ticker}/range/1/{timespan}/{from_date}/{to_date}'
# params = {
# 'adjusted': 'true',
# 'sort': 'asc',
# 'limit': 50000, # Maximum number of results per request
# 'apiKey': api_key
# }
# try:
# response = requests.get(url, params=params)
# response.raise_for_status()
# data = response.json()
# if 'results' not in data:
# logging.error(
# f"No results found for ticker {ticker}. Response: {data}")
# return None
# df = pd.DataFrame(data['results'])
# # Convert timestamp to datetime
# df['t'] = pd.to_datetime(df['t'], unit='ms')
# df.set_index('t', inplace=True)
# df.rename(columns={
# 'o': 'Open',
# 'h': 'High',
# 'l': 'Low',
# 'c': 'Close',
# 'v': 'Volume',
# 'n': 'Transactions'
# }, inplace=True)
# return df[['Open', 'High', 'Low', 'Close', 'Volume']]
# except requests.exceptions.HTTPError as http_err:
# logging.error(f"HTTP error occurred for ticker {ticker}: {http_err}")
# except Exception as err:
# logging.error(f"An error occurred for ticker {ticker}: {err}")
# return None
# # Example usage:
# # Replace 'YOUR_POLYGON_API_KEY' with your actual API key
# gld_data = fetch_polygon_data(
# 'GLD', from_date='2020-01-01', to_date='2023-12-31', api_key='YOUR_POLYGON_API_KEY')
# slv_data = fetch_polygon_data(
# 'SLV', from_date='2020-01-01', to_date='2023-12-31', api_key='YOUR_POLYGON_API_KEY')
# # Check if data fetching was successful
# if gld_data is None or slv_data is None:
# logging.error("Data fetching failed. Exiting the script.")
# exit()
ERROR:root:HTTP error occurred for ticker GLD: 401 Client Error: Unauthorized for url: https://api.polygon.io/v2/aggs/ticker/GLD/range/1/day/2020-01-01/2023-12-31?adjusted=true&sort=asc&limit=50000&apiKey=YOUR_POLYGON_API_KEY ERROR:root:HTTP error occurred for ticker SLV: 401 Client Error: Unauthorized for url: https://api.polygon.io/v2/aggs/ticker/SLV/range/1/day/2020-01-01/2023-12-31?adjusted=true&sort=asc&limit=50000&apiKey=YOUR_POLYGON_API_KEY ERROR:root:Data fetching failed. Exiting the script.
In [5]:
class PandasData(bt.feeds.PandasData):
"""
Customized Pandas Data Feed for Backtrader.
"""
params = (
('datetime', None), # Use the DataFrame index as datetime
('open', 'Open'),
('high', 'High'),
('low', 'Low'),
('close', 'Close'),
('volume', 'Volume'),
('openinterest', -1), # No open interest data
)
# Create data feeds for GLD and SLV
data_gld = PandasData(dataname=gld_data)
data_slv = PandasData(dataname=slv_data)
In [8]:
class SARIMAXStrategy(bt.Strategy):
params = (
('forecast_period', 1), # Number of days to forecast ahead
('model_order', (1, 1, 1)), # SARIMAX (p,d,q) order
('seasonal_order', (1, 1, 1, 7)), # SARIMAX (P,D,Q,s) seasonal order
('threshold', 0.5), # Threshold for making trades
('verbose', False), # Enable detailed logging
('min_data_points', 30), # Minimum data points required to fit the model
)
def __init__(self):
# Reference to the close prices
self.dataclose = self.datas[0].close
# Initialize variables to track orders
self.order = None
# Model variables
self.model = None
self.model_fit = None
def next(self):
"""
Called for each new data point. Make predictions and execute trades.
"""
if self.order:
# Pending order execution
return
# Ensure we have enough data to fit the model
if len(self.dataclose) < self.params.min_data_points:
return
# Extract historical close prices
historical_data = pd.Series(
[self.dataclose[-i] for i in range(self.params.min_data_points, 0, -1)]
)
# Convert to numeric and drop NaNs
historical_data = pd.to_numeric(historical_data, errors='coerce').dropna()
try:
# Initialize and fit the SARIMAX model
self.model = SARIMAX(
historical_data,
order=self.params.model_order,
seasonal_order=self.params.seasonal_order,
enforce_stationarity=False,
enforce_invertibility=False
)
self.model_fit = self.model.fit(disp=False)
if self.params.verbose:
print(self.model_fit.summary())
# Make a forecast
forecast = self.model_fit.forecast(steps=self.params.forecast_period)
predicted_price = forecast.iloc[-1]
# Current price
current_price = self.dataclose[0]
if self.params.verbose:
print(f"Predicted Price: {predicted_price}, Current Price: {current_price}")
# Trading logic based on prediction
if predicted_price > current_price + self.params.threshold:
# Buy signal
if not self.position:
self.order = self.buy()
if self.params.verbose:
print(f"BUY EXECUTED at {current_price}")
elif predicted_price < current_price - self.params.threshold:
# Sell signal
if self.position:
self.order = self.sell()
if self.params.verbose:
print(f"SELL EXECUTED at {current_price}")
except Exception as e:
logging.error(f"Error during forecasting and trading: {e}")
def notify_order(self, order):
"""
Notification for order status changes.
"""
if order.status in [order.Submitted, order.Accepted]:
# Order submitted/accepted, nothing to do
return
if order.status in [order.Completed]:
if order.isbuy():
self.buyprice = order.executed.price
self.buycomm = order.executed.comm
if self.params.verbose:
print(f"BUY ORDER COMPLETED at {self.buyprice}")
elif order.issell():
if self.params.verbose:
print(f"SELL ORDER COMPLETED at {order.executed.price}")
self.bar_executed = len(self)
elif order.status in [order.Canceled, order.Margin, order.Rejected]:
logging.warning(f"Order {order.Status[order.status]}")
# Reset orders
self.order = None
def notify_trade(self, trade):
"""
Notification for trade status changes.
"""
if not trade.isclosed:
return
if self.params.verbose:
print(f"OPERATION PROFIT, GROSS {trade.pnl}, NET {trade.pnlcomm}")
In [11]:
# Initialize Cerebro engine
cerebro = bt.Cerebro()
# Add data feeds to Cerebro
cerebro.adddata(data_gld, name='GLD')
# Uncomment the next line if you wish to add SLV data
# cerebro.adddata(data_slv, name='SLV')
# Add the SARIMAX strategy to Cerebro
cerebro.addstrategy(
SARIMAXStrategy,
forecast_period=1,
model_order=(1, 1, 1),
seasonal_order=(1, 1, 1, 7),
threshold=0.5,
verbose=True # Set to True for detailed logging
)
# Set initial capital
cerebro.broker.setcash(100000.0)
# Set commission - 0.1% per trade
cerebro.broker.setcommission(commission=0.001)
# Print starting portfolio value
print(f"Starting Portfolio Value: {cerebro.broker.getvalue():.2f}")
# Run the backtest
results = cerebro.run()
# Print final portfolio value
print(f"Final Portfolio Value: {cerebro.broker.getvalue():.2f}")
# Plot the results
cerebro.plot(style='candlestick')
Starting Portfolio Value: 100000.00
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.492
Date: Wed, 09 Oct 2024 AIC 62.984
Time: 14:39:34 BIC 65.809
Sample: 0 HQIC 62.404
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3505 1.832 -0.191 0.848 -3.942 3.241
ma.L1 3.0714 20.529 0.150 0.881 -37.165 43.308
ar.S.L7 -0.4436 0.428 -1.037 0.300 -1.282 0.395
ma.S.L7 0.0343 0.490 0.070 0.944 -0.925 0.994
sigma2 0.3657 4.779 0.077 0.939 -9.002 9.733
===================================================================================
Ljung-Box (L1) (Q): 0.29 Jarque-Bera (JB): 1.13
Prob(Q): 0.59 Prob(JB): 0.57
Heteroskedasticity (H): 5.80 Skew: -0.64
Prob(H) (two-sided): 0.12 Kurtosis: 3.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 106.93441480579925, Current Price: 107.04
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.822
Date: Wed, 09 Oct 2024 AIC 61.644
Time: 14:39:34 BIC 64.469
Sample: 0 HQIC 61.064
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9357 0.513 -1.825 0.068 -1.941 0.069
ma.L1 1.0000 6.17e+04 1.62e-05 1.000 -1.21e+05 1.21e+05
ar.S.L7 -0.4920 0.324 -1.519 0.129 -1.127 0.143
ma.S.L7 0.4733 1.804 0.262 0.793 -3.062 4.008
sigma2 2.3099 1.43e+05 1.62e-05 1.000 -2.79e+05 2.79e+05
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 2.72
Prob(Q): 0.87 Prob(JB): 0.26
Heteroskedasticity (H): 1.14 Skew: -1.01
Prob(H) (two-sided): 0.90 Kurtosis: 3.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 103.77081201701736, Current Price: 109.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.515
Date: Wed, 09 Oct 2024 AIC 65.031
Time: 14:39:34 BIC 67.856
Sample: 0 HQIC 64.450
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.1047 0.360 -3.073 0.002 -1.809 -0.400
ma.L1 1.0000 2.49e+04 4.01e-05 1.000 -4.88e+04 4.88e+04
ar.S.L7 -0.4920 0.283 -1.739 0.082 -1.047 0.063
ma.S.L7 -2.5547 4.163 -0.614 0.539 -10.714 5.605
sigma2 0.5075 1.26e+04 4.01e-05 1.000 -2.48e+04 2.48e+04
===================================================================================
Ljung-Box (L1) (Q): 1.27 Jarque-Bera (JB): 8.38
Prob(Q): 0.26 Prob(JB): 0.02
Heteroskedasticity (H): 0.57 Skew: -1.59
Prob(H) (two-sided): 0.60 Kurtosis: 5.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 106.89100063993797, Current Price: 109.25
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.366
Date: Wed, 09 Oct 2024 AIC 64.731
Time: 14:39:34 BIC 67.556
Sample: 0 HQIC 64.150
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0492 0.352 -2.981 0.003 -1.739 -0.359
ma.L1 1.0000 1.59e+05 6.29e-06 1.000 -3.12e+05 3.12e+05
ar.S.L7 -0.4669 0.309 -1.513 0.130 -1.072 0.138
ma.S.L7 -1.0002 5015.117 -0.000 1.000 -9830.449 9828.449
sigma2 2.0984 3.36e+05 6.25e-06 1.000 -6.58e+05 6.58e+05
===================================================================================
Ljung-Box (L1) (Q): 1.32 Jarque-Bera (JB): 6.27
Prob(Q): 0.25 Prob(JB): 0.04
Heteroskedasticity (H): 0.93 Skew: -1.47
Prob(H) (two-sided): 0.94 Kurtosis: 4.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.73154458674934, Current Price: 109.98
BUY EXECUTED at 109.98
BUY ORDER COMPLETED at 109.3
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.992
Date: Wed, 09 Oct 2024 AIC 65.984
Time: 14:39:34 BIC 68.808
Sample: 0 HQIC 65.403
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4306 1.723 -0.250 0.803 -3.807 2.945
ma.L1 2.8360 16.317 0.174 0.862 -29.145 34.817
ar.S.L7 -0.5015 0.482 -1.041 0.298 -1.446 0.443
ma.S.L7 -1.0068 150.889 -0.007 0.995 -296.744 294.730
sigma2 0.3212 49.855 0.006 0.995 -97.392 98.035
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 3.20
Prob(Q): 0.97 Prob(JB): 0.20
Heteroskedasticity (H): 0.24 Skew: -1.11
Prob(H) (two-sided): 0.20 Kurtosis: 3.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 108.26523257503209, Current Price: 109.47
SELL EXECUTED at 109.47
SELL ORDER COMPLETED at 109.86
OPERATION PROFIT, GROSS 0.5600000000000023, NET 0.34084000000000225
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.906
Date: Wed, 09 Oct 2024 AIC 63.812
Time: 14:39:34 BIC 66.637
Sample: 0 HQIC 63.232
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8495 0.788 -1.078 0.281 -2.394 0.695
ma.L1 1.5005 2.341 0.641 0.522 -3.088 6.089
ar.S.L7 -0.2057 0.505 -0.407 0.684 -1.195 0.784
ma.S.L7 -1.0008 1701.292 -0.001 1.000 -3335.472 3333.470
sigma2 0.9451 1606.389 0.001 1.000 -3147.519 3149.409
===================================================================================
Ljung-Box (L1) (Q): 0.53 Jarque-Bera (JB): 6.45
Prob(Q): 0.47 Prob(JB): 0.04
Heteroskedasticity (H): 0.64 Skew: -1.34
Prob(H) (two-sided): 0.67 Kurtosis: 5.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.00451781108117, Current Price: 109.07
BUY EXECUTED at 109.07
BUY ORDER COMPLETED at 108.84
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.041
Date: Wed, 09 Oct 2024 AIC 60.081
Time: 14:39:34 BIC 62.906
Sample: 0 HQIC 59.501
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9896 0.144 -6.858 0.000 -1.272 -0.707
ma.L1 1.0000 1.54e+04 6.49e-05 1.000 -3.02e+04 3.02e+04
ar.S.L7 -0.2365 0.389 -0.607 0.544 -0.999 0.527
ma.S.L7 -1.0000 3.07e+04 -3.26e-05 1.000 -6.01e+04 6.01e+04
sigma2 1.4678 5.59e+04 2.63e-05 1.000 -1.09e+05 1.09e+05
===================================================================================
Ljung-Box (L1) (Q): 1.50 Jarque-Bera (JB): 0.69
Prob(Q): 0.22 Prob(JB): 0.71
Heteroskedasticity (H): 0.38 Skew: -0.54
Prob(H) (two-sided): 0.38 Kurtosis: 3.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 108.48320631973208, Current Price: 107.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.081
Date: Wed, 09 Oct 2024 AIC 62.161
Time: 14:39:34 BIC 64.986
Sample: 0 HQIC 61.580
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0179 0.400 -2.544 0.011 -1.802 -0.234
ma.L1 1.0035 26.402 0.038 0.970 -50.744 52.751
ar.S.L7 0.0025 0.012 0.209 0.834 -0.021 0.026
ma.S.L7 -1.0250 44.152 -0.023 0.981 -87.562 85.512
sigma2 1.9434 50.294 0.039 0.969 -96.630 100.517
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 1.66
Prob(Q): 0.72 Prob(JB): 0.44
Heteroskedasticity (H): 0.25 Skew: -0.74
Prob(H) (two-sided): 0.21 Kurtosis: 3.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 109.01144113912063, Current Price: 107.36
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.081
Date: Wed, 09 Oct 2024 AIC 52.162
Time: 14:39:34 BIC 54.987
Sample: 0 HQIC 51.581
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9234 0.076 -12.090 0.000 -1.073 -0.774
ma.L1 1.0000 4215.769 0.000 1.000 -8261.755 8263.755
ar.S.L7 -0.5845 0.228 -2.561 0.010 -1.032 -0.137
ma.S.L7 -1.3414 2.922 -0.459 0.646 -7.069 4.387
sigma2 0.5593 2357.979 0.000 1.000 -4620.995 4622.114
===================================================================================
Ljung-Box (L1) (Q): 2.06 Jarque-Bera (JB): 0.60
Prob(Q): 0.15 Prob(JB): 0.74
Heteroskedasticity (H): 2.59 Skew: -0.38
Prob(H) (two-sided): 0.38 Kurtosis: 2.27
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 104.10023070903964, Current Price: 108.31
SELL EXECUTED at 108.31
SELL ORDER COMPLETED at 108.89
OPERATION PROFIT, GROSS 0.04999999999999716, NET -0.16773000000000285
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.490
Date: Wed, 09 Oct 2024 AIC 58.981
Time: 14:39:34 BIC 61.805
Sample: 0 HQIC 58.400
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8476 0.186 -4.564 0.000 -1.212 -0.484
ma.L1 1.0000 3820.069 0.000 1.000 -7486.198 7488.198
ar.S.L7 -0.4441 0.518 -0.857 0.391 -1.459 0.571
ma.S.L7 -0.1096 0.815 -0.134 0.893 -1.707 1.488
sigma2 2.1785 8322.303 0.000 1.000 -1.63e+04 1.63e+04
===================================================================================
Ljung-Box (L1) (Q): 2.37 Jarque-Bera (JB): 0.13
Prob(Q): 0.12 Prob(JB): 0.94
Heteroskedasticity (H): 3.88 Skew: 0.20
Prob(H) (two-sided): 0.22 Kurtosis: 3.27
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 108.51096334862055, Current Price: 109.43
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.736
Date: Wed, 09 Oct 2024 AIC 59.473
Time: 14:39:34 BIC 62.298
Sample: 0 HQIC 58.892
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8702 0.167 -5.219 0.000 -1.197 -0.543
ma.L1 1.0000 2.48e+04 4.03e-05 1.000 -4.86e+04 4.86e+04
ar.S.L7 -0.4807 0.241 -1.997 0.046 -0.952 -0.009
ma.S.L7 0.2825 0.590 0.479 0.632 -0.873 1.438
sigma2 2.1262 5.27e+04 4.03e-05 1.000 -1.03e+05 1.03e+05
===================================================================================
Ljung-Box (L1) (Q): 4.24 Jarque-Bera (JB): 0.22
Prob(Q): 0.04 Prob(JB): 0.90
Heteroskedasticity (H): 1.91 Skew: 0.27
Prob(H) (two-sided): 0.54 Kurtosis: 3.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 109.2893153036136, Current Price: 109.43
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.891
Date: Wed, 09 Oct 2024 AIC 57.782
Time: 14:39:34 BIC 60.607
Sample: 0 HQIC 57.202
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8087 0.211 -3.837 0.000 -1.222 -0.396
ma.L1 1.0000 2.76e+04 3.63e-05 1.000 -5.4e+04 5.4e+04
ar.S.L7 -0.5351 0.230 -2.331 0.020 -0.985 -0.085
ma.S.L7 0.3200 0.524 0.611 0.541 -0.707 1.347
sigma2 1.8420 5.08e+04 3.63e-05 1.000 -9.95e+04 9.95e+04
===================================================================================
Ljung-Box (L1) (Q): 3.68 Jarque-Bera (JB): 0.53
Prob(Q): 0.06 Prob(JB): 0.77
Heteroskedasticity (H): 0.15 Skew: 0.33
Prob(H) (two-sided): 0.09 Kurtosis: 3.74
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 109.77145070169063, Current Price: 111.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.643
Date: Wed, 09 Oct 2024 AIC 57.286
Time: 14:39:34 BIC 60.111
Sample: 0 HQIC 56.706
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7271 0.346 -2.104 0.035 -1.404 -0.050
ma.L1 1.0000 2.04e+04 4.9e-05 1.000 -4e+04 4e+04
ar.S.L7 -0.6178 0.259 -2.389 0.017 -1.125 -0.111
ma.S.L7 0.2049 0.437 0.469 0.639 -0.652 1.062
sigma2 1.8393 3.75e+04 4.9e-05 1.000 -7.36e+04 7.36e+04
===================================================================================
Ljung-Box (L1) (Q): 2.60 Jarque-Bera (JB): 0.00
Prob(Q): 0.11 Prob(JB): 1.00
Heteroskedasticity (H): 0.44 Skew: -0.01
Prob(H) (two-sided): 0.44 Kurtosis: 3.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.33224793918615, Current Price: 111.63
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.201
Date: Wed, 09 Oct 2024 AIC 58.401
Time: 14:39:34 BIC 61.226
Sample: 0 HQIC 57.821
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7141 0.494 -1.447 0.148 -1.682 0.253
ma.L1 0.9948 21.215 0.047 0.963 -40.586 42.576
ar.S.L7 -0.5971 0.400 -1.494 0.135 -1.381 0.186
ma.S.L7 -11.6436 93.061 -0.125 0.900 -194.040 170.753
sigma2 0.0148 0.331 0.045 0.964 -0.634 0.664
===================================================================================
Ljung-Box (L1) (Q): 0.90 Jarque-Bera (JB): 0.20
Prob(Q): 0.34 Prob(JB): 0.90
Heteroskedasticity (H): 0.14 Skew: 0.28
Prob(H) (two-sided): 0.08 Kurtosis: 3.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.60919917819542, Current Price: 110.83
BUY EXECUTED at 110.83
BUY ORDER COMPLETED at 111.13
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.202
Date: Wed, 09 Oct 2024 AIC 54.404
Time: 14:39:34 BIC 57.229
Sample: 0 HQIC 53.824
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5624 0.483 -1.165 0.244 -1.508 0.383
ma.L1 1.0000 3.23e+04 3.1e-05 1.000 -6.32e+04 6.32e+04
ar.S.L7 -0.6256 0.210 -2.977 0.003 -1.037 -0.214
ma.S.L7 1.0000 2.28e+04 4.39e-05 1.000 -4.46e+04 4.46e+04
sigma2 0.8558 3.57e+04 2.39e-05 1.000 -7.01e+04 7.01e+04
===================================================================================
Ljung-Box (L1) (Q): 0.57 Jarque-Bera (JB): 0.56
Prob(Q): 0.45 Prob(JB): 0.75
Heteroskedasticity (H): 0.47 Skew: 0.42
Prob(H) (two-sided): 0.48 Kurtosis: 2.43
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 109.55489510678605, Current Price: 110.81
SELL EXECUTED at 110.81
SELL ORDER COMPLETED at 111.22
OPERATION PROFIT, GROSS 0.09000000000000341, NET -0.13234999999999658
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.977
Date: Wed, 09 Oct 2024 AIC 47.954
Time: 14:39:34 BIC 50.779
Sample: 0 HQIC 47.373
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6526 0.273 -2.390 0.017 -1.188 -0.117
ma.L1 1.0000 1.01e+05 9.91e-06 1.000 -1.98e+05 1.98e+05
ar.S.L7 -0.4405 0.339 -1.301 0.193 -1.104 0.223
ma.S.L7 0.1694 0.636 0.266 0.790 -1.077 1.416
sigma2 0.9052 9.13e+04 9.91e-06 1.000 -1.79e+05 1.79e+05
===================================================================================
Ljung-Box (L1) (Q): 2.16 Jarque-Bera (JB): 1.00
Prob(Q): 0.14 Prob(JB): 0.61
Heteroskedasticity (H): 1.23 Skew: -0.67
Prob(H) (two-sided): 0.85 Kurtosis: 2.84
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.79543934953278, Current Price: 109.88
BUY EXECUTED at 109.88
BUY ORDER COMPLETED at 109.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.638
Date: Wed, 09 Oct 2024 AIC 51.276
Time: 14:39:34 BIC 54.100
Sample: 0 HQIC 50.695
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6512 0.265 -2.457 0.014 -1.171 -0.132
ma.L1 1.0000 2.96e+04 3.37e-05 1.000 -5.81e+04 5.81e+04
ar.S.L7 -0.2299 0.325 -0.707 0.480 -0.867 0.408
ma.S.L7 0.1674 0.807 0.207 0.836 -1.414 1.749
sigma2 1.1712 3.47e+04 3.37e-05 1.000 -6.81e+04 6.81e+04
===================================================================================
Ljung-Box (L1) (Q): 0.66 Jarque-Bera (JB): 0.09
Prob(Q): 0.42 Prob(JB): 0.96
Heteroskedasticity (H): 0.81 Skew: -0.06
Prob(H) (two-sided): 0.85 Kurtosis: 2.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.25574357099676, Current Price: 109.718
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.007
Date: Wed, 09 Oct 2024 AIC 52.014
Time: 14:39:34 BIC 54.839
Sample: 0 HQIC 51.434
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7880 0.414 -1.903 0.057 -1.600 0.023
ma.L1 1.0000 6653.253 0.000 1.000 -1.3e+04 1.3e+04
ar.S.L7 -0.2373 0.677 -0.350 0.726 -1.565 1.091
ma.S.L7 -0.2900 0.961 -0.302 0.763 -2.173 1.593
sigma2 1.2503 8318.358 0.000 1.000 -1.63e+04 1.63e+04
===================================================================================
Ljung-Box (L1) (Q): 0.31 Jarque-Bera (JB): 0.15
Prob(Q): 0.58 Prob(JB): 0.93
Heteroskedasticity (H): 0.80 Skew: -0.09
Prob(H) (two-sided): 0.83 Kurtosis: 2.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.20451274340041, Current Price: 108.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.483
Date: Wed, 09 Oct 2024 AIC 52.965
Time: 14:39:34 BIC 55.790
Sample: 0 HQIC 52.385
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7417 0.419 -1.769 0.077 -1.564 0.080
ma.L1 1.0000 3.54e+04 2.83e-05 1.000 -6.94e+04 6.94e+04
ar.S.L7 -0.1667 0.588 -0.283 0.777 -1.320 0.986
ma.S.L7 -0.1821 1.822 -0.100 0.920 -3.753 3.389
sigma2 1.3669 4.84e+04 2.83e-05 1.000 -9.48e+04 9.48e+04
===================================================================================
Ljung-Box (L1) (Q): 0.39 Jarque-Bera (JB): 0.25
Prob(Q): 0.53 Prob(JB): 0.88
Heteroskedasticity (H): 1.14 Skew: 0.21
Prob(H) (two-sided): 0.90 Kurtosis: 2.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 108.94579872979284, Current Price: 108.6
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.874
Date: Wed, 09 Oct 2024 AIC 51.748
Time: 14:39:34 BIC 54.573
Sample: 0 HQIC 51.168
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7287 0.355 -2.056 0.040 -1.424 -0.034
ma.L1 1.0000 1.66e+04 6.02e-05 1.000 -3.26e+04 3.26e+04
ar.S.L7 -0.1680 0.444 -0.378 0.705 -1.038 0.702
ma.S.L7 -0.2659 1.554 -0.171 0.864 -3.312 2.780
sigma2 1.2302 2.04e+04 6.02e-05 1.000 -4.01e+04 4.01e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.08
Prob(Q): 0.86 Prob(JB): 0.96
Heteroskedasticity (H): 1.28 Skew: 0.03
Prob(H) (two-sided): 0.82 Kurtosis: 2.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 109.22594163811883, Current Price: 107.95
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.289
Date: Wed, 09 Oct 2024 AIC 48.578
Time: 14:39:34 BIC 51.403
Sample: 0 HQIC 47.997
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7194 0.550 -1.309 0.191 -1.797 0.358
ma.L1 0.7142 0.706 1.011 0.312 -0.670 2.099
ar.S.L7 -0.2484 0.406 -0.612 0.541 -1.044 0.547
ma.S.L7 -0.3573 0.914 -0.391 0.696 -2.149 1.435
sigma2 1.0500 0.676 1.553 0.120 -0.275 2.375
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 0.22
Prob(Q): 0.66 Prob(JB): 0.90
Heteroskedasticity (H): 1.92 Skew: 0.03
Prob(H) (two-sided): 0.54 Kurtosis: 2.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 107.46544005940007, Current Price: 108.36
SELL EXECUTED at 108.36
SELL ORDER COMPLETED at 110.02
OPERATION PROFIT, GROSS 0.8599999999999994, NET 0.6408199999999995
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.331
Date: Wed, 09 Oct 2024 AIC 46.662
Time: 14:39:35 BIC 49.487
Sample: 0 HQIC 46.082
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6954 0.353 -1.971 0.049 -1.387 -0.004
ma.L1 0.6602 0.729 0.906 0.365 -0.768 2.089
ar.S.L7 -0.2453 0.291 -0.841 0.400 -0.817 0.326
ma.S.L7 -1.0001 1.18e+04 -8.51e-05 1.000 -2.3e+04 2.3e+04
sigma2 0.5692 6687.949 8.51e-05 1.000 -1.31e+04 1.31e+04
===================================================================================
Ljung-Box (L1) (Q): 2.00 Jarque-Bera (JB): 0.72
Prob(Q): 0.16 Prob(JB): 0.70
Heteroskedasticity (H): 1.09 Skew: -0.20
Prob(H) (two-sided): 0.94 Kurtosis: 1.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 108.43395150724031, Current Price: 110.4
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.685
Date: Wed, 09 Oct 2024 AIC 51.370
Time: 14:39:35 BIC 54.194
Sample: 0 HQIC 50.789
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0736 7.449 -0.010 0.992 -14.674 14.526
ma.L1 7.1207 361.285 0.020 0.984 -700.985 715.226
ar.S.L7 -0.6105 0.372 -1.643 0.100 -1.339 0.118
ma.S.L7 -1.0300 25.089 -0.041 0.967 -50.204 48.144
sigma2 0.0158 1.732 0.009 0.993 -3.380 3.411
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.01
Prob(Q): 0.82 Prob(JB): 1.00
Heteroskedasticity (H): 3.85 Skew: 0.04
Prob(H) (two-sided): 0.22 Kurtosis: 2.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.82934663922767, Current Price: 109.59
BUY EXECUTED at 109.59
BUY ORDER COMPLETED at 110.1
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.529
Date: Wed, 09 Oct 2024 AIC 51.058
Time: 14:39:35 BIC 53.883
Sample: 0 HQIC 50.478
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5905 0.705 -0.837 0.402 -1.972 0.792
ma.L1 1.0000 5906.956 0.000 1.000 -1.16e+04 1.16e+04
ar.S.L7 -0.0567 0.505 -0.112 0.911 -1.046 0.933
ma.S.L7 -0.1173 1.078 -0.109 0.913 -2.231 1.996
sigma2 1.2081 7136.362 0.000 1.000 -1.4e+04 1.4e+04
===================================================================================
Ljung-Box (L1) (Q): 0.44 Jarque-Bera (JB): 0.55
Prob(Q): 0.51 Prob(JB): 0.76
Heteroskedasticity (H): 1.37 Skew: 0.22
Prob(H) (two-sided): 0.77 Kurtosis: 2.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 109.6454182124501, Current Price: 110.34
SELL EXECUTED at 110.34
SELL ORDER COMPLETED at 110.26
OPERATION PROFIT, GROSS 0.1600000000000108, NET -0.0603599999999892
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.944
Date: Wed, 09 Oct 2024 AIC 49.888
Time: 14:39:35 BIC 52.713
Sample: 0 HQIC 49.307
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5772 0.796 -0.725 0.468 -2.138 0.983
ma.L1 1.0000 1089.575 0.001 0.999 -2134.527 2136.527
ar.S.L7 0.0045 0.013 0.338 0.735 -0.022 0.030
ma.S.L7 -1.0003 2437.494 -0.000 1.000 -4778.401 4776.400
sigma2 0.7561 2269.587 0.000 1.000 -4447.553 4449.066
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 1.07
Prob(Q): 0.87 Prob(JB): 0.58
Heteroskedasticity (H): 0.91 Skew: 0.55
Prob(H) (two-sided): 0.93 Kurtosis: 2.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.4490573592995, Current Price: 108.28
BUY EXECUTED at 108.28
BUY ORDER COMPLETED at 107.31
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.481
Date: Wed, 09 Oct 2024 AIC 46.962
Time: 14:39:35 BIC 49.786
Sample: 0 HQIC 46.381
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0972 0.613 0.159 0.874 -1.105 1.299
ma.L1 1.0000 2.24e+04 4.46e-05 1.000 -4.39e+04 4.39e+04
ar.S.L7 0.0682 0.080 0.850 0.395 -0.089 0.225
ma.S.L7 1.0002 1976.664 0.001 1.000 -3873.191 3875.191
sigma2 0.5102 1.12e+04 4.57e-05 1.000 -2.19e+04 2.19e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.19
Prob(Q): 0.97 Prob(JB): 0.55
Heteroskedasticity (H): 0.72 Skew: -0.06
Prob(H) (two-sided): 0.76 Kurtosis: 1.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 105.6628349775405, Current Price: 107.75
SELL EXECUTED at 107.75
SELL ORDER COMPLETED at 107.5
OPERATION PROFIT, GROSS 0.18999999999999773, NET -0.024810000000002275
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.164
Date: Wed, 09 Oct 2024 AIC 46.329
Time: 14:39:35 BIC 49.153
Sample: 0 HQIC 45.748
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2375 0.510 -0.465 0.642 -1.238 0.763
ma.L1 0.9163 0.643 1.424 0.154 -0.345 2.177
ar.S.L7 0.2301 0.136 1.686 0.092 -0.037 0.497
ma.S.L7 -1.0002 4423.531 -0.000 1.000 -8670.962 8668.961
sigma2 0.5740 2539.520 0.000 1.000 -4976.793 4977.941
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.68
Prob(Q): 0.87 Prob(JB): 0.71
Heteroskedasticity (H): 1.08 Skew: 0.32
Prob(H) (two-sided): 0.94 Kurtosis: 2.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 107.90094435240924, Current Price: 108.32
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.609
Date: Wed, 09 Oct 2024 AIC 47.217
Time: 14:39:35 BIC 50.042
Sample: 0 HQIC 46.636
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1419 0.671 -0.211 0.833 -1.458 1.174
ma.L1 1.0000 1.96e+04 5.1e-05 1.000 -3.84e+04 3.84e+04
ar.S.L7 0.2380 0.110 2.158 0.031 0.022 0.454
ma.S.L7 -0.1622 0.563 -0.288 0.773 -1.265 0.940
sigma2 0.9111 1.79e+04 5.1e-05 1.000 -3.5e+04 3.5e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.80
Prob(Q): 0.92 Prob(JB): 0.67
Heteroskedasticity (H): 1.45 Skew: -0.03
Prob(H) (two-sided): 0.73 Kurtosis: 1.78
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 109.0625200692483, Current Price: 106.3
BUY EXECUTED at 106.3
BUY ORDER COMPLETED at 107.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.425
Date: Wed, 09 Oct 2024 AIC 50.849
Time: 14:39:35 BIC 53.674
Sample: 0 HQIC 50.269
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2597 0.651 -0.399 0.690 -1.536 1.017
ma.L1 1.0000 1.27e+04 7.85e-05 1.000 -2.5e+04 2.5e+04
ar.S.L7 0.1839 0.178 1.031 0.302 -0.166 0.534
ma.S.L7 -1.0001 1.11e+04 -9.04e-05 1.000 -2.17e+04 2.17e+04
sigma2 0.7740 1.75e+04 4.43e-05 1.000 -3.42e+04 3.42e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.74
Prob(Q): 0.88 Prob(JB): 0.69
Heteroskedasticity (H): 1.68 Skew: 0.53
Prob(H) (two-sided): 0.63 Kurtosis: 2.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 106.11308516512877, Current Price: 106.78
SELL EXECUTED at 106.78
SELL ORDER COMPLETED at 107.16
OPERATION PROFIT, GROSS 0.1599999999999966, NET -0.05416000000000343
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.553
Date: Wed, 09 Oct 2024 AIC 51.105
Time: 14:39:35 BIC 53.930
Sample: 0 HQIC 50.525
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5906 0.871 0.678 0.498 -1.117 2.298
ma.L1 -0.4442 1.104 -0.402 0.687 -2.608 1.720
ar.S.L7 -0.5262 0.512 -1.028 0.304 -1.530 0.477
ma.S.L7 0.2400 0.523 0.459 0.646 -0.785 1.265
sigma2 1.3403 0.788 1.701 0.089 -0.204 2.885
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.62
Prob(Q): 0.88 Prob(JB): 0.73
Heteroskedasticity (H): 3.89 Skew: 0.41
Prob(H) (two-sided): 0.22 Kurtosis: 2.31
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 105.53207362016276, Current Price: 108.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.136
Date: Wed, 09 Oct 2024 AIC 50.271
Time: 14:39:35 BIC 53.096
Sample: 0 HQIC 49.691
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3246 0.733 -0.443 0.658 -1.761 1.112
ma.L1 1.0000 3085.113 0.000 1.000 -6045.711 6047.711
ar.S.L7 -0.0378 0.331 -0.114 0.909 -0.686 0.610
ma.S.L7 -1.0000 1.98e+04 -5.05e-05 1.000 -3.88e+04 3.88e+04
sigma2 0.7441 1.39e+04 5.34e-05 1.000 -2.73e+04 2.73e+04
===================================================================================
Ljung-Box (L1) (Q): 0.51 Jarque-Bera (JB): 0.30
Prob(Q): 0.47 Prob(JB): 0.86
Heteroskedasticity (H): 1.11 Skew: 0.15
Prob(H) (two-sided): 0.92 Kurtosis: 2.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 109.9822312417207, Current Price: 108.75
BUY EXECUTED at 108.75
BUY ORDER COMPLETED at 108.57
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.603
Date: Wed, 09 Oct 2024 AIC 51.205
Time: 14:39:35 BIC 54.030
Sample: 0 HQIC 50.625
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3885 0.404 -0.962 0.336 -1.180 0.403
ma.L1 1.0691 0.575 1.861 0.063 -0.057 2.195
ar.S.L7 -0.2560 0.560 -0.457 0.648 -1.354 0.842
ma.S.L7 -1.0002 5339.582 -0.000 1.000 -1.05e+04 1.05e+04
sigma2 0.7321 3909.583 0.000 1.000 -7661.909 7663.373
===================================================================================
Ljung-Box (L1) (Q): 0.43 Jarque-Bera (JB): 0.19
Prob(Q): 0.51 Prob(JB): 0.91
Heteroskedasticity (H): 1.74 Skew: -0.06
Prob(H) (two-sided): 0.60 Kurtosis: 2.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 107.30346437946825, Current Price: 107.97
SELL EXECUTED at 107.97
SELL ORDER COMPLETED at 109.44
OPERATION PROFIT, GROSS 0.8700000000000045, NET 0.6519900000000045
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.691
Date: Wed, 09 Oct 2024 AIC 51.383
Time: 14:39:35 BIC 54.208
Sample: 0 HQIC 50.802
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4020 0.278 -1.444 0.149 -0.948 0.144
ma.L1 0.8967 0.463 1.936 0.053 -0.011 1.804
ar.S.L7 -0.3151 0.577 -0.546 0.585 -1.445 0.815
ma.S.L7 -1.0001 1.07e+04 -9.36e-05 1.000 -2.09e+04 2.09e+04
sigma2 0.8539 9121.353 9.36e-05 1.000 -1.79e+04 1.79e+04
===================================================================================
Ljung-Box (L1) (Q): 0.53 Jarque-Bera (JB): 0.27
Prob(Q): 0.47 Prob(JB): 0.87
Heteroskedasticity (H): 1.26 Skew: -0.25
Prob(H) (two-sided): 0.83 Kurtosis: 2.51
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 109.15416745633723, Current Price: 108.95
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.615
Date: Wed, 09 Oct 2024 AIC 49.231
Time: 14:39:35 BIC 52.055
Sample: 0 HQIC 48.650
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5634 0.408 -1.381 0.167 -1.363 0.236
ma.L1 1.0000 1.47e+04 6.81e-05 1.000 -2.88e+04 2.88e+04
ar.S.L7 -0.4404 0.336 -1.312 0.189 -1.098 0.217
ma.S.L7 -1.0001 1.45e+04 -6.88e-05 1.000 -2.85e+04 2.85e+04
sigma2 0.6382 1.3e+04 4.92e-05 1.000 -2.54e+04 2.54e+04
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.64
Prob(Q): 0.76 Prob(JB): 0.73
Heteroskedasticity (H): 0.98 Skew: 0.17
Prob(H) (two-sided): 0.98 Kurtosis: 1.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 108.6262408423429, Current Price: 110.26
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.970
Date: Wed, 09 Oct 2024 AIC 49.940
Time: 14:39:35 BIC 52.765
Sample: 0 HQIC 49.359
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3636 0.483 -0.753 0.451 -1.310 0.582
ma.L1 0.7837 0.507 1.545 0.122 -0.210 1.778
ar.S.L7 -0.3890 0.383 -1.015 0.310 -1.140 0.362
ma.S.L7 -1.0001 1.81e+04 -5.53e-05 1.000 -3.55e+04 3.55e+04
sigma2 0.7702 1.39e+04 5.53e-05 1.000 -2.73e+04 2.73e+04
===================================================================================
Ljung-Box (L1) (Q): 1.08 Jarque-Bera (JB): 0.71
Prob(Q): 0.30 Prob(JB): 0.70
Heteroskedasticity (H): 0.59 Skew: -0.19
Prob(H) (two-sided): 0.62 Kurtosis: 1.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.69088175366699, Current Price: 110.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.164
Date: Wed, 09 Oct 2024 AIC 48.328
Time: 14:39:35 BIC 51.152
Sample: 0 HQIC 47.747
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5944 0.380 -1.564 0.118 -1.339 0.151
ma.L1 0.8848 0.436 2.027 0.043 0.029 1.740
ar.S.L7 -0.5200 0.421 -1.236 0.217 -1.345 0.305
ma.S.L7 -1.0001 7954.724 -0.000 1.000 -1.56e+04 1.56e+04
sigma2 0.6340 5043.969 0.000 1.000 -9885.364 9886.633
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.57
Prob(Q): 0.96 Prob(JB): 0.75
Heteroskedasticity (H): 1.13 Skew: 0.39
Prob(H) (two-sided): 0.91 Kurtosis: 2.35
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.53890244166124, Current Price: 111.03
BUY EXECUTED at 111.03
BUY ORDER COMPLETED at 111.85
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.715
Date: Wed, 09 Oct 2024 AIC 47.430
Time: 14:39:35 BIC 50.255
Sample: 0 HQIC 46.849
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3490 0.219 -1.592 0.111 -0.779 0.081
ma.L1 0.7988 0.337 2.367 0.018 0.138 1.460
ar.S.L7 -0.6297 0.530 -1.189 0.235 -1.668 0.408
ma.S.L7 -1.0000 2.94e+04 -3.4e-05 1.000 -5.77e+04 5.77e+04
sigma2 0.6332 1.86e+04 3.4e-05 1.000 -3.65e+04 3.65e+04
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 0.06
Prob(Q): 0.68 Prob(JB): 0.97
Heteroskedasticity (H): 0.70 Skew: -0.09
Prob(H) (two-sided): 0.74 Kurtosis: 2.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 109.67609094442132, Current Price: 112.49
SELL EXECUTED at 112.49
SELL ORDER COMPLETED at 112.47
OPERATION PROFIT, GROSS 0.6200000000000045, NET 0.3956800000000046
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.904
Date: Wed, 09 Oct 2024 AIC 53.808
Time: 14:39:35 BIC 56.633
Sample: 0 HQIC 53.227
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7084 0.669 1.058 0.290 -0.603 2.020
ma.L1 -0.6169 0.820 -0.752 0.452 -2.225 0.991
ar.S.L7 -0.5968 0.484 -1.232 0.218 -1.546 0.352
ma.S.L7 0.1107 0.755 0.147 0.883 -1.370 1.591
sigma2 1.6733 1.147 1.458 0.145 -0.575 3.922
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 0.33
Prob(Q): 0.66 Prob(JB): 0.85
Heteroskedasticity (H): 1.01 Skew: 0.17
Prob(H) (two-sided): 0.99 Kurtosis: 2.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.10945517705458, Current Price: 112.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.388
Date: Wed, 09 Oct 2024 AIC 52.777
Time: 14:39:35 BIC 55.601
Sample: 0 HQIC 52.196
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4069 0.315 -1.291 0.197 -1.025 0.211
ma.L1 1.0000 9381.324 0.000 1.000 -1.84e+04 1.84e+04
ar.S.L7 -0.4387 0.674 -0.651 0.515 -1.760 0.882
ma.S.L7 -0.0881 0.997 -0.088 0.930 -2.042 1.866
sigma2 1.4271 1.34e+04 0.000 1.000 -2.62e+04 2.62e+04
===================================================================================
Ljung-Box (L1) (Q): 2.92 Jarque-Bera (JB): 0.68
Prob(Q): 0.09 Prob(JB): 0.71
Heteroskedasticity (H): 0.69 Skew: -0.23
Prob(H) (two-sided): 0.73 Kurtosis: 1.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.26032467816763, Current Price: 113.64
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.668
Date: Wed, 09 Oct 2024 AIC 55.336
Time: 14:39:35 BIC 58.161
Sample: 0 HQIC 54.755
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3586 1.754 -0.204 0.838 -3.796 3.079
ma.L1 5.0838 41.977 0.121 0.904 -77.189 87.357
ar.S.L7 -0.4613 0.581 -0.794 0.427 -1.599 0.677
ma.S.L7 -0.1506 0.842 -0.179 0.858 -1.801 1.500
sigma2 0.0735 1.216 0.060 0.952 -2.309 2.456
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 0.42
Prob(Q): 0.69 Prob(JB): 0.81
Heteroskedasticity (H): 0.71 Skew: -0.20
Prob(H) (two-sided): 0.75 Kurtosis: 2.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.35364199570283, Current Price: 113.01
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.519
Date: Wed, 09 Oct 2024 AIC 55.038
Time: 14:39:35 BIC 57.863
Sample: 0 HQIC 54.457
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5488 0.631 -0.869 0.385 -1.786 0.689
ma.L1 0.4248 0.927 0.458 0.647 -1.393 2.243
ar.S.L7 -0.5810 0.407 -1.429 0.153 -1.378 0.216
ma.S.L7 0.1888 1.069 0.177 0.860 -1.906 2.283
sigma2 1.8331 1.025 1.789 0.074 -0.175 3.841
===================================================================================
Ljung-Box (L1) (Q): 0.61 Jarque-Bera (JB): 0.77
Prob(Q): 0.44 Prob(JB): 0.68
Heteroskedasticity (H): 0.57 Skew: 0.19
Prob(H) (two-sided): 0.60 Kurtosis: 1.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.43791096197866, Current Price: 112.69
BUY EXECUTED at 112.69
BUY ORDER COMPLETED at 113.23
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.389
Date: Wed, 09 Oct 2024 AIC 54.779
Time: 14:39:35 BIC 57.603
Sample: 0 HQIC 54.198
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1937 10.433 -0.019 0.985 -20.641 20.254
ma.L1 5.9148 365.609 0.016 0.987 -710.666 722.496
ar.S.L7 -0.4766 0.799 -0.596 0.551 -2.043 1.090
ma.S.L7 0.0274 1.061 0.026 0.979 -2.053 2.108
sigma2 0.0524 6.486 0.008 0.994 -12.661 12.765
===================================================================================
Ljung-Box (L1) (Q): 1.35 Jarque-Bera (JB): 0.82
Prob(Q): 0.25 Prob(JB): 0.66
Heteroskedasticity (H): 0.98 Skew: 0.15
Prob(H) (two-sided): 0.98 Kurtosis: 1.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.12613222840251, Current Price: 113.03
SELL EXECUTED at 113.03
SELL ORDER COMPLETED at 112.9
OPERATION PROFIT, GROSS -0.3299999999999983, NET -0.5561299999999983
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.862
Date: Wed, 09 Oct 2024 AIC 53.724
Time: 14:39:35 BIC 56.548
Sample: 0 HQIC 53.143
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3208 1.564 -0.205 0.838 -3.387 2.746
ma.L1 11.8421 165.122 0.072 0.943 -311.792 335.476
ar.S.L7 0.0040 0.016 0.254 0.800 -0.027 0.035
ma.S.L7 -0.9280 8.544 -0.109 0.914 -17.674 15.818
sigma2 0.0080 0.188 0.042 0.966 -0.361 0.377
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 0.50
Prob(Q): 0.67 Prob(JB): 0.78
Heteroskedasticity (H): 1.03 Skew: -0.21
Prob(H) (two-sided): 0.98 Kurtosis: 2.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.70014815287233, Current Price: 113.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.970
Date: Wed, 09 Oct 2024 AIC 49.941
Time: 14:39:35 BIC 52.765
Sample: 0 HQIC 49.360
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1679 21.188 -0.008 0.994 -41.696 41.360
ma.L1 5.4601 627.629 0.009 0.993 -1224.670 1235.590
ar.S.L7 -0.4136 0.310 -1.332 0.183 -1.022 0.195
ma.S.L7 0.2274 0.697 0.326 0.744 -1.139 1.593
sigma2 0.0414 9.525 0.004 0.997 -18.627 18.709
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.55
Prob(Q): 0.96 Prob(JB): 0.76
Heteroskedasticity (H): 1.21 Skew: -0.19
Prob(H) (two-sided): 0.86 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.29639838435052, Current Price: 111.24
BUY EXECUTED at 111.24
BUY ORDER COMPLETED at 110.8801
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.213
Date: Wed, 09 Oct 2024 AIC 58.427
Time: 14:39:35 BIC 61.252
Sample: 0 HQIC 57.846
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3127 6.183 -0.051 0.960 -12.431 11.805
ma.L1 3.7172 93.063 0.040 0.968 -178.684 186.118
ar.S.L7 -0.2935 0.630 -0.466 0.641 -1.528 0.941
ma.S.L7 -1.0219 35.057 -0.029 0.977 -69.732 67.688
sigma2 0.1027 7.784 0.013 0.989 -15.153 15.358
===================================================================================
Ljung-Box (L1) (Q): 0.52 Jarque-Bera (JB): 1.14
Prob(Q): 0.47 Prob(JB): 0.57
Heteroskedasticity (H): 1.96 Skew: -0.72
Prob(H) (two-sided): 0.53 Kurtosis: 3.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.74026464545013, Current Price: 111.15
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/tsa/stattools.py:1431: RuntimeWarning: invalid value encountered in divide
test_statistic = numer_squared_sum / denom_squared_sum
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/tsa/stattools.py:702: RuntimeWarning: invalid value encountered in divide
acf = avf[: nlags + 1] / avf[0]
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood 0.000
Date: Wed, 09 Oct 2024 AIC 10.000
Time: 14:39:36 BIC 12.825
Sample: 0 HQIC 9.419
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -3.3250 1.268 -2.622 0.009 -5.810 -0.840
ma.L1 3.3058 1.86e-05 1.78e+05 0.000 3.306 3.306
ar.S.L7 -1.757e+13 8.45e-13 -2.08e+25 0.000 -1.76e+13 -1.76e+13
ma.S.L7 -6.861e+11 1.65e-07 -4.17e+18 0.000 -6.86e+11 -6.86e+11
sigma2 2.5404 79.237 0.032 0.974 -152.761 157.842
===================================================================================
Ljung-Box (L1) (Q): nan Jarque-Bera (JB): nan
Prob(Q): nan Prob(JB): nan
Heteroskedasticity (H): nan Skew: nan
Prob(H) (two-sided): nan Kurtosis: nan
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 4.14e+38. Standard errors may be unstable.
Predicted Price: -5.071845620166742e+41, Current Price: 111.46
SELL EXECUTED at 111.46
SELL ORDER COMPLETED at 111.82
OPERATION PROFIT, GROSS 0.9398999999999944, NET 0.7171998999999945
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.815
Date: Wed, 09 Oct 2024 AIC 57.630
Time: 14:39:36 BIC 60.455
Sample: 0 HQIC 57.049
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4570 5.116 -0.089 0.929 -10.485 9.571
ma.L1 2.1480 24.443 0.088 0.930 -45.759 50.055
ar.S.L7 -0.2602 0.797 -0.326 0.744 -1.823 1.302
ma.S.L7 -0.1297 0.953 -0.136 0.892 -1.998 1.739
sigma2 0.4909 11.166 0.044 0.965 -21.395 22.377
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 2.22
Prob(Q): 0.77 Prob(JB): 0.33
Heteroskedasticity (H): 2.69 Skew: -0.85
Prob(H) (two-sided): 0.36 Kurtosis: 4.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.37815501831376, Current Price: 112.31
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.026
Date: Wed, 09 Oct 2024 AIC 56.052
Time: 14:39:36 BIC 58.876
Sample: 0 HQIC 55.471
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4453 0.180 2.472 0.013 0.092 0.798
ma.L1 -0.8336 0.750 -1.111 0.266 -2.304 0.637
ar.S.L7 -0.5016 0.299 -1.679 0.093 -1.087 0.084
ma.S.L7 -0.6614 2.245 -0.295 0.768 -5.062 3.739
sigma2 1.5433 2.793 0.553 0.581 -3.931 7.018
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 1.87
Prob(Q): 0.70 Prob(JB): 0.39
Heteroskedasticity (H): 4.33 Skew: -0.84
Prob(H) (two-sided): 0.18 Kurtosis: 3.78
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.45500964167786, Current Price: 111.84
BUY EXECUTED at 111.84
BUY ORDER COMPLETED at 111.26
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.671
Date: Wed, 09 Oct 2024 AIC 55.342
Time: 14:39:36 BIC 58.167
Sample: 0 HQIC 54.762
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1851 6.183 -0.030 0.976 -12.303 11.933
ma.L1 12.6039 1023.850 0.012 0.990 -1994.106 2019.314
ar.S.L7 -0.1596 0.599 -0.267 0.790 -1.333 1.014
ma.S.L7 -0.1982 1.212 -0.164 0.870 -2.573 2.177
sigma2 0.0118 1.915 0.006 0.995 -3.741 3.765
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 3.76
Prob(Q): 0.74 Prob(JB): 0.15
Heteroskedasticity (H): 0.44 Skew: -1.02
Prob(H) (two-sided): 0.45 Kurtosis: 4.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.1939331877, Current Price: 113.19
SELL EXECUTED at 113.19
SELL ORDER COMPLETED at 112.88
OPERATION PROFIT, GROSS 1.6199999999999903, NET 1.3958599999999903
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.063
Date: Wed, 09 Oct 2024 AIC 54.126
Time: 14:39:36 BIC 56.951
Sample: 0 HQIC 53.545
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0467 0.403 -2.595 0.009 -1.837 -0.256
ma.L1 1.0009 87.366 0.011 0.991 -170.233 172.235
ar.S.L7 -0.0010 0.004 -0.276 0.783 -0.008 0.006
ma.S.L7 -0.3364 0.982 -0.343 0.732 -2.260 1.587
sigma2 1.5805 138.674 0.011 0.991 -270.215 273.376
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 3.29
Prob(Q): 0.81 Prob(JB): 0.19
Heteroskedasticity (H): 0.22 Skew: -1.11
Prob(H) (two-sided): 0.17 Kurtosis: 4.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.97594176246515, Current Price: 112.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.891
Date: Wed, 09 Oct 2024 AIC 55.782
Time: 14:39:36 BIC 58.607
Sample: 0 HQIC 55.201
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2754 2.400 0.115 0.909 -4.428 4.979
ma.L1 -0.4937 2.367 -0.209 0.835 -5.133 4.145
ar.S.L7 -0.3422 0.508 -0.674 0.500 -1.337 0.653
ma.S.L7 -0.1970 1.821 -0.108 0.914 -3.767 3.373
sigma2 1.9500 1.102 1.769 0.077 -0.210 4.111
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 2.45
Prob(Q): 0.86 Prob(JB): 0.29
Heteroskedasticity (H): 0.35 Skew: -0.78
Prob(H) (two-sided): 0.33 Kurtosis: 4.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.54619049343819, Current Price: 114.63
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.909
Date: Wed, 09 Oct 2024 AIC 55.818
Time: 14:39:36 BIC 58.643
Sample: 0 HQIC 55.237
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2591 1.323 0.196 0.845 -2.334 2.852
ma.L1 -0.6007 1.329 -0.452 0.651 -3.205 2.004
ar.S.L7 -0.4320 0.430 -1.005 0.315 -1.274 0.410
ma.S.L7 -0.9934 154.453 -0.006 0.995 -303.716 301.729
sigma2 1.1997 184.781 0.006 0.995 -360.965 363.364
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.64
Prob(Q): 0.98 Prob(JB): 0.44
Heteroskedasticity (H): 0.56 Skew: -0.77
Prob(H) (two-sided): 0.59 Kurtosis: 3.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.88316397301242, Current Price: 114.31
BUY EXECUTED at 114.31
BUY ORDER COMPLETED at 113.85
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.649
Date: Wed, 09 Oct 2024 AIC 53.298
Time: 14:39:36 BIC 56.123
Sample: 0 HQIC 52.718
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1695 1.622 0.104 0.917 -3.009 3.348
ma.L1 -0.4653 1.642 -0.283 0.777 -3.684 2.754
ar.S.L7 -0.3584 0.631 -0.568 0.570 -1.594 0.878
ma.S.L7 -1.0001 1.98e+04 -5.05e-05 1.000 -3.88e+04 3.88e+04
sigma2 0.9850 1.95e+04 5.05e-05 1.000 -3.82e+04 3.82e+04
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 4.35
Prob(Q): 0.67 Prob(JB): 0.11
Heteroskedasticity (H): 1.01 Skew: -1.26
Prob(H) (two-sided): 0.99 Kurtosis: 4.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.23020991990897, Current Price: 114.28
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.577
Date: Wed, 09 Oct 2024 AIC 53.153
Time: 14:39:36 BIC 55.978
Sample: 0 HQIC 52.573
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3316 1.629 0.204 0.839 -2.861 3.524
ma.L1 -0.5513 1.693 -0.326 0.745 -3.870 2.767
ar.S.L7 -0.3255 0.621 -0.524 0.600 -1.542 0.891
ma.S.L7 -1.0001 1.38e+04 -7.27e-05 1.000 -2.7e+04 2.7e+04
sigma2 0.9728 1.34e+04 7.27e-05 1.000 -2.62e+04 2.62e+04
===================================================================================
Ljung-Box (L1) (Q): 0.31 Jarque-Bera (JB): 4.36
Prob(Q): 0.58 Prob(JB): 0.11
Heteroskedasticity (H): 0.10 Skew: -1.26
Prob(H) (two-sided): 0.05 Kurtosis: 4.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.37599282333652, Current Price: 115.36
SELL EXECUTED at 115.36
SELL ORDER COMPLETED at 115.91
OPERATION PROFIT, GROSS 2.0600000000000023, NET 1.8302400000000023
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.989
Date: Wed, 09 Oct 2024 AIC 51.977
Time: 14:39:36 BIC 54.802
Sample: 0 HQIC 51.397
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1275 3.271 -0.039 0.969 -6.539 6.284
ma.L1 -0.1586 3.538 -0.045 0.964 -7.092 6.775
ar.S.L7 -0.2956 0.659 -0.449 0.654 -1.587 0.996
ma.S.L7 -1.0000 2.28e+04 -4.39e-05 1.000 -4.47e+04 4.47e+04
sigma2 0.8905 2.03e+04 4.39e-05 1.000 -3.98e+04 3.98e+04
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 5.31
Prob(Q): 0.74 Prob(JB): 0.07
Heteroskedasticity (H): 0.17 Skew: -1.34
Prob(H) (two-sided): 0.11 Kurtosis: 4.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.57902070600971, Current Price: 115.73
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.396
Date: Wed, 09 Oct 2024 AIC 52.791
Time: 14:39:36 BIC 55.616
Sample: 0 HQIC 52.211
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0390 2.429 0.016 0.987 -4.722 4.800
ma.L1 -0.2981 2.530 -0.118 0.906 -5.257 4.661
ar.S.L7 -0.3823 0.652 -0.586 0.558 -1.661 0.896
ma.S.L7 -1.0001 1.01e+04 -9.88e-05 1.000 -1.98e+04 1.98e+04
sigma2 0.9481 9599.936 9.88e-05 1.000 -1.88e+04 1.88e+04
===================================================================================
Ljung-Box (L1) (Q): 0.26 Jarque-Bera (JB): 4.08
Prob(Q): 0.61 Prob(JB): 0.13
Heteroskedasticity (H): 0.15 Skew: -1.20
Prob(H) (two-sided): 0.09 Kurtosis: 4.33
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.8208399308869, Current Price: 114.87
BUY EXECUTED at 114.87
BUY ORDER COMPLETED at 113.58
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.767
Date: Wed, 09 Oct 2024 AIC 51.533
Time: 14:39:36 BIC 54.358
Sample: 0 HQIC 50.953
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3575 0.953 0.375 0.708 -1.511 2.226
ma.L1 -0.7815 1.454 -0.538 0.591 -3.631 2.068
ar.S.L7 -0.5146 0.540 -0.954 0.340 -1.572 0.543
ma.S.L7 -1.0001 1.3e+04 -7.68e-05 1.000 -2.55e+04 2.55e+04
sigma2 0.8394 1.09e+04 7.68e-05 1.000 -2.14e+04 2.14e+04
===================================================================================
Ljung-Box (L1) (Q): 0.53 Jarque-Bera (JB): 2.97
Prob(Q): 0.47 Prob(JB): 0.23
Heteroskedasticity (H): 0.17 Skew: -0.99
Prob(H) (two-sided): 0.11 Kurtosis: 4.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.48142064457693, Current Price: 115.09
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.140
Date: Wed, 09 Oct 2024 AIC 34.279
Time: 14:39:36 BIC 37.104
Sample: 0 HQIC 33.699
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4424 0.093 4.760 0.000 0.260 0.625
ma.L1 -1.0000 4780.409 -0.000 1.000 -9370.430 9368.430
ar.S.L7 -0.6605 0.206 -3.202 0.001 -1.065 -0.256
ma.S.L7 -1.0006 964.054 -0.001 0.999 -1890.512 1888.511
sigma2 0.1846 905.048 0.000 1.000 -1773.676 1774.045
===================================================================================
Ljung-Box (L1) (Q): 0.52 Jarque-Bera (JB): 0.17
Prob(Q): 0.47 Prob(JB): 0.92
Heteroskedasticity (H): 1.75 Skew: 0.24
Prob(H) (two-sided): 0.60 Kurtosis: 2.72
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.14631182895852, Current Price: 118.486
SELL EXECUTED at 118.486
SELL ORDER COMPLETED at 117.64
OPERATION PROFIT, GROSS 4.060000000000002, NET 3.8287800000000023
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.380
Date: Wed, 09 Oct 2024 AIC 52.760
Time: 14:39:36 BIC 55.585
Sample: 0 HQIC 52.180
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0140 1.898 0.007 0.994 -3.705 3.733
ma.L1 -0.4649 1.300 -0.358 0.721 -3.012 2.082
ar.S.L7 -0.3438 0.741 -0.464 0.643 -1.797 1.109
ma.S.L7 -0.3620 1.399 -0.259 0.796 -3.103 2.379
sigma2 1.4841 1.064 1.395 0.163 -0.601 3.570
===================================================================================
Ljung-Box (L1) (Q): 0.53 Jarque-Bera (JB): 3.67
Prob(Q): 0.47 Prob(JB): 0.16
Heteroskedasticity (H): 9.18 Skew: 1.16
Prob(H) (two-sided): 0.05 Kurtosis: 4.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.84361169264669, Current Price: 118.27
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.062
Date: Wed, 09 Oct 2024 AIC 50.124
Time: 14:39:36 BIC 52.949
Sample: 0 HQIC 49.544
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0669 1.546 -0.043 0.965 -3.097 2.963
ma.L1 -0.4368 1.331 -0.328 0.743 -3.045 2.172
ar.S.L7 -0.3386 0.217 -1.561 0.119 -0.764 0.087
ma.S.L7 1.0000 3.06e+04 3.27e-05 1.000 -5.99e+04 5.99e+04
sigma2 0.7722 2.36e+04 3.27e-05 1.000 -4.63e+04 4.63e+04
===================================================================================
Ljung-Box (L1) (Q): 0.54 Jarque-Bera (JB): 0.07
Prob(Q): 0.46 Prob(JB): 0.97
Heteroskedasticity (H): 4.85 Skew: -0.17
Prob(H) (two-sided): 0.16 Kurtosis: 3.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.64098335918295, Current Price: 117.57
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.829
Date: Wed, 09 Oct 2024 AIC 49.659
Time: 14:39:36 BIC 52.483
Sample: 0 HQIC 49.078
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0669 1.574 -0.043 0.966 -3.152 3.018
ma.L1 -0.4366 1.374 -0.318 0.751 -3.129 2.256
ar.S.L7 -0.3355 0.197 -1.705 0.088 -0.721 0.050
ma.S.L7 1.0000 7.2e+04 1.39e-05 1.000 -1.41e+05 1.41e+05
sigma2 0.7451 5.37e+04 1.39e-05 1.000 -1.05e+05 1.05e+05
===================================================================================
Ljung-Box (L1) (Q): 0.45 Jarque-Bera (JB): 0.01
Prob(Q): 0.50 Prob(JB): 1.00
Heteroskedasticity (H): 0.47 Skew: -0.05
Prob(H) (two-sided): 0.48 Kurtosis: 3.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.81036238998672, Current Price: 120.656
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.207
Date: Wed, 09 Oct 2024 AIC 52.413
Time: 14:39:36 BIC 55.238
Sample: 0 HQIC 51.832
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1931 1.651 -0.117 0.907 -3.429 3.043
ma.L1 -0.3349 1.421 -0.236 0.814 -3.120 2.451
ar.S.L7 -0.3452 0.162 -2.136 0.033 -0.662 -0.028
ma.S.L7 1.0000 6.34e+04 1.58e-05 1.000 -1.24e+05 1.24e+05
sigma2 0.9209 5.84e+04 1.58e-05 1.000 -1.14e+05 1.14e+05
===================================================================================
Ljung-Box (L1) (Q): 0.61 Jarque-Bera (JB): 0.28
Prob(Q): 0.44 Prob(JB): 0.87
Heteroskedasticity (H): 1.04 Skew: -0.28
Prob(H) (two-sided): 0.97 Kurtosis: 2.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.56296796729214, Current Price: 121.4
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.097
Date: Wed, 09 Oct 2024 AIC 52.194
Time: 14:39:36 BIC 55.019
Sample: 0 HQIC 51.614
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0374 1.616 -0.023 0.982 -3.206 3.131
ma.L1 -0.3834 1.373 -0.279 0.780 -3.075 2.308
ar.S.L7 -0.3202 0.165 -1.937 0.053 -0.644 0.004
ma.S.L7 1.0000 4.91e+04 2.03e-05 1.000 -9.63e+04 9.63e+04
sigma2 0.9056 4.45e+04 2.03e-05 1.000 -8.72e+04 8.72e+04
===================================================================================
Ljung-Box (L1) (Q): 0.96 Jarque-Bera (JB): 0.21
Prob(Q): 0.33 Prob(JB): 0.90
Heteroskedasticity (H): 0.58 Skew: -0.31
Prob(H) (two-sided): 0.61 Kurtosis: 2.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.4847769340273, Current Price: 120.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.334
Date: Wed, 09 Oct 2024 AIC 52.667
Time: 14:39:36 BIC 55.492
Sample: 0 HQIC 52.087
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0257 2.456 0.010 0.992 -4.788 4.840
ma.L1 -0.3271 2.037 -0.161 0.872 -4.319 3.665
ar.S.L7 -0.3871 0.219 -1.764 0.078 -0.817 0.043
ma.S.L7 1.0002 3005.392 0.000 1.000 -5889.459 5891.460
sigma2 0.9390 2821.862 0.000 1.000 -5529.808 5531.686
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 1.22
Prob(Q): 0.71 Prob(JB): 0.54
Heteroskedasticity (H): 0.68 Skew: -0.69
Prob(H) (two-sided): 0.72 Kurtosis: 3.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.721323325323, Current Price: 120.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.657
Date: Wed, 09 Oct 2024 AIC 43.315
Time: 14:39:36 BIC 46.140
Sample: 0 HQIC 42.734
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2333 1.104 0.211 0.833 -1.931 2.398
ma.L1 -0.4812 0.854 -0.563 0.573 -2.155 1.192
ar.S.L7 -0.1712 0.389 -0.440 0.660 -0.933 0.591
ma.S.L7 0.6863 2.305 0.298 0.766 -3.831 5.203
sigma2 0.6044 1.386 0.436 0.663 -2.111 3.320
===================================================================================
Ljung-Box (L1) (Q): 1.72 Jarque-Bera (JB): 0.85
Prob(Q): 0.19 Prob(JB): 0.66
Heteroskedasticity (H): 3.87 Skew: -0.59
Prob(H) (two-sided): 0.22 Kurtosis: 3.43
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.9326672310699, Current Price: 119.36
BUY EXECUTED at 119.36
BUY ORDER COMPLETED at 118.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.030
Date: Wed, 09 Oct 2024 AIC 58.060
Time: 14:39:36 BIC 60.885
Sample: 0 HQIC 57.480
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5583 3.083 0.181 0.856 -5.484 6.601
ma.L1 -0.7133 2.794 -0.255 0.799 -6.190 4.763
ar.S.L7 0.0016 0.012 0.130 0.896 -0.023 0.026
ma.S.L7 -0.6053 0.410 -1.477 0.140 -1.408 0.198
sigma2 2.1305 1.097 1.941 0.052 -0.020 4.281
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.07
Prob(Q): 0.99 Prob(JB): 0.96
Heteroskedasticity (H): 2.04 Skew: 0.17
Prob(H) (two-sided): 0.51 Kurtosis: 2.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.48439140617486, Current Price: 119.49
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.014
Date: Wed, 09 Oct 2024 AIC 56.027
Time: 14:39:36 BIC 58.852
Sample: 0 HQIC 55.447
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4674 0.825 0.567 0.571 -1.149 2.084
ma.L1 -1.0000 5199.420 -0.000 1.000 -1.02e+04 1.02e+04
ar.S.L7 -0.1119 0.253 -0.442 0.659 -0.608 0.385
ma.S.L7 -1.0056 306.886 -0.003 0.997 -602.491 600.480
sigma2 1.0397 5337.334 0.000 1.000 -1.05e+04 1.05e+04
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 0.70
Prob(Q): 0.65 Prob(JB): 0.71
Heteroskedasticity (H): 3.35 Skew: -0.56
Prob(H) (two-sided): 0.27 Kurtosis: 3.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.20284355355997, Current Price: 116.63
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.928
Date: Wed, 09 Oct 2024 AIC 59.856
Time: 14:39:36 BIC 62.680
Sample: 0 HQIC 59.275
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5337 3.046 -0.175 0.861 -6.504 5.437
ma.L1 0.3777 3.226 0.117 0.907 -5.946 6.701
ar.S.L7 -0.0278 0.622 -0.045 0.964 -1.247 1.191
ma.S.L7 -0.3175 2.095 -0.152 0.880 -4.423 3.788
sigma2 2.5985 3.224 0.806 0.420 -3.721 8.918
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.83
Prob(Q): 1.00 Prob(JB): 0.66
Heteroskedasticity (H): 2.49 Skew: -0.61
Prob(H) (two-sided): 0.40 Kurtosis: 2.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.48935489184889, Current Price: 115.84
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.607
Date: Wed, 09 Oct 2024 AIC 61.214
Time: 14:39:36 BIC 64.039
Sample: 0 HQIC 60.633
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4289 1.181 0.363 0.716 -1.886 2.743
ma.L1 -3.1744 13.695 -0.232 0.817 -30.015 23.667
ar.S.L7 -0.2426 0.253 -0.959 0.337 -0.738 0.253
ma.S.L7 -1.0002 4733.046 -0.000 1.000 -9277.599 9275.599
sigma2 0.1796 851.213 0.000 1.000 -1668.167 1668.526
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.67
Prob(Q): 0.83 Prob(JB): 0.71
Heteroskedasticity (H): 2.03 Skew: 0.18
Prob(H) (two-sided): 0.51 Kurtosis: 1.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.55028430972857, Current Price: 115.22
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.974
Date: Wed, 09 Oct 2024 AIC 59.948
Time: 14:39:36 BIC 62.773
Sample: 0 HQIC 59.367
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7067 1.181 0.598 0.550 -1.609 3.022
ma.L1 -1.9692 5.930 -0.332 0.740 -13.593 9.654
ar.S.L7 -0.1996 0.232 -0.861 0.389 -0.654 0.255
ma.S.L7 -1.0007 1227.102 -0.001 0.999 -2406.076 2404.075
sigma2 0.4097 503.617 0.001 0.999 -986.662 987.481
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 0.67
Prob(Q): 0.65 Prob(JB): 0.72
Heteroskedasticity (H): 1.77 Skew: -0.15
Prob(H) (two-sided): 0.59 Kurtosis: 1.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.79087301527628, Current Price: 116.84
SELL EXECUTED at 116.84
SELL ORDER COMPLETED at 117.16
OPERATION PROFIT, GROSS -1.7000000000000028, NET -1.9360200000000027
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -73101.545
Date: Wed, 09 Oct 2024 AIC 146213.090
Time: 14:39:37 BIC 146215.915
Sample: 0 HQIC 146212.510
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -4.6248 0.002 -2462.495 0.000 -4.628 -4.621
ma.L1 4.7148 0.001 4459.380 0.000 4.713 4.717
ar.S.L7 123.0000 0.051 2425.836 0.000 122.901 123.099
ma.S.L7 2.39e-12 4.45e-05 5.37e-08 1.000 -8.72e-05 8.72e-05
sigma2 3.2495 0.006 530.049 0.000 3.237 3.261
===================================================================================
Ljung-Box (L1) (Q): 2.31 Jarque-Bera (JB): 2.34
Prob(Q): 0.13 Prob(JB): 0.31
Heteroskedasticity (H): 0.24 Skew: -0.92
Prob(H) (two-sided): 0.20 Kurtosis: 3.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: -1.1950756425505273, Current Price: 117.36
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.641
Date: Wed, 09 Oct 2024 AIC 55.283
Time: 14:39:37 BIC 58.107
Sample: 0 HQIC 54.702
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2817 4.318 -0.065 0.948 -8.745 8.182
ma.L1 3.0295 38.578 0.079 0.937 -72.582 78.641
ar.S.L7 -0.8131 0.536 -1.516 0.129 -1.864 0.238
ma.S.L7 -1.0001 8141.485 -0.000 1.000 -1.6e+04 1.6e+04
sigma2 0.1251 1018.075 0.000 1.000 -1995.266 1995.516
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.47
Prob(Q): 0.98 Prob(JB): 0.79
Heteroskedasticity (H): 0.78 Skew: -0.46
Prob(H) (two-sided): 0.82 Kurtosis: 3.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.37450120766316, Current Price: 118.47
BUY EXECUTED at 118.47
BUY ORDER COMPLETED at 118.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.570
Date: Wed, 09 Oct 2024 AIC 57.141
Time: 14:39:37 BIC 59.966
Sample: 0 HQIC 56.560
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2749 3.479 -0.079 0.937 -7.094 6.544
ma.L1 0.3572 3.258 0.110 0.913 -6.029 6.743
ar.S.L7 -0.6551 0.543 -1.207 0.228 -1.719 0.409
ma.S.L7 -1.0000 2.34e+04 -4.27e-05 1.000 -4.59e+04 4.59e+04
sigma2 1.3254 3.1e+04 4.27e-05 1.000 -6.08e+04 6.08e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.18
Prob(Q): 0.84 Prob(JB): 0.91
Heteroskedasticity (H): 1.08 Skew: -0.10
Prob(H) (two-sided): 0.94 Kurtosis: 2.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.986048060027, Current Price: 118.69
SELL EXECUTED at 118.69
SELL ORDER COMPLETED at 118.48
OPERATION PROFIT, GROSS 0.3200000000000074, NET 0.08336000000000737
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.510
Date: Wed, 09 Oct 2024 AIC 61.020
Time: 14:39:37 BIC 63.845
Sample: 0 HQIC 60.440
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3425 4.077 0.084 0.933 -7.648 8.333
ma.L1 -0.2587 4.564 -0.057 0.955 -9.205 8.687
ar.S.L7 -0.4320 1.268 -0.341 0.733 -2.918 2.054
ma.S.L7 -1.5882 9.589 -0.166 0.868 -20.382 17.206
sigma2 0.9730 9.649 0.101 0.920 -17.940 19.886
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.47
Prob(Q): 0.81 Prob(JB): 0.79
Heteroskedasticity (H): 1.56 Skew: -0.23
Prob(H) (two-sided): 0.68 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.37116865475046, Current Price: 118.881
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.566
Date: Wed, 09 Oct 2024 AIC 59.133
Time: 14:39:37 BIC 61.957
Sample: 0 HQIC 58.552
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5167 1.222 0.423 0.672 -1.879 2.912
ma.L1 -0.3885 1.944 -0.200 0.842 -4.199 3.422
ar.S.L7 -0.4679 0.795 -0.588 0.556 -2.027 1.091
ma.S.L7 -1.0001 1.36e+04 -7.34e-05 1.000 -2.67e+04 2.67e+04
sigma2 1.4986 2.04e+04 7.34e-05 1.000 -4e+04 4e+04
===================================================================================
Ljung-Box (L1) (Q): 0.61 Jarque-Bera (JB): 0.35
Prob(Q): 0.43 Prob(JB): 0.84
Heteroskedasticity (H): 0.39 Skew: -0.28
Prob(H) (two-sided): 0.38 Kurtosis: 2.43
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.03029579295048, Current Price: 119.91
BUY EXECUTED at 119.91
BUY ORDER COMPLETED at 119.35
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.458
Date: Wed, 09 Oct 2024 AIC 58.916
Time: 14:39:37 BIC 61.741
Sample: 0 HQIC 58.336
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2823 5.069 -0.056 0.956 -10.217 9.653
ma.L1 0.3630 4.657 0.078 0.938 -8.765 9.491
ar.S.L7 -0.4403 1.019 -0.432 0.666 -2.437 1.557
ma.S.L7 -1.0002 1.42e+04 -7.05e-05 1.000 -2.78e+04 2.78e+04
sigma2 1.5186 2.15e+04 7.05e-05 1.000 -4.22e+04 4.22e+04
===================================================================================
Ljung-Box (L1) (Q): 0.45 Jarque-Bera (JB): 0.25
Prob(Q): 0.50 Prob(JB): 0.88
Heteroskedasticity (H): 0.47 Skew: -0.07
Prob(H) (two-sided): 0.48 Kurtosis: 2.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.33369820138375, Current Price: 119.78
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.402
Date: Wed, 09 Oct 2024 AIC 58.804
Time: 14:39:37 BIC 61.629
Sample: 0 HQIC 58.224
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8381 0.315 2.660 0.008 0.221 1.456
ma.L1 -1.0000 7949.834 -0.000 1.000 -1.56e+04 1.56e+04
ar.S.L7 -0.8115 0.380 -2.137 0.033 -1.556 -0.067
ma.S.L7 0.0885 0.625 0.142 0.887 -1.135 1.313
sigma2 2.1492 1.71e+04 0.000 1.000 -3.35e+04 3.35e+04
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.34
Prob(Q): 0.75 Prob(JB): 0.84
Heteroskedasticity (H): 0.28 Skew: 0.18
Prob(H) (two-sided): 0.24 Kurtosis: 2.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.60315378381618, Current Price: 117.96
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.629
Date: Wed, 09 Oct 2024 AIC 57.259
Time: 14:39:37 BIC 60.083
Sample: 0 HQIC 56.678
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7719 0.157 4.901 0.000 0.463 1.081
ma.L1 -1.0000 4.65e+04 -2.15e-05 1.000 -9.12e+04 9.12e+04
ar.S.L7 -0.8581 0.334 -2.573 0.010 -1.512 -0.204
ma.S.L7 0.1436 0.515 0.279 0.780 -0.866 1.153
sigma2 1.9060 8.87e+04 2.15e-05 1.000 -1.74e+05 1.74e+05
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 1.09
Prob(Q): 0.79 Prob(JB): 0.58
Heteroskedasticity (H): 0.56 Skew: 0.58
Prob(H) (two-sided): 0.58 Kurtosis: 2.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.20729494194529, Current Price: 119.19
SELL EXECUTED at 119.19
SELL ORDER COMPLETED at 118.73
OPERATION PROFIT, GROSS -0.6199999999999903, NET -0.8580799999999904
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.614
Date: Wed, 09 Oct 2024 AIC 57.229
Time: 14:39:37 BIC 60.054
Sample: 0 HQIC 56.648
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1340 3.180 -0.042 0.966 -6.367 6.099
ma.L1 0.2401 3.119 0.077 0.939 -5.873 6.353
ar.S.L7 -0.3416 1.020 -0.335 0.738 -2.340 1.657
ma.S.L7 -1.0013 1521.851 -0.001 0.999 -2983.775 2981.773
sigma2 1.3322 2028.455 0.001 0.999 -3974.367 3977.031
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.59
Prob(Q): 0.92 Prob(JB): 0.74
Heteroskedasticity (H): 0.45 Skew: 0.11
Prob(H) (two-sided): 0.46 Kurtosis: 1.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.62486809197864, Current Price: 121.49
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.180
Date: Wed, 09 Oct 2024 AIC 56.360
Time: 14:39:37 BIC 59.185
Sample: 0 HQIC 55.779
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0209 1.708 0.012 0.990 -3.327 3.368
ma.L1 0.3070 1.302 0.236 0.814 -2.244 2.858
ar.S.L7 -0.3691 0.376 -0.982 0.326 -1.106 0.368
ma.S.L7 -1.0001 1.22e+04 -8.19e-05 1.000 -2.39e+04 2.39e+04
sigma2 1.2476 1.52e+04 8.19e-05 1.000 -2.98e+04 2.98e+04
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.53
Prob(Q): 0.83 Prob(JB): 0.77
Heteroskedasticity (H): 0.24 Skew: 0.21
Prob(H) (two-sided): 0.19 Kurtosis: 2.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.6252102453567, Current Price: 121.0025
BUY EXECUTED at 121.0025
BUY ORDER COMPLETED at 120.48
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.445
Date: Wed, 09 Oct 2024 AIC 52.890
Time: 14:39:37 BIC 55.715
Sample: 0 HQIC 52.309
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0335 1.598 -0.021 0.983 -3.165 3.098
ma.L1 0.4890 1.266 0.386 0.699 -1.991 2.969
ar.S.L7 -0.6486 0.732 -0.886 0.376 -2.084 0.787
ma.S.L7 -1.0001 9594.795 -0.000 1.000 -1.88e+04 1.88e+04
sigma2 0.9554 9167.073 0.000 1.000 -1.8e+04 1.8e+04
===================================================================================
Ljung-Box (L1) (Q): 0.24 Jarque-Bera (JB): 0.56
Prob(Q): 0.63 Prob(JB): 0.75
Heteroskedasticity (H): 0.88 Skew: 0.41
Prob(H) (two-sided): 0.90 Kurtosis: 2.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.54287097805333, Current Price: 120.56
SELL EXECUTED at 120.56
SELL ORDER COMPLETED at 119.36
OPERATION PROFIT, GROSS -1.1200000000000045, NET -1.3598400000000046
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.462
Date: Wed, 09 Oct 2024 AIC 52.924
Time: 14:39:37 BIC 55.749
Sample: 0 HQIC 52.344
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2668 3.920 -0.068 0.946 -7.950 7.416
ma.L1 0.3509 3.849 0.091 0.927 -7.193 7.894
ar.S.L7 -0.4293 0.797 -0.539 0.590 -1.991 1.132
ma.S.L7 -0.5200 1.860 -0.280 0.780 -4.165 3.125
sigma2 1.4060 2.226 0.632 0.528 -2.957 5.769
===================================================================================
Ljung-Box (L1) (Q): 0.88 Jarque-Bera (JB): 0.91
Prob(Q): 0.35 Prob(JB): 0.63
Heteroskedasticity (H): 1.34 Skew: 0.18
Prob(H) (two-sided): 0.78 Kurtosis: 1.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.47422906290547, Current Price: 118.975
BUY EXECUTED at 118.975
BUY ORDER COMPLETED at 119.88
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.044
Date: Wed, 09 Oct 2024 AIC 52.089
Time: 14:39:37 BIC 54.913
Sample: 0 HQIC 51.508
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2845 0.852 0.334 0.739 -1.386 1.955
ma.L1 -0.7574 0.726 -1.043 0.297 -2.181 0.666
ar.S.L7 -0.6128 0.159 -3.856 0.000 -0.924 -0.301
ma.S.L7 0.0950 0.555 0.171 0.864 -0.993 1.183
sigma2 1.4759 0.777 1.899 0.058 -0.047 2.999
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.35
Prob(Q): 0.83 Prob(JB): 0.84
Heteroskedasticity (H): 3.46 Skew: -0.39
Prob(H) (two-sided): 0.26 Kurtosis: 3.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.51932204321497, Current Price: 120.01
SELL EXECUTED at 120.01
SELL ORDER COMPLETED at 119.63
OPERATION PROFIT, GROSS -0.25, NET -0.48951
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.069
Date: Wed, 09 Oct 2024 AIC 52.137
Time: 14:39:37 BIC 54.962
Sample: 0 HQIC 51.556
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2770 1.240 0.223 0.823 -2.153 2.707
ma.L1 -0.5012 1.129 -0.444 0.657 -2.714 1.711
ar.S.L7 -0.5627 0.230 -2.448 0.014 -1.013 -0.112
ma.S.L7 -0.1748 0.521 -0.336 0.737 -1.196 0.846
sigma2 1.4782 0.806 1.834 0.067 -0.102 3.058
===================================================================================
Ljung-Box (L1) (Q): 0.76 Jarque-Bera (JB): 0.28
Prob(Q): 0.38 Prob(JB): 0.87
Heteroskedasticity (H): 1.18 Skew: -0.16
Prob(H) (two-sided): 0.88 Kurtosis: 2.35
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.19616657835603, Current Price: 119.6
BUY EXECUTED at 119.6
BUY ORDER COMPLETED at 119.71
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.804
Date: Wed, 09 Oct 2024 AIC 51.608
Time: 14:39:37 BIC 54.433
Sample: 0 HQIC 51.028
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3222 1.328 -0.243 0.808 -2.924 2.280
ma.L1 0.0201 1.630 0.012 0.990 -3.175 3.216
ar.S.L7 -0.5393 0.303 -1.778 0.075 -1.134 0.055
ma.S.L7 -0.2642 0.633 -0.418 0.676 -1.504 0.976
sigma2 1.3984 0.781 1.790 0.073 -0.133 2.929
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 0.27
Prob(Q): 0.67 Prob(JB): 0.88
Heteroskedasticity (H): 1.07 Skew: 0.29
Prob(H) (two-sided): 0.95 Kurtosis: 2.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.3900328903416, Current Price: 120.99
SELL EXECUTED at 120.99
SELL ORDER COMPLETED at 120.68
OPERATION PROFIT, GROSS 0.9700000000000131, NET 0.7296100000000131
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.228
Date: Wed, 09 Oct 2024 AIC 50.455
Time: 14:39:37 BIC 53.280
Sample: 0 HQIC 49.875
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2895 1.027 0.282 0.778 -1.723 2.302
ma.L1 -0.7144 0.588 -1.214 0.225 -1.867 0.439
ar.S.L7 -0.5319 0.122 -4.360 0.000 -0.771 -0.293
ma.S.L7 0.4033 0.750 0.537 0.591 -1.068 1.874
sigma2 1.2258 0.638 1.922 0.055 -0.024 2.475
===================================================================================
Ljung-Box (L1) (Q): 0.23 Jarque-Bera (JB): 0.24
Prob(Q): 0.63 Prob(JB): 0.89
Heteroskedasticity (H): 0.84 Skew: -0.32
Prob(H) (two-sided): 0.87 Kurtosis: 3.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.244787545476, Current Price: 120.33
BUY EXECUTED at 120.33
BUY ORDER COMPLETED at 121.6398
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.827
Date: Wed, 09 Oct 2024 AIC 51.655
Time: 14:39:37 BIC 54.479
Sample: 0 HQIC 51.074
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9020 0.832 -1.085 0.278 -2.532 0.728
ma.L1 0.6023 1.413 0.426 0.670 -2.166 3.371
ar.S.L7 -0.5055 0.400 -1.263 0.206 -1.290 0.279
ma.S.L7 -1.0001 1.19e+04 -8.4e-05 1.000 -2.33e+04 2.33e+04
sigma2 0.8379 9973.272 8.4e-05 1.000 -1.95e+04 1.95e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.58
Prob(Q): 0.97 Prob(JB): 0.75
Heteroskedasticity (H): 0.05 Skew: 0.52
Prob(H) (two-sided): 0.01 Kurtosis: 2.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.18074129145829, Current Price: 121.9
SELL EXECUTED at 121.9
SELL ORDER COMPLETED at 123.04
OPERATION PROFIT, GROSS 1.4002000000000123, NET 1.1555202000000122
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.374
Date: Wed, 09 Oct 2024 AIC 48.748
Time: 14:39:37 BIC 51.573
Sample: 0 HQIC 48.167
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0098 0.733 0.013 0.989 -1.427 1.447
ma.L1 -1.0002 468.747 -0.002 0.998 -919.728 917.728
ar.S.L7 -0.3876 0.146 -2.646 0.008 -0.675 -0.100
ma.S.L7 -0.7221 1.936 -0.373 0.709 -4.517 3.073
sigma2 0.7563 354.694 0.002 0.998 -694.432 695.944
===================================================================================
Ljung-Box (L1) (Q): 1.02 Jarque-Bera (JB): 0.74
Prob(Q): 0.31 Prob(JB): 0.69
Heteroskedasticity (H): 0.49 Skew: -0.39
Prob(H) (two-sided): 0.51 Kurtosis: 2.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.39332477658236, Current Price: 122.83
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.763
Date: Wed, 09 Oct 2024 AIC 47.526
Time: 14:39:37 BIC 50.351
Sample: 0 HQIC 46.946
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2488 0.480 -0.519 0.604 -1.189 0.692
ma.L1 -1.0000 1.18e+04 -8.45e-05 1.000 -2.32e+04 2.32e+04
ar.S.L7 -0.2988 0.138 -2.166 0.030 -0.569 -0.028
ma.S.L7 -0.4334 0.835 -0.519 0.604 -2.070 1.203
sigma2 0.8187 9694.365 8.45e-05 1.000 -1.9e+04 1.9e+04
===================================================================================
Ljung-Box (L1) (Q): 0.96 Jarque-Bera (JB): 0.78
Prob(Q): 0.33 Prob(JB): 0.68
Heteroskedasticity (H): 0.79 Skew: 0.08
Prob(H) (two-sided): 0.83 Kurtosis: 1.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.89929168009135, Current Price: 120.39
BUY EXECUTED at 120.39
BUY ORDER COMPLETED at 121.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.437
Date: Wed, 09 Oct 2024 AIC 48.875
Time: 14:39:37 BIC 51.699
Sample: 0 HQIC 48.294
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2018 0.456 -0.442 0.658 -1.096 0.692
ma.L1 -1.0000 1.62e+04 -6.19e-05 1.000 -3.17e+04 3.17e+04
ar.S.L7 -0.3395 0.125 -2.724 0.006 -0.584 -0.095
ma.S.L7 -0.2868 0.810 -0.354 0.723 -1.875 1.301
sigma2 0.9617 1.55e+04 6.19e-05 1.000 -3.05e+04 3.05e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.55
Prob(Q): 0.92 Prob(JB): 0.76
Heteroskedasticity (H): 0.72 Skew: -0.19
Prob(H) (two-sided): 0.76 Kurtosis: 2.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.7029273862597, Current Price: 121.45
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.776
Date: Wed, 09 Oct 2024 AIC 43.552
Time: 14:39:37 BIC 46.376
Sample: 0 HQIC 42.971
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1908 0.341 -0.560 0.575 -0.858 0.477
ma.L1 -1.0000 1.47e+04 -6.82e-05 1.000 -2.87e+04 2.87e+04
ar.S.L7 -0.3194 0.090 -3.530 0.000 -0.497 -0.142
ma.S.L7 -0.4168 0.738 -0.565 0.572 -1.863 1.030
sigma2 0.6085 8916.840 6.82e-05 1.000 -1.75e+04 1.75e+04
===================================================================================
Ljung-Box (L1) (Q): 1.36 Jarque-Bera (JB): 0.35
Prob(Q): 0.24 Prob(JB): 0.84
Heteroskedasticity (H): 1.08 Skew: 0.07
Prob(H) (two-sided): 0.94 Kurtosis: 2.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.78311151616995, Current Price: 120.95
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.268
Date: Wed, 09 Oct 2024 AIC 44.537
Time: 14:39:37 BIC 47.362
Sample: 0 HQIC 43.956
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1784 0.538 -0.332 0.740 -1.232 0.875
ma.L1 -1.0000 1.13e+04 -8.84e-05 1.000 -2.22e+04 2.22e+04
ar.S.L7 -0.2942 0.093 -3.170 0.002 -0.476 -0.112
ma.S.L7 -0.2741 0.554 -0.495 0.621 -1.360 0.812
sigma2 0.6921 7826.788 8.84e-05 1.000 -1.53e+04 1.53e+04
===================================================================================
Ljung-Box (L1) (Q): 0.26 Jarque-Bera (JB): 0.40
Prob(Q): 0.61 Prob(JB): 0.82
Heteroskedasticity (H): 0.57 Skew: -0.34
Prob(H) (two-sided): 0.60 Kurtosis: 2.48
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.84923845958568, Current Price: 121.3
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.360
Date: Wed, 09 Oct 2024 AIC 42.720
Time: 14:39:37 BIC 45.544
Sample: 0 HQIC 42.139
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1861 0.511 -0.364 0.716 -1.188 0.815
ma.L1 -1.0000 1.03e+04 -9.75e-05 1.000 -2.01e+04 2.01e+04
ar.S.L7 -0.3073 0.145 -2.126 0.034 -0.591 -0.024
ma.S.L7 -0.3399 0.499 -0.681 0.496 -1.318 0.638
sigma2 0.5887 6035.773 9.75e-05 1.000 -1.18e+04 1.18e+04
===================================================================================
Ljung-Box (L1) (Q): 0.94 Jarque-Bera (JB): 0.19
Prob(Q): 0.33 Prob(JB): 0.91
Heteroskedasticity (H): 0.20 Skew: 0.06
Prob(H) (two-sided): 0.15 Kurtosis: 2.43
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.75850742297432, Current Price: 122.76
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.116
Date: Wed, 09 Oct 2024 AIC 40.232
Time: 14:39:37 BIC 43.057
Sample: 0 HQIC 39.652
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3704 0.391 -0.947 0.344 -1.137 0.396
ma.L1 -1.0000 1.11e+04 -8.97e-05 1.000 -2.18e+04 2.18e+04
ar.S.L7 -0.4555 0.121 -3.750 0.000 -0.694 -0.217
ma.S.L7 -0.0158 0.487 -0.032 0.974 -0.971 0.939
sigma2 0.5193 5786.572 8.97e-05 1.000 -1.13e+04 1.13e+04
===================================================================================
Ljung-Box (L1) (Q): 1.17 Jarque-Bera (JB): 0.27
Prob(Q): 0.28 Prob(JB): 0.87
Heteroskedasticity (H): 0.61 Skew: 0.09
Prob(H) (two-sided): 0.64 Kurtosis: 2.31
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.27535303342856, Current Price: 121.09
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.945
Date: Wed, 09 Oct 2024 AIC 43.889
Time: 14:39:37 BIC 46.714
Sample: 0 HQIC 43.309
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6709 0.283 -2.370 0.018 -1.226 -0.116
ma.L1 -0.7844 0.213 -3.688 0.000 -1.201 -0.368
ar.S.L7 -0.4980 0.105 -4.745 0.000 -0.704 -0.292
ma.S.L7 1.0000 2.29e+04 4.37e-05 1.000 -4.48e+04 4.48e+04
sigma2 0.4560 1.04e+04 4.37e-05 1.000 -2.04e+04 2.04e+04
===================================================================================
Ljung-Box (L1) (Q): 0.89 Jarque-Bera (JB): 0.74
Prob(Q): 0.34 Prob(JB): 0.69
Heteroskedasticity (H): 2.81 Skew: 0.21
Prob(H) (two-sided): 0.34 Kurtosis: 1.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.15862537672707, Current Price: 121.27
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.429
Date: Wed, 09 Oct 2024 AIC 48.857
Time: 14:39:37 BIC 51.682
Sample: 0 HQIC 48.277
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1513 0.908 -0.167 0.868 -1.931 1.628
ma.L1 -0.5929 1.055 -0.562 0.574 -2.660 1.475
ar.S.L7 -0.5326 0.514 -1.037 0.300 -1.539 0.474
ma.S.L7 -0.1127 1.189 -0.095 0.925 -2.444 2.218
sigma2 1.1517 0.577 1.997 0.046 0.022 2.282
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.57
Prob(Q): 0.75 Prob(JB): 0.75
Heteroskedasticity (H): 1.45 Skew: -0.20
Prob(H) (two-sided): 0.73 Kurtosis: 2.05
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.35758894806693, Current Price: 121.68
SELL EXECUTED at 121.68
SELL ORDER COMPLETED at 120.91
OPERATION PROFIT, GROSS -0.25, NET -0.49207
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.669
Date: Wed, 09 Oct 2024 AIC 49.337
Time: 14:39:37 BIC 52.162
Sample: 0 HQIC 48.757
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0239 0.950 -0.025 0.980 -1.886 1.838
ma.L1 -0.7634 0.937 -0.815 0.415 -2.600 1.073
ar.S.L7 -0.4118 0.535 -0.769 0.442 -1.461 0.637
ma.S.L7 -0.5755 0.956 -0.602 0.547 -2.449 1.298
sigma2 1.0060 0.718 1.402 0.161 -0.400 2.412
===================================================================================
Ljung-Box (L1) (Q): 0.38 Jarque-Bera (JB): 0.38
Prob(Q): 0.54 Prob(JB): 0.83
Heteroskedasticity (H): 1.53 Skew: -0.18
Prob(H) (two-sided): 0.69 Kurtosis: 2.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.86164160286651, Current Price: 117.04
BUY EXECUTED at 117.04
BUY ORDER COMPLETED at 118.21
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -187139.026
Date: Wed, 09 Oct 2024 AIC 374288.053
Time: 14:39:37 BIC 374290.877
Sample: 0 HQIC 374287.472
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2027 1.67e-05 -1.22e+04 0.000 -0.203 -0.203
ma.L1 -0.5865 1.76e-05 -3.33e+04 0.000 -0.587 -0.586
ar.S.L7 -227.9994 0.004 -5.22e+04 0.000 -228.008 -227.991
ma.S.L7 -3.741e-05 2.63e-05 -1.421 0.155 -8.9e-05 1.42e-05
sigma2 3.4880 0.000 2.41e+04 0.000 3.488 3.488
===================================================================================
Ljung-Box (L1) (Q): 0.34 Jarque-Bera (JB): 0.68
Prob(Q): 0.56 Prob(JB): 0.71
Heteroskedasticity (H): 1.10 Skew: -0.38
Prob(H) (two-sided): 0.93 Kurtosis: 2.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.05171380695667, Current Price: 118.49
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.275
Date: Wed, 09 Oct 2024 AIC 60.551
Time: 14:39:37 BIC 63.375
Sample: 0 HQIC 59.970
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2621 1.846 -0.142 0.887 -3.881 3.356
ma.L1 -2.1879 8.993 -0.243 0.808 -19.813 15.437
ar.S.L7 0.0011 0.008 0.133 0.894 -0.015 0.017
ma.S.L7 -0.9761 35.720 -0.027 0.978 -70.987 69.034
sigma2 0.4174 15.680 0.027 0.979 -30.315 31.150
===================================================================================
Ljung-Box (L1) (Q): 0.40 Jarque-Bera (JB): 2.23
Prob(Q): 0.53 Prob(JB): 0.33
Heteroskedasticity (H): 3.61 Skew: -0.91
Prob(H) (two-sided): 0.24 Kurtosis: 3.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.32887379195445, Current Price: 116.51
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.767
Date: Wed, 09 Oct 2024 AIC 61.533
Time: 14:39:38 BIC 64.358
Sample: 0 HQIC 60.953
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4949 0.505 -0.980 0.327 -1.485 0.495
ma.L1 -0.1697 0.436 -0.389 0.697 -1.025 0.686
ar.S.L7 -0.3312 1.090 -0.304 0.761 -2.467 1.805
ma.S.L7 -0.2107 1.532 -0.138 0.891 -3.213 2.792
sigma2 3.0274 1.554 1.948 0.051 -0.019 6.074
===================================================================================
Ljung-Box (L1) (Q): 0.35 Jarque-Bera (JB): 0.09
Prob(Q): 0.55 Prob(JB): 0.96
Heteroskedasticity (H): 5.44 Skew: -0.20
Prob(H) (two-sided): 0.13 Kurtosis: 2.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.91538737383036, Current Price: 117.73
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.846
Date: Wed, 09 Oct 2024 AIC 61.691
Time: 14:39:38 BIC 64.516
Sample: 0 HQIC 61.111
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4334 0.733 -0.591 0.554 -1.870 1.003
ma.L1 -0.1418 0.541 -0.262 0.793 -1.202 0.919
ar.S.L7 -0.3575 1.204 -0.297 0.767 -2.718 2.003
ma.S.L7 -0.3496 1.919 -0.182 0.855 -4.111 3.412
sigma2 2.9670 1.850 1.604 0.109 -0.658 6.592
===================================================================================
Ljung-Box (L1) (Q): 1.16 Jarque-Bera (JB): 0.45
Prob(Q): 0.28 Prob(JB): 0.80
Heteroskedasticity (H): 5.31 Skew: -0.39
Prob(H) (two-sided): 0.13 Kurtosis: 3.48
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.75301166903833, Current Price: 117.21
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.152
Date: Wed, 09 Oct 2024 AIC 60.304
Time: 14:39:38 BIC 63.129
Sample: 0 HQIC 59.724
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4670 0.623 -0.749 0.454 -1.688 0.754
ma.L1 -0.1372 0.477 -0.287 0.774 -1.073 0.799
ar.S.L7 -0.2661 1.061 -0.251 0.802 -2.345 1.813
ma.S.L7 -0.3077 1.593 -0.193 0.847 -3.429 2.814
sigma2 2.7139 1.639 1.656 0.098 -0.498 5.926
===================================================================================
Ljung-Box (L1) (Q): 1.92 Jarque-Bera (JB): 1.09
Prob(Q): 0.17 Prob(JB): 0.58
Heteroskedasticity (H): 5.67 Skew: -0.48
Prob(H) (two-sided): 0.12 Kurtosis: 4.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.8088653993456, Current Price: 118.36
SELL EXECUTED at 118.36
SELL ORDER COMPLETED at 117.83
OPERATION PROFIT, GROSS -0.37999999999999545, NET -0.6160399999999955
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.163
Date: Wed, 09 Oct 2024 AIC 60.325
Time: 14:39:38 BIC 63.150
Sample: 0 HQIC 59.745
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5630 0.536 -1.051 0.293 -1.613 0.487
ma.L1 -0.0326 0.522 -0.062 0.950 -1.056 0.991
ar.S.L7 -0.5154 0.689 -0.748 0.454 -1.865 0.834
ma.S.L7 -0.0845 0.829 -0.102 0.919 -1.710 1.541
sigma2 2.8012 1.526 1.836 0.066 -0.190 5.792
===================================================================================
Ljung-Box (L1) (Q): 1.35 Jarque-Bera (JB): 0.66
Prob(Q): 0.25 Prob(JB): 0.72
Heteroskedasticity (H): 2.55 Skew: -0.39
Prob(H) (two-sided): 0.39 Kurtosis: 3.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.77671949997185, Current Price: 117.34
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.036
Date: Wed, 09 Oct 2024 AIC 60.073
Time: 14:39:38 BIC 62.898
Sample: 0 HQIC 59.492
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6118 0.674 -0.908 0.364 -1.933 0.709
ma.L1 0.0034 0.496 0.007 0.995 -0.968 0.975
ar.S.L7 -0.5695 0.584 -0.975 0.330 -1.715 0.576
ma.S.L7 0.2141 3.048 0.070 0.944 -5.759 6.188
sigma2 2.6934 2.085 1.292 0.196 -1.392 6.779
===================================================================================
Ljung-Box (L1) (Q): 0.40 Jarque-Bera (JB): 0.29
Prob(Q): 0.53 Prob(JB): 0.86
Heteroskedasticity (H): 0.18 Skew: -0.32
Prob(H) (two-sided): 0.12 Kurtosis: 3.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.95474736466608, Current Price: 118.36
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.017
Date: Wed, 09 Oct 2024 AIC 60.034
Time: 14:39:38 BIC 62.859
Sample: 0 HQIC 59.453
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6781 0.313 -2.163 0.031 -1.292 -0.064
ma.L1 0.0960 0.585 0.164 0.870 -1.050 1.243
ar.S.L7 -0.4926 0.662 -0.744 0.457 -1.791 0.805
ma.S.L7 -1.0003 4045.820 -0.000 1.000 -7930.662 7928.662
sigma2 1.6032 6486.313 0.000 1.000 -1.27e+04 1.27e+04
===================================================================================
Ljung-Box (L1) (Q): 0.43 Jarque-Bera (JB): 0.01
Prob(Q): 0.51 Prob(JB): 0.99
Heteroskedasticity (H): 0.88 Skew: 0.01
Prob(H) (two-sided): 0.91 Kurtosis: 3.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.93571728426433, Current Price: 118.3
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.123
Date: Wed, 09 Oct 2024 AIC 60.247
Time: 14:39:38 BIC 63.071
Sample: 0 HQIC 59.666
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6577 0.331 -1.986 0.047 -1.307 -0.009
ma.L1 0.0948 0.577 0.164 0.869 -1.036 1.226
ar.S.L7 -0.4623 0.638 -0.725 0.469 -1.712 0.788
ma.S.L7 -1.0001 2.13e+04 -4.71e-05 1.000 -4.17e+04 4.17e+04
sigma2 1.6309 3.47e+04 4.71e-05 1.000 -6.79e+04 6.79e+04
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 0.07
Prob(Q): 0.70 Prob(JB): 0.97
Heteroskedasticity (H): 0.36 Skew: -0.18
Prob(H) (two-sided): 0.34 Kurtosis: 2.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.06303210276296, Current Price: 118.23
BUY EXECUTED at 118.23
BUY ORDER COMPLETED at 116.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.813
Date: Wed, 09 Oct 2024 AIC 59.626
Time: 14:39:38 BIC 62.451
Sample: 0 HQIC 59.045
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6154 0.378 -1.627 0.104 -1.357 0.126
ma.L1 0.0503 0.586 0.086 0.932 -1.099 1.200
ar.S.L7 -0.4315 0.598 -0.722 0.470 -1.603 0.740
ma.S.L7 -1.0001 1.88e+04 -5.32e-05 1.000 -3.69e+04 3.69e+04
sigma2 1.5512 2.92e+04 5.32e-05 1.000 -5.72e+04 5.72e+04
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.09
Prob(Q): 0.77 Prob(JB): 0.96
Heteroskedasticity (H): 0.14 Skew: -0.20
Prob(H) (two-sided): 0.08 Kurtosis: 3.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.58984719172045, Current Price: 116.67
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.512
Date: Wed, 09 Oct 2024 AIC 61.024
Time: 14:39:38 BIC 63.849
Sample: 0 HQIC 60.444
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3938 0.569 -0.692 0.489 -1.510 0.722
ma.L1 -0.1395 0.606 -0.230 0.818 -1.326 1.047
ar.S.L7 -0.3509 0.575 -0.611 0.541 -1.477 0.775
ma.S.L7 -1.0001 1.44e+04 -6.94e-05 1.000 -2.83e+04 2.83e+04
sigma2 1.7861 2.58e+04 6.93e-05 1.000 -5.05e+04 5.05e+04
===================================================================================
Ljung-Box (L1) (Q): 0.31 Jarque-Bera (JB): 0.51
Prob(Q): 0.58 Prob(JB): 0.77
Heteroskedasticity (H): 0.40 Skew: -0.43
Prob(H) (two-sided): 0.40 Kurtosis: 2.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.75044451179133, Current Price: 115.73
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.697
Date: Wed, 09 Oct 2024 AIC 61.394
Time: 14:39:38 BIC 64.218
Sample: 0 HQIC 60.813
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5203 0.276 -1.887 0.059 -1.061 0.020
ma.L1 0.0066 0.584 0.011 0.991 -1.137 1.150
ar.S.L7 -0.3265 1.001 -0.326 0.744 -2.288 1.635
ma.S.L7 -1.0001 1.9e+04 -5.26e-05 1.000 -3.72e+04 3.72e+04
sigma2 1.8019 3.42e+04 5.26e-05 1.000 -6.71e+04 6.71e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.43
Prob(Q): 0.93 Prob(JB): 0.81
Heteroskedasticity (H): 0.44 Skew: -0.41
Prob(H) (two-sided): 0.45 Kurtosis: 2.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.6105437199556, Current Price: 116.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.302
Date: Wed, 09 Oct 2024 AIC 56.604
Time: 14:39:38 BIC 59.428
Sample: 0 HQIC 56.023
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9006 0.095 -9.444 0.000 -1.088 -0.714
ma.L1 1.0000 5717.600 0.000 1.000 -1.12e+04 1.12e+04
ar.S.L7 -0.4705 0.325 -1.446 0.148 -1.108 0.167
ma.S.L7 -1.8666 3.477 -0.537 0.591 -8.682 4.949
sigma2 0.4673 2671.455 0.000 1.000 -5235.487 5236.422
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 3.39
Prob(Q): 0.69 Prob(JB): 0.18
Heteroskedasticity (H): 0.51 Skew: -1.21
Prob(H) (two-sided): 0.53 Kurtosis: 3.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.29183134002737, Current Price: 115.85
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.265
Date: Wed, 09 Oct 2024 AIC 44.530
Time: 14:39:38 BIC 47.355
Sample: 0 HQIC 43.950
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7846 0.084 -9.288 0.000 -0.950 -0.619
ma.L1 1.0000 1.2e+05 8.34e-06 1.000 -2.35e+05 2.35e+05
ar.S.L7 -0.7138 0.249 -2.862 0.004 -1.203 -0.225
ma.S.L7 -0.4227 0.832 -0.508 0.611 -2.053 1.207
sigma2 0.6768 8.11e+04 8.34e-06 1.000 -1.59e+05 1.59e+05
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 8.93
Prob(Q): 0.75 Prob(JB): 0.01
Heteroskedasticity (H): 5.80 Skew: -1.57
Prob(H) (two-sided): 0.12 Kurtosis: 5.57
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.7624079914569, Current Price: 116.863
SELL EXECUTED at 116.863
SELL ORDER COMPLETED at 117.12
OPERATION PROFIT, GROSS 0.4300000000000068, NET 0.1961900000000068
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.574
Date: Wed, 09 Oct 2024 AIC 53.148
Time: 14:39:38 BIC 55.973
Sample: 0 HQIC 52.568
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3439 0.988 -0.348 0.728 -2.281 1.593
ma.L1 0.1428 1.817 0.079 0.937 -3.419 3.704
ar.S.L7 -0.3010 0.319 -0.945 0.345 -0.925 0.323
ma.S.L7 -1.0000 2.59e+04 -3.86e-05 1.000 -5.08e+04 5.08e+04
sigma2 0.9789 2.54e+04 3.86e-05 1.000 -4.98e+04 4.98e+04
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 0.49
Prob(Q): 0.70 Prob(JB): 0.78
Heteroskedasticity (H): 1.88 Skew: -0.29
Prob(H) (two-sided): 0.56 Kurtosis: 3.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.73654560148299, Current Price: 116.09
BUY EXECUTED at 116.09
BUY ORDER COMPLETED at 116.38
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.831
Date: Wed, 09 Oct 2024 AIC 51.661
Time: 14:39:38 BIC 54.486
Sample: 0 HQIC 51.081
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6947 0.424 -1.640 0.101 -1.525 0.136
ma.L1 0.3489 0.733 0.476 0.634 -1.088 1.785
ar.S.L7 -0.4665 0.160 -2.909 0.004 -0.781 -0.152
ma.S.L7 1.0002 5909.403 0.000 1.000 -1.16e+04 1.16e+04
sigma2 0.8424 4977.968 0.000 1.000 -9755.795 9757.480
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.04
Prob(Q): 0.97 Prob(JB): 0.98
Heteroskedasticity (H): 4.36 Skew: 0.12
Prob(H) (two-sided): 0.18 Kurtosis: 2.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.60205922819958, Current Price: 115.52
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.958
Date: Wed, 09 Oct 2024 AIC 49.916
Time: 14:39:38 BIC 52.741
Sample: 0 HQIC 49.335
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6196 0.437 -1.418 0.156 -1.476 0.237
ma.L1 0.3147 0.878 0.358 0.720 -1.407 2.036
ar.S.L7 -0.4749 0.145 -3.283 0.001 -0.758 -0.191
ma.S.L7 1.0000 5.74e+04 1.74e-05 1.000 -1.13e+05 1.13e+05
sigma2 0.7354 4.22e+04 1.74e-05 1.000 -8.28e+04 8.28e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.33
Prob(Q): 0.83 Prob(JB): 0.85
Heteroskedasticity (H): 0.39 Skew: 0.30
Prob(H) (two-sided): 0.39 Kurtosis: 3.49
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.6224739545268, Current Price: 113.51
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.214
Date: Wed, 09 Oct 2024 AIC 50.428
Time: 14:39:38 BIC 53.253
Sample: 0 HQIC 49.848
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5713 0.650 -0.879 0.379 -1.845 0.702
ma.L1 0.2794 1.156 0.242 0.809 -1.987 2.546
ar.S.L7 -0.4839 0.124 -3.907 0.000 -0.727 -0.241
ma.S.L7 1.0000 8.61e+04 1.16e-05 1.000 -1.69e+05 1.69e+05
sigma2 0.7633 6.57e+04 1.16e-05 1.000 -1.29e+05 1.29e+05
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.40
Prob(Q): 0.84 Prob(JB): 0.82
Heteroskedasticity (H): 0.35 Skew: 0.22
Prob(H) (two-sided): 0.34 Kurtosis: 3.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.74512198775633, Current Price: 113.78
SELL EXECUTED at 113.78
SELL ORDER COMPLETED at 113.54
OPERATION PROFIT, GROSS -2.839999999999989, NET -3.069919999999989
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.169
Date: Wed, 09 Oct 2024 AIC 50.337
Time: 14:39:38 BIC 53.162
Sample: 0 HQIC 49.757
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6634 0.853 -0.777 0.437 -2.336 1.009
ma.L1 0.3370 1.235 0.273 0.785 -2.084 2.758
ar.S.L7 -0.4854 0.126 -3.863 0.000 -0.732 -0.239
ma.S.L7 1.0000 2.22e+04 4.51e-05 1.000 -4.34e+04 4.34e+04
sigma2 0.7611 1.69e+04 4.51e-05 1.000 -3.3e+04 3.3e+04
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.16
Prob(Q): 0.79 Prob(JB): 0.92
Heteroskedasticity (H): 0.23 Skew: 0.19
Prob(H) (two-sided): 0.18 Kurtosis: 3.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.49201056415701, Current Price: 114.288
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.169
Date: Wed, 09 Oct 2024 AIC 50.337
Time: 14:39:38 BIC 53.162
Sample: 0 HQIC 49.757
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6947 0.612 -1.135 0.256 -1.895 0.505
ma.L1 0.3602 0.827 0.436 0.663 -1.261 1.981
ar.S.L7 -0.4830 0.138 -3.489 0.000 -0.754 -0.212
ma.S.L7 1.0000 7.39e+04 1.35e-05 1.000 -1.45e+05 1.45e+05
sigma2 0.7608 5.62e+04 1.35e-05 1.000 -1.1e+05 1.1e+05
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.16
Prob(Q): 0.97 Prob(JB): 0.92
Heteroskedasticity (H): 0.09 Skew: 0.25
Prob(H) (two-sided): 0.04 Kurtosis: 3.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.33572169935819, Current Price: 115.49
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.797
Date: Wed, 09 Oct 2024 AIC 45.593
Time: 14:39:38 BIC 48.418
Sample: 0 HQIC 45.013
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7583 0.470 -1.614 0.106 -1.679 0.162
ma.L1 0.4942 0.686 0.720 0.472 -0.851 1.840
ar.S.L7 0.0017 0.046 0.036 0.971 -0.088 0.091
ma.S.L7 -0.0319 0.366 -0.087 0.931 -0.749 0.686
sigma2 0.9042 0.435 2.077 0.038 0.051 1.757
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.17
Prob(Q): 0.74 Prob(JB): 0.92
Heteroskedasticity (H): 0.72 Skew: -0.07
Prob(H) (two-sided): 0.76 Kurtosis: 2.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.82102866259231, Current Price: 115.54
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -156633.512
Date: Wed, 09 Oct 2024 AIC 313277.025
Time: 14:39:38 BIC 313279.850
Sample: 0 HQIC 313276.444
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5917 2.02e-05 -2.93e+04 0.000 -0.592 -0.592
ma.L1 0.2148 3.01e-05 7143.411 0.000 0.215 0.215
ar.S.L7 137.5766 0.075 1831.882 0.000 137.429 137.724
ma.S.L7 -1.607e-06 4.56e-05 -0.035 0.972 -9.1e-05 8.78e-05
sigma2 2.4391 0.003 927.287 0.000 2.434 2.444
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 5.54
Prob(Q): 0.95 Prob(JB): 0.06
Heteroskedasticity (H): 0.44 Skew: -1.33
Prob(H) (two-sided): 0.45 Kurtosis: 4.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 12.379139320148381, Current Price: 115.99
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.082
Date: Wed, 09 Oct 2024 AIC 44.163
Time: 14:39:38 BIC 46.988
Sample: 0 HQIC 43.582
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8154 0.276 -2.954 0.003 -1.356 -0.274
ma.L1 0.5476 0.997 0.549 0.583 -1.406 2.501
ar.S.L7 0.0500 0.274 0.182 0.855 -0.488 0.588
ma.S.L7 -1.0006 1772.231 -0.001 1.000 -3474.509 3472.508
sigma2 0.4712 835.398 0.001 1.000 -1636.879 1637.822
===================================================================================
Ljung-Box (L1) (Q): 0.32 Jarque-Bera (JB): 0.13
Prob(Q): 0.57 Prob(JB): 0.94
Heteroskedasticity (H): 0.61 Skew: 0.22
Prob(H) (two-sided): 0.64 Kurtosis: 3.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.99765053317957, Current Price: 116.72
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.018
Date: Wed, 09 Oct 2024 AIC 44.035
Time: 14:39:38 BIC 46.860
Sample: 0 HQIC 43.455
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5330 2.392 -0.223 0.824 -5.221 4.155
ma.L1 0.4109 2.846 0.144 0.885 -5.166 5.988
ar.S.L7 -0.0023 0.031 -0.074 0.941 -0.062 0.058
ma.S.L7 -0.1218 0.341 -0.358 0.721 -0.789 0.546
sigma2 0.7992 0.365 2.191 0.028 0.084 1.514
===================================================================================
Ljung-Box (L1) (Q): 0.52 Jarque-Bera (JB): 1.28
Prob(Q): 0.47 Prob(JB): 0.53
Heteroskedasticity (H): 9.07 Skew: 0.63
Prob(H) (two-sided): 0.06 Kurtosis: 2.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.74971800813445, Current Price: 116.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.689
Date: Wed, 09 Oct 2024 AIC 45.377
Time: 14:39:38 BIC 48.202
Sample: 0 HQIC 44.796
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7163 0.391 -1.830 0.067 -1.483 0.051
ma.L1 0.5311 0.788 0.674 0.500 -1.013 2.075
ar.S.L7 -0.0604 0.347 -0.174 0.862 -0.741 0.620
ma.S.L7 -1.0000 3.9e+04 -2.56e-05 1.000 -7.64e+04 7.64e+04
sigma2 0.5188 2.02e+04 2.56e-05 1.000 -3.97e+04 3.97e+04
===================================================================================
Ljung-Box (L1) (Q): 1.12 Jarque-Bera (JB): 0.55
Prob(Q): 0.29 Prob(JB): 0.76
Heteroskedasticity (H): 4.66 Skew: 0.30
Prob(H) (two-sided): 0.17 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.63264883033554, Current Price: 117.84
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.032
Date: Wed, 09 Oct 2024 AIC 48.064
Time: 14:39:38 BIC 50.888
Sample: 0 HQIC 47.483
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9851 0.454 -2.170 0.030 -1.875 -0.095
ma.L1 1.0000 1.37e+05 7.3e-06 1.000 -2.68e+05 2.68e+05
ar.S.L7 -0.1611 0.267 -0.602 0.547 -0.685 0.363
ma.S.L7 -0.1341 0.624 -0.215 0.830 -1.357 1.088
sigma2 0.9399 1.29e+05 7.3e-06 1.000 -2.52e+05 2.52e+05
===================================================================================
Ljung-Box (L1) (Q): 0.82 Jarque-Bera (JB): 1.28
Prob(Q): 0.37 Prob(JB): 0.53
Heteroskedasticity (H): 6.28 Skew: 0.15
Prob(H) (two-sided): 0.10 Kurtosis: 1.49
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.90535621718824, Current Price: 117.4
BUY EXECUTED at 117.4
BUY ORDER COMPLETED at 116.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.803
Date: Wed, 09 Oct 2024 AIC 49.606
Time: 14:39:38 BIC 52.431
Sample: 0 HQIC 49.025
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9308 0.321 -2.902 0.004 -1.559 -0.302
ma.L1 1.0000 4.19e+04 2.39e-05 1.000 -8.2e+04 8.2e+04
ar.S.L7 -0.1987 0.292 -0.681 0.496 -0.771 0.374
ma.S.L7 -0.1453 0.677 -0.214 0.830 -1.473 1.182
sigma2 1.0579 4.43e+04 2.39e-05 1.000 -8.68e+04 8.68e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.02
Prob(Q): 0.99 Prob(JB): 0.60
Heteroskedasticity (H): 4.48 Skew: -0.05
Prob(H) (two-sided): 0.18 Kurtosis: 1.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.68113397819069, Current Price: 117.73
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.694
Date: Wed, 09 Oct 2024 AIC 47.389
Time: 14:39:38 BIC 50.214
Sample: 0 HQIC 46.808
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8612 0.204 -4.214 0.000 -1.262 -0.461
ma.L1 1.0000 3.12e+04 3.21e-05 1.000 -6.11e+04 6.11e+04
ar.S.L7 -0.4095 0.552 -0.742 0.458 -1.491 0.672
ma.S.L7 -0.0723 0.478 -0.151 0.880 -1.009 0.865
sigma2 0.8930 2.78e+04 3.21e-05 1.000 -5.46e+04 5.46e+04
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 0.71
Prob(Q): 0.64 Prob(JB): 0.70
Heteroskedasticity (H): 5.48 Skew: 0.06
Prob(H) (two-sided): 0.13 Kurtosis: 1.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.46043137009978, Current Price: 117.34
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.646
Date: Wed, 09 Oct 2024 AIC 47.292
Time: 14:39:38 BIC 50.117
Sample: 0 HQIC 46.711
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8279 0.355 -2.333 0.020 -1.523 -0.132
ma.L1 1.0000 1.87e+04 5.34e-05 1.000 -3.67e+04 3.67e+04
ar.S.L7 -0.3314 0.990 -0.335 0.738 -2.271 1.608
ma.S.L7 -0.2969 1.725 -0.172 0.863 -3.677 3.084
sigma2 0.8682 1.63e+04 5.34e-05 1.000 -3.19e+04 3.19e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.82
Prob(Q): 0.89 Prob(JB): 0.66
Heteroskedasticity (H): 3.51 Skew: 0.05
Prob(H) (two-sided): 0.25 Kurtosis: 1.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.87816658304516, Current Price: 118.77
SELL EXECUTED at 118.77
SELL ORDER COMPLETED at 118.82
OPERATION PROFIT, GROSS 2.2299999999999898, NET 1.9945899999999899
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.642
Date: Wed, 09 Oct 2024 AIC 49.285
Time: 14:39:38 BIC 52.109
Sample: 0 HQIC 48.704
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8263 0.399 -2.072 0.038 -1.608 -0.045
ma.L1 1.0000 4.6e+04 2.17e-05 1.000 -9.02e+04 9.02e+04
ar.S.L7 -0.1495 0.899 -0.166 0.868 -1.911 1.612
ma.S.L7 -0.0702 1.212 -0.058 0.954 -2.446 2.305
sigma2 1.0329 4.76e+04 2.17e-05 1.000 -9.32e+04 9.32e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.04
Prob(Q): 0.89 Prob(JB): 0.59
Heteroskedasticity (H): 1.01 Skew: 0.06
Prob(H) (two-sided): 0.99 Kurtosis: 1.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.46612466105475, Current Price: 118.74
BUY EXECUTED at 118.74
BUY ORDER COMPLETED at 119.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.419
Date: Wed, 09 Oct 2024 AIC 48.838
Time: 14:39:38 BIC 51.662
Sample: 0 HQIC 48.257
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8273 0.491 -1.686 0.092 -1.789 0.134
ma.L1 0.6778 0.602 1.126 0.260 -0.502 1.858
ar.S.L7 -0.4018 1.343 -0.299 0.765 -3.034 2.231
ma.S.L7 -0.2731 2.274 -0.120 0.904 -4.729 4.183
sigma2 1.1033 1.477 0.747 0.455 -1.791 3.998
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 0.74
Prob(Q): 0.69 Prob(JB): 0.69
Heteroskedasticity (H): 1.19 Skew: -0.31
Prob(H) (two-sided): 0.87 Kurtosis: 2.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.87234545285817, Current Price: 119.73
SELL EXECUTED at 119.73
SELL ORDER COMPLETED at 119.75
OPERATION PROFIT, GROSS 0.04999999999999716, NET -0.18945000000000284
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.385
Date: Wed, 09 Oct 2024 AIC 48.771
Time: 14:39:38 BIC 51.596
Sample: 0 HQIC 48.190
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7404 0.229 -3.236 0.001 -1.189 -0.292
ma.L1 1.0000 5.89e+04 1.7e-05 1.000 -1.15e+05 1.15e+05
ar.S.L7 0.0566 0.562 0.101 0.920 -1.045 1.159
ma.S.L7 0.1881 0.660 0.285 0.776 -1.105 1.481
sigma2 0.9563 5.63e+04 1.7e-05 1.000 -1.1e+05 1.1e+05
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.86
Prob(Q): 0.74 Prob(JB): 0.65
Heteroskedasticity (H): 0.56 Skew: 0.01
Prob(H) (two-sided): 0.59 Kurtosis: 1.74
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.04081968932357, Current Price: 119.75
BUY EXECUTED at 119.75
BUY ORDER COMPLETED at 119.23
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.991
Date: Wed, 09 Oct 2024 AIC 47.981
Time: 14:39:38 BIC 50.806
Sample: 0 HQIC 47.400
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8069 0.172 -4.686 0.000 -1.144 -0.469
ma.L1 1.2246 0.682 1.794 0.073 -0.113 2.562
ar.S.L7 0.2945 0.538 0.547 0.584 -0.760 1.349
ma.S.L7 -1.0002 6209.592 -0.000 1.000 -1.22e+04 1.22e+04
sigma2 0.4156 2580.577 0.000 1.000 -5057.422 5058.253
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 1.16
Prob(Q): 0.65 Prob(JB): 0.56
Heteroskedasticity (H): 0.80 Skew: 0.09
Prob(H) (two-sided): 0.84 Kurtosis: 1.55
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.36342236535688, Current Price: 120.22
SELL EXECUTED at 120.22
SELL ORDER COMPLETED at 120.65
OPERATION PROFIT, GROSS 1.4200000000000017, NET 1.1801200000000016
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.690
Date: Wed, 09 Oct 2024 AIC 47.381
Time: 14:39:39 BIC 50.206
Sample: 0 HQIC 46.800
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7343 0.287 -2.562 0.010 -1.296 -0.173
ma.L1 1.5383 1.468 1.048 0.295 -1.339 4.415
ar.S.L7 -0.0515 0.733 -0.070 0.944 -1.489 1.386
ma.S.L7 -0.2290 1.130 -0.203 0.839 -2.444 1.986
sigma2 0.4215 0.609 0.692 0.489 -0.772 1.616
===================================================================================
Ljung-Box (L1) (Q): 0.52 Jarque-Bera (JB): 0.99
Prob(Q): 0.47 Prob(JB): 0.61
Heteroskedasticity (H): 0.26 Skew: 0.23
Prob(H) (two-sided): 0.22 Kurtosis: 1.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.53395831125489, Current Price: 120.39
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.357
Date: Wed, 09 Oct 2024 AIC 46.714
Time: 14:39:39 BIC 49.539
Sample: 0 HQIC 46.134
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4316 0.230 -1.880 0.060 -0.882 0.018
ma.L1 3.6346 4.621 0.787 0.432 -5.423 12.692
ar.S.L7 -0.4648 0.396 -1.174 0.240 -1.241 0.311
ma.S.L7 1.0003 3011.197 0.000 1.000 -5900.837 5902.838
sigma2 0.0444 133.640 0.000 1.000 -261.886 261.975
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 0.93
Prob(Q): 0.64 Prob(JB): 0.63
Heteroskedasticity (H): 0.28 Skew: 0.11
Prob(H) (two-sided): 0.25 Kurtosis: 1.71
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.89267086314814, Current Price: 119.97
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.701
Date: Wed, 09 Oct 2024 AIC 45.402
Time: 14:39:39 BIC 48.226
Sample: 0 HQIC 44.821
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3439 3.700 -0.093 0.926 -7.597 6.909
ma.L1 3.5253 46.924 0.075 0.940 -88.443 95.494
ar.S.L7 -0.3251 0.394 -0.825 0.409 -1.097 0.447
ma.S.L7 1.0006 1321.111 0.001 0.999 -2588.330 2590.331
sigma2 0.0432 57.357 0.001 0.999 -112.375 112.461
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.67
Prob(Q): 0.97 Prob(JB): 0.71
Heteroskedasticity (H): 0.37 Skew: 0.23
Prob(H) (two-sided): 0.36 Kurtosis: 1.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.65855273003524, Current Price: 119.78
BUY EXECUTED at 119.78
BUY ORDER COMPLETED at 118.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.947
Date: Wed, 09 Oct 2024 AIC 43.895
Time: 14:39:39 BIC 46.719
Sample: 0 HQIC 43.314
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0362 0.188 -5.500 0.000 -1.405 -0.667
ma.L1 1.0000 2.3e+04 4.35e-05 1.000 -4.51e+04 4.51e+04
ar.S.L7 -0.4972 0.561 -0.886 0.376 -1.598 0.603
ma.S.L7 1.0001 2.38e+04 4.2e-05 1.000 -4.67e+04 4.67e+04
sigma2 0.3846 1.26e+04 3.06e-05 1.000 -2.46e+04 2.46e+04
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 0.89
Prob(Q): 0.72 Prob(JB): 0.64
Heteroskedasticity (H): 0.22 Skew: 0.59
Prob(H) (two-sided): 0.18 Kurtosis: 2.49
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.95798881863607, Current Price: 120.36
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.904
Date: Wed, 09 Oct 2024 AIC 37.808
Time: 14:39:39 BIC 40.632
Sample: 0 HQIC 37.227
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0257 0.204 -5.022 0.000 -1.426 -0.625
ma.L1 1.0000 9819.522 0.000 1.000 -1.92e+04 1.92e+04
ar.S.L7 -0.2253 0.382 -0.590 0.555 -0.973 0.523
ma.S.L7 0.1121 0.498 0.225 0.822 -0.864 1.089
sigma2 0.4196 4120.386 0.000 1.000 -8075.388 8076.227
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 0.86
Prob(Q): 0.66 Prob(JB): 0.65
Heteroskedasticity (H): 0.52 Skew: 0.45
Prob(H) (two-sided): 0.54 Kurtosis: 2.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.6042276444038, Current Price: 121.36
SELL EXECUTED at 121.36
SELL ORDER COMPLETED at 121.09
OPERATION PROFIT, GROSS 2.3200000000000074, NET 2.080140000000007
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.707
Date: Wed, 09 Oct 2024 AIC 37.414
Time: 14:39:39 BIC 40.239
Sample: 0 HQIC 36.833
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5808 0.917 -0.633 0.527 -2.379 1.217
ma.L1 6.5517 15.117 0.433 0.665 -23.078 36.181
ar.S.L7 -0.1418 0.612 -0.232 0.817 -1.342 1.058
ma.S.L7 -0.1887 0.904 -0.209 0.835 -1.960 1.583
sigma2 0.0109 0.052 0.212 0.832 -0.090 0.112
===================================================================================
Ljung-Box (L1) (Q): 0.82 Jarque-Bera (JB): 0.54
Prob(Q): 0.37 Prob(JB): 0.76
Heteroskedasticity (H): 0.71 Skew: -0.05
Prob(H) (two-sided): 0.75 Kurtosis: 2.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.47802636643195, Current Price: 120.96
BUY EXECUTED at 120.96
BUY ORDER COMPLETED at 121.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.331
Date: Wed, 09 Oct 2024 AIC 34.662
Time: 14:39:39 BIC 37.487
Sample: 0 HQIC 34.082
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9178 0.154 -5.968 0.000 -1.219 -0.616
ma.L1 1.0000 4.82e+04 2.08e-05 1.000 -9.44e+04 9.44e+04
ar.S.L7 -0.2014 0.224 -0.899 0.369 -0.641 0.238
ma.S.L7 -0.2027 1.224 -0.166 0.868 -2.602 2.196
sigma2 0.3336 1.61e+04 2.08e-05 1.000 -3.15e+04 3.15e+04
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.70
Prob(Q): 0.81 Prob(JB): 0.70
Heteroskedasticity (H): 1.23 Skew: -0.14
Prob(H) (two-sided): 0.84 Kurtosis: 1.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.94601271119674, Current Price: 121.01
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.499
Date: Wed, 09 Oct 2024 AIC 30.998
Time: 14:39:39 BIC 33.823
Sample: 0 HQIC 30.417
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9400 0.165 -5.705 0.000 -1.263 -0.617
ma.L1 1.0000 1e+04 9.99e-05 1.000 -1.96e+04 1.96e+04
ar.S.L7 -0.0943 0.236 -0.400 0.689 -0.557 0.368
ma.S.L7 -0.2591 1.130 -0.229 0.819 -2.474 1.956
sigma2 0.2496 2498.635 9.99e-05 1.000 -4896.985 4897.484
===================================================================================
Ljung-Box (L1) (Q): 1.18 Jarque-Bera (JB): 0.46
Prob(Q): 0.28 Prob(JB): 0.79
Heteroskedasticity (H): 1.20 Skew: -0.24
Prob(H) (two-sided): 0.87 Kurtosis: 2.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.5142196516257, Current Price: 120.91
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.434
Date: Wed, 09 Oct 2024 AIC 32.868
Time: 14:39:39 BIC 35.693
Sample: 0 HQIC 32.287
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6096 0.471 -1.294 0.196 -1.533 0.314
ma.L1 8.3720 39.744 0.211 0.833 -69.524 86.268
ar.S.L7 -0.0683 0.202 -0.339 0.735 -0.464 0.327
ma.S.L7 -0.3866 0.960 -0.403 0.687 -2.267 1.494
sigma2 0.0045 0.045 0.100 0.920 -0.084 0.093
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.19
Prob(Q): 0.80 Prob(JB): 0.91
Heteroskedasticity (H): 1.06 Skew: -0.14
Prob(H) (two-sided): 0.96 Kurtosis: 2.48
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.81483591017188, Current Price: 122.08
SELL EXECUTED at 122.08
SELL ORDER COMPLETED at 122.15
OPERATION PROFIT, GROSS 0.9500000000000028, NET 0.7066500000000029
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27456.765
Date: Wed, 09 Oct 2024 AIC 54923.531
Time: 14:39:39 BIC 54926.355
Sample: 0 HQIC 54922.950
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3914 0.000 -2322.102 0.000 -0.392 -0.391
ma.L1 0.5198 0.000 3706.513 0.000 0.520 0.520
ar.S.L7 -53.0030 0.318 -166.619 0.000 -53.626 -52.380
ma.S.L7 -0.0002 9.27e-05 -2.481 0.013 -0.000 -4.83e-05
sigma2 0.6572 0.008 83.323 0.000 0.642 0.673
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.92
Prob(Q): 0.85 Prob(JB): 0.63
Heteroskedasticity (H): 0.34 Skew: 0.35
Prob(H) (two-sided): 0.32 Kurtosis: 1.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 211.48077316534855, Current Price: 121.69
BUY EXECUTED at 121.69
BUY ORDER COMPLETED at 122.38
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.712
Date: Wed, 09 Oct 2024 AIC 35.425
Time: 14:39:39 BIC 38.250
Sample: 0 HQIC 34.844
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9345 0.282 -3.311 0.001 -1.488 -0.381
ma.L1 1.8866 1.088 1.735 0.083 -0.245 4.018
ar.S.L7 -0.2012 0.329 -0.611 0.541 -0.847 0.444
ma.S.L7 -0.4066 1.225 -0.332 0.740 -2.808 1.995
sigma2 0.1064 0.137 0.777 0.437 -0.162 0.375
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.40
Prob(Q): 0.73 Prob(JB): 0.82
Heteroskedasticity (H): 6.02 Skew: 0.40
Prob(H) (two-sided): 0.11 Kurtosis: 2.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.76259535013945, Current Price: 122.29
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.122
Date: Wed, 09 Oct 2024 AIC 34.245
Time: 14:39:39 BIC 37.069
Sample: 0 HQIC 33.664
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6695 0.850 -0.787 0.431 -2.336 0.997
ma.L1 0.3773 1.504 0.251 0.802 -2.570 3.325
ar.S.L7 -0.4391 0.857 -0.512 0.608 -2.119 1.240
ma.S.L7 0.1168 0.533 0.219 0.826 -0.927 1.161
sigma2 0.3750 0.247 1.516 0.130 -0.110 0.860
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 5.10
Prob(Q): 0.87 Prob(JB): 0.08
Heteroskedasticity (H): 7.77 Skew: 1.13
Prob(H) (two-sided): 0.07 Kurtosis: 5.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.07331444257176, Current Price: 121.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -91609.224
Date: Wed, 09 Oct 2024 AIC 183228.448
Time: 14:39:39 BIC 183231.273
Sample: 0 HQIC 183227.868
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2858 3.52e-05 8117.236 0.000 0.286 0.286
ma.L1 -0.6848 5.22e-05 -1.31e+04 0.000 -0.685 -0.685
ar.S.L7 -143.0020 0.012 -1.21e+04 0.000 -143.025 -142.979
ma.S.L7 -0.0015 2.53e-05 -61.033 0.000 -0.002 -0.001
sigma2 0.5554 8.69e-05 6388.931 0.000 0.555 0.556
===================================================================================
Ljung-Box (L1) (Q): 1.36 Jarque-Bera (JB): 0.43
Prob(Q): 0.24 Prob(JB): 0.81
Heteroskedasticity (H): 1.52 Skew: -0.43
Prob(H) (two-sided): 0.69 Kurtosis: 2.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 199.21280558702153, Current Price: 122.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.643
Date: Wed, 09 Oct 2024 AIC 35.286
Time: 14:39:39 BIC 38.111
Sample: 0 HQIC 34.705
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9068 0.344 -2.639 0.008 -1.580 -0.233
ma.L1 0.5326 0.744 0.716 0.474 -0.926 1.991
ar.S.L7 -0.4378 1.250 -0.350 0.726 -2.887 2.012
ma.S.L7 -0.8615 12.367 -0.070 0.944 -25.101 23.378
sigma2 0.2725 2.999 0.091 0.928 -5.606 6.151
===================================================================================
Ljung-Box (L1) (Q): 0.43 Jarque-Bera (JB): 3.36
Prob(Q): 0.51 Prob(JB): 0.19
Heteroskedasticity (H): 1.00 Skew: 1.20
Prob(H) (two-sided): 1.00 Kurtosis: 3.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.36867867553563, Current Price: 122.71
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.743
Date: Wed, 09 Oct 2024 AIC 35.486
Time: 14:39:39 BIC 38.310
Sample: 0 HQIC 34.905
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8850 0.441 -2.005 0.045 -1.750 -0.020
ma.L1 0.5074 0.918 0.553 0.580 -1.292 2.307
ar.S.L7 -0.5071 1.171 -0.433 0.665 -2.802 1.788
ma.S.L7 -1.0008 2570.084 -0.000 1.000 -5038.273 5036.272
sigma2 0.2420 622.380 0.000 1.000 -1219.601 1220.085
===================================================================================
Ljung-Box (L1) (Q): 0.56 Jarque-Bera (JB): 2.10
Prob(Q): 0.45 Prob(JB): 0.35
Heteroskedasticity (H): 0.50 Skew: 0.98
Prob(H) (two-sided): 0.52 Kurtosis: 2.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.40776749350627, Current Price: 121.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.061
Date: Wed, 09 Oct 2024 AIC 40.122
Time: 14:39:39 BIC 42.946
Sample: 0 HQIC 39.541
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7279 0.454 -1.604 0.109 -1.617 0.161
ma.L1 0.2497 1.208 0.207 0.836 -2.118 2.617
ar.S.L7 -0.6670 1.225 -0.545 0.586 -3.068 1.734
ma.S.L7 -0.2893 1.164 -0.249 0.804 -2.571 1.992
sigma2 0.5702 0.338 1.687 0.092 -0.092 1.233
===================================================================================
Ljung-Box (L1) (Q): 0.83 Jarque-Bera (JB): 0.30
Prob(Q): 0.36 Prob(JB): 0.86
Heteroskedasticity (H): 1.64 Skew: 0.36
Prob(H) (two-sided): 0.64 Kurtosis: 2.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.86289253731042, Current Price: 121.73
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.120
Date: Wed, 09 Oct 2024 AIC 38.240
Time: 14:39:39 BIC 41.065
Sample: 0 HQIC 37.659
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1544 1.736 -0.089 0.929 -3.557 3.248
ma.L1 -0.3513 1.672 -0.210 0.834 -3.628 2.925
ar.S.L7 -0.3361 1.239 -0.271 0.786 -2.764 2.092
ma.S.L7 -0.3002 1.459 -0.206 0.837 -3.159 2.558
sigma2 0.4950 0.251 1.976 0.048 0.004 0.986
===================================================================================
Ljung-Box (L1) (Q): 0.67 Jarque-Bera (JB): 1.25
Prob(Q): 0.41 Prob(JB): 0.54
Heteroskedasticity (H): 3.21 Skew: 0.64
Prob(H) (two-sided): 0.28 Kurtosis: 3.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.95877351259539, Current Price: 121.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.829
Date: Wed, 09 Oct 2024 AIC 37.659
Time: 14:39:39 BIC 40.483
Sample: 0 HQIC 37.078
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5304 0.677 -0.783 0.433 -1.857 0.796
ma.L1 -0.0201 1.508 -0.013 0.989 -2.975 2.935
ar.S.L7 -0.5131 2.008 -0.255 0.798 -4.450 3.423
ma.S.L7 -0.5798 3.153 -0.184 0.854 -6.760 5.600
sigma2 0.4094 0.701 0.584 0.559 -0.965 1.784
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 0.46
Prob(Q): 0.65 Prob(JB): 0.79
Heteroskedasticity (H): 2.91 Skew: 0.28
Prob(H) (two-sided): 0.33 Kurtosis: 3.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.31692315506254, Current Price: 124.024
SELL EXECUTED at 124.024
SELL ORDER COMPLETED at 123.97
OPERATION PROFIT, GROSS 1.5900000000000034, NET 1.3436500000000033
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -6269.092
Date: Wed, 09 Oct 2024 AIC 12548.183
Time: 14:39:39 BIC 12551.008
Sample: 0 HQIC 12547.602
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8937 0.002 471.576 0.000 0.890 0.897
ma.L1 -2.3044 0.007 -344.417 0.000 -2.317 -2.291
ar.S.L7 90.0356 5.093 17.677 0.000 80.053 100.018
ma.S.L7 -0.4228 0.001 -653.395 0.000 -0.424 -0.422
sigma2 1.4415 0.166 8.673 0.000 1.116 1.767
===================================================================================
Ljung-Box (L1) (Q): 4.35 Jarque-Bera (JB): 0.44
Prob(Q): 0.04 Prob(JB): 0.80
Heteroskedasticity (H): 2.30 Skew: -0.18
Prob(H) (two-sided): 0.44 Kurtosis: 2.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 4.260201178784024, Current Price: 123.94
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.520
Date: Wed, 09 Oct 2024 AIC 41.039
Time: 14:39:39 BIC 43.864
Sample: 0 HQIC 40.459
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3269 0.759 0.431 0.667 -1.161 1.815
ma.L1 -1.0000 5584.645 -0.000 1.000 -1.09e+04 1.09e+04
ar.S.L7 -0.2279 1.177 -0.194 0.847 -2.536 2.080
ma.S.L7 -0.2257 1.321 -0.171 0.864 -2.814 2.363
sigma2 0.5476 3058.147 0.000 1.000 -5993.311 5994.406
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.65
Prob(Q): 0.92 Prob(JB): 0.72
Heteroskedasticity (H): 1.70 Skew: 0.30
Prob(H) (two-sided): 0.62 Kurtosis: 2.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.01383357915931, Current Price: 124.63
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.197
Date: Wed, 09 Oct 2024 AIC 42.393
Time: 14:39:39 BIC 45.218
Sample: 0 HQIC 41.812
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3589 1.179 -0.304 0.761 -2.669 1.952
ma.L1 -3.3825 11.147 -0.303 0.762 -25.230 18.465
ar.S.L7 -0.5648 1.347 -0.419 0.675 -3.204 2.075
ma.S.L7 -0.7668 5.662 -0.135 0.892 -11.865 10.331
sigma2 0.0463 0.397 0.117 0.907 -0.731 0.823
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.46
Prob(Q): 0.95 Prob(JB): 0.79
Heteroskedasticity (H): 2.43 Skew: 0.44
Prob(H) (two-sided): 0.41 Kurtosis: 3.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.30853501491642, Current Price: 124.5425
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.724
Date: Wed, 09 Oct 2024 AIC 41.447
Time: 14:39:39 BIC 44.272
Sample: 0 HQIC 40.867
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3508 0.629 0.558 0.577 -0.881 1.583
ma.L1 -1.0000 9894.388 -0.000 1.000 -1.94e+04 1.94e+04
ar.S.L7 -0.1940 1.202 -0.161 0.872 -2.549 2.161
ma.S.L7 -0.1657 1.420 -0.117 0.907 -2.950 2.618
sigma2 0.5746 5685.354 0.000 1.000 -1.11e+04 1.11e+04
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 0.69
Prob(Q): 0.67 Prob(JB): 0.71
Heteroskedasticity (H): 0.69 Skew: -0.19
Prob(H) (two-sided): 0.73 Kurtosis: 1.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.41174149284937, Current Price: 124.87
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.434
Date: Wed, 09 Oct 2024 AIC 40.867
Time: 14:39:39 BIC 43.692
Sample: 0 HQIC 40.287
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3419 1.245 0.275 0.784 -2.097 2.781
ma.L1 -0.7931 1.279 -0.620 0.535 -3.299 1.713
ar.S.L7 -0.1743 0.880 -0.198 0.843 -1.898 1.550
ma.S.L7 -1.0003 3016.345 -0.000 1.000 -5912.928 5910.927
sigma2 0.3678 1109.232 0.000 1.000 -2173.688 2174.423
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.05
Prob(Q): 0.85 Prob(JB): 0.97
Heteroskedasticity (H): 0.90 Skew: 0.04
Prob(H) (two-sided): 0.92 Kurtosis: 2.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.77511883176368, Current Price: 126.01
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.753
Date: Wed, 09 Oct 2024 AIC 39.506
Time: 14:39:40 BIC 42.331
Sample: 0 HQIC 38.925
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6225 0.490 -1.270 0.204 -1.583 0.338
ma.L1 -11.4156 122.853 -0.093 0.926 -252.203 229.371
ar.S.L7 -0.8582 0.654 -1.311 0.190 -2.141 0.424
ma.S.L7 -1.3110 9.490 -0.138 0.890 -19.912 17.290
sigma2 0.0018 0.046 0.040 0.968 -0.089 0.092
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 1.03
Prob(Q): 0.65 Prob(JB): 0.60
Heteroskedasticity (H): 0.44 Skew: 0.53
Prob(H) (two-sided): 0.44 Kurtosis: 3.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.54579721562908, Current Price: 126.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.368
Date: Wed, 09 Oct 2024 AIC 40.737
Time: 14:39:40 BIC 43.561
Sample: 0 HQIC 40.156
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3899 0.314 -1.240 0.215 -1.006 0.226
ma.L1 -0.1721 0.977 -0.176 0.860 -2.088 1.743
ar.S.L7 -0.7201 0.667 -1.079 0.281 -2.028 0.588
ma.S.L7 -1.0003 5340.756 -0.000 1.000 -1.05e+04 1.05e+04
sigma2 0.3745 2000.157 0.000 1.000 -3919.861 3920.610
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.36
Prob(Q): 0.76 Prob(JB): 0.83
Heteroskedasticity (H): 0.21 Skew: 0.31
Prob(H) (two-sided): 0.16 Kurtosis: 3.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.80327949925815, Current Price: 126.3
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.024
Date: Wed, 09 Oct 2024 AIC 38.047
Time: 14:39:40 BIC 40.872
Sample: 0 HQIC 37.466
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5004 0.386 -1.295 0.195 -1.258 0.257
ma.L1 -20.1911 254.984 -0.079 0.937 -519.950 479.568
ar.S.L7 -0.6469 0.625 -1.035 0.301 -1.872 0.578
ma.S.L7 -1.0313 52.653 -0.020 0.984 -104.230 102.167
sigma2 0.0007 0.040 0.017 0.986 -0.077 0.079
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.78
Prob(Q): 0.76 Prob(JB): 0.68
Heteroskedasticity (H): 0.42 Skew: 0.19
Prob(H) (two-sided): 0.42 Kurtosis: 4.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.74057878222384, Current Price: 126.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.292
Date: Wed, 09 Oct 2024 AIC 38.583
Time: 14:39:40 BIC 41.408
Sample: 0 HQIC 38.003
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0135 1.636 0.008 0.993 -3.193 3.220
ma.L1 -0.2297 1.631 -0.141 0.888 -3.427 2.968
ar.S.L7 -0.4400 0.692 -0.636 0.525 -1.797 0.917
ma.S.L7 -0.9999 1.18e+04 -8.48e-05 1.000 -2.31e+04 2.31e+04
sigma2 0.3179 3750.181 8.48e-05 1.000 -7349.903 7350.538
===================================================================================
Ljung-Box (L1) (Q): 0.42 Jarque-Bera (JB): 0.81
Prob(Q): 0.52 Prob(JB): 0.67
Heteroskedasticity (H): 0.59 Skew: 0.60
Prob(H) (two-sided): 0.63 Kurtosis: 3.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.85478442637952, Current Price: 126.72
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.534
Date: Wed, 09 Oct 2024 AIC 37.067
Time: 14:39:40 BIC 39.892
Sample: 0 HQIC 36.486
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3941 0.215 1.836 0.066 -0.027 0.815
ma.L1 -1.9145 2.378 -0.805 0.421 -6.574 2.745
ar.S.L7 -0.5437 0.595 -0.914 0.361 -1.709 0.622
ma.S.L7 -1.0001 8030.421 -0.000 1.000 -1.57e+04 1.57e+04
sigma2 0.0757 608.201 0.000 1.000 -1191.976 1192.127
===================================================================================
Ljung-Box (L1) (Q): 0.60 Jarque-Bera (JB): 0.26
Prob(Q): 0.44 Prob(JB): 0.88
Heteroskedasticity (H): 0.19 Skew: 0.33
Prob(H) (two-sided): 0.13 Kurtosis: 3.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.89592406606687, Current Price: 127.85
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.440
Date: Wed, 09 Oct 2024 AIC 34.881
Time: 14:39:40 BIC 37.705
Sample: 0 HQIC 34.300
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1740 1.105 -0.157 0.875 -2.341 1.993
ma.L1 -7.0659 51.057 -0.138 0.890 -107.136 93.004
ar.S.L7 -0.7272 0.693 -1.049 0.294 -2.085 0.631
ma.S.L7 -0.9902 122.492 -0.008 0.994 -241.069 239.089
sigma2 0.0048 0.594 0.008 0.994 -1.160 1.169
===================================================================================
Ljung-Box (L1) (Q): 2.31 Jarque-Bera (JB): 3.11
Prob(Q): 0.13 Prob(JB): 0.21
Heteroskedasticity (H): 0.39 Skew: 1.15
Prob(H) (two-sided): 0.38 Kurtosis: 3.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.7564577106765, Current Price: 127.95
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.927
Date: Wed, 09 Oct 2024 AIC 37.853
Time: 14:39:40 BIC 40.678
Sample: 0 HQIC 37.273
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1049 10.731 0.010 0.992 -20.928 21.138
ma.L1 -6.9780 529.375 -0.013 0.989 -1044.535 1030.579
ar.S.L7 -0.5460 0.579 -0.944 0.345 -1.680 0.588
ma.S.L7 -1.0023 444.604 -0.002 0.998 -872.411 870.406
sigma2 0.0061 2.852 0.002 0.998 -5.583 5.596
===================================================================================
Ljung-Box (L1) (Q): 2.48 Jarque-Bera (JB): 0.52
Prob(Q): 0.12 Prob(JB): 0.77
Heteroskedasticity (H): 0.84 Skew: 0.44
Prob(H) (two-sided): 0.87 Kurtosis: 2.58
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.28647757525323, Current Price: 127.91
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.964
Date: Wed, 09 Oct 2024 AIC 39.927
Time: 14:39:40 BIC 42.752
Sample: 0 HQIC 39.346
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0421 5.838 0.007 0.994 -11.401 11.485
ma.L1 -8.1808 403.454 -0.020 0.984 -798.936 782.574
ar.S.L7 -0.5860 0.525 -1.116 0.264 -1.615 0.443
ma.S.L7 -0.9989 917.889 -0.001 0.999 -1800.029 1798.031
sigma2 0.0052 4.802 0.001 0.999 -9.406 9.416
===================================================================================
Ljung-Box (L1) (Q): 2.20 Jarque-Bera (JB): 0.73
Prob(Q): 0.14 Prob(JB): 0.69
Heteroskedasticity (H): 0.97 Skew: 0.30
Prob(H) (two-sided): 0.97 Kurtosis: 2.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.58046116682162, Current Price: 128.91
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.619
Date: Wed, 09 Oct 2024 AIC 37.238
Time: 14:39:40 BIC 40.063
Sample: 0 HQIC 36.657
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7659 0.329 2.325 0.020 0.120 1.412
ma.L1 -1.0000 3832.854 -0.000 1.000 -7513.255 7511.255
ar.S.L7 -0.5655 0.430 -1.316 0.188 -1.408 0.277
ma.S.L7 -0.8621 10.717 -0.080 0.936 -21.867 20.143
sigma2 0.2634 1009.483 0.000 1.000 -1978.287 1978.814
===================================================================================
Ljung-Box (L1) (Q): 0.80 Jarque-Bera (JB): 0.87
Prob(Q): 0.37 Prob(JB): 0.65
Heteroskedasticity (H): 2.94 Skew: 0.12
Prob(H) (two-sided): 0.32 Kurtosis: 1.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 130.70687285126473, Current Price: 128.46
BUY EXECUTED at 128.46
BUY ORDER COMPLETED at 130.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.056
Date: Wed, 09 Oct 2024 AIC 36.112
Time: 14:39:40 BIC 38.936
Sample: 0 HQIC 35.531
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6620 0.328 -2.018 0.044 -1.305 -0.019
ma.L1 0.1127 0.514 0.219 0.826 -0.895 1.120
ar.S.L7 -0.6318 0.161 -3.922 0.000 -0.948 -0.316
ma.S.L7 0.9999 1.11e+04 9e-05 1.000 -2.18e+04 2.18e+04
sigma2 0.2548 2832.166 9e-05 1.000 -5550.688 5551.198
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.98
Prob(Q): 0.93 Prob(JB): 0.61
Heteroskedasticity (H): 2.70 Skew: -0.29
Prob(H) (two-sided): 0.36 Kurtosis: 1.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.51738162071862, Current Price: 130.99
SELL EXECUTED at 130.99
SELL ORDER COMPLETED at 131.45
OPERATION PROFIT, GROSS 1.339999999999975, NET 1.078439999999975
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.433
Date: Wed, 09 Oct 2024 AIC 40.866
Time: 14:39:40 BIC 43.690
Sample: 0 HQIC 40.285
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9554 0.519 -1.839 0.066 -1.973 0.063
ma.L1 0.1662 0.893 0.186 0.852 -1.584 1.916
ar.S.L7 -0.6508 0.231 -2.812 0.005 -1.104 -0.197
ma.S.L7 -29.7146 759.850 -0.039 0.969 -1518.993 1459.564
sigma2 0.0007 0.037 0.019 0.985 -0.072 0.073
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.07
Prob(Q): 0.77 Prob(JB): 0.97
Heteroskedasticity (H): 1.13 Skew: -0.18
Prob(H) (two-sided): 0.91 Kurtosis: 2.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.22575269841596, Current Price: 131.81
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.490
Date: Wed, 09 Oct 2024 AIC 44.979
Time: 14:39:40 BIC 47.804
Sample: 0 HQIC 44.399
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5224 0.937 -0.557 0.577 -2.359 1.314
ma.L1 0.0502 1.353 0.037 0.970 -2.601 2.702
ar.S.L7 -0.6794 0.309 -2.199 0.028 -1.285 -0.074
ma.S.L7 0.5521 2.569 0.215 0.830 -4.482 5.586
sigma2 0.7348 1.072 0.686 0.493 -1.365 2.835
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 0.42
Prob(Q): 0.66 Prob(JB): 0.81
Heteroskedasticity (H): 4.05 Skew: -0.29
Prob(H) (two-sided): 0.20 Kurtosis: 2.33
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 132.3538310761659, Current Price: 130.37
BUY EXECUTED at 130.37
BUY ORDER COMPLETED at 130.78
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.014
Date: Wed, 09 Oct 2024 AIC 46.029
Time: 14:39:40 BIC 48.853
Sample: 0 HQIC 45.448
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2155 0.605 -0.356 0.722 -1.402 0.971
ma.L1 -1.8281 2.084 -0.877 0.380 -5.912 2.256
ar.S.L7 -0.6636 0.358 -1.855 0.064 -1.365 0.038
ma.S.L7 0.2351 1.155 0.204 0.839 -2.029 2.499
sigma2 0.2731 0.608 0.449 0.653 -0.918 1.464
===================================================================================
Ljung-Box (L1) (Q): 1.42 Jarque-Bera (JB): 0.93
Prob(Q): 0.23 Prob(JB): 0.63
Heteroskedasticity (H): 3.84 Skew: -0.39
Prob(H) (two-sided): 0.22 Kurtosis: 1.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 131.7391317000468, Current Price: 131.66
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.611
Date: Wed, 09 Oct 2024 AIC 45.222
Time: 14:39:40 BIC 48.047
Sample: 0 HQIC 44.642
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2505 0.468 -0.535 0.592 -1.167 0.666
ma.L1 -1.6903 1.360 -1.243 0.214 -4.355 0.975
ar.S.L7 -0.5139 0.394 -1.306 0.192 -1.285 0.257
ma.S.L7 -0.0257 0.974 -0.026 0.979 -1.934 1.883
sigma2 0.3061 0.592 0.517 0.605 -0.854 1.466
===================================================================================
Ljung-Box (L1) (Q): 0.76 Jarque-Bera (JB): 0.85
Prob(Q): 0.38 Prob(JB): 0.65
Heteroskedasticity (H): 3.06 Skew: 0.07
Prob(H) (two-sided): 0.30 Kurtosis: 1.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 131.86183346085153, Current Price: 132.292
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.216
Date: Wed, 09 Oct 2024 AIC 44.432
Time: 14:39:40 BIC 47.257
Sample: 0 HQIC 43.852
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3134 0.381 -0.823 0.410 -1.059 0.433
ma.L1 -1.7240 1.266 -1.362 0.173 -4.206 0.758
ar.S.L7 -0.5012 0.262 -1.915 0.055 -1.014 0.012
ma.S.L7 -0.1916 0.770 -0.249 0.803 -1.701 1.317
sigma2 0.2729 0.450 0.606 0.544 -0.609 1.155
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 0.65
Prob(Q): 0.66 Prob(JB): 0.72
Heteroskedasticity (H): 2.53 Skew: 0.11
Prob(H) (two-sided): 0.39 Kurtosis: 1.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 132.41369850860013, Current Price: 131.96
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.683
Date: Wed, 09 Oct 2024 AIC 43.366
Time: 14:39:40 BIC 46.191
Sample: 0 HQIC 42.786
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2644 0.344 -0.768 0.442 -0.939 0.410
ma.L1 -1.4829 1.082 -1.371 0.171 -3.604 0.638
ar.S.L7 -0.2723 0.340 -0.800 0.424 -0.940 0.395
ma.S.L7 -1.0034 190.506 -0.005 0.996 -374.389 372.382
sigma2 0.2051 39.213 0.005 0.996 -76.651 77.061
===================================================================================
Ljung-Box (L1) (Q): 0.46 Jarque-Bera (JB): 0.28
Prob(Q): 0.50 Prob(JB): 0.87
Heteroskedasticity (H): 0.46 Skew: 0.03
Prob(H) (two-sided): 0.47 Kurtosis: 2.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 133.18918221043066, Current Price: 134.07
SELL EXECUTED at 134.07
SELL ORDER COMPLETED at 134.06
OPERATION PROFIT, GROSS 3.280000000000001, NET 3.015160000000001
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.200
Date: Wed, 09 Oct 2024 AIC 44.399
Time: 14:39:40 BIC 47.224
Sample: 0 HQIC 43.819
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4030 0.294 -1.372 0.170 -0.979 0.173
ma.L1 -0.5626 0.535 -1.051 0.293 -1.611 0.486
ar.S.L7 -0.3405 0.401 -0.850 0.396 -1.126 0.445
ma.S.L7 -1.0001 6748.863 -0.000 1.000 -1.32e+04 1.32e+04
sigma2 0.4929 3326.717 0.000 1.000 -6519.753 6520.739
===================================================================================
Ljung-Box (L1) (Q): 2.10 Jarque-Bera (JB): 0.25
Prob(Q): 0.15 Prob(JB): 0.88
Heteroskedasticity (H): 0.79 Skew: 0.03
Prob(H) (two-sided): 0.82 Kurtosis: 2.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 133.30522274396324, Current Price: 134.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.584
Date: Wed, 09 Oct 2024 AIC 47.167
Time: 14:39:40 BIC 49.992
Sample: 0 HQIC 46.586
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2446 0.539 -0.454 0.650 -1.301 0.811
ma.L1 -0.5191 0.714 -0.727 0.467 -1.919 0.881
ar.S.L7 -0.3671 0.414 -0.886 0.375 -1.179 0.445
ma.S.L7 -0.3073 0.517 -0.595 0.552 -1.320 0.705
sigma2 0.9792 0.729 1.342 0.179 -0.450 2.409
===================================================================================
Ljung-Box (L1) (Q): 1.21 Jarque-Bera (JB): 0.75
Prob(Q): 0.27 Prob(JB): 0.69
Heteroskedasticity (H): 1.69 Skew: -0.23
Prob(H) (two-sided): 0.62 Kurtosis: 1.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.7849958572979, Current Price: 133.68
BUY EXECUTED at 133.68
BUY ORDER COMPLETED at 133.46
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.560
Date: Wed, 09 Oct 2024 AIC 45.121
Time: 14:39:40 BIC 47.945
Sample: 0 HQIC 44.540
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1269 0.479 -0.265 0.791 -1.066 0.812
ma.L1 -0.6431 0.562 -1.144 0.252 -1.745 0.458
ar.S.L7 -0.4322 0.466 -0.928 0.354 -1.345 0.481
ma.S.L7 -1.0002 4493.375 -0.000 1.000 -8807.854 8805.854
sigma2 0.5204 2338.817 0.000 1.000 -4583.477 4584.518
===================================================================================
Ljung-Box (L1) (Q): 2.27 Jarque-Bera (JB): 1.25
Prob(Q): 0.13 Prob(JB): 0.53
Heteroskedasticity (H): 2.15 Skew: -0.26
Prob(H) (two-sided): 0.48 Kurtosis: 1.57
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.91070454170824, Current Price: 134.28
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.277
Date: Wed, 09 Oct 2024 AIC 44.554
Time: 14:39:40 BIC 47.379
Sample: 0 HQIC 43.974
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0862 0.491 -0.176 0.861 -1.048 0.876
ma.L1 -0.6426 0.572 -1.124 0.261 -1.763 0.478
ar.S.L7 -0.4471 0.545 -0.821 0.412 -1.514 0.620
ma.S.L7 -1.0003 4204.152 -0.000 1.000 -8240.988 8238.987
sigma2 0.4983 2095.308 0.000 1.000 -4106.230 4107.226
===================================================================================
Ljung-Box (L1) (Q): 0.81 Jarque-Bera (JB): 1.37
Prob(Q): 0.37 Prob(JB): 0.50
Heteroskedasticity (H): 1.25 Skew: 0.00
Prob(H) (two-sided): 0.83 Kurtosis: 1.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.52415684416528, Current Price: 130.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.520
Date: Wed, 09 Oct 2024 AIC 59.040
Time: 14:39:41 BIC 61.865
Sample: 0 HQIC 58.459
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2313 0.873 0.265 0.791 -1.480 1.942
ma.L1 -1.0000 1.03e+04 -9.73e-05 1.000 -2.01e+04 2.01e+04
ar.S.L7 -0.8190 0.847 -0.967 0.333 -2.478 0.840
ma.S.L7 -0.4239 1.636 -0.259 0.796 -3.630 2.782
sigma2 2.0280 2.08e+04 9.73e-05 1.000 -4.08e+04 4.08e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 6.50
Prob(Q): 0.95 Prob(JB): 0.04
Heteroskedasticity (H): 3.18 Skew: -1.48
Prob(H) (two-sided): 0.29 Kurtosis: 4.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 133.23069258401148, Current Price: 131.32
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.721
Date: Wed, 09 Oct 2024 AIC 59.442
Time: 14:39:41 BIC 62.267
Sample: 0 HQIC 58.861
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2598 2.645 -0.098 0.922 -5.445 4.925
ma.L1 0.0205 2.697 0.008 0.994 -5.266 5.307
ar.S.L7 -0.6920 0.651 -1.063 0.288 -1.968 0.584
ma.S.L7 -1.0002 7172.297 -0.000 1.000 -1.41e+04 1.41e+04
sigma2 1.5810 1.13e+04 0.000 1.000 -2.22e+04 2.22e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 2.77
Prob(Q): 0.98 Prob(JB): 0.25
Heteroskedasticity (H): 2.36 Skew: -1.03
Prob(H) (two-sided): 0.43 Kurtosis: 3.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 131.8811395623786, Current Price: 129.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.190
Date: Wed, 09 Oct 2024 AIC 60.380
Time: 14:39:41 BIC 63.205
Sample: 0 HQIC 59.800
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3771 2.034 -0.185 0.853 -4.364 3.610
ma.L1 0.1036 2.457 0.042 0.966 -4.712 4.919
ar.S.L7 -0.8818 1.302 -0.677 0.498 -3.434 1.671
ma.S.L7 -0.3107 1.353 -0.230 0.818 -2.962 2.341
sigma2 2.7158 2.321 1.170 0.242 -1.834 7.266
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 1.66
Prob(Q): 0.74 Prob(JB): 0.44
Heteroskedasticity (H): 3.87 Skew: -0.87
Prob(H) (two-sided): 0.22 Kurtosis: 3.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.7122054529876, Current Price: 129.73
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.581
Date: Wed, 09 Oct 2024 AIC 59.162
Time: 14:39:41 BIC 61.987
Sample: 0 HQIC 58.581
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3351 2.362 -0.142 0.887 -4.965 4.295
ma.L1 0.1330 2.867 0.046 0.963 -5.487 5.753
ar.S.L7 -0.8885 1.051 -0.845 0.398 -2.948 1.171
ma.S.L7 -0.2869 1.214 -0.236 0.813 -2.667 2.093
sigma2 2.4876 2.480 1.003 0.316 -2.373 7.348
===================================================================================
Ljung-Box (L1) (Q): 0.34 Jarque-Bera (JB): 2.61
Prob(Q): 0.56 Prob(JB): 0.27
Heteroskedasticity (H): 7.44 Skew: -1.06
Prob(H) (two-sided): 0.08 Kurtosis: 3.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 131.59929222844067, Current Price: 130.85
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.736
Date: Wed, 09 Oct 2024 AIC 59.473
Time: 14:39:41 BIC 62.297
Sample: 0 HQIC 58.892
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5451 1.001 -0.545 0.586 -2.506 1.416
ma.L1 0.2243 1.217 0.184 0.854 -2.161 2.610
ar.S.L7 -0.8661 1.821 -0.476 0.634 -4.435 2.702
ma.S.L7 -0.2072 2.145 -0.097 0.923 -4.412 3.997
sigma2 2.5803 1.125 2.294 0.022 0.375 4.785
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.59
Prob(Q): 0.95 Prob(JB): 0.45
Heteroskedasticity (H): 1.34 Skew: -0.73
Prob(H) (two-sided): 0.78 Kurtosis: 3.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 132.08626919042715, Current Price: 130.88
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.388
Date: Wed, 09 Oct 2024 AIC 58.777
Time: 14:39:41 BIC 61.602
Sample: 0 HQIC 58.196
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6121 1.100 -0.557 0.578 -2.768 1.543
ma.L1 0.3258 1.700 0.192 0.848 -3.007 3.658
ar.S.L7 -0.8106 0.859 -0.943 0.345 -2.495 0.873
ma.S.L7 0.0066 1.333 0.005 0.996 -2.605 2.619
sigma2 2.4925 1.056 2.360 0.018 0.422 4.563
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 3.06
Prob(Q): 0.82 Prob(JB): 0.22
Heteroskedasticity (H): 1.02 Skew: -0.88
Prob(H) (two-sided): 0.98 Kurtosis: 4.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.80825835507386, Current Price: 129.52
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.378
Date: Wed, 09 Oct 2024 AIC 58.757
Time: 14:39:41 BIC 61.581
Sample: 0 HQIC 58.176
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5920 1.028 -0.576 0.565 -2.607 1.423
ma.L1 0.3229 1.520 0.213 0.832 -2.656 3.301
ar.S.L7 -0.8428 0.994 -0.848 0.397 -2.792 1.106
ma.S.L7 0.0758 1.862 0.041 0.968 -3.573 3.725
sigma2 2.4821 0.989 2.509 0.012 0.543 4.421
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 3.23
Prob(Q): 0.69 Prob(JB): 0.20
Heteroskedasticity (H): 0.37 Skew: -0.85
Prob(H) (two-sided): 0.36 Kurtosis: 4.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.6836231748648, Current Price: 131.24
SELL EXECUTED at 131.24
SELL ORDER COMPLETED at 131.48
OPERATION PROFIT, GROSS -1.9800000000000182, NET -2.2449400000000184
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.034
Date: Wed, 09 Oct 2024 AIC 58.067
Time: 14:39:41 BIC 60.892
Sample: 0 HQIC 57.486
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7134 0.557 -1.281 0.200 -1.805 0.379
ma.L1 0.4205 1.068 0.394 0.694 -1.673 2.514
ar.S.L7 -0.6259 0.720 -0.869 0.385 -2.038 0.786
ma.S.L7 -1.0001 9516.733 -0.000 1.000 -1.87e+04 1.87e+04
sigma2 1.3778 1.31e+04 0.000 1.000 -2.57e+04 2.57e+04
===================================================================================
Ljung-Box (L1) (Q): 0.51 Jarque-Bera (JB): 1.19
Prob(Q): 0.48 Prob(JB): 0.55
Heteroskedasticity (H): 0.32 Skew: -0.55
Prob(H) (two-sided): 0.30 Kurtosis: 4.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 131.6727618221304, Current Price: 132.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.157
Date: Wed, 09 Oct 2024 AIC 58.315
Time: 14:39:41 BIC 61.140
Sample: 0 HQIC 57.734
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6880 0.645 -1.067 0.286 -1.952 0.576
ma.L1 0.4132 1.518 0.272 0.785 -2.562 3.388
ar.S.L7 -0.6483 0.755 -0.858 0.391 -2.129 0.832
ma.S.L7 -1.0001 1.01e+04 -9.88e-05 1.000 -1.98e+04 1.98e+04
sigma2 1.4045 1.42e+04 9.88e-05 1.000 -2.79e+04 2.79e+04
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 1.82
Prob(Q): 0.69 Prob(JB): 0.40
Heteroskedasticity (H): 0.54 Skew: -0.82
Prob(H) (two-sided): 0.57 Kurtosis: 3.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 133.1163878276468, Current Price: 131.92
BUY EXECUTED at 131.92
BUY ORDER COMPLETED at 132.44
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.095
Date: Wed, 09 Oct 2024 AIC 56.191
Time: 14:39:41 BIC 59.016
Sample: 0 HQIC 55.610
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5776 0.732 -0.789 0.430 -2.013 0.858
ma.L1 0.2862 1.495 0.191 0.848 -2.644 3.216
ar.S.L7 -0.6419 0.761 -0.843 0.399 -2.134 0.850
ma.S.L7 -1.0001 2e+04 -5e-05 1.000 -3.92e+04 3.92e+04
sigma2 1.1899 2.38e+04 5e-05 1.000 -4.67e+04 4.67e+04
===================================================================================
Ljung-Box (L1) (Q): 1.05 Jarque-Bera (JB): 6.69
Prob(Q): 0.31 Prob(JB): 0.04
Heteroskedasticity (H): 0.11 Skew: -1.36
Prob(H) (two-sided): 0.06 Kurtosis: 5.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 133.56616338421532, Current Price: 132.49
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.560
Date: Wed, 09 Oct 2024 AIC 57.119
Time: 14:39:41 BIC 59.944
Sample: 0 HQIC 56.539
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4115 0.485 -0.849 0.396 -1.362 0.539
ma.L1 0.2040 1.638 0.125 0.901 -3.006 3.414
ar.S.L7 -0.5789 0.612 -0.945 0.344 -1.779 0.621
ma.S.L7 -1.0001 1.64e+04 -6.09e-05 1.000 -3.22e+04 3.22e+04
sigma2 1.3167 2.16e+04 6.09e-05 1.000 -4.24e+04 4.24e+04
===================================================================================
Ljung-Box (L1) (Q): 1.79 Jarque-Bera (JB): 5.17
Prob(Q): 0.18 Prob(JB): 0.08
Heteroskedasticity (H): 0.13 Skew: -1.26
Prob(H) (two-sided): 0.07 Kurtosis: 4.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 133.96106433820046, Current Price: 131.57
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.377
Date: Wed, 09 Oct 2024 AIC 56.754
Time: 14:39:41 BIC 59.579
Sample: 0 HQIC 56.173
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8660 0.210 -4.117 0.000 -1.278 -0.454
ma.L1 1.0000 1.71e+04 5.85e-05 1.000 -3.35e+04 3.35e+04
ar.S.L7 -0.7962 0.470 -1.696 0.090 -1.716 0.124
ma.S.L7 -0.1080 0.898 -0.120 0.904 -1.868 1.652
sigma2 1.8355 3.14e+04 5.85e-05 1.000 -6.15e+04 6.15e+04
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 2.55
Prob(Q): 0.67 Prob(JB): 0.28
Heteroskedasticity (H): 0.32 Skew: -1.00
Prob(H) (two-sided): 0.30 Kurtosis: 3.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 130.5319272655163, Current Price: 136.03
SELL EXECUTED at 136.03
SELL ORDER COMPLETED at 135.14
OPERATION PROFIT, GROSS 2.6999999999999886, NET 2.4324199999999885
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.283
Date: Wed, 09 Oct 2024 AIC 64.566
Time: 14:39:41 BIC 67.390
Sample: 0 HQIC 63.985
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8999 0.555 -1.621 0.105 -1.988 0.188
ma.L1 0.6045 0.652 0.927 0.354 -0.673 1.882
ar.S.L7 -0.7055 0.739 -0.955 0.340 -2.154 0.743
ma.S.L7 -0.4569 2.070 -0.221 0.825 -4.514 3.601
sigma2 3.4713 4.220 0.823 0.411 -4.799 11.742
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 6.45
Prob(Q): 0.64 Prob(JB): 0.04
Heteroskedasticity (H): 1.73 Skew: 1.29
Prob(H) (two-sided): 0.61 Kurtosis: 5.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.5778709872358, Current Price: 136.38
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.440
Date: Wed, 09 Oct 2024 AIC 60.879
Time: 14:39:41 BIC 63.704
Sample: 0 HQIC 60.299
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3890 1.690 -0.230 0.818 -3.702 2.924
ma.L1 0.2029 1.597 0.127 0.899 -2.928 3.334
ar.S.L7 -0.5999 1.175 -0.511 0.610 -2.903 1.703
ma.S.L7 -0.3984 1.771 -0.225 0.822 -3.870 3.073
sigma2 2.7409 2.033 1.348 0.178 -1.244 6.725
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 6.94
Prob(Q): 0.94 Prob(JB): 0.03
Heteroskedasticity (H): 6.94 Skew: 1.44
Prob(H) (two-sided): 0.09 Kurtosis: 5.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.32345631092596, Current Price: 137.78
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.918
Date: Wed, 09 Oct 2024 AIC 63.836
Time: 14:39:41 BIC 66.661
Sample: 0 HQIC 63.256
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3754 2.827 -0.133 0.894 -5.917 5.166
ma.L1 0.2311 2.976 0.078 0.938 -5.603 6.065
ar.S.L7 -0.3609 0.686 -0.526 0.599 -1.706 0.984
ma.S.L7 -0.4288 1.043 -0.411 0.681 -2.473 1.616
sigma2 3.4071 2.342 1.455 0.146 -1.183 7.997
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 1.43
Prob(Q): 0.81 Prob(JB): 0.49
Heteroskedasticity (H): 8.58 Skew: 0.81
Prob(H) (two-sided): 0.06 Kurtosis: 2.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 138.41253133468365, Current Price: 135.59
BUY EXECUTED at 135.59
BUY ORDER COMPLETED at 137.03
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.647
Date: Wed, 09 Oct 2024 AIC 65.293
Time: 14:39:41 BIC 68.118
Sample: 0 HQIC 64.713
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8451 0.598 -1.413 0.158 -2.017 0.327
ma.L1 0.5305 0.745 0.712 0.476 -0.929 1.990
ar.S.L7 -0.6580 0.389 -1.693 0.091 -1.420 0.104
ma.S.L7 -0.0242 1.123 -0.022 0.983 -2.225 2.177
sigma2 4.0914 2.314 1.768 0.077 -0.445 8.628
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.07
Prob(Q): 0.91 Prob(JB): 0.58
Heteroskedasticity (H): 13.27 Skew: 0.66
Prob(H) (two-sided): 0.03 Kurtosis: 2.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 136.05087996428452, Current Price: 137.24
SELL EXECUTED at 137.24
SELL ORDER COMPLETED at 137.62
OPERATION PROFIT, GROSS 0.5900000000000034, NET 0.31535000000000335
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.380
Date: Wed, 09 Oct 2024 AIC 64.761
Time: 14:39:41 BIC 67.585
Sample: 0 HQIC 64.180
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9788 0.513 -1.908 0.056 -1.985 0.027
ma.L1 0.5852 0.600 0.975 0.329 -0.591 1.761
ar.S.L7 -0.6576 0.403 -1.633 0.103 -1.447 0.132
ma.S.L7 -0.0913 1.177 -0.078 0.938 -2.397 2.215
sigma2 3.9014 2.239 1.742 0.081 -0.487 8.290
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.73
Prob(Q): 0.76 Prob(JB): 0.69
Heteroskedasticity (H): 3.63 Skew: 0.53
Prob(H) (two-sided): 0.24 Kurtosis: 2.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.94498529856622, Current Price: 137.66
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.011
Date: Wed, 09 Oct 2024 AIC 66.023
Time: 14:39:41 BIC 68.848
Sample: 0 HQIC 65.442
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8060 0.616 -1.309 0.191 -2.013 0.401
ma.L1 0.5034 0.787 0.639 0.523 -1.040 2.047
ar.S.L7 -0.6079 0.314 -1.937 0.053 -1.223 0.007
ma.S.L7 0.0323 0.911 0.035 0.972 -1.754 1.818
sigma2 4.3316 2.315 1.871 0.061 -0.206 8.870
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 0.24
Prob(Q): 0.71 Prob(JB): 0.89
Heteroskedasticity (H): 2.04 Skew: 0.15
Prob(H) (two-sided): 0.51 Kurtosis: 2.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 138.8022395489071, Current Price: 133.69
BUY EXECUTED at 133.69
BUY ORDER COMPLETED at 133.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.134
Date: Wed, 09 Oct 2024 AIC 68.267
Time: 14:39:41 BIC 71.092
Sample: 0 HQIC 67.687
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2183 0.853 0.256 0.798 -1.453 1.890
ma.L1 -0.5621 0.722 -0.779 0.436 -1.977 0.853
ar.S.L7 -0.4072 0.273 -1.492 0.136 -0.942 0.128
ma.S.L7 1.0000 4.22e+04 2.37e-05 1.000 -8.27e+04 8.27e+04
sigma2 3.1211 1.32e+05 2.37e-05 1.000 -2.58e+05 2.58e+05
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 0.48
Prob(Q): 0.65 Prob(JB): 0.79
Heteroskedasticity (H): 1.57 Skew: -0.21
Prob(H) (two-sided): 0.67 Kurtosis: 2.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 140.25404925893523, Current Price: 132.42
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.009
Date: Wed, 09 Oct 2024 AIC 72.018
Time: 14:39:41 BIC 74.843
Sample: 0 HQIC 71.437
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6175 0.713 0.866 0.387 -0.780 2.015
ma.L1 -1.0000 7.74e+04 -1.29e-05 1.000 -1.52e+05 1.52e+05
ar.S.L7 -0.4946 0.466 -1.061 0.289 -1.408 0.419
ma.S.L7 -0.1978 0.832 -0.238 0.812 -1.828 1.432
sigma2 5.7284 4.44e+05 1.29e-05 1.000 -8.69e+05 8.69e+05
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.74
Prob(Q): 0.86 Prob(JB): 0.69
Heteroskedasticity (H): 3.97 Skew: -0.08
Prob(H) (two-sided): 0.21 Kurtosis: 1.84
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 133.01224083603523, Current Price: 130.968
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.408
Date: Wed, 09 Oct 2024 AIC 70.817
Time: 14:39:41 BIC 73.641
Sample: 0 HQIC 70.236
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0558 9.379 0.006 0.995 -18.328 18.439
ma.L1 -0.0069 9.322 -0.001 0.999 -18.277 18.263
ar.S.L7 -0.1697 0.969 -0.175 0.861 -2.070 1.730
ma.S.L7 -0.2333 1.142 -0.204 0.838 -2.471 2.004
sigma2 6.1631 5.280 1.167 0.243 -4.186 16.512
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.32
Prob(Q): 0.91 Prob(JB): 0.85
Heteroskedasticity (H): 6.82 Skew: 0.15
Prob(H) (two-sided): 0.09 Kurtosis: 2.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 131.94514847018007, Current Price: 130.38
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.057
Date: Wed, 09 Oct 2024 AIC 70.115
Time: 14:39:41 BIC 72.939
Sample: 0 HQIC 69.534
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6718 2.710 0.248 0.804 -4.640 5.984
ma.L1 -1.5334 6.983 -0.220 0.826 -15.219 12.152
ar.S.L7 -1.243e-05 0.220 -5.65e-05 1.000 -0.431 0.431
ma.S.L7 -1.0190 21.251 -0.048 0.962 -42.670 40.632
sigma2 1.7624 47.085 0.037 0.970 -90.523 94.048
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.34
Prob(Q): 0.78 Prob(JB): 0.84
Heteroskedasticity (H): 0.92 Skew: 0.36
Prob(H) (two-sided): 0.94 Kurtosis: 2.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 130.32571426914313, Current Price: 132.088
SELL EXECUTED at 132.088
SELL ORDER COMPLETED at 131.48
OPERATION PROFIT, GROSS -2.380000000000024, NET -2.645340000000024
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.088
Date: Wed, 09 Oct 2024 AIC 70.176
Time: 14:39:41 BIC 73.001
Sample: 0 HQIC 69.596
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1813 4.591 0.039 0.969 -8.817 9.180
ma.L1 -0.2748 4.646 -0.059 0.953 -9.381 8.832
ar.S.L7 -0.3344 0.517 -0.646 0.518 -1.349 0.680
ma.S.L7 -1.0001 1.07e+04 -9.38e-05 1.000 -2.09e+04 2.09e+04
sigma2 3.6109 3.85e+04 9.38e-05 1.000 -7.54e+04 7.55e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.17
Prob(Q): 0.95 Prob(JB): 0.92
Heteroskedasticity (H): 0.40 Skew: 0.06
Prob(H) (two-sided): 0.40 Kurtosis: 2.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 130.9080460939907, Current Price: 132.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.157
Date: Wed, 09 Oct 2024 AIC 70.314
Time: 14:39:41 BIC 73.139
Sample: 0 HQIC 69.734
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3176 9.385 -0.034 0.973 -18.712 18.077
ma.L1 2.8389 73.941 0.038 0.969 -142.082 147.760
ar.S.L7 -0.2505 0.688 -0.364 0.716 -1.599 1.098
ma.S.L7 -0.9999 1.89e+04 -5.28e-05 1.000 -3.71e+04 3.71e+04
sigma2 0.4528 8564.600 5.29e-05 1.000 -1.68e+04 1.68e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.23
Prob(Q): 0.85 Prob(JB): 0.89
Heteroskedasticity (H): 0.26 Skew: 0.04
Prob(H) (two-sided): 0.22 Kurtosis: 2.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 132.77512713929548, Current Price: 133.48
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.748
Date: Wed, 09 Oct 2024 AIC 65.496
Time: 14:39:41 BIC 68.321
Sample: 0 HQIC 64.916
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8597 0.178 -4.841 0.000 -1.208 -0.512
ma.L1 1.0000 3102.921 0.000 1.000 -6080.613 6082.612
ar.S.L7 -0.4130 0.354 -1.168 0.243 -1.106 0.280
ma.S.L7 -1.0001 1.8e+04 -5.56e-05 1.000 -3.52e+04 3.52e+04
sigma2 2.2262 4.51e+04 4.94e-05 1.000 -8.83e+04 8.83e+04
===================================================================================
Ljung-Box (L1) (Q): 0.77 Jarque-Bera (JB): 0.34
Prob(Q): 0.38 Prob(JB): 0.84
Heteroskedasticity (H): 0.15 Skew: -0.39
Prob(H) (two-sided): 0.09 Kurtosis: 2.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 133.57441158788237, Current Price: 134.41
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.039
Date: Wed, 09 Oct 2024 AIC 60.078
Time: 14:39:41 BIC 62.903
Sample: 0 HQIC 59.498
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7429 0.088 -8.451 0.000 -0.915 -0.571
ma.L1 1.0000 1.16e+04 8.58e-05 1.000 -2.28e+04 2.28e+04
ar.S.L7 -0.6647 0.247 -2.690 0.007 -1.149 -0.180
ma.S.L7 -1.0000 2.51e+04 -3.98e-05 1.000 -4.93e+04 4.93e+04
sigma2 1.4670 4.9e+04 2.99e-05 1.000 -9.61e+04 9.61e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 1.24
Prob(Q): 0.86 Prob(JB): 0.54
Heteroskedasticity (H): 0.17 Skew: -0.73
Prob(H) (two-sided): 0.11 Kurtosis: 2.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 137.84515586227124, Current Price: 134.18
BUY EXECUTED at 134.18
BUY ORDER COMPLETED at 132.38
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.635
Date: Wed, 09 Oct 2024 AIC 63.270
Time: 14:39:41 BIC 66.095
Sample: 0 HQIC 62.690
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8202 0.352 -2.330 0.020 -1.510 -0.130
ma.L1 1.0000 5230.197 0.000 1.000 -1.02e+04 1.03e+04
ar.S.L7 -0.4239 0.730 -0.581 0.561 -1.854 1.007
ma.S.L7 -1.0001 1.24e+04 -8.05e-05 1.000 -2.43e+04 2.43e+04
sigma2 1.8756 2.35e+04 7.99e-05 1.000 -4.6e+04 4.6e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 1.51
Prob(Q): 0.84 Prob(JB): 0.47
Heteroskedasticity (H): 2.45 Skew: -0.78
Prob(H) (two-sided): 0.41 Kurtosis: 2.38
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 133.2085445201845, Current Price: 132.82
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.609
Date: Wed, 09 Oct 2024 AIC 67.217
Time: 14:39:41 BIC 70.042
Sample: 0 HQIC 66.637
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0945 17.400 0.005 0.996 -34.008 34.197
ma.L1 -0.0556 17.153 -0.003 0.997 -33.675 33.564
ar.S.L7 -0.4291 0.551 -0.779 0.436 -1.509 0.650
ma.S.L7 -1.0001 9731.025 -0.000 1.000 -1.91e+04 1.91e+04
sigma2 2.8754 2.8e+04 0.000 1.000 -5.48e+04 5.48e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.84
Prob(Q): 0.95 Prob(JB): 0.66
Heteroskedasticity (H): 0.56 Skew: -0.10
Prob(H) (two-sided): 0.59 Kurtosis: 1.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 133.71695853989766, Current Price: 133.508
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.846
Date: Wed, 09 Oct 2024 AIC 63.692
Time: 14:39:41 BIC 66.517
Sample: 0 HQIC 63.112
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5584 0.203 -2.756 0.006 -0.955 -0.161
ma.L1 1.0000 8937.000 0.000 1.000 -1.75e+04 1.75e+04
ar.S.L7 -0.5957 0.295 -2.017 0.044 -1.174 -0.017
ma.S.L7 -0.3221 0.919 -0.351 0.726 -2.122 1.478
sigma2 3.0636 2.74e+04 0.000 1.000 -5.37e+04 5.37e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.46
Prob(Q): 0.96 Prob(JB): 0.80
Heteroskedasticity (H): 0.45 Skew: -0.25
Prob(H) (two-sided): 0.46 Kurtosis: 2.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 131.8672855663281, Current Price: 135.42
SELL EXECUTED at 135.42
SELL ORDER COMPLETED at 135.71
OPERATION PROFIT, GROSS 3.3300000000000125, NET 3.0619100000000126
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.446
Date: Wed, 09 Oct 2024 AIC 64.892
Time: 14:39:41 BIC 67.716
Sample: 0 HQIC 64.311
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1001 1.856 0.054 0.957 -3.537 3.738
ma.L1 0.1265 1.662 0.076 0.939 -3.131 3.384
ar.S.L7 -0.3888 0.397 -0.979 0.328 -1.167 0.390
ma.S.L7 -0.5678 1.006 -0.565 0.572 -2.539 1.403
sigma2 3.4364 2.320 1.481 0.139 -1.111 7.984
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.71
Prob(Q): 0.85 Prob(JB): 0.70
Heteroskedasticity (H): 0.86 Skew: -0.17
Prob(H) (two-sided): 0.89 Kurtosis: 1.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 136.34778158670818, Current Price: 135.38
BUY EXECUTED at 135.38
BUY ORDER COMPLETED at 135.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.916
Date: Wed, 09 Oct 2024 AIC 65.832
Time: 14:39:41 BIC 68.657
Sample: 0 HQIC 65.251
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4152 0.403 -1.030 0.303 -1.205 0.375
ma.L1 1.0000 1.66e+04 6.03e-05 1.000 -3.25e+04 3.25e+04
ar.S.L7 -0.4950 0.198 -2.502 0.012 -0.883 -0.107
ma.S.L7 0.2481 0.557 0.446 0.656 -0.843 1.339
sigma2 3.6854 6.11e+04 6.03e-05 1.000 -1.2e+05 1.2e+05
===================================================================================
Ljung-Box (L1) (Q): 0.46 Jarque-Bera (JB): 1.10
Prob(Q): 0.50 Prob(JB): 0.58
Heteroskedasticity (H): 0.28 Skew: 0.20
Prob(H) (two-sided): 0.25 Kurtosis: 1.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 135.28722297069177, Current Price: 135.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.994
Date: Wed, 09 Oct 2024 AIC 61.987
Time: 14:39:41 BIC 64.812
Sample: 0 HQIC 61.407
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3488 1.389 -0.251 0.802 -3.070 2.373
ma.L1 0.5237 1.496 0.350 0.726 -2.409 3.456
ar.S.L7 -0.5953 0.233 -2.558 0.011 -1.052 -0.139
ma.S.L7 0.0144 0.411 0.035 0.972 -0.790 0.819
sigma2 3.1959 2.210 1.446 0.148 -1.136 7.527
===================================================================================
Ljung-Box (L1) (Q): 1.10 Jarque-Bera (JB): 0.84
Prob(Q): 0.29 Prob(JB): 0.66
Heteroskedasticity (H): 0.61 Skew: 0.35
Prob(H) (two-sided): 0.64 Kurtosis: 1.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 133.316340412332, Current Price: 138.07
SELL EXECUTED at 138.07
SELL ORDER COMPLETED at 138.14
OPERATION PROFIT, GROSS 2.519999999999982, NET 2.2462399999999816
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.706
Date: Wed, 09 Oct 2024 AIC 63.412
Time: 14:39:42 BIC 66.237
Sample: 0 HQIC 62.832
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1385 8.196 -0.017 0.987 -16.202 15.925
ma.L1 0.0754 7.695 0.010 0.992 -15.006 15.156
ar.S.L7 -0.4314 0.497 -0.868 0.385 -1.406 0.543
ma.S.L7 0.2844 0.639 0.445 0.656 -0.968 1.537
sigma2 3.4471 1.459 2.362 0.018 0.587 6.308
===================================================================================
Ljung-Box (L1) (Q): 0.29 Jarque-Bera (JB): 1.28
Prob(Q): 0.59 Prob(JB): 0.53
Heteroskedasticity (H): 1.04 Skew: 0.77
Prob(H) (two-sided): 0.97 Kurtosis: 2.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 137.0912732926196, Current Price: 139.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.527
Date: Wed, 09 Oct 2024 AIC 59.054
Time: 14:39:42 BIC 61.879
Sample: 0 HQIC 58.474
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4448 0.170 2.610 0.009 0.111 0.779
ma.L1 -0.5619 0.513 -1.096 0.273 -1.566 0.443
ar.S.L7 -0.3727 0.226 -1.652 0.099 -0.815 0.070
ma.S.L7 1.0000 9.92e+04 1.01e-05 1.000 -1.95e+05 1.95e+05
sigma2 1.5228 1.51e+05 1.01e-05 1.000 -2.96e+05 2.96e+05
===================================================================================
Ljung-Box (L1) (Q): 0.59 Jarque-Bera (JB): 0.28
Prob(Q): 0.44 Prob(JB): 0.87
Heteroskedasticity (H): 1.00 Skew: -0.16
Prob(H) (two-sided): 1.00 Kurtosis: 2.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 137.3536863066581, Current Price: 136.5
BUY EXECUTED at 136.5
BUY ORDER COMPLETED at 135.91
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.549
Date: Wed, 09 Oct 2024 AIC 59.098
Time: 14:39:42 BIC 61.923
Sample: 0 HQIC 58.518
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2278 1.480 0.154 0.878 -2.674 3.129
ma.L1 -0.4826 1.369 -0.353 0.724 -3.166 2.201
ar.S.L7 -0.3364 0.134 -2.508 0.012 -0.599 -0.073
ma.S.L7 1.0014 441.732 0.002 0.998 -864.778 866.780
sigma2 1.5388 679.744 0.002 0.998 -1330.735 1333.813
===================================================================================
Ljung-Box (L1) (Q): 0.64 Jarque-Bera (JB): 0.39
Prob(Q): 0.43 Prob(JB): 0.82
Heteroskedasticity (H): 0.67 Skew: 0.35
Prob(H) (two-sided): 0.70 Kurtosis: 2.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 137.89257059843717, Current Price: 134.79
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.754
Date: Wed, 09 Oct 2024 AIC 57.507
Time: 14:39:42 BIC 60.332
Sample: 0 HQIC 56.926
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5087 0.122 -4.179 0.000 -0.747 -0.270
ma.L1 1.0000 1.01e+05 9.92e-06 1.000 -1.98e+05 1.98e+05
ar.S.L7 -0.2526 0.231 -1.094 0.274 -0.705 0.200
ma.S.L7 0.5412 0.888 0.609 0.542 -1.200 2.283
sigma2 1.6281 1.64e+05 9.92e-06 1.000 -3.22e+05 3.22e+05
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.57
Prob(Q): 0.88 Prob(JB): 0.75
Heteroskedasticity (H): 0.70 Skew: 0.48
Prob(H) (two-sided): 0.74 Kurtosis: 2.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 136.28333821213135, Current Price: 135.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.167
Date: Wed, 09 Oct 2024 AIC 54.333
Time: 14:39:42 BIC 57.158
Sample: 0 HQIC 53.753
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3047 0.556 -0.548 0.584 -1.395 0.785
ma.L1 1.0000 3.92e+04 2.55e-05 1.000 -7.68e+04 7.68e+04
ar.S.L7 -0.2302 0.201 -1.145 0.252 -0.624 0.164
ma.S.L7 1.0000 8.54e+04 1.17e-05 1.000 -1.67e+05 1.67e+05
sigma2 0.9117 6.51e+04 1.4e-05 1.000 -1.28e+05 1.28e+05
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.00
Prob(Q): 0.97 Prob(JB): 0.61
Heteroskedasticity (H): 0.36 Skew: 0.45
Prob(H) (two-sided): 0.34 Kurtosis: 1.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 135.3358521634407, Current Price: 135.408
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.950
Date: Wed, 09 Oct 2024 AIC 57.900
Time: 14:39:42 BIC 60.725
Sample: 0 HQIC 57.320
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1953 0.560 -0.349 0.727 -1.292 0.901
ma.L1 0.8481 0.892 0.951 0.342 -0.900 2.596
ar.S.L7 0.0148 0.240 0.062 0.951 -0.455 0.485
ma.S.L7 0.5719 0.894 0.640 0.522 -1.180 2.324
sigma2 1.8895 1.632 1.158 0.247 -1.309 5.088
===================================================================================
Ljung-Box (L1) (Q): 0.35 Jarque-Bera (JB): 1.26
Prob(Q): 0.55 Prob(JB): 0.53
Heteroskedasticity (H): 0.48 Skew: 0.64
Prob(H) (two-sided): 0.49 Kurtosis: 3.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 133.92792440736898, Current Price: 136.05
SELL EXECUTED at 136.05
SELL ORDER COMPLETED at 136.27
OPERATION PROFIT, GROSS 0.36000000000001364, NET 0.08782000000001366
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.280
Date: Wed, 09 Oct 2024 AIC 48.560
Time: 14:39:42 BIC 51.385
Sample: 0 HQIC 47.980
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4308 0.558 -0.772 0.440 -1.525 0.663
ma.L1 0.8325 0.590 1.411 0.158 -0.324 1.989
ar.S.L7 -0.0616 0.328 -0.188 0.851 -0.704 0.580
ma.S.L7 0.2172 0.461 0.471 0.637 -0.686 1.120
sigma2 1.0900 0.785 1.388 0.165 -0.449 2.629
===================================================================================
Ljung-Box (L1) (Q): 0.24 Jarque-Bera (JB): 0.30
Prob(Q): 0.62 Prob(JB): 0.86
Heteroskedasticity (H): 5.19 Skew: -0.32
Prob(H) (two-sided): 0.14 Kurtosis: 2.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 139.5353956336088, Current Price: 136.18
BUY EXECUTED at 136.18
BUY ORDER COMPLETED at 135.34
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.330
Date: Wed, 09 Oct 2024 AIC 54.661
Time: 14:39:42 BIC 57.485
Sample: 0 HQIC 54.080
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1890 0.857 -0.221 0.825 -1.868 1.490
ma.L1 0.6272 0.640 0.980 0.327 -0.628 1.882
ar.S.L7 -0.1099 0.579 -0.190 0.849 -1.244 1.025
ma.S.L7 -0.1289 0.519 -0.249 0.804 -1.145 0.888
sigma2 1.8018 0.822 2.191 0.028 0.190 3.414
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 2.72
Prob(Q): 0.88 Prob(JB): 0.26
Heteroskedasticity (H): 4.74 Skew: 0.87
Prob(H) (two-sided): 0.16 Kurtosis: 4.40
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 135.8423309914809, Current Price: 134.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.344
Date: Wed, 09 Oct 2024 AIC 50.688
Time: 14:39:42 BIC 53.513
Sample: 0 HQIC 50.108
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0831 0.828 -0.100 0.920 -1.706 1.540
ma.L1 1.7751 1.632 1.087 0.277 -1.424 4.975
ar.S.L7 -0.1614 0.264 -0.611 0.541 -0.679 0.356
ma.S.L7 -1.0001 6700.939 -0.000 1.000 -1.31e+04 1.31e+04
sigma2 0.2561 1716.281 0.000 1.000 -3363.593 3364.105
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 9.21
Prob(Q): 0.88 Prob(JB): 0.01
Heteroskedasticity (H): 0.86 Skew: 1.65
Prob(H) (two-sided): 0.89 Kurtosis: 5.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 132.7557779608856, Current Price: 133.81
SELL EXECUTED at 133.81
SELL ORDER COMPLETED at 133.97
OPERATION PROFIT, GROSS -1.3700000000000045, NET -1.6393100000000045
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.353
Date: Wed, 09 Oct 2024 AIC 50.705
Time: 14:39:42 BIC 53.530
Sample: 0 HQIC 50.125
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1519 0.734 -0.207 0.836 -1.590 1.286
ma.L1 0.5855 0.567 1.033 0.302 -0.526 1.697
ar.S.L7 -0.1313 0.252 -0.522 0.602 -0.625 0.362
ma.S.L7 -1.0000 2.57e+04 -3.89e-05 1.000 -5.04e+04 5.04e+04
sigma2 0.8083 2.08e+04 3.89e-05 1.000 -4.07e+04 4.07e+04
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 5.00
Prob(Q): 0.67 Prob(JB): 0.08
Heteroskedasticity (H): 0.52 Skew: 1.36
Prob(H) (two-sided): 0.55 Kurtosis: 4.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.1055184037231, Current Price: 134.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.174
Date: Wed, 09 Oct 2024 AIC 50.347
Time: 14:39:42 BIC 53.172
Sample: 0 HQIC 49.767
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2852 0.772 -0.369 0.712 -1.799 1.229
ma.L1 0.6987 0.505 1.383 0.167 -0.291 1.689
ar.S.L7 -0.1780 0.227 -0.785 0.433 -0.623 0.267
ma.S.L7 -1.0000 1.97e+04 -5.08e-05 1.000 -3.86e+04 3.86e+04
sigma2 0.7887 1.55e+04 5.08e-05 1.000 -3.04e+04 3.04e+04
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 5.85
Prob(Q): 0.72 Prob(JB): 0.05
Heteroskedasticity (H): 0.46 Skew: 1.41
Prob(H) (two-sided): 0.48 Kurtosis: 4.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 135.40487774426532, Current Price: 135.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.086
Date: Wed, 09 Oct 2024 AIC 50.172
Time: 14:39:42 BIC 52.997
Sample: 0 HQIC 49.592
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3401 0.905 -0.376 0.707 -2.114 1.434
ma.L1 0.7822 0.407 1.920 0.055 -0.016 1.581
ar.S.L7 -0.2395 0.263 -0.912 0.362 -0.754 0.275
ma.S.L7 -1.0000 1.69e+04 -5.93e-05 1.000 -3.3e+04 3.3e+04
sigma2 0.7811 1.32e+04 5.93e-05 1.000 -2.58e+04 2.58e+04
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 6.03
Prob(Q): 0.71 Prob(JB): 0.05
Heteroskedasticity (H): 0.28 Skew: 1.37
Prob(H) (two-sided): 0.25 Kurtosis: 4.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 135.29458461671325, Current Price: 135.32
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.829
Date: Wed, 09 Oct 2024 AIC 49.658
Time: 14:39:42 BIC 52.483
Sample: 0 HQIC 49.078
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2473 0.526 -0.470 0.639 -1.279 0.784
ma.L1 0.7569 0.346 2.189 0.029 0.079 1.435
ar.S.L7 -0.0827 0.184 -0.450 0.653 -0.443 0.278
ma.S.L7 -1.0000 2.08e+04 -4.8e-05 1.000 -4.08e+04 4.08e+04
sigma2 0.7485 1.56e+04 4.8e-05 1.000 -3.05e+04 3.05e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.04
Prob(Q): 0.92 Prob(JB): 0.59
Heteroskedasticity (H): 0.17 Skew: 0.64
Prob(H) (two-sided): 0.11 Kurtosis: 3.55
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 135.94766027622012, Current Price: 135.05
BUY EXECUTED at 135.05
BUY ORDER COMPLETED at 134.26
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.614
Date: Wed, 09 Oct 2024 AIC 35.229
Time: 14:39:42 BIC 38.053
Sample: 0 HQIC 34.648
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3653 0.054 -6.798 0.000 -0.471 -0.260
ma.L1 1.0000 1791.775 0.001 1.000 -3510.815 3512.815
ar.S.L7 -0.7139 0.336 -2.124 0.034 -1.373 -0.055
ma.S.L7 -0.2812 0.598 -0.470 0.638 -1.453 0.891
sigma2 0.3544 634.920 0.001 1.000 -1244.066 1244.775
===================================================================================
Ljung-Box (L1) (Q): 1.73 Jarque-Bera (JB): 0.42
Prob(Q): 0.19 Prob(JB): 0.81
Heteroskedasticity (H): 0.31 Skew: 0.29
Prob(H) (two-sided): 0.28 Kurtosis: 3.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 136.97185957833744, Current Price: 134.66
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.224
Date: Wed, 09 Oct 2024 AIC 40.448
Time: 14:39:42 BIC 43.272
Sample: 0 HQIC 39.867
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1639 0.390 -0.420 0.674 -0.929 0.601
ma.L1 1.0000 2007.477 0.000 1.000 -3933.583 3935.583
ar.S.L7 -0.4084 0.275 -1.484 0.138 -0.948 0.131
ma.S.L7 -1.0016 386.469 -0.003 0.998 -758.468 756.464
sigma2 0.3453 618.583 0.001 1.000 -1212.054 1212.745
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.20
Prob(Q): 0.88 Prob(JB): 0.90
Heteroskedasticity (H): 1.39 Skew: 0.24
Prob(H) (two-sided): 0.76 Kurtosis: 2.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 133.8608727512783, Current Price: 135.02
SELL EXECUTED at 135.02
SELL ORDER COMPLETED at 136.85
OPERATION PROFIT, GROSS 2.5900000000000034, NET 2.3188900000000032
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.772
Date: Wed, 09 Oct 2024 AIC 43.543
Time: 14:39:42 BIC 46.368
Sample: 0 HQIC 42.963
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0594 0.550 -0.108 0.914 -1.137 1.018
ma.L1 1.0000 9.69e+04 1.03e-05 1.000 -1.9e+05 1.9e+05
ar.S.L7 -0.3169 0.174 -1.817 0.069 -0.659 0.025
ma.S.L7 -0.5762 0.906 -0.636 0.525 -2.351 1.199
sigma2 0.6125 5.94e+04 1.03e-05 1.000 -1.16e+05 1.16e+05
===================================================================================
Ljung-Box (L1) (Q): 0.94 Jarque-Bera (JB): 0.69
Prob(Q): 0.33 Prob(JB): 0.71
Heteroskedasticity (H): 4.39 Skew: 0.49
Prob(H) (two-sided): 0.18 Kurtosis: 2.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.5051210036747, Current Price: 137.22
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.179
Date: Wed, 09 Oct 2024 AIC 46.358
Time: 14:39:42 BIC 49.183
Sample: 0 HQIC 45.778
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2847 1.089 0.262 0.794 -1.849 2.418
ma.L1 1.0000 1.97e+04 5.09e-05 1.000 -3.85e+04 3.85e+04
ar.S.L7 -0.4753 0.133 -3.562 0.000 -0.737 -0.214
ma.S.L7 1.0001 1.61e+04 6.22e-05 1.000 -3.15e+04 3.15e+04
sigma2 0.4852 1.17e+04 4.13e-05 1.000 -2.3e+04 2.3e+04
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 0.61
Prob(Q): 0.72 Prob(JB): 0.74
Heteroskedasticity (H): 2.24 Skew: 0.53
Prob(H) (two-sided): 0.45 Kurtosis: 2.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 139.3565206650536, Current Price: 137.71
BUY EXECUTED at 137.71
BUY ORDER COMPLETED at 137.58
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.375
Date: Wed, 09 Oct 2024 AIC 48.750
Time: 14:39:42 BIC 51.574
Sample: 0 HQIC 48.169
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1024 0.955 0.107 0.915 -1.770 1.975
ma.L1 1.0000 5038.217 0.000 1.000 -9873.724 9875.724
ar.S.L7 -0.5249 0.193 -2.717 0.007 -0.903 -0.146
ma.S.L7 1.0003 6130.491 0.000 1.000 -1.2e+04 1.2e+04
sigma2 0.5855 3026.847 0.000 1.000 -5931.925 5933.096
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.67
Prob(Q): 0.98 Prob(JB): 0.71
Heteroskedasticity (H): 3.76 Skew: 0.45
Prob(H) (two-sided): 0.23 Kurtosis: 2.35
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 137.54084492935007, Current Price: 137.03
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.230
Date: Wed, 09 Oct 2024 AIC 48.459
Time: 14:39:42 BIC 51.284
Sample: 0 HQIC 47.879
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1529 0.523 0.292 0.770 -0.872 1.178
ma.L1 1.0000 4280.895 0.000 1.000 -8389.401 8391.401
ar.S.L7 -0.4367 0.224 -1.947 0.052 -0.876 0.003
ma.S.L7 1.2120 7.882 0.154 0.878 -14.236 16.661
sigma2 0.4597 1969.438 0.000 1.000 -3859.569 3860.488
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 0.74
Prob(Q): 0.68 Prob(JB): 0.69
Heteroskedasticity (H): 1.71 Skew: 0.52
Prob(H) (two-sided): 0.62 Kurtosis: 2.48
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 136.5758924059693, Current Price: 138.72
SELL EXECUTED at 138.72
SELL ORDER COMPLETED at 138.67
OPERATION PROFIT, GROSS 1.089999999999975, NET 0.813749999999975
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.828
Date: Wed, 09 Oct 2024 AIC 51.657
Time: 14:39:42 BIC 54.481
Sample: 0 HQIC 51.076
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0030 0.623 0.005 0.996 -1.217 1.223
ma.L1 1.0000 4.32e+04 2.32e-05 1.000 -8.46e+04 8.46e+04
ar.S.L7 -0.4767 0.312 -1.529 0.126 -1.088 0.134
ma.S.L7 1.0001 1.15e+04 8.73e-05 1.000 -2.24e+04 2.25e+04
sigma2 0.7342 2.87e+04 2.56e-05 1.000 -5.63e+04 5.63e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.11
Prob(Q): 0.98 Prob(JB): 0.57
Heteroskedasticity (H): 1.93 Skew: 0.44
Prob(H) (two-sided): 0.54 Kurtosis: 1.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 140.10742177558518, Current Price: 138.0
BUY EXECUTED at 138.0
BUY ORDER COMPLETED at 136.24
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.022
Date: Wed, 09 Oct 2024 AIC 52.044
Time: 14:39:42 BIC 54.869
Sample: 0 HQIC 51.464
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1938 0.526 -0.369 0.712 -1.224 0.836
ma.L1 1.0000 1.24e+04 8.08e-05 1.000 -2.42e+04 2.42e+04
ar.S.L7 -0.1953 0.472 -0.414 0.679 -1.120 0.729
ma.S.L7 0.3789 0.899 0.422 0.673 -1.382 2.140
sigma2 1.2053 1.49e+04 8.08e-05 1.000 -2.92e+04 2.92e+04
===================================================================================
Ljung-Box (L1) (Q): 0.68 Jarque-Bera (JB): 1.01
Prob(Q): 0.41 Prob(JB): 0.60
Heteroskedasticity (H): 2.25 Skew: 0.15
Prob(H) (two-sided): 0.45 Kurtosis: 1.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 136.22879600682106, Current Price: 134.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.587
Date: Wed, 09 Oct 2024 AIC 53.173
Time: 14:39:42 BIC 55.998
Sample: 0 HQIC 52.592
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1837 0.758 -0.242 0.808 -1.669 1.302
ma.L1 1.0000 2.43e+04 4.11e-05 1.000 -4.77e+04 4.77e+04
ar.S.L7 -0.2642 0.617 -0.428 0.669 -1.474 0.945
ma.S.L7 0.3593 0.972 0.370 0.712 -1.545 2.264
sigma2 1.3243 3.22e+04 4.11e-05 1.000 -6.32e+04 6.32e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.86
Prob(Q): 1.00 Prob(JB): 0.65
Heteroskedasticity (H): 3.06 Skew: 0.16
Prob(H) (two-sided): 0.30 Kurtosis: 1.78
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.66172619535044, Current Price: 134.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.121
Date: Wed, 09 Oct 2024 AIC 50.241
Time: 14:39:42 BIC 53.066
Sample: 0 HQIC 49.661
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0189 0.467 -0.040 0.968 -0.933 0.896
ma.L1 1.0000 4.95e+04 2.02e-05 1.000 -9.71e+04 9.71e+04
ar.S.L7 0.0014 0.005 0.271 0.787 -0.009 0.012
ma.S.L7 0.1074 0.411 0.261 0.794 -0.698 0.913
sigma2 1.1418 5.65e+04 2.02e-05 1.000 -1.11e+05 1.11e+05
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.50
Prob(Q): 0.85 Prob(JB): 0.78
Heteroskedasticity (H): 7.39 Skew: -0.00
Prob(H) (two-sided): 0.08 Kurtosis: 2.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 136.86277378519728, Current Price: 133.83
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.633
Date: Wed, 09 Oct 2024 AIC 55.266
Time: 14:39:42 BIC 58.091
Sample: 0 HQIC 54.686
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2404 0.380 -0.632 0.527 -0.986 0.505
ma.L1 1.0000 0.449 2.226 0.026 0.120 1.880
ar.S.L7 -0.0009 0.008 -0.108 0.914 -0.017 0.015
ma.S.L7 -0.2451 0.321 -0.764 0.445 -0.874 0.383
sigma2 1.7615 0.255 6.908 0.000 1.262 2.261
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.58
Prob(Q): 0.81 Prob(JB): 0.75
Heteroskedasticity (H): 9.08 Skew: 0.38
Prob(H) (two-sided): 0.06 Kurtosis: 2.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 5.05e+16. Standard errors may be unstable.
Predicted Price: 132.476437691629, Current Price: 133.58
SELL EXECUTED at 133.58
SELL ORDER COMPLETED at 133.85
OPERATION PROFIT, GROSS -2.390000000000015, NET -2.660090000000015
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.231
Date: Wed, 09 Oct 2024 AIC 54.461
Time: 14:39:42 BIC 57.286
Sample: 0 HQIC 53.880
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5159 0.512 -1.007 0.314 -1.520 0.488
ma.L1 1.0000 1.35e+04 7.42e-05 1.000 -2.64e+04 2.64e+04
ar.S.L7 0.1437 0.797 0.180 0.857 -1.419 1.707
ma.S.L7 -1.0001 2.1e+04 -4.76e-05 1.000 -4.11e+04 4.11e+04
sigma2 0.9867 3.33e+04 2.96e-05 1.000 -6.53e+04 6.53e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.60
Prob(Q): 0.94 Prob(JB): 0.74
Heteroskedasticity (H): 2.18 Skew: 0.15
Prob(H) (two-sided): 0.47 Kurtosis: 1.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.10905259695355, Current Price: 134.12
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.801
Date: Wed, 09 Oct 2024 AIC 53.601
Time: 14:39:42 BIC 56.426
Sample: 0 HQIC 53.021
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3810 0.560 -0.680 0.497 -1.479 0.717
ma.L1 1.0000 1.26e+04 7.91e-05 1.000 -2.48e+04 2.48e+04
ar.S.L7 0.0497 0.343 0.145 0.885 -0.623 0.722
ma.S.L7 -1.0001 1.34e+04 -7.45e-05 1.000 -2.63e+04 2.63e+04
sigma2 0.9637 1.85e+04 5.2e-05 1.000 -3.63e+04 3.63e+04
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 0.82
Prob(Q): 0.66 Prob(JB): 0.66
Heteroskedasticity (H): 0.60 Skew: 0.21
Prob(H) (two-sided): 0.63 Kurtosis: 1.84
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.4725109547962, Current Price: 134.91
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.629
Date: Wed, 09 Oct 2024 AIC 53.258
Time: 14:39:42 BIC 56.083
Sample: 0 HQIC 52.678
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3897 0.647 -0.602 0.547 -1.658 0.879
ma.L1 1.0000 1.69e+04 5.91e-05 1.000 -3.32e+04 3.32e+04
ar.S.L7 0.0651 0.415 0.157 0.875 -0.748 0.878
ma.S.L7 -1.0001 1.38e+04 -7.24e-05 1.000 -2.71e+04 2.71e+04
sigma2 0.9394 2.04e+04 4.61e-05 1.000 -3.99e+04 3.99e+04
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 0.66
Prob(Q): 0.69 Prob(JB): 0.72
Heteroskedasticity (H): 0.63 Skew: -0.06
Prob(H) (two-sided): 0.66 Kurtosis: 1.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 135.0887375397452, Current Price: 135.46
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.632
Date: Wed, 09 Oct 2024 AIC 53.264
Time: 14:39:42 BIC 56.089
Sample: 0 HQIC 52.683
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4025 0.642 -0.627 0.531 -1.661 0.856
ma.L1 1.0000 1.09e+04 9.18e-05 1.000 -2.13e+04 2.13e+04
ar.S.L7 0.0385 0.334 0.115 0.908 -0.615 0.692
ma.S.L7 -1.0001 1.26e+04 -7.93e-05 1.000 -2.47e+04 2.47e+04
sigma2 0.9407 1.63e+04 5.76e-05 1.000 -3.2e+04 3.2e+04
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.72
Prob(Q): 0.74 Prob(JB): 0.70
Heteroskedasticity (H): 0.08 Skew: -0.07
Prob(H) (two-sided): 0.03 Kurtosis: 1.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.19457445841175, Current Price: 134.05
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.825
Date: Wed, 09 Oct 2024 AIC 51.651
Time: 14:39:43 BIC 54.476
Sample: 0 HQIC 51.070
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4214 0.471 -0.894 0.371 -1.345 0.502
ma.L1 1.0000 3464.605 0.000 1.000 -6789.500 6791.500
ar.S.L7 0.0936 0.293 0.319 0.750 -0.481 0.668
ma.S.L7 -1.0001 1.17e+04 -8.54e-05 1.000 -2.29e+04 2.29e+04
sigma2 0.8289 1.02e+04 8.11e-05 1.000 -2e+04 2e+04
===================================================================================
Ljung-Box (L1) (Q): 1.43 Jarque-Bera (JB): 0.47
Prob(Q): 0.23 Prob(JB): 0.79
Heteroskedasticity (H): 0.06 Skew: -0.04
Prob(H) (two-sided): 0.02 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 133.46606976120094, Current Price: 132.69
BUY EXECUTED at 132.69
BUY ORDER COMPLETED at 133.625
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.607
Date: Wed, 09 Oct 2024 AIC 45.213
Time: 14:39:43 BIC 48.038
Sample: 0 HQIC 44.633
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4276 0.283 -1.510 0.131 -0.983 0.128
ma.L1 0.9150 0.470 1.947 0.052 -0.006 1.836
ar.S.L7 -0.2078 0.349 -0.596 0.551 -0.891 0.476
ma.S.L7 -1.0001 1.11e+04 -9.01e-05 1.000 -2.18e+04 2.18e+04
sigma2 0.5289 5870.701 9.01e-05 1.000 -1.15e+04 1.15e+04
===================================================================================
Ljung-Box (L1) (Q): 2.14 Jarque-Bera (JB): 0.41
Prob(Q): 0.14 Prob(JB): 0.81
Heteroskedasticity (H): 0.27 Skew: 0.19
Prob(H) (two-sided): 0.23 Kurtosis: 2.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 132.73469829900603, Current Price: 133.43
SELL EXECUTED at 133.43
SELL ORDER COMPLETED at 134.34
OPERATION PROFIT, GROSS 0.7150000000000034, NET 0.4470350000000034
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.914
Date: Wed, 09 Oct 2024 AIC 45.829
Time: 14:39:43 BIC 48.654
Sample: 0 HQIC 45.248
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3885 0.260 -1.492 0.136 -0.899 0.122
ma.L1 0.8870 0.413 2.149 0.032 0.078 1.696
ar.S.L7 -0.2347 0.350 -0.671 0.502 -0.921 0.451
ma.S.L7 -1.0001 1.19e+04 -8.42e-05 1.000 -2.33e+04 2.33e+04
sigma2 0.5608 6663.425 8.42e-05 1.000 -1.31e+04 1.31e+04
===================================================================================
Ljung-Box (L1) (Q): 2.01 Jarque-Bera (JB): 0.48
Prob(Q): 0.16 Prob(JB): 0.79
Heteroskedasticity (H): 0.21 Skew: -0.07
Prob(H) (two-sided): 0.16 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.0366752246703, Current Price: 133.72
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.376
Date: Wed, 09 Oct 2024 AIC 46.752
Time: 14:39:43 BIC 49.577
Sample: 0 HQIC 46.171
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3979 0.098 -4.054 0.000 -0.590 -0.206
ma.L1 0.9818 2.142 0.458 0.647 -3.216 5.180
ar.S.L7 -0.3427 0.506 -0.678 0.498 -1.334 0.649
ma.S.L7 -1.0001 8924.519 -0.000 1.000 -1.75e+04 1.75e+04
sigma2 0.5774 5153.416 0.000 1.000 -1.01e+04 1.01e+04
===================================================================================
Ljung-Box (L1) (Q): 0.87 Jarque-Bera (JB): 0.51
Prob(Q): 0.35 Prob(JB): 0.78
Heteroskedasticity (H): 0.23 Skew: 0.46
Prob(H) (two-sided): 0.19 Kurtosis: 2.71
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 133.5817407316191, Current Price: 131.2
BUY EXECUTED at 131.2
BUY ORDER COMPLETED at 130.76
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.916
Date: Wed, 09 Oct 2024 AIC 49.832
Time: 14:39:43 BIC 52.657
Sample: 0 HQIC 49.251
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3437 0.220 -1.564 0.118 -0.774 0.087
ma.L1 1.0000 6785.131 0.000 1.000 -1.33e+04 1.33e+04
ar.S.L7 -0.4963 0.365 -1.359 0.174 -1.212 0.219
ma.S.L7 -0.2740 0.828 -0.331 0.741 -1.897 1.349
sigma2 1.1206 7603.575 0.000 1.000 -1.49e+04 1.49e+04
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 1.19
Prob(Q): 0.64 Prob(JB): 0.55
Heteroskedasticity (H): 0.67 Skew: -0.27
Prob(H) (two-sided): 0.71 Kurtosis: 1.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 131.2166246451413, Current Price: 131.03
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.885
Date: Wed, 09 Oct 2024 AIC 49.769
Time: 14:39:43 BIC 52.594
Sample: 0 HQIC 49.188
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3347 0.365 -0.917 0.359 -1.050 0.381
ma.L1 1.0000 2.86e+04 3.5e-05 1.000 -5.6e+04 5.6e+04
ar.S.L7 -0.6037 0.383 -1.577 0.115 -1.354 0.146
ma.S.L7 -0.2093 0.883 -0.237 0.813 -1.940 1.521
sigma2 1.1240 3.21e+04 3.5e-05 1.000 -6.3e+04 6.3e+04
===================================================================================
Ljung-Box (L1) (Q): 3.19 Jarque-Bera (JB): 0.70
Prob(Q): 0.07 Prob(JB): 0.71
Heteroskedasticity (H): 0.48 Skew: -0.31
Prob(H) (two-sided): 0.50 Kurtosis: 2.05
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 130.84048729642862, Current Price: 130.36
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.376
Date: Wed, 09 Oct 2024 AIC 42.753
Time: 14:39:43 BIC 45.577
Sample: 0 HQIC 42.172
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4891 0.220 -2.221 0.026 -0.921 -0.057
ma.L1 1.0000 1.15e+04 8.72e-05 1.000 -2.25e+04 2.25e+04
ar.S.L7 -0.6639 0.290 -2.292 0.022 -1.232 -0.096
ma.S.L7 -0.1787 0.520 -0.343 0.731 -1.198 0.841
sigma2 0.6230 7143.037 8.72e-05 1.000 -1.4e+04 1.4e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 2.03
Prob(Q): 0.89 Prob(JB): 0.36
Heteroskedasticity (H): 4.21 Skew: -0.86
Prob(H) (two-sided): 0.19 Kurtosis: 3.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.48810525287031, Current Price: 130.1
SELL EXECUTED at 130.1
SELL ORDER COMPLETED at 129.83
OPERATION PROFIT, GROSS -0.9299999999999784, NET -1.1905899999999785
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.149
Date: Wed, 09 Oct 2024 AIC 46.297
Time: 14:39:43 BIC 49.122
Sample: 0 HQIC 45.716
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4037 0.166 2.431 0.015 0.078 0.729
ma.L1 0.1886 0.551 0.342 0.732 -0.891 1.269
ar.S.L7 -0.7361 0.512 -1.437 0.151 -1.740 0.268
ma.S.L7 -1.0001 1.05e+04 -9.48e-05 1.000 -2.07e+04 2.07e+04
sigma2 0.5683 5994.137 9.48e-05 1.000 -1.17e+04 1.17e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.12
Prob(Q): 0.85 Prob(JB): 0.94
Heteroskedasticity (H): 6.94 Skew: -0.01
Prob(H) (two-sided): 0.09 Kurtosis: 3.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 131.07486487842175, Current Price: 131.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.259
Date: Wed, 09 Oct 2024 AIC 46.518
Time: 14:39:43 BIC 49.342
Sample: 0 HQIC 45.937
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2031 1.167 0.174 0.862 -2.083 2.490
ma.L1 0.4811 0.998 0.482 0.630 -1.475 2.437
ar.S.L7 -0.7734 0.441 -1.753 0.080 -1.638 0.091
ma.S.L7 -0.5126 2.504 -0.205 0.838 -5.420 4.395
sigma2 0.8614 1.348 0.639 0.523 -1.781 3.504
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.96
Prob(Q): 0.84 Prob(JB): 0.62
Heteroskedasticity (H): 7.32 Skew: 0.32
Prob(H) (two-sided): 0.08 Kurtosis: 4.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 131.37500238631884, Current Price: 127.925
BUY EXECUTED at 127.925
BUY ORDER COMPLETED at 127.97
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.784
Date: Wed, 09 Oct 2024 AIC 53.569
Time: 14:39:43 BIC 56.394
Sample: 0 HQIC 52.988
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0904 1.299 0.070 0.945 -2.456 2.637
ma.L1 0.7021 0.672 1.045 0.296 -0.615 2.020
ar.S.L7 -0.9455 0.587 -1.611 0.107 -2.096 0.205
ma.S.L7 -0.2139 1.307 -0.164 0.870 -2.776 2.349
sigma2 1.6272 1.004 1.620 0.105 -0.341 3.596
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.08
Prob(Q): 0.97 Prob(JB): 0.96
Heteroskedasticity (H): 6.53 Skew: 0.16
Prob(H) (two-sided): 0.10 Kurtosis: 3.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.69374205019471, Current Price: 130.28
SELL EXECUTED at 130.28
SELL ORDER COMPLETED at 129.27
OPERATION PROFIT, GROSS 1.3000000000000114, NET 1.0427600000000115
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.962
Date: Wed, 09 Oct 2024 AIC 57.924
Time: 14:39:43 BIC 60.748
Sample: 0 HQIC 57.343
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3814 0.428 0.892 0.372 -0.457 1.219
ma.L1 -1.0000 7076.581 -0.000 1.000 -1.39e+04 1.39e+04
ar.S.L7 -0.2714 0.451 -0.601 0.548 -1.156 0.613
ma.S.L7 -0.5105 2.094 -0.244 0.807 -4.614 3.593
sigma2 1.7938 1.27e+04 0.000 1.000 -2.49e+04 2.49e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.47
Prob(Q): 0.93 Prob(JB): 0.48
Heteroskedasticity (H): 3.90 Skew: -0.51
Prob(H) (two-sided): 0.22 Kurtosis: 1.71
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.59816816006375, Current Price: 129.87
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.958
Date: Wed, 09 Oct 2024 AIC 57.915
Time: 14:39:43 BIC 60.740
Sample: 0 HQIC 57.334
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3825 0.341 1.121 0.262 -0.286 1.051
ma.L1 -1.0000 4441.502 -0.000 1.000 -8706.184 8704.184
ar.S.L7 -0.3048 0.449 -0.679 0.497 -1.184 0.575
ma.S.L7 -0.4934 1.558 -0.317 0.752 -3.548 2.561
sigma2 1.8098 8038.084 0.000 1.000 -1.58e+04 1.58e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.56
Prob(Q): 0.91 Prob(JB): 0.46
Heteroskedasticity (H): 3.89 Skew: -0.58
Prob(H) (two-sided): 0.22 Kurtosis: 1.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 130.46383831804212, Current Price: 130.8
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.721
Date: Wed, 09 Oct 2024 AIC 57.442
Time: 14:39:43 BIC 60.266
Sample: 0 HQIC 56.861
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3556 0.344 1.035 0.301 -0.318 1.029
ma.L1 -1.0000 4172.601 -0.000 1.000 -8179.148 8177.147
ar.S.L7 -0.3493 0.594 -0.588 0.556 -1.513 0.815
ma.S.L7 -1.0006 2247.924 -0.000 1.000 -4406.852 4404.850
sigma2 1.1595 6957.326 0.000 1.000 -1.36e+04 1.36e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 1.23
Prob(Q): 0.83 Prob(JB): 0.54
Heteroskedasticity (H): 6.38 Skew: -0.45
Prob(H) (two-sided): 0.10 Kurtosis: 1.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 130.68801201763551, Current Price: 130.45
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.533
Date: Wed, 09 Oct 2024 AIC 59.066
Time: 14:39:43 BIC 61.890
Sample: 0 HQIC 58.485
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2863 2.237 -0.128 0.898 -4.671 4.098
ma.L1 10.6228 257.226 0.041 0.967 -493.531 514.776
ar.S.L7 -0.4864 0.825 -0.589 0.556 -2.104 1.131
ma.S.L7 -3.5862 22.262 -0.161 0.872 -47.219 40.047
sigma2 0.0017 0.077 0.022 0.983 -0.149 0.152
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.43
Prob(Q): 0.74 Prob(JB): 0.81
Heteroskedasticity (H): 0.46 Skew: -0.13
Prob(H) (two-sided): 0.47 Kurtosis: 2.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.10671237108008, Current Price: 132.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.186
Date: Wed, 09 Oct 2024 AIC 58.372
Time: 14:39:43 BIC 61.196
Sample: 0 HQIC 57.791
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6200 0.293 2.115 0.034 0.045 1.195
ma.L1 -1.2020 0.623 -1.930 0.054 -2.423 0.019
ar.S.L7 -1.0393 0.328 -3.171 0.002 -1.682 -0.397
ma.S.L7 1.0000 2.56e+05 3.9e-06 1.000 -5.02e+05 5.02e+05
sigma2 0.9574 2.45e+05 3.9e-06 1.000 -4.81e+05 4.81e+05
===================================================================================
Ljung-Box (L1) (Q): 0.43 Jarque-Bera (JB): 1.09
Prob(Q): 0.51 Prob(JB): 0.58
Heteroskedasticity (H): 1.12 Skew: 0.10
Prob(H) (two-sided): 0.92 Kurtosis: 1.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 131.22893354171288, Current Price: 131.66
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.142
Date: Wed, 09 Oct 2024 AIC 58.284
Time: 14:39:43 BIC 61.108
Sample: 0 HQIC 57.703
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6028 1.189 -0.507 0.612 -2.933 1.728
ma.L1 0.4718 1.531 0.308 0.758 -2.529 3.473
ar.S.L7 -0.9541 0.411 -2.319 0.020 -1.760 -0.148
ma.S.L7 1.0000 6.07e+04 1.65e-05 1.000 -1.19e+05 1.19e+05
sigma2 1.3978 8.48e+04 1.65e-05 1.000 -1.66e+05 1.66e+05
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.75
Prob(Q): 0.79 Prob(JB): 0.69
Heteroskedasticity (H): 0.50 Skew: -0.01
Prob(H) (two-sided): 0.52 Kurtosis: 1.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 131.39064334929722, Current Price: 131.68
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.328
Date: Wed, 09 Oct 2024 AIC 58.655
Time: 14:39:43 BIC 61.480
Sample: 0 HQIC 58.074
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1691 2.171 -0.078 0.938 -4.424 4.086
ma.L1 0.0224 2.257 0.010 0.992 -4.401 4.446
ar.S.L7 -1.0292 0.321 -3.202 0.001 -1.659 -0.399
ma.S.L7 1.0000 4.57e+04 2.19e-05 1.000 -8.96e+04 8.96e+04
sigma2 1.4884 6.81e+04 2.19e-05 1.000 -1.33e+05 1.33e+05
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.67
Prob(Q): 0.75 Prob(JB): 0.71
Heteroskedasticity (H): 0.26 Skew: -0.04
Prob(H) (two-sided): 0.22 Kurtosis: 1.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 133.6692040656412, Current Price: 133.14
BUY EXECUTED at 133.14
BUY ORDER COMPLETED at 133.19
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.054
Date: Wed, 09 Oct 2024 AIC 56.108
Time: 14:39:43 BIC 58.932
Sample: 0 HQIC 55.527
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4975 0.465 1.071 0.284 -0.413 1.408
ma.L1 -0.6797 0.505 -1.345 0.179 -1.670 0.311
ar.S.L7 -0.9457 0.297 -3.186 0.001 -1.528 -0.364
ma.S.L7 1.0000 6.68e+05 1.5e-06 1.000 -1.31e+06 1.31e+06
sigma2 1.1694 7.81e+05 1.5e-06 1.000 -1.53e+06 1.53e+06
===================================================================================
Ljung-Box (L1) (Q): 2.10 Jarque-Bera (JB): 0.61
Prob(Q): 0.15 Prob(JB): 0.74
Heteroskedasticity (H): 0.36 Skew: -0.32
Prob(H) (two-sided): 0.35 Kurtosis: 2.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 130.38730537493484, Current Price: 133.07
SELL EXECUTED at 133.07
SELL ORDER COMPLETED at 132.11
OPERATION PROFIT, GROSS -1.079999999999984, NET -1.345299999999984
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.208
Date: Wed, 09 Oct 2024 AIC 58.416
Time: 14:39:43 BIC 61.241
Sample: 0 HQIC 57.835
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2526 1.143 -0.221 0.825 -2.494 1.988
ma.L1 -0.0080 1.169 -0.007 0.995 -2.300 2.284
ar.S.L7 -0.0657 0.598 -0.110 0.912 -1.238 1.107
ma.S.L7 -1.0001 2.13e+04 -4.69e-05 1.000 -4.18e+04 4.18e+04
sigma2 1.4623 3.12e+04 4.69e-05 1.000 -6.12e+04 6.12e+04
===================================================================================
Ljung-Box (L1) (Q): 2.85 Jarque-Bera (JB): 2.82
Prob(Q): 0.09 Prob(JB): 0.24
Heteroskedasticity (H): 0.15 Skew: -1.00
Prob(H) (two-sided): 0.10 Kurtosis: 4.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 133.37819362746154, Current Price: 132.85
BUY EXECUTED at 132.85
BUY ORDER COMPLETED at 133.01
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.044
Date: Wed, 09 Oct 2024 AIC 56.087
Time: 14:39:43 BIC 58.912
Sample: 0 HQIC 55.507
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5090 0.391 -1.302 0.193 -1.275 0.257
ma.L1 -0.0112 0.391 -0.029 0.977 -0.778 0.756
ar.S.L7 -0.6802 0.230 -2.962 0.003 -1.130 -0.230
ma.S.L7 1.0000 2.16e+05 4.63e-06 1.000 -4.23e+05 4.23e+05
sigma2 1.1861 2.56e+05 4.63e-06 1.000 -5.02e+05 5.02e+05
===================================================================================
Ljung-Box (L1) (Q): 2.01 Jarque-Bera (JB): 1.63
Prob(Q): 0.16 Prob(JB): 0.44
Heteroskedasticity (H): 0.35 Skew: -0.75
Prob(H) (two-sided): 0.33 Kurtosis: 3.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 132.6812171347577, Current Price: 132.3225
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.637
Date: Wed, 09 Oct 2024 AIC 53.275
Time: 14:39:43 BIC 56.100
Sample: 0 HQIC 52.694
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3726 0.672 -0.554 0.579 -1.690 0.945
ma.L1 -0.0528 0.633 -0.083 0.933 -1.293 1.188
ar.S.L7 -0.7343 0.202 -3.644 0.000 -1.129 -0.339
ma.S.L7 0.9999 9176.099 0.000 1.000 -1.8e+04 1.8e+04
sigma2 0.9838 9026.790 0.000 1.000 -1.77e+04 1.77e+04
===================================================================================
Ljung-Box (L1) (Q): 5.43 Jarque-Bera (JB): 0.71
Prob(Q): 0.02 Prob(JB): 0.70
Heteroskedasticity (H): 0.28 Skew: -0.53
Prob(H) (two-sided): 0.25 Kurtosis: 3.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 133.52855462569354, Current Price: 132.95
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.595
Date: Wed, 09 Oct 2024 AIC 49.190
Time: 14:39:43 BIC 52.015
Sample: 0 HQIC 48.609
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3398 0.697 -0.487 0.626 -1.706 1.026
ma.L1 -0.1688 0.671 -0.251 0.802 -1.485 1.147
ar.S.L7 -0.7428 0.255 -2.918 0.004 -1.242 -0.244
ma.S.L7 1.0001 1.55e+04 6.47e-05 1.000 -3.03e+04 3.03e+04
sigma2 0.7246 1.12e+04 6.46e-05 1.000 -2.2e+04 2.2e+04
===================================================================================
Ljung-Box (L1) (Q): 0.41 Jarque-Bera (JB): 0.63
Prob(Q): 0.52 Prob(JB): 0.73
Heteroskedasticity (H): 0.91 Skew: -0.54
Prob(H) (two-sided): 0.93 Kurtosis: 3.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 133.51267939518397, Current Price: 133.97
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.360
Date: Wed, 09 Oct 2024 AIC 42.719
Time: 14:39:43 BIC 45.544
Sample: 0 HQIC 42.139
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8186 0.079 -10.365 0.000 -0.973 -0.664
ma.L1 1.0000 5.31e+04 1.88e-05 1.000 -1.04e+05 1.04e+05
ar.S.L7 -0.6463 0.140 -4.617 0.000 -0.921 -0.372
ma.S.L7 0.5170 0.923 0.560 0.576 -1.293 2.327
sigma2 0.5254 2.79e+04 1.88e-05 1.000 -5.47e+04 5.47e+04
===================================================================================
Ljung-Box (L1) (Q): 0.38 Jarque-Bera (JB): 0.41
Prob(Q): 0.54 Prob(JB): 0.81
Heteroskedasticity (H): 0.13 Skew: 0.34
Prob(H) (two-sided): 0.07 Kurtosis: 2.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 132.12433371169936, Current Price: 134.1
SELL EXECUTED at 134.1
SELL ORDER COMPLETED at 134.74
OPERATION PROFIT, GROSS 1.7300000000000182, NET 1.4622500000000183
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.507
Date: Wed, 09 Oct 2024 AIC 47.013
Time: 14:39:43 BIC 49.838
Sample: 0 HQIC 46.433
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3297 2.260 0.146 0.884 -4.099 4.759
ma.L1 -0.1988 2.102 -0.095 0.925 -4.319 3.922
ar.S.L7 -0.2675 0.246 -1.087 0.277 -0.750 0.215
ma.S.L7 -1.0002 2086.818 -0.000 1.000 -4091.088 4089.087
sigma2 0.6087 1270.397 0.000 1.000 -2489.323 2490.541
===================================================================================
Ljung-Box (L1) (Q): 2.71 Jarque-Bera (JB): 0.31
Prob(Q): 0.10 Prob(JB): 0.86
Heteroskedasticity (H): 0.42 Skew: -0.35
Prob(H) (two-sided): 0.42 Kurtosis: 2.72
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 135.4679407975581, Current Price: 135.04
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.517
Date: Wed, 09 Oct 2024 AIC 43.034
Time: 14:39:43 BIC 45.859
Sample: 0 HQIC 42.453
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8633 0.174 -4.965 0.000 -1.204 -0.522
ma.L1 1.0000 2543.615 0.000 1.000 -4984.394 4986.394
ar.S.L7 -0.4068 0.211 -1.925 0.054 -0.821 0.007
ma.S.L7 1.8342 3.589 0.511 0.609 -5.200 8.868
sigma2 0.1572 400.072 0.000 1.000 -783.969 784.284
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.52
Prob(Q): 0.78 Prob(JB): 0.77
Heteroskedasticity (H): 1.14 Skew: 0.37
Prob(H) (two-sided): 0.90 Kurtosis: 2.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.64673251032735, Current Price: 135.41
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.939
Date: Wed, 09 Oct 2024 AIC 45.877
Time: 14:39:43 BIC 48.702
Sample: 0 HQIC 45.297
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7934 0.495 -1.602 0.109 -1.764 0.177
ma.L1 0.4560 0.835 0.546 0.585 -1.181 2.093
ar.S.L7 -0.3579 0.255 -1.404 0.160 -0.857 0.142
ma.S.L7 0.2256 0.600 0.376 0.707 -0.949 1.401
sigma2 0.8995 0.464 1.939 0.053 -0.010 1.809
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.99
Prob(Q): 0.84 Prob(JB): 0.61
Heteroskedasticity (H): 0.48 Skew: 0.65
Prob(H) (two-sided): 0.50 Kurtosis: 2.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 135.1401531902751, Current Price: 136.29
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.848
Date: Wed, 09 Oct 2024 AIC 43.697
Time: 14:39:43 BIC 46.522
Sample: 0 HQIC 43.116
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8360 0.125 -6.700 0.000 -1.081 -0.591
ma.L1 1.0000 1.41e+04 7.07e-05 1.000 -2.77e+04 2.77e+04
ar.S.L7 -0.3202 0.160 -2.007 0.045 -0.633 -0.008
ma.S.L7 0.2133 0.575 0.371 0.711 -0.913 1.340
sigma2 0.6453 9127.182 7.07e-05 1.000 -1.79e+04 1.79e+04
===================================================================================
Ljung-Box (L1) (Q): 0.57 Jarque-Bera (JB): 0.48
Prob(Q): 0.45 Prob(JB): 0.79
Heteroskedasticity (H): 0.61 Skew: -0.06
Prob(H) (two-sided): 0.65 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 135.53111367701294, Current Price: 137.51
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.506
Date: Wed, 09 Oct 2024 AIC 45.012
Time: 14:39:43 BIC 47.837
Sample: 0 HQIC 44.432
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9188 0.166 5.537 0.000 0.594 1.244
ma.L1 -0.9915 16.660 -0.060 0.953 -33.645 31.662
ar.S.L7 -0.5426 0.248 -2.192 0.028 -1.028 -0.057
ma.S.L7 -7.2944 37.240 -0.196 0.845 -80.283 65.694
sigma2 0.0135 0.222 0.061 0.952 -0.421 0.448
===================================================================================
Ljung-Box (L1) (Q): 2.07 Jarque-Bera (JB): 0.53
Prob(Q): 0.15 Prob(JB): 0.77
Heteroskedasticity (H): 1.70 Skew: 0.11
Prob(H) (two-sided): 0.62 Kurtosis: 2.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 138.9819487081962, Current Price: 136.48
BUY EXECUTED at 136.48
BUY ORDER COMPLETED at 137.22
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.074
Date: Wed, 09 Oct 2024 AIC 46.149
Time: 14:39:43 BIC 48.974
Sample: 0 HQIC 45.568
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7195 0.396 -1.816 0.069 -1.496 0.057
ma.L1 0.5415 0.527 1.027 0.305 -0.492 1.575
ar.S.L7 -0.3048 0.267 -1.141 0.254 -0.828 0.219
ma.S.L7 0.1969 0.759 0.259 0.795 -1.291 1.685
sigma2 0.9204 0.485 1.898 0.058 -0.030 1.871
===================================================================================
Ljung-Box (L1) (Q): 0.36 Jarque-Bera (JB): 0.47
Prob(Q): 0.55 Prob(JB): 0.79
Heteroskedasticity (H): 4.05 Skew: -0.38
Prob(H) (two-sided): 0.20 Kurtosis: 2.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 137.6777566852207, Current Price: 137.384
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.111
Date: Wed, 09 Oct 2024 AIC 44.222
Time: 14:39:43 BIC 47.047
Sample: 0 HQIC 43.642
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5980 0.512 -1.167 0.243 -1.602 0.406
ma.L1 0.5376 0.767 0.701 0.483 -0.966 2.041
ar.S.L7 -0.1876 0.323 -0.581 0.561 -0.820 0.445
ma.S.L7 0.2551 0.874 0.292 0.770 -1.458 1.968
sigma2 0.7824 0.355 2.202 0.028 0.086 1.479
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.10
Prob(Q): 0.74 Prob(JB): 0.95
Heteroskedasticity (H): 10.83 Skew: 0.07
Prob(H) (two-sided): 0.04 Kurtosis: 2.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 137.52698870963195, Current Price: 137.661
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.193
Date: Wed, 09 Oct 2024 AIC 44.386
Time: 14:39:44 BIC 47.211
Sample: 0 HQIC 43.805
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6565 0.595 -1.104 0.270 -1.822 0.509
ma.L1 1.8042 2.207 0.817 0.414 -2.522 6.130
ar.S.L7 -0.1805 0.388 -0.465 0.642 -0.941 0.580
ma.S.L7 -0.0743 0.829 -0.090 0.929 -1.698 1.550
sigma2 0.2507 0.622 0.403 0.687 -0.968 1.469
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 0.15
Prob(Q): 0.67 Prob(JB): 0.93
Heteroskedasticity (H): 8.27 Skew: -0.16
Prob(H) (two-sided): 0.06 Kurtosis: 2.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 138.82069923449723, Current Price: 140.03
SELL EXECUTED at 140.03
SELL ORDER COMPLETED at 140.24
OPERATION PROFIT, GROSS 3.0200000000000102, NET 2.74254000000001
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.993
Date: Wed, 09 Oct 2024 AIC 45.986
Time: 14:39:44 BIC 48.810
Sample: 0 HQIC 45.405
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7667 0.776 -0.988 0.323 -2.288 0.754
ma.L1 0.5970 0.948 0.629 0.529 -1.262 2.456
ar.S.L7 -0.2135 0.390 -0.547 0.584 -0.978 0.551
ma.S.L7 -0.2381 0.842 -0.283 0.777 -1.888 1.412
sigma2 0.8992 0.677 1.328 0.184 -0.428 2.226
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.65
Prob(Q): 0.76 Prob(JB): 0.72
Heteroskedasticity (H): 2.94 Skew: -0.45
Prob(H) (two-sided): 0.32 Kurtosis: 2.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 139.87142087805626, Current Price: 139.917
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.841
Date: Wed, 09 Oct 2024 AIC 45.682
Time: 14:39:44 BIC 48.507
Sample: 0 HQIC 45.102
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7227 0.860 -0.840 0.401 -2.408 0.963
ma.L1 0.5767 1.041 0.554 0.579 -1.463 2.616
ar.S.L7 -0.1621 0.409 -0.396 0.692 -0.963 0.639
ma.S.L7 -0.3035 0.950 -0.319 0.749 -2.165 1.558
sigma2 0.8643 0.612 1.413 0.158 -0.335 2.063
===================================================================================
Ljung-Box (L1) (Q): 0.36 Jarque-Bera (JB): 0.78
Prob(Q): 0.55 Prob(JB): 0.68
Heteroskedasticity (H): 0.60 Skew: -0.57
Prob(H) (two-sided): 0.63 Kurtosis: 2.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 140.55430876291277, Current Price: 138.09
BUY EXECUTED at 138.09
BUY ORDER COMPLETED at 138.63
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.373
Date: Wed, 09 Oct 2024 AIC 48.746
Time: 14:39:44 BIC 51.571
Sample: 0 HQIC 48.165
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4694 0.823 0.570 0.568 -1.143 2.082
ma.L1 -1.0002 366.273 -0.003 0.998 -718.881 716.881
ar.S.L7 -0.0015 0.006 -0.248 0.804 -0.013 0.010
ma.S.L7 -0.5039 1.561 -0.323 0.747 -3.563 2.555
sigma2 0.9452 345.796 0.003 0.998 -676.803 678.693
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 0.54
Prob(Q): 0.61 Prob(JB): 0.76
Heteroskedasticity (H): 3.23 Skew: -0.46
Prob(H) (two-sided): 0.28 Kurtosis: 2.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 139.03029010322436, Current Price: 139.35
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.654
Date: Wed, 09 Oct 2024 AIC 49.308
Time: 14:39:44 BIC 52.133
Sample: 0 HQIC 48.727
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1845 1.856 0.099 0.921 -3.453 3.822
ma.L1 -0.6376 1.231 -0.518 0.605 -3.050 1.775
ar.S.L7 -0.1112 0.554 -0.201 0.841 -1.197 0.975
ma.S.L7 -0.4234 1.807 -0.234 0.815 -3.964 3.118
sigma2 1.1071 1.088 1.017 0.309 -1.026 3.241
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.98
Prob(Q): 0.90 Prob(JB): 0.61
Heteroskedasticity (H): 3.56 Skew: -0.63
Prob(H) (two-sided): 0.25 Kurtosis: 3.48
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 139.47594102065366, Current Price: 139.721
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.054
Date: Wed, 09 Oct 2024 AIC 48.109
Time: 14:39:44 BIC 50.934
Sample: 0 HQIC 47.528
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4398 0.773 0.569 0.569 -1.075 1.955
ma.L1 -1.0002 433.966 -0.002 0.998 -851.558 849.557
ar.S.L7 0.0147 0.400 0.037 0.971 -0.769 0.798
ma.S.L7 -0.7204 2.182 -0.330 0.741 -4.996 3.555
sigma2 0.7343 319.283 0.002 0.998 -625.048 626.517
===================================================================================
Ljung-Box (L1) (Q): 0.31 Jarque-Bera (JB): 0.31
Prob(Q): 0.58 Prob(JB): 0.86
Heteroskedasticity (H): 2.03 Skew: -0.38
Prob(H) (two-sided): 0.51 Kurtosis: 3.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 140.2804597606928, Current Price: 139.36
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.869
Date: Wed, 09 Oct 2024 AIC 47.738
Time: 14:39:44 BIC 50.563
Sample: 0 HQIC 47.157
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2531 1.599 0.158 0.874 -2.881 3.388
ma.L1 -1.6301 3.480 -0.468 0.639 -8.451 5.190
ar.S.L7 0.0115 0.217 0.053 0.958 -0.414 0.437
ma.S.L7 -1.0001 8923.160 -0.000 1.000 -1.75e+04 1.75e+04
sigma2 0.2413 2153.337 0.000 1.000 -4220.223 4220.705
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.42
Prob(Q): 0.84 Prob(JB): 0.81
Heteroskedasticity (H): 0.96 Skew: -0.44
Prob(H) (two-sided): 0.97 Kurtosis: 3.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 139.7521202980623, Current Price: 139.41
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.041
Date: Wed, 09 Oct 2024 AIC 46.081
Time: 14:39:44 BIC 48.906
Sample: 0 HQIC 45.500
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4433 0.166 2.672 0.008 0.118 0.768
ma.L1 -0.9999 3189.033 -0.000 1.000 -6251.391 6249.391
ar.S.L7 -0.5243 0.323 -1.626 0.104 -1.157 0.108
ma.S.L7 -0.3091 0.751 -0.412 0.680 -1.780 1.162
sigma2 0.7499 2391.595 0.000 1.000 -4686.689 4688.189
===================================================================================
Ljung-Box (L1) (Q): 0.85 Jarque-Bera (JB): 0.62
Prob(Q): 0.36 Prob(JB): 0.73
Heteroskedasticity (H): 0.43 Skew: -0.42
Prob(H) (two-sided): 0.44 Kurtosis: 2.33
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 141.23798953527677, Current Price: 137.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.316
Date: Wed, 09 Oct 2024 AIC 52.633
Time: 14:39:44 BIC 55.457
Sample: 0 HQIC 52.052
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3557 0.791 -0.450 0.653 -1.907 1.195
ma.L1 -2.5355 4.322 -0.587 0.557 -11.006 5.935
ar.S.L7 -1.0078 0.500 -2.015 0.044 -1.988 -0.027
ma.S.L7 -0.4438 1.250 -0.355 0.723 -2.894 2.006
sigma2 0.2215 0.896 0.247 0.805 -1.535 1.978
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.76
Prob(Q): 1.00 Prob(JB): 0.68
Heteroskedasticity (H): 2.09 Skew: -0.45
Prob(H) (two-sided): 0.49 Kurtosis: 2.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 139.9221903622717, Current Price: 138.22
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.687
Date: Wed, 09 Oct 2024 AIC 53.374
Time: 14:39:44 BIC 56.199
Sample: 0 HQIC 52.793
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3397 0.908 -0.374 0.708 -2.119 1.439
ma.L1 -6.7017 40.457 -0.166 0.868 -85.997 72.593
ar.S.L7 -0.8371 0.576 -1.453 0.146 -1.966 0.292
ma.S.L7 -1.0003 3931.080 -0.000 1.000 -7705.775 7703.775
sigma2 0.0221 86.704 0.000 1.000 -169.914 169.958
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 0.61
Prob(Q): 0.65 Prob(JB): 0.74
Heteroskedasticity (H): 1.71 Skew: -0.16
Prob(H) (two-sided): 0.61 Kurtosis: 1.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 139.80503410999574, Current Price: 138.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.512
Date: Wed, 09 Oct 2024 AIC 51.024
Time: 14:39:44 BIC 53.849
Sample: 0 HQIC 50.444
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6738 0.211 -3.192 0.001 -1.087 -0.260
ma.L1 1.0000 5032.861 0.000 1.000 -9863.225 9865.225
ar.S.L7 -0.7147 0.477 -1.499 0.134 -1.650 0.220
ma.S.L7 -1.0000 4.47e+04 -2.24e-05 1.000 -8.76e+04 8.76e+04
sigma2 0.7311 3.44e+04 2.13e-05 1.000 -6.74e+04 6.74e+04
===================================================================================
Ljung-Box (L1) (Q): 2.37 Jarque-Bera (JB): 0.21
Prob(Q): 0.12 Prob(JB): 0.90
Heteroskedasticity (H): 1.63 Skew: -0.16
Prob(H) (two-sided): 0.65 Kurtosis: 2.48
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 138.5440204792402, Current Price: 136.27
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25667.082
Date: Wed, 09 Oct 2024 AIC 51344.164
Time: 14:39:44 BIC 51346.989
Sample: 0 HQIC 51343.583
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3678 0.001 500.911 0.000 0.366 0.369
ma.L1 -0.2657 0.001 -245.015 0.000 -0.268 -0.264
ar.S.L7 -96.5869 0.511 -189.072 0.000 -97.588 -95.586
ma.S.L7 0.1948 0.000 489.351 0.000 0.194 0.196
sigma2 3.7665 0.040 93.471 0.000 3.688 3.846
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.87
Prob(Q): 0.83 Prob(JB): 0.65
Heteroskedasticity (H): 3.37 Skew: -0.63
Prob(H) (two-sided): 0.27 Kurtosis: 2.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: -36.69531616041045, Current Price: 136.24
SELL EXECUTED at 136.24
SELL ORDER COMPLETED at 136.56
OPERATION PROFIT, GROSS -2.069999999999993, NET -2.3451899999999934
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.578
Date: Wed, 09 Oct 2024 AIC 55.157
Time: 14:39:44 BIC 57.981
Sample: 0 HQIC 54.576
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0657 10.784 -0.006 0.995 -21.201 21.070
ma.L1 0.0242 11.117 0.002 0.998 -21.765 21.813
ar.S.L7 -0.9316 0.527 -1.768 0.077 -1.964 0.101
ma.S.L7 -1.0004 3601.049 -0.000 1.000 -7058.927 7056.926
sigma2 1.1368 4093.660 0.000 1.000 -8022.290 8024.564
===================================================================================
Ljung-Box (L1) (Q): 0.88 Jarque-Bera (JB): 0.40
Prob(Q): 0.35 Prob(JB): 0.82
Heteroskedasticity (H): 3.35 Skew: -0.36
Prob(H) (two-sided): 0.27 Kurtosis: 2.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 137.5283286195248, Current Price: 136.97
BUY EXECUTED at 136.97
BUY ORDER COMPLETED at 138.14
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.994
Date: Wed, 09 Oct 2024 AIC 53.989
Time: 14:39:44 BIC 56.814
Sample: 0 HQIC 53.408
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2457 3.802 -0.065 0.948 -7.698 7.207
ma.L1 0.1227 3.703 0.033 0.974 -7.135 7.380
ar.S.L7 -1.0872 0.415 -2.621 0.009 -1.900 -0.274
ma.S.L7 -1.0001 1.83e+04 -5.46e-05 1.000 -3.59e+04 3.59e+04
sigma2 1.0395 1.9e+04 5.46e-05 1.000 -3.73e+04 3.73e+04
===================================================================================
Ljung-Box (L1) (Q): 0.60 Jarque-Bera (JB): 0.42
Prob(Q): 0.44 Prob(JB): 0.81
Heteroskedasticity (H): 2.34 Skew: -0.43
Prob(H) (two-sided): 0.43 Kurtosis: 2.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 137.32341928386424, Current Price: 138.37
SELL EXECUTED at 138.37
SELL ORDER COMPLETED at 139.5
OPERATION PROFIT, GROSS 1.3600000000000136, NET 1.0823600000000138
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.589
Date: Wed, 09 Oct 2024 AIC 55.178
Time: 14:39:44 BIC 58.003
Sample: 0 HQIC 54.597
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3307 2.230 -0.148 0.882 -4.701 4.039
ma.L1 0.1574 2.618 0.060 0.952 -4.974 5.289
ar.S.L7 -1.0058 0.547 -1.838 0.066 -2.078 0.067
ma.S.L7 -1.0002 1.34e+04 -7.45e-05 1.000 -2.63e+04 2.63e+04
sigma2 1.1381 1.53e+04 7.45e-05 1.000 -3e+04 3e+04
===================================================================================
Ljung-Box (L1) (Q): 0.97 Jarque-Bera (JB): 0.50
Prob(Q): 0.32 Prob(JB): 0.78
Heteroskedasticity (H): 3.02 Skew: -0.45
Prob(H) (two-sided): 0.31 Kurtosis: 2.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 141.94592621281328, Current Price: 139.14
BUY EXECUTED at 139.14
BUY ORDER COMPLETED at 138.88
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.622
Date: Wed, 09 Oct 2024 AIC 57.245
Time: 14:39:44 BIC 60.069
Sample: 0 HQIC 56.664
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2430 2.444 -0.099 0.921 -5.032 4.546
ma.L1 0.0269 2.457 0.011 0.991 -4.789 4.843
ar.S.L7 -0.7274 0.773 -0.941 0.347 -2.243 0.788
ma.S.L7 -0.3857 1.394 -0.277 0.782 -3.118 2.346
sigma2 2.0802 1.582 1.315 0.189 -1.021 5.181
===================================================================================
Ljung-Box (L1) (Q): 0.75 Jarque-Bera (JB): 1.00
Prob(Q): 0.39 Prob(JB): 0.61
Heteroskedasticity (H): 0.48 Skew: -0.64
Prob(H) (two-sided): 0.49 Kurtosis: 2.55
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 139.45113266050015, Current Price: 139.05
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.010
Date: Wed, 09 Oct 2024 AIC 56.020
Time: 14:39:44 BIC 58.845
Sample: 0 HQIC 55.440
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1419 5.933 -0.024 0.981 -11.770 11.486
ma.L1 -0.0664 6.030 -0.011 0.991 -11.886 11.753
ar.S.L7 -0.6162 0.990 -0.623 0.533 -2.556 1.323
ma.S.L7 -0.5373 2.699 -0.199 0.842 -5.828 4.753
sigma2 1.7674 2.511 0.704 0.482 -3.155 6.689
===================================================================================
Ljung-Box (L1) (Q): 0.43 Jarque-Bera (JB): 2.30
Prob(Q): 0.51 Prob(JB): 0.32
Heteroskedasticity (H): 1.26 Skew: -1.02
Prob(H) (two-sided): 0.83 Kurtosis: 3.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 138.23206275682776, Current Price: 140.34
SELL EXECUTED at 140.34
SELL ORDER COMPLETED at 140.2742
OPERATION PROFIT, GROSS 1.394200000000012, NET 1.115045800000012
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.024
Date: Wed, 09 Oct 2024 AIC 58.048
Time: 14:39:44 BIC 60.873
Sample: 0 HQIC 57.468
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0452 5.312 0.009 0.993 -10.367 10.458
ma.L1 -0.2226 5.269 -0.042 0.966 -10.550 10.105
ar.S.L7 -0.5200 0.861 -0.604 0.546 -2.208 1.168
ma.S.L7 -0.7439 4.042 -0.184 0.854 -8.666 7.178
sigma2 1.7953 6.251 0.287 0.774 -10.456 14.046
===================================================================================
Ljung-Box (L1) (Q): 0.44 Jarque-Bera (JB): 0.85
Prob(Q): 0.51 Prob(JB): 0.65
Heteroskedasticity (H): 0.63 Skew: -0.62
Prob(H) (two-sided): 0.67 Kurtosis: 3.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 141.51135222512423, Current Price: 139.22
BUY EXECUTED at 139.22
BUY ORDER COMPLETED at 140.0
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.329
Date: Wed, 09 Oct 2024 AIC 58.658
Time: 14:39:44 BIC 61.483
Sample: 0 HQIC 58.078
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1408 3.377 -0.042 0.967 -6.760 6.478
ma.L1 -0.1473 2.937 -0.050 0.960 -5.904 5.609
ar.S.L7 -0.5444 0.502 -1.085 0.278 -1.528 0.439
ma.S.L7 -0.1881 0.885 -0.213 0.832 -1.922 1.546
sigma2 2.4377 1.940 1.257 0.209 -1.364 6.239
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.60
Prob(Q): 0.84 Prob(JB): 0.74
Heteroskedasticity (H): 0.40 Skew: -0.53
Prob(H) (two-sided): 0.39 Kurtosis: 2.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 139.61036038740093, Current Price: 139.26
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.805
Date: Wed, 09 Oct 2024 AIC 57.609
Time: 14:39:44 BIC 60.434
Sample: 0 HQIC 57.028
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1881 17.710 -0.011 0.992 -34.898 34.522
ma.L1 0.1634 17.731 0.009 0.993 -34.588 34.915
ar.S.L7 -0.7589 0.233 -3.251 0.001 -1.216 -0.301
ma.S.L7 1.0005 3372.772 0.000 1.000 -6609.511 6611.512
sigma2 1.3728 4630.320 0.000 1.000 -9073.887 9076.632
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 2.04
Prob(Q): 0.99 Prob(JB): 0.36
Heteroskedasticity (H): 0.92 Skew: -0.94
Prob(H) (two-sided): 0.94 Kurtosis: 3.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 139.71618842273273, Current Price: 138.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.028
Date: Wed, 09 Oct 2024 AIC 58.056
Time: 14:39:44 BIC 60.881
Sample: 0 HQIC 57.476
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2248 5.723 -0.039 0.969 -11.441 10.992
ma.L1 0.1351 5.433 0.025 0.980 -10.514 10.784
ar.S.L7 -0.7783 0.252 -3.085 0.002 -1.273 -0.284
ma.S.L7 0.4826 2.673 0.181 0.857 -4.756 5.721
sigma2 2.1261 4.293 0.495 0.620 -6.288 10.540
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.29
Prob(Q): 0.97 Prob(JB): 0.53
Heteroskedasticity (H): 0.36 Skew: -0.75
Prob(H) (two-sided): 0.35 Kurtosis: 3.35
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 139.52726357862275, Current Price: 138.21
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.653
Date: Wed, 09 Oct 2024 AIC 53.306
Time: 14:39:44 BIC 56.131
Sample: 0 HQIC 52.726
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4269 0.509 0.838 0.402 -0.572 1.425
ma.L1 -1.0000 1.01e+04 -9.87e-05 1.000 -1.99e+04 1.99e+04
ar.S.L7 -0.2210 0.796 -0.278 0.781 -1.782 1.340
ma.S.L7 -1.0001 8603.757 -0.000 1.000 -1.69e+04 1.69e+04
sigma2 0.8450 5390.908 0.000 1.000 -1.06e+04 1.06e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.63
Prob(Q): 0.88 Prob(JB): 0.44
Heteroskedasticity (H): 0.06 Skew: -0.60
Prob(H) (two-sided): 0.02 Kurtosis: 4.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 138.92150143885544, Current Price: 138.67
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.405
Date: Wed, 09 Oct 2024 AIC 50.810
Time: 14:39:44 BIC 53.635
Sample: 0 HQIC 50.230
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4610 0.100 4.607 0.000 0.265 0.657
ma.L1 -1.0000 4568.394 -0.000 1.000 -8954.887 8952.887
ar.S.L7 -0.6909 0.251 -2.753 0.006 -1.183 -0.199
ma.S.L7 1.0003 2947.464 0.000 1.000 -5775.923 5777.923
sigma2 0.7278 3440.053 0.000 1.000 -6741.653 6743.109
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 2.26
Prob(Q): 0.91 Prob(JB): 0.32
Heteroskedasticity (H): 0.27 Skew: -0.94
Prob(H) (two-sided): 0.24 Kurtosis: 3.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 138.28471084300736, Current Price: 139.86
SELL EXECUTED at 139.86
SELL ORDER COMPLETED at 138.65
OPERATION PROFIT, GROSS -1.3499999999999943, NET -1.6286499999999944
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.938
Date: Wed, 09 Oct 2024 AIC 51.876
Time: 14:39:44 BIC 54.701
Sample: 0 HQIC 51.296
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3557 0.510 0.697 0.486 -0.645 1.356
ma.L1 -1.0000 2651.171 -0.000 1.000 -5197.200 5195.200
ar.S.L7 -0.5777 0.416 -1.387 0.165 -1.394 0.238
ma.S.L7 0.1464 0.579 0.253 0.800 -0.989 1.281
sigma2 1.3217 3504.564 0.000 1.000 -6867.497 6870.140
===================================================================================
Ljung-Box (L1) (Q): 1.17 Jarque-Bera (JB): 2.97
Prob(Q): 0.28 Prob(JB): 0.23
Heteroskedasticity (H): 0.24 Skew: -1.00
Prob(H) (two-sided): 0.19 Kurtosis: 4.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 140.3559833314965, Current Price: 139.2
BUY EXECUTED at 139.2
BUY ORDER COMPLETED at 140.13
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.568
Date: Wed, 09 Oct 2024 AIC 43.136
Time: 14:39:45 BIC 45.960
Sample: 0 HQIC 42.555
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3498 0.187 1.872 0.061 -0.016 0.716
ma.L1 -1.0000 5316.795 -0.000 1.000 -1.04e+04 1.04e+04
ar.S.L7 -0.6267 0.405 -1.549 0.121 -1.420 0.166
ma.S.L7 -0.0115 0.433 -0.027 0.979 -0.861 0.838
sigma2 0.6718 3571.664 0.000 1.000 -6999.661 7001.004
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 1.50
Prob(Q): 0.78 Prob(JB): 0.47
Heteroskedasticity (H): 2.58 Skew: 0.82
Prob(H) (two-sided): 0.38 Kurtosis: 3.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 137.41075182637053, Current Price: 139.84
SELL EXECUTED at 139.84
SELL ORDER COMPLETED at 139.58
OPERATION PROFIT, GROSS -0.549999999999983, NET -0.829709999999983
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.613
Date: Wed, 09 Oct 2024 AIC 47.227
Time: 14:39:45 BIC 50.052
Sample: 0 HQIC 46.646
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4033 0.181 2.228 0.026 0.048 0.758
ma.L1 -0.5311 0.281 -1.890 0.059 -1.082 0.020
ar.S.L7 -0.3391 0.202 -1.679 0.093 -0.735 0.057
ma.S.L7 -1.0001 6559.404 -0.000 1.000 -1.29e+04 1.29e+04
sigma2 0.6133 4022.636 0.000 1.000 -7883.609 7884.835
===================================================================================
Ljung-Box (L1) (Q): 0.50 Jarque-Bera (JB): 1.18
Prob(Q): 0.48 Prob(JB): 0.55
Heteroskedasticity (H): 1.53 Skew: -0.32
Prob(H) (two-sided): 0.69 Kurtosis: 1.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 139.66972893303398, Current Price: 142.05
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.505
Date: Wed, 09 Oct 2024 AIC 51.011
Time: 14:39:45 BIC 53.836
Sample: 0 HQIC 50.430
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9111 0.661 1.378 0.168 -0.385 2.207
ma.L1 -0.6557 0.793 -0.826 0.409 -2.211 0.899
ar.S.L7 -0.4930 0.239 -2.061 0.039 -0.962 -0.024
ma.S.L7 -1.0995 12.970 -0.085 0.932 -26.519 24.320
sigma2 0.7299 9.579 0.076 0.939 -18.045 19.505
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.15
Prob(Q): 0.89 Prob(JB): 0.56
Heteroskedasticity (H): 2.95 Skew: 0.36
Prob(H) (two-sided): 0.32 Kurtosis: 1.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 143.62885519210988, Current Price: 142.38
BUY EXECUTED at 142.38
BUY ORDER COMPLETED at 142.23
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.894
Date: Wed, 09 Oct 2024 AIC 49.788
Time: 14:39:45 BIC 52.613
Sample: 0 HQIC 49.207
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3339 1.285 -0.260 0.795 -2.853 2.185
ma.L1 0.6050 1.157 0.523 0.601 -1.663 2.873
ar.S.L7 -0.4673 0.273 -1.710 0.087 -1.003 0.068
ma.S.L7 -1.0001 1.19e+04 -8.43e-05 1.000 -2.33e+04 2.33e+04
sigma2 0.7540 8949.102 8.43e-05 1.000 -1.75e+04 1.75e+04
===================================================================================
Ljung-Box (L1) (Q): 0.72 Jarque-Bera (JB): 1.02
Prob(Q): 0.40 Prob(JB): 0.60
Heteroskedasticity (H): 2.71 Skew: 0.63
Prob(H) (two-sided): 0.36 Kurtosis: 2.48
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 143.09005034028382, Current Price: 142.51
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.037
Date: Wed, 09 Oct 2024 AIC 50.074
Time: 14:39:45 BIC 52.899
Sample: 0 HQIC 49.494
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3110 1.079 -0.288 0.773 -2.426 1.804
ma.L1 0.5882 0.966 0.609 0.543 -1.306 2.482
ar.S.L7 -0.4293 0.308 -1.395 0.163 -1.033 0.174
ma.S.L7 -1.0002 6167.161 -0.000 1.000 -1.21e+04 1.21e+04
sigma2 0.7705 4752.457 0.000 1.000 -9313.875 9315.416
===================================================================================
Ljung-Box (L1) (Q): 0.30 Jarque-Bera (JB): 1.29
Prob(Q): 0.58 Prob(JB): 0.52
Heteroskedasticity (H): 3.04 Skew: 0.73
Prob(H) (two-sided): 0.31 Kurtosis: 2.51
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
Predicted Price: 142.2665825989531, Current Price: 143.66
SELL EXECUTED at 143.66
SELL ORDER COMPLETED at 143.28
OPERATION PROFIT, GROSS 1.0500000000000114, NET 0.7644900000000114
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.743
Date: Wed, 09 Oct 2024 AIC 51.485
Time: 14:39:45 BIC 54.310
Sample: 0 HQIC 50.905
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5343 0.800 -0.668 0.504 -2.102 1.034
ma.L1 0.6873 0.729 0.943 0.346 -0.741 2.116
ar.S.L7 -0.3357 0.554 -0.606 0.544 -1.421 0.750
ma.S.L7 -0.1838 0.997 -0.184 0.854 -2.138 1.770
sigma2 1.3776 0.667 2.066 0.039 0.071 2.685
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.20
Prob(Q): 0.85 Prob(JB): 0.90
Heteroskedasticity (H): 1.50 Skew: 0.12
Prob(H) (two-sided): 0.70 Kurtosis: 2.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 144.39654092028167, Current Price: 142.64
BUY EXECUTED at 142.64
BUY ORDER COMPLETED at 142.74
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.310
Date: Wed, 09 Oct 2024 AIC 50.619
Time: 14:39:45 BIC 53.444
Sample: 0 HQIC 50.039
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3364 1.639 -0.205 0.837 -3.548 2.875
ma.L1 0.5196 1.529 0.340 0.734 -2.477 3.517
ar.S.L7 -0.5228 0.417 -1.255 0.210 -1.339 0.294
ma.S.L7 -1.0002 4668.357 -0.000 1.000 -9150.812 9148.811
sigma2 0.8032 3750.142 0.000 1.000 -7349.340 7350.946
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 1.27
Prob(Q): 0.83 Prob(JB): 0.53
Heteroskedasticity (H): 1.96 Skew: 0.67
Prob(H) (two-sided): 0.53 Kurtosis: 2.28
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 143.14146925325832, Current Price: 141.61
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.903
Date: Wed, 09 Oct 2024 AIC 51.805
Time: 14:39:45 BIC 54.630
Sample: 0 HQIC 51.225
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2985 1.307 -0.228 0.819 -2.859 2.262
ma.L1 0.6346 1.101 0.576 0.565 -1.524 2.793
ar.S.L7 -0.6746 0.940 -0.718 0.473 -2.516 1.167
ma.S.L7 -1.0004 3343.021 -0.000 1.000 -6553.201 6551.200
sigma2 0.8818 2948.129 0.000 1.000 -5777.345 5779.108
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.79
Prob(Q): 0.97 Prob(JB): 0.67
Heteroskedasticity (H): 2.96 Skew: 0.37
Prob(H) (two-sided): 0.32 Kurtosis: 2.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 139.2919118097759, Current Price: 141.9
SELL EXECUTED at 141.9
SELL ORDER COMPLETED at 142.35
OPERATION PROFIT, GROSS -0.3900000000000148, NET -0.6750900000000148
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.583
Date: Wed, 09 Oct 2024 AIC 53.166
Time: 14:39:45 BIC 55.990
Sample: 0 HQIC 52.585
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3673 3.267 -0.112 0.910 -6.771 6.036
ma.L1 0.5815 2.971 0.196 0.845 -5.242 6.405
ar.S.L7 -0.4239 0.400 -1.061 0.289 -1.207 0.359
ma.S.L7 0.0679 1.549 0.044 0.965 -2.968 3.103
sigma2 1.6154 1.645 0.982 0.326 -1.610 4.840
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.30
Prob(Q): 0.81 Prob(JB): 0.86
Heteroskedasticity (H): 1.36 Skew: 0.33
Prob(H) (two-sided): 0.77 Kurtosis: 2.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 143.36711903844943, Current Price: 143.81
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.200
Date: Wed, 09 Oct 2024 AIC 52.400
Time: 14:39:45 BIC 55.225
Sample: 0 HQIC 51.819
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3269 1.748 -0.187 0.852 -3.752 3.098
ma.L1 0.6364 1.536 0.414 0.679 -2.375 3.648
ar.S.L7 -0.6500 0.411 -1.580 0.114 -1.456 0.156
ma.S.L7 0.5671 1.827 0.310 0.756 -3.015 4.149
sigma2 1.3078 1.334 0.980 0.327 -1.308 3.923
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.99
Prob(Q): 0.98 Prob(JB): 0.61
Heteroskedasticity (H): 0.96 Skew: 0.65
Prob(H) (two-sided): 0.97 Kurtosis: 3.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 143.76284783935654, Current Price: 145.05
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.456
Date: Wed, 09 Oct 2024 AIC 50.912
Time: 14:39:45 BIC 53.737
Sample: 0 HQIC 50.331
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2045 3.809 0.054 0.957 -7.261 7.670
ma.L1 -0.1098 3.663 -0.030 0.976 -7.289 7.069
ar.S.L7 0.2040 0.484 0.421 0.674 -0.745 1.153
ma.S.L7 -1.0000 3.76e+05 -2.66e-06 1.000 -7.38e+05 7.38e+05
sigma2 0.8204 3.09e+05 2.66e-06 1.000 -6.05e+05 6.05e+05
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 0.71
Prob(Q): 0.62 Prob(JB): 0.70
Heteroskedasticity (H): 0.26 Skew: -0.41
Prob(H) (two-sided): 0.22 Kurtosis: 2.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 145.50123000732154, Current Price: 145.93
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.186
Date: Wed, 09 Oct 2024 AIC 52.372
Time: 14:39:45 BIC 55.197
Sample: 0 HQIC 51.792
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3345 1.381 -0.242 0.809 -3.040 2.371
ma.L1 0.5383 1.183 0.455 0.649 -1.781 2.857
ar.S.L7 -0.0116 0.281 -0.041 0.967 -0.563 0.540
ma.S.L7 -1.0023 399.707 -0.003 0.998 -784.414 782.410
sigma2 0.9195 367.629 0.003 0.998 -719.619 721.458
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 1.13
Prob(Q): 0.68 Prob(JB): 0.57
Heteroskedasticity (H): 0.25 Skew: -0.63
Prob(H) (two-sided): 0.21 Kurtosis: 2.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 146.68377017238203, Current Price: 145.93
BUY EXECUTED at 145.93
BUY ORDER COMPLETED at 146.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.275
Date: Wed, 09 Oct 2024 AIC 50.549
Time: 14:39:45 BIC 53.374
Sample: 0 HQIC 49.969
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6727 0.301 -2.234 0.025 -1.263 -0.083
ma.L1 1.0000 5.03e+05 1.99e-06 1.000 -9.86e+05 9.86e+05
ar.S.L7 -0.2695 0.311 -0.867 0.386 -0.879 0.340
ma.S.L7 1.8937 4.273 0.443 0.658 -6.482 10.269
sigma2 0.2656 1.34e+05 1.99e-06 1.000 -2.62e+05 2.62e+05
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 0.33
Prob(Q): 0.62 Prob(JB): 0.85
Heteroskedasticity (H): 0.29 Skew: 0.09
Prob(H) (two-sided): 0.26 Kurtosis: 2.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 144.36268664768085, Current Price: 146.5
SELL EXECUTED at 146.5
SELL ORDER COMPLETED at 146.57
OPERATION PROFIT, GROSS 0.19999999999998863, NET -0.09294000000001135
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.015
Date: Wed, 09 Oct 2024 AIC 50.031
Time: 14:39:45 BIC 52.856
Sample: 0 HQIC 49.450
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1805 1.685 -0.107 0.915 -3.484 3.123
ma.L1 0.4209 1.334 0.315 0.752 -2.194 3.036
ar.S.L7 0.0692 0.550 0.126 0.900 -1.009 1.147
ma.S.L7 -1.0002 6801.943 -0.000 1.000 -1.33e+04 1.33e+04
sigma2 0.7668 5215.645 0.000 1.000 -1.02e+04 1.02e+04
===================================================================================
Ljung-Box (L1) (Q): 0.76 Jarque-Bera (JB): 1.40
Prob(Q): 0.38 Prob(JB): 0.50
Heteroskedasticity (H): 0.60 Skew: -0.80
Prob(H) (two-sided): 0.64 Kurtosis: 2.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 146.50531278761133, Current Price: 146.74
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.769
Date: Wed, 09 Oct 2024 AIC 41.538
Time: 14:39:45 BIC 44.363
Sample: 0 HQIC 40.957
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0759 0.862 -0.088 0.930 -1.765 1.614
ma.L1 0.7273 0.762 0.954 0.340 -0.767 2.222
ar.S.L7 -0.6696 0.203 -3.303 0.001 -1.067 -0.272
ma.S.L7 0.3434 0.457 0.751 0.453 -0.553 1.240
sigma2 0.6201 0.565 1.098 0.272 -0.487 1.727
===================================================================================
Ljung-Box (L1) (Q): 0.40 Jarque-Bera (JB): 0.68
Prob(Q): 0.53 Prob(JB): 0.71
Heteroskedasticity (H): 2.25 Skew: -0.44
Prob(H) (two-sided): 0.45 Kurtosis: 2.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 147.6480160224187, Current Price: 146.87
BUY EXECUTED at 146.87
BUY ORDER COMPLETED at 146.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.978
Date: Wed, 09 Oct 2024 AIC 39.956
Time: 14:39:45 BIC 42.781
Sample: 0 HQIC 39.376
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4512 0.375 -1.202 0.229 -1.187 0.285
ma.L1 1.0000 1.74e+04 5.76e-05 1.000 -3.4e+04 3.4e+04
ar.S.L7 -0.4753 0.412 -1.153 0.249 -1.283 0.332
ma.S.L7 -0.1191 0.408 -0.292 0.770 -0.918 0.680
sigma2 0.5034 8734.095 5.76e-05 1.000 -1.71e+04 1.71e+04
===================================================================================
Ljung-Box (L1) (Q): 0.27 Jarque-Bera (JB): 1.31
Prob(Q): 0.60 Prob(JB): 0.52
Heteroskedasticity (H): 0.51 Skew: -0.78
Prob(H) (two-sided): 0.53 Kurtosis: 3.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 148.73916061303206, Current Price: 146.38
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.841
Date: Wed, 09 Oct 2024 AIC 41.681
Time: 14:39:45 BIC 44.506
Sample: 0 HQIC 41.101
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0714 0.462 0.155 0.877 -0.834 0.976
ma.L1 1.0000 2.25e+04 4.45e-05 1.000 -4.41e+04 4.41e+04
ar.S.L7 -0.6090 0.100 -6.106 0.000 -0.805 -0.414
ma.S.L7 -1.0001 6079.120 -0.000 1.000 -1.19e+04 1.19e+04
sigma2 0.3763 7994.034 4.71e-05 1.000 -1.57e+04 1.57e+04
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 1.09
Prob(Q): 0.71 Prob(JB): 0.58
Heteroskedasticity (H): 0.92 Skew: -0.71
Prob(H) (two-sided): 0.94 Kurtosis: 2.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 144.6023128105281, Current Price: 149.2
SELL EXECUTED at 149.2
SELL ORDER COMPLETED at 149.3
OPERATION PROFIT, GROSS 2.8300000000000125, NET 2.5342300000000124
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.656
Date: Wed, 09 Oct 2024 AIC 49.312
Time: 14:39:45 BIC 52.137
Sample: 0 HQIC 48.731
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3961 0.441 0.898 0.369 -0.468 1.261
ma.L1 -1.0000 3850.956 -0.000 1.000 -7548.734 7546.734
ar.S.L7 -0.1127 0.334 -0.338 0.735 -0.767 0.541
ma.S.L7 -0.1354 0.594 -0.228 0.820 -1.300 1.029
sigma2 1.0618 4088.842 0.000 1.000 -8012.921 8015.045
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.27
Prob(Q): 0.96 Prob(JB): 0.53
Heteroskedasticity (H): 1.61 Skew: -0.18
Prob(H) (two-sided): 0.65 Kurtosis: 1.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 149.39616059268195, Current Price: 149.82
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.387
Date: Wed, 09 Oct 2024 AIC 48.773
Time: 14:39:45 BIC 51.598
Sample: 0 HQIC 48.193
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3825 0.495 0.772 0.440 -0.588 1.353
ma.L1 -1.0000 2729.649 -0.000 1.000 -5351.014 5349.014
ar.S.L7 -0.0792 0.305 -0.259 0.795 -0.677 0.519
ma.S.L7 -2.7612 5.552 -0.497 0.619 -13.644 8.121
sigma2 0.1250 341.554 0.000 1.000 -669.308 669.558
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 1.02
Prob(Q): 0.67 Prob(JB): 0.60
Heteroskedasticity (H): 1.11 Skew: -0.26
Prob(H) (two-sided): 0.92 Kurtosis: 1.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 149.83224083098986, Current Price: 152.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.714
Date: Wed, 09 Oct 2024 AIC 51.428
Time: 14:39:45 BIC 54.253
Sample: 0 HQIC 50.848
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4414 0.730 0.605 0.545 -0.989 1.872
ma.L1 -0.7366 0.776 -0.949 0.342 -2.257 0.784
ar.S.L7 -0.0982 0.477 -0.206 0.837 -1.033 0.836
ma.S.L7 -0.3362 1.042 -0.323 0.747 -2.379 1.706
sigma2 1.3376 0.694 1.927 0.054 -0.023 2.698
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 0.18
Prob(Q): 0.68 Prob(JB): 0.91
Heteroskedasticity (H): 6.53 Skew: -0.27
Prob(H) (two-sided): 0.10 Kurtosis: 2.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 151.78392338112954, Current Price: 150.414
BUY EXECUTED at 150.414
BUY ORDER COMPLETED at 150.43
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.657
Date: Wed, 09 Oct 2024 AIC 51.314
Time: 14:39:45 BIC 54.138
Sample: 0 HQIC 50.733
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2412 0.669 0.360 0.719 -1.070 1.553
ma.L1 -0.7251 0.478 -1.517 0.129 -1.662 0.212
ar.S.L7 -0.1887 0.437 -0.431 0.666 -1.046 0.668
ma.S.L7 -0.2603 0.817 -0.319 0.750 -1.861 1.341
sigma2 1.3509 0.629 2.149 0.032 0.119 2.583
===================================================================================
Ljung-Box (L1) (Q): 0.82 Jarque-Bera (JB): 0.19
Prob(Q): 0.37 Prob(JB): 0.91
Heteroskedasticity (H): 3.12 Skew: -0.28
Prob(H) (two-sided): 0.30 Kurtosis: 2.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 150.23266194364132, Current Price: 149.88
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.976
Date: Wed, 09 Oct 2024 AIC 51.953
Time: 14:39:45 BIC 54.778
Sample: 0 HQIC 51.372
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1587 0.682 0.233 0.816 -1.179 1.496
ma.L1 -1.5216 1.185 -1.284 0.199 -3.844 0.801
ar.S.L7 -0.1206 0.368 -0.327 0.743 -0.843 0.602
ma.S.L7 -0.5122 1.530 -0.335 0.738 -3.511 2.486
sigma2 0.5614 0.826 0.679 0.497 -1.058 2.181
===================================================================================
Ljung-Box (L1) (Q): 0.69 Jarque-Bera (JB): 0.62
Prob(Q): 0.41 Prob(JB): 0.73
Heteroskedasticity (H): 2.99 Skew: -0.53
Prob(H) (two-sided): 0.31 Kurtosis: 3.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 150.2846509112648, Current Price: 147.73
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.122
Date: Wed, 09 Oct 2024 AIC 54.244
Time: 14:39:45 BIC 57.069
Sample: 0 HQIC 53.663
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.1248 0.295 -3.809 0.000 -1.704 -0.546
ma.L1 1.0013 71.085 0.014 0.989 -138.323 140.325
ar.S.L7 -0.4003 0.589 -0.679 0.497 -1.556 0.755
ma.S.L7 -7.0524 36.852 -0.191 0.848 -79.280 65.176
sigma2 0.0304 2.089 0.015 0.988 -4.064 4.125
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 1.11
Prob(Q): 0.71 Prob(JB): 0.57
Heteroskedasticity (H): 1.29 Skew: -0.47
Prob(H) (two-sided): 0.81 Kurtosis: 1.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 150.21236431389536, Current Price: 143.47
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.953
Date: Wed, 09 Oct 2024 AIC 61.906
Time: 14:39:45 BIC 64.731
Sample: 0 HQIC 61.325
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3544 2.680 0.132 0.895 -4.897 5.606
ma.L1 -0.2320 2.782 -0.083 0.934 -5.684 5.220
ar.S.L7 -0.6078 0.480 -1.266 0.206 -1.549 0.333
ma.S.L7 1.0000 2.88e+05 3.47e-06 1.000 -5.64e+05 5.64e+05
sigma2 1.9108 5.5e+05 3.47e-06 1.000 -1.08e+06 1.08e+06
===================================================================================
Ljung-Box (L1) (Q): 0.38 Jarque-Bera (JB): 0.49
Prob(Q): 0.54 Prob(JB): 0.78
Heteroskedasticity (H): 9.15 Skew: -0.09
Prob(H) (two-sided): 0.05 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 145.79193438734185, Current Price: 145.3
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.793
Date: Wed, 09 Oct 2024 AIC 61.587
Time: 14:39:45 BIC 64.412
Sample: 0 HQIC 61.006
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3283 6.446 0.051 0.959 -12.305 12.962
ma.L1 -0.1713 7.315 -0.023 0.981 -14.508 14.165
ar.S.L7 -0.6667 0.747 -0.893 0.372 -2.130 0.797
ma.S.L7 1.0000 0.446 2.241 0.025 0.125 1.875
sigma2 1.8659 0.239 7.802 0.000 1.397 2.335
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 0.18
Prob(Q): 0.69 Prob(JB): 0.91
Heteroskedasticity (H): 10.87 Skew: -0.13
Prob(H) (two-sided): 0.04 Kurtosis: 2.48
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 3.31e+19. Standard errors may be unstable.
Predicted Price: 145.66042002482072, Current Price: 147.38
SELL EXECUTED at 147.38
SELL ORDER COMPLETED at 147.19
OPERATION PROFIT, GROSS -3.240000000000009, NET -3.5376200000000093
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.521
Date: Wed, 09 Oct 2024 AIC 63.042
Time: 14:39:45 BIC 65.867
Sample: 0 HQIC 62.461
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9745 0.176 -5.535 0.000 -1.320 -0.629
ma.L1 1.0000 6898.868 0.000 1.000 -1.35e+04 1.35e+04
ar.S.L7 0.6912 0.549 1.259 0.208 -0.385 1.767
ma.S.L7 -1.0003 3512.811 -0.000 1.000 -6885.984 6883.983
sigma2 1.8425 1.53e+04 0.000 1.000 -3e+04 3e+04
===================================================================================
Ljung-Box (L1) (Q): 1.41 Jarque-Bera (JB): 0.23
Prob(Q): 0.24 Prob(JB): 0.89
Heteroskedasticity (H): 1.82 Skew: 0.09
Prob(H) (two-sided): 0.58 Kurtosis: 2.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 149.41618550582373, Current Price: 147.9
BUY EXECUTED at 147.9
BUY ORDER COMPLETED at 147.24
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.621
Date: Wed, 09 Oct 2024 AIC 63.242
Time: 14:39:46 BIC 66.067
Sample: 0 HQIC 62.661
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1255 1.832 -0.069 0.945 -3.716 3.465
ma.L1 0.3390 1.739 0.195 0.845 -3.068 3.746
ar.S.L7 -0.8932 0.592 -1.509 0.131 -2.053 0.267
ma.S.L7 1.0000 5.12e+04 1.95e-05 1.000 -1e+05 1e+05
sigma2 2.1183 1.09e+05 1.95e-05 1.000 -2.13e+05 2.13e+05
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.26
Prob(Q): 0.75 Prob(JB): 0.88
Heteroskedasticity (H): 1.55 Skew: -0.30
Prob(H) (two-sided): 0.68 Kurtosis: 2.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 147.34205495322456, Current Price: 146.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.984
Date: Wed, 09 Oct 2024 AIC 61.967
Time: 14:39:46 BIC 64.792
Sample: 0 HQIC 61.386
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3396 1.680 0.202 0.840 -2.953 3.633
ma.L1 -0.1510 1.825 -0.083 0.934 -3.729 3.427
ar.S.L7 -0.6867 0.470 -1.460 0.144 -1.609 0.235
ma.S.L7 1.0000 6.81e+05 1.47e-06 1.000 -1.33e+06 1.33e+06
sigma2 1.9197 1.31e+06 1.47e-06 1.000 -2.56e+06 2.56e+06
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 0.20
Prob(Q): 0.68 Prob(JB): 0.90
Heteroskedasticity (H): 0.36 Skew: -0.08
Prob(H) (two-sided): 0.35 Kurtosis: 2.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 146.2108208194265, Current Price: 146.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.832
Date: Wed, 09 Oct 2024 AIC 61.664
Time: 14:39:46 BIC 64.489
Sample: 0 HQIC 61.083
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6587 1.641 0.401 0.688 -2.557 3.875
ma.L1 -0.5633 2.079 -0.271 0.786 -4.639 3.512
ar.S.L7 -0.5802 0.628 -0.924 0.355 -1.810 0.650
ma.S.L7 1.0000 7.16e+05 1.4e-06 1.000 -1.4e+06 1.4e+06
sigma2 1.8121 1.3e+06 1.4e-06 1.000 -2.54e+06 2.54e+06
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.43
Prob(Q): 0.78 Prob(JB): 0.81
Heteroskedasticity (H): 0.40 Skew: -0.13
Prob(H) (two-sided): 0.39 Kurtosis: 2.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 144.51289789071043, Current Price: 145.63
SELL EXECUTED at 145.63
SELL ORDER COMPLETED at 145.88
OPERATION PROFIT, GROSS -1.3600000000000136, NET -1.6531200000000137
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.499
Date: Wed, 09 Oct 2024 AIC 58.997
Time: 14:39:46 BIC 61.822
Sample: 0 HQIC 58.417
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6685 0.552 -1.210 0.226 -1.751 0.414
ma.L1 1.0000 1.01e+05 9.88e-06 1.000 -1.98e+05 1.98e+05
ar.S.L7 -0.6026 0.644 -0.936 0.349 -1.865 0.659
ma.S.L7 1.4111 6.427 0.220 0.826 -11.185 14.007
sigma2 0.8064 8.16e+04 9.88e-06 1.000 -1.6e+05 1.6e+05
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 5.12
Prob(Q): 0.75 Prob(JB): 0.08
Heteroskedasticity (H): 0.30 Skew: -1.32
Prob(H) (two-sided): 0.27 Kurtosis: 4.57
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 140.9982803154551, Current Price: 145.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.835
Date: Wed, 09 Oct 2024 AIC 61.670
Time: 14:39:46 BIC 64.494
Sample: 0 HQIC 61.089
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1193 1.697 0.070 0.944 -3.206 3.445
ma.L1 0.1547 1.548 0.100 0.920 -2.880 3.189
ar.S.L7 -0.7575 0.702 -1.079 0.280 -2.133 0.618
ma.S.L7 0.2842 0.594 0.479 0.632 -0.879 1.448
sigma2 3.0149 2.026 1.488 0.137 -0.956 6.985
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.01
Prob(Q): 0.93 Prob(JB): 0.60
Heteroskedasticity (H): 1.12 Skew: -0.68
Prob(H) (two-sided): 0.91 Kurtosis: 3.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 148.53009935469754, Current Price: 144.74
BUY EXECUTED at 144.74
BUY ORDER COMPLETED at 145.55
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.754
Date: Wed, 09 Oct 2024 AIC 61.508
Time: 14:39:46 BIC 64.333
Sample: 0 HQIC 60.928
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6876 0.405 -1.696 0.090 -1.482 0.107
ma.L1 1.0000 3529.474 0.000 1.000 -6916.642 6918.642
ar.S.L7 -0.2329 0.699 -0.333 0.739 -1.603 1.137
ma.S.L7 -1.0029 387.343 -0.003 0.998 -760.182 758.176
sigma2 1.6359 6119.935 0.000 1.000 -1.2e+04 1.2e+04
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 0.69
Prob(Q): 0.72 Prob(JB): 0.71
Heteroskedasticity (H): 1.89 Skew: -0.52
Prob(H) (two-sided): 0.55 Kurtosis: 2.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 144.3216118487097, Current Price: 145.6
SELL EXECUTED at 145.6
SELL ORDER COMPLETED at 145.12
OPERATION PROFIT, GROSS -0.4300000000000068, NET -0.7206700000000068
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.480
Date: Wed, 09 Oct 2024 AIC 60.961
Time: 14:39:46 BIC 63.785
Sample: 0 HQIC 60.380
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7042 0.428 -1.645 0.100 -1.543 0.135
ma.L1 1.0000 3.88e+04 2.58e-05 1.000 -7.6e+04 7.6e+04
ar.S.L7 -0.1014 0.659 -0.154 0.878 -1.394 1.191
ma.S.L7 -1.0003 4486.149 -0.000 1.000 -8793.692 8791.691
sigma2 1.5796 5.89e+04 2.68e-05 1.000 -1.15e+05 1.15e+05
===================================================================================
Ljung-Box (L1) (Q): 0.66 Jarque-Bera (JB): 0.48
Prob(Q): 0.42 Prob(JB): 0.79
Heteroskedasticity (H): 0.77 Skew: -0.32
Prob(H) (two-sided): 0.81 Kurtosis: 2.31
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 147.79094906058523, Current Price: 145.65
BUY EXECUTED at 145.65
BUY ORDER COMPLETED at 145.82
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.890
Date: Wed, 09 Oct 2024 AIC 59.780
Time: 14:39:46 BIC 62.605
Sample: 0 HQIC 59.200
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0312 2.940 0.011 0.992 -5.731 5.794
ma.L1 10.3800 296.335 0.035 0.972 -570.425 591.185
ar.S.L7 -0.1322 0.488 -0.271 0.787 -1.089 0.825
ma.S.L7 -0.9749 38.030 -0.026 0.980 -75.513 73.563
sigma2 0.0151 0.925 0.016 0.987 -1.798 1.828
===================================================================================
Ljung-Box (L1) (Q): 0.42 Jarque-Bera (JB): 0.55
Prob(Q): 0.52 Prob(JB): 0.76
Heteroskedasticity (H): 0.92 Skew: -0.44
Prob(H) (two-sided): 0.94 Kurtosis: 2.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 144.67118925561516, Current Price: 147.49
SELL EXECUTED at 147.49
SELL ORDER COMPLETED at 147.04
OPERATION PROFIT, GROSS 1.2199999999999989, NET 0.9271399999999989
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.056
Date: Wed, 09 Oct 2024 AIC 62.111
Time: 14:39:46 BIC 64.936
Sample: 0 HQIC 61.531
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6766 0.336 2.016 0.044 0.019 1.334
ma.L1 -1.0000 2.83e+04 -3.53e-05 1.000 -5.55e+04 5.55e+04
ar.S.L7 -0.3027 0.492 -0.616 0.538 -1.266 0.661
ma.S.L7 -0.3648 0.904 -0.404 0.686 -2.136 1.407
sigma2 2.5215 7.14e+04 3.53e-05 1.000 -1.4e+05 1.4e+05
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 0.10
Prob(Q): 0.68 Prob(JB): 0.95
Heteroskedasticity (H): 1.11 Skew: 0.03
Prob(H) (two-sided): 0.92 Kurtosis: 2.58
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 146.69142951097234, Current Price: 147.83
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.693
Date: Wed, 09 Oct 2024 AIC 61.385
Time: 14:39:46 BIC 64.210
Sample: 0 HQIC 60.805
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6149 0.347 1.773 0.076 -0.065 1.295
ma.L1 -1.0000 1.4e+04 -7.16e-05 1.000 -2.74e+04 2.74e+04
ar.S.L7 -0.3511 0.553 -0.635 0.526 -1.435 0.733
ma.S.L7 -0.2948 0.961 -0.307 0.759 -2.178 1.588
sigma2 2.4460 3.42e+04 7.16e-05 1.000 -6.7e+04 6.7e+04
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.32
Prob(Q): 0.76 Prob(JB): 0.85
Heteroskedasticity (H): 0.80 Skew: -0.31
Prob(H) (two-sided): 0.83 Kurtosis: 2.55
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 145.8172627444359, Current Price: 148.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.829
Date: Wed, 09 Oct 2024 AIC 57.659
Time: 14:39:46 BIC 60.483
Sample: 0 HQIC 57.078
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8422 0.659 -1.279 0.201 -2.133 0.449
ma.L1 1.5408 2.294 0.672 0.502 -2.954 6.036
ar.S.L7 -0.4305 0.776 -0.555 0.579 -1.951 1.090
ma.S.L7 -0.4313 1.396 -0.309 0.757 -3.167 2.304
sigma2 0.8676 3.072 0.282 0.778 -5.152 6.888
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.32
Prob(Q): 0.72 Prob(JB): 0.85
Heteroskedasticity (H): 2.65 Skew: 0.11
Prob(H) (two-sided): 0.37 Kurtosis: 2.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 145.63118447224275, Current Price: 148.58
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.413
Date: Wed, 09 Oct 2024 AIC 60.826
Time: 14:39:46 BIC 63.651
Sample: 0 HQIC 60.246
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3066 6.356 -0.048 0.962 -12.764 12.151
ma.L1 0.2742 6.604 0.042 0.967 -12.669 13.217
ar.S.L7 -0.3329 1.126 -0.296 0.767 -2.540 1.874
ma.S.L7 -0.2582 1.494 -0.173 0.863 -3.187 2.671
sigma2 2.8434 4.084 0.696 0.486 -5.162 10.849
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.28
Prob(Q): 0.95 Prob(JB): 0.87
Heteroskedasticity (H): 6.30 Skew: -0.22
Prob(H) (two-sided): 0.10 Kurtosis: 2.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 149.4709782837481, Current Price: 148.22
BUY EXECUTED at 148.22
BUY ORDER COMPLETED at 149.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.862
Date: Wed, 09 Oct 2024 AIC 59.723
Time: 14:39:46 BIC 62.548
Sample: 0 HQIC 59.143
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4043 2.215 -0.183 0.855 -4.745 3.936
ma.L1 0.3171 2.137 0.148 0.882 -3.872 4.506
ar.S.L7 -0.2816 0.213 -1.321 0.187 -0.699 0.136
ma.S.L7 0.3418 0.880 0.389 0.698 -1.383 2.066
sigma2 2.5564 1.259 2.030 0.042 0.088 5.025
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.29
Prob(Q): 0.95 Prob(JB): 0.87
Heteroskedasticity (H): 2.48 Skew: 0.26
Prob(H) (two-sided): 0.40 Kurtosis: 2.48
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 148.9630375050334, Current Price: 149.7
SELL EXECUTED at 149.7
SELL ORDER COMPLETED at 149.88
OPERATION PROFIT, GROSS 0.8599999999999852, NET 0.5610999999999853
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.670
Date: Wed, 09 Oct 2024 AIC 59.341
Time: 14:39:46 BIC 62.165
Sample: 0 HQIC 58.760
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4655 0.934 -0.498 0.618 -2.297 1.366
ma.L1 0.3698 0.818 0.452 0.651 -1.233 1.972
ar.S.L7 -0.2797 0.215 -1.299 0.194 -0.702 0.142
ma.S.L7 0.3456 0.866 0.399 0.690 -1.351 2.042
sigma2 2.4716 1.200 2.060 0.039 0.120 4.823
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.07
Prob(Q): 0.88 Prob(JB): 0.96
Heteroskedasticity (H): 0.50 Skew: 0.12
Prob(H) (two-sided): 0.52 Kurtosis: 2.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 149.6018568151272, Current Price: 149.64
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.308
Date: Wed, 09 Oct 2024 AIC 58.616
Time: 14:39:46 BIC 61.441
Sample: 0 HQIC 58.036
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3942 2.866 -0.138 0.891 -6.012 5.223
ma.L1 0.2978 2.903 0.103 0.918 -5.391 5.987
ar.S.L7 -0.2865 0.226 -1.267 0.205 -0.730 0.157
ma.S.L7 1.0004 2600.201 0.000 1.000 -5095.300 5097.301
sigma2 1.4850 3862.208 0.000 1.000 -7568.304 7571.274
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 0.09
Prob(Q): 0.64 Prob(JB): 0.95
Heteroskedasticity (H): 0.12 Skew: 0.21
Prob(H) (two-sided): 0.07 Kurtosis: 3.02
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 152.8601980974876, Current Price: 149.91
BUY EXECUTED at 149.91
BUY ORDER COMPLETED at 150.15
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.678
Date: Wed, 09 Oct 2024 AIC 57.355
Time: 14:39:46 BIC 60.180
Sample: 0 HQIC 56.775
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8545 0.252 -3.384 0.001 -1.349 -0.360
ma.L1 1.0000 6.05e+04 1.65e-05 1.000 -1.19e+05 1.19e+05
ar.S.L7 -0.3501 0.179 -1.956 0.050 -0.701 0.001
ma.S.L7 0.4391 0.814 0.540 0.589 -1.156 2.034
sigma2 1.6909 1.02e+05 1.65e-05 1.000 -2e+05 2e+05
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.49
Prob(Q): 0.78 Prob(JB): 0.78
Heteroskedasticity (H): 0.24 Skew: -0.11
Prob(H) (two-sided): 0.20 Kurtosis: 2.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 150.8082554440286, Current Price: 149.5
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.880
Date: Wed, 09 Oct 2024 AIC 57.759
Time: 14:39:46 BIC 60.584
Sample: 0 HQIC 57.179
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8277 0.302 -2.744 0.006 -1.419 -0.237
ma.L1 1.0000 4.65e+04 2.15e-05 1.000 -9.11e+04 9.11e+04
ar.S.L7 -0.2880 0.223 -1.293 0.196 -0.725 0.149
ma.S.L7 0.1786 0.634 0.282 0.778 -1.063 1.420
sigma2 1.9204 8.93e+04 2.15e-05 1.000 -1.75e+05 1.75e+05
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.69
Prob(Q): 0.75 Prob(JB): 0.71
Heteroskedasticity (H): 0.19 Skew: 0.34
Prob(H) (two-sided): 0.14 Kurtosis: 2.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 149.8903779661939, Current Price: 150.22
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.053
Date: Wed, 09 Oct 2024 AIC 52.106
Time: 14:39:46 BIC 54.930
Sample: 0 HQIC 51.525
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4945 0.078 6.354 0.000 0.342 0.647
ma.L1 -1.0016 64.728 -0.015 0.988 -127.867 125.864
ar.S.L7 0.3366 0.321 1.050 0.294 -0.292 0.965
ma.S.L7 -1.0000 2.77e+04 -3.61e-05 1.000 -5.43e+04 5.43e+04
sigma2 0.7340 2.03e+04 3.61e-05 1.000 -3.99e+04 3.99e+04
===================================================================================
Ljung-Box (L1) (Q): 3.66 Jarque-Bera (JB): 0.72
Prob(Q): 0.06 Prob(JB): 0.70
Heteroskedasticity (H): 0.27 Skew: 0.13
Prob(H) (two-sided): 0.23 Kurtosis: 1.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 150.13217672300576, Current Price: 150.48
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.494
Date: Wed, 09 Oct 2024 AIC 48.988
Time: 14:39:46 BIC 51.813
Sample: 0 HQIC 48.408
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4832 0.163 2.969 0.003 0.164 0.802
ma.L1 -0.1685 0.255 -0.662 0.508 -0.667 0.331
ar.S.L7 0.3272 0.322 1.015 0.310 -0.305 0.959
ma.S.L7 -1.0001 7520.526 -0.000 1.000 -1.47e+04 1.47e+04
sigma2 0.6790 5106.473 0.000 1.000 -1e+04 1e+04
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 2.55
Prob(Q): 0.69 Prob(JB): 0.28
Heteroskedasticity (H): 0.19 Skew: 1.01
Prob(H) (two-sided): 0.14 Kurtosis: 3.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 150.73581902297346, Current Price: 150.42
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.506
Date: Wed, 09 Oct 2024 AIC 45.011
Time: 14:39:46 BIC 47.836
Sample: 0 HQIC 44.431
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3752 2.163 0.173 0.862 -3.865 4.615
ma.L1 -2.0439 8.607 -0.237 0.812 -18.913 14.825
ar.S.L7 0.2210 0.409 0.540 0.589 -0.581 1.023
ma.S.L7 -1.0001 1.45e+04 -6.89e-05 1.000 -2.85e+04 2.85e+04
sigma2 0.1248 1813.180 6.88e-05 1.000 -3553.643 3553.893
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 7.14
Prob(Q): 0.83 Prob(JB): 0.03
Heteroskedasticity (H): 0.08 Skew: 1.56
Prob(H) (two-sided): 0.03 Kurtosis: 4.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 151.94797891359963, Current Price: 149.81
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.346
Date: Wed, 09 Oct 2024 AIC 50.692
Time: 14:39:46 BIC 53.517
Sample: 0 HQIC 50.112
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3796 12.496 0.030 0.976 -24.112 24.872
ma.L1 -2.3220 63.856 -0.036 0.971 -127.477 122.833
ar.S.L7 0.1169 0.532 0.220 0.826 -0.925 1.159
ma.S.L7 -0.7166 1.560 -0.459 0.646 -3.775 2.342
sigma2 0.1920 10.417 0.018 0.985 -20.225 20.609
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.80
Prob(Q): 0.94 Prob(JB): 0.67
Heteroskedasticity (H): 0.54 Skew: 0.19
Prob(H) (two-sided): 0.56 Kurtosis: 4.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 149.9309915969951, Current Price: 150.56
SELL EXECUTED at 150.56
SELL ORDER COMPLETED at 149.04
OPERATION PROFIT, GROSS -1.1100000000000136, NET -1.4091900000000137
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.492
Date: Wed, 09 Oct 2024 AIC 40.985
Time: 14:39:46 BIC 43.809
Sample: 0 HQIC 40.404
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5480 0.473 1.158 0.247 -0.380 1.475
ma.L1 -1.9055 1.921 -0.992 0.321 -5.670 1.859
ar.S.L7 0.0520 0.300 0.173 0.862 -0.536 0.640
ma.S.L7 -1.0003 2424.450 -0.000 1.000 -4752.835 4750.834
sigma2 0.1043 252.739 0.000 1.000 -495.255 495.463
===================================================================================
Ljung-Box (L1) (Q): 1.10 Jarque-Bera (JB): 2.15
Prob(Q): 0.29 Prob(JB): 0.34
Heteroskedasticity (H): 1.98 Skew: -0.88
Prob(H) (two-sided): 0.52 Kurtosis: 3.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 150.9066984387804, Current Price: 149.24
BUY EXECUTED at 149.24
BUY ORDER COMPLETED at 148.6601
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.342
Date: Wed, 09 Oct 2024 AIC 42.685
Time: 14:39:46 BIC 45.510
Sample: 0 HQIC 42.104
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6737 0.463 -1.455 0.146 -1.581 0.234
ma.L1 0.4092 1.031 0.397 0.692 -1.612 2.430
ar.S.L7 0.0085 0.036 0.235 0.815 -0.062 0.079
ma.S.L7 -1.0001 5945.635 -0.000 1.000 -1.17e+04 1.17e+04
sigma2 0.4370 2598.069 0.000 1.000 -5091.685 5092.559
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 1.07
Prob(Q): 0.83 Prob(JB): 0.58
Heteroskedasticity (H): 1.67 Skew: -0.65
Prob(H) (two-sided): 0.63 Kurtosis: 2.48
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 149.74307446127196, Current Price: 147.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.346
Date: Wed, 09 Oct 2024 AIC 44.692
Time: 14:39:47 BIC 47.517
Sample: 0 HQIC 44.111
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6049 0.827 0.731 0.465 -1.017 2.227
ma.L1 -1.7228 2.970 -0.580 0.562 -7.544 4.099
ar.S.L7 -0.1213 0.205 -0.591 0.555 -0.524 0.281
ma.S.L7 0.3902 0.919 0.425 0.671 -1.411 2.191
sigma2 0.2569 0.781 0.329 0.742 -1.274 1.788
===================================================================================
Ljung-Box (L1) (Q): 2.92 Jarque-Bera (JB): 0.76
Prob(Q): 0.09 Prob(JB): 0.68
Heteroskedasticity (H): 24.53 Skew: -0.56
Prob(H) (two-sided): 0.01 Kurtosis: 2.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 148.3495976658617, Current Price: 148.67
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.007
Date: Wed, 09 Oct 2024 AIC 44.013
Time: 14:39:47 BIC 46.838
Sample: 0 HQIC 43.432
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1316 2.260 -0.058 0.954 -4.562 4.299
ma.L1 -12.4888 406.567 -0.031 0.975 -809.346 784.368
ar.S.L7 -0.2294 0.338 -0.679 0.497 -0.892 0.433
ma.S.L7 0.3569 1.155 0.309 0.757 -1.907 2.620
sigma2 0.0050 0.325 0.015 0.988 -0.631 0.641
===================================================================================
Ljung-Box (L1) (Q): 1.48 Jarque-Bera (JB): 1.25
Prob(Q): 0.22 Prob(JB): 0.54
Heteroskedasticity (H): 5.50 Skew: -0.64
Prob(H) (two-sided): 0.13 Kurtosis: 2.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 148.81640967207716, Current Price: 149.12
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.896
Date: Wed, 09 Oct 2024 AIC 43.793
Time: 14:39:47 BIC 46.617
Sample: 0 HQIC 43.212
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1189 1.963 -0.061 0.952 -3.966 3.728
ma.L1 -8.2350 153.171 -0.054 0.957 -308.445 291.975
ar.S.L7 -0.1583 0.261 -0.606 0.544 -0.670 0.353
ma.S.L7 0.8311 6.026 0.138 0.890 -10.979 12.642
sigma2 0.0080 0.292 0.028 0.978 -0.565 0.581
===================================================================================
Ljung-Box (L1) (Q): 1.41 Jarque-Bera (JB): 1.46
Prob(Q): 0.24 Prob(JB): 0.48
Heteroskedasticity (H): 1.57 Skew: -0.80
Prob(H) (two-sided): 0.67 Kurtosis: 2.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 149.2005711236414, Current Price: 148.97
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.170
Date: Wed, 09 Oct 2024 AIC 42.341
Time: 14:39:47 BIC 45.165
Sample: 0 HQIC 41.760
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8410 1.026 -0.819 0.413 -2.853 1.171
ma.L1 1.0000 1.9e+04 5.27e-05 1.000 -3.72e+04 3.72e+04
ar.S.L7 -0.2809 0.176 -1.598 0.110 -0.625 0.064
ma.S.L7 1.0001 2.65e+04 3.78e-05 1.000 -5.19e+04 5.19e+04
sigma2 0.3412 1.05e+04 3.24e-05 1.000 -2.06e+04 2.06e+04
===================================================================================
Ljung-Box (L1) (Q): 1.03 Jarque-Bera (JB): 1.59
Prob(Q): 0.31 Prob(JB): 0.45
Heteroskedasticity (H): 1.77 Skew: -0.75
Prob(H) (two-sided): 0.60 Kurtosis: 2.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 147.99364888231634, Current Price: 149.94
SELL EXECUTED at 149.94
SELL ORDER COMPLETED at 150.0799
OPERATION PROFIT, GROSS 1.4198000000000093, NET 1.1210600000000093
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.651
Date: Wed, 09 Oct 2024 AIC 45.302
Time: 14:39:47 BIC 48.127
Sample: 0 HQIC 44.722
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9152 0.574 -1.595 0.111 -2.040 0.210
ma.L1 1.0000 1.42e+05 7.05e-06 1.000 -2.78e+05 2.78e+05
ar.S.L7 -0.3978 0.235 -1.693 0.090 -0.858 0.063
ma.S.L7 0.2546 1.237 0.206 0.837 -2.170 2.680
sigma2 0.7214 1.02e+05 7.05e-06 1.000 -2.01e+05 2.01e+05
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.53
Prob(Q): 0.99 Prob(JB): 0.46
Heteroskedasticity (H): 1.16 Skew: -0.71
Prob(H) (two-sided): 0.89 Kurtosis: 2.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 150.31562433676544, Current Price: 150.03
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.764
Date: Wed, 09 Oct 2024 AIC 45.529
Time: 14:39:47 BIC 48.353
Sample: 0 HQIC 44.948
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4474 2.823 -0.158 0.874 -5.981 5.086
ma.L1 0.2763 3.350 0.082 0.934 -6.290 6.843
ar.S.L7 -0.1686 0.537 -0.314 0.754 -1.222 0.885
ma.S.L7 0.0956 0.714 0.134 0.893 -1.303 1.494
sigma2 0.8972 0.434 2.066 0.039 0.046 1.748
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 0.55
Prob(Q): 0.67 Prob(JB): 0.76
Heteroskedasticity (H): 2.02 Skew: -0.37
Prob(H) (two-sided): 0.51 Kurtosis: 2.31
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 148.98121520747802, Current Price: 150.76
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.382
Date: Wed, 09 Oct 2024 AIC 46.764
Time: 14:39:47 BIC 49.589
Sample: 0 HQIC 46.183
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5002 0.994 -0.503 0.615 -2.448 1.448
ma.L1 0.3881 1.605 0.242 0.809 -2.759 3.535
ar.S.L7 -0.2265 1.060 -0.214 0.831 -2.304 1.851
ma.S.L7 -0.3906 1.252 -0.312 0.755 -2.844 2.063
sigma2 0.9167 0.464 1.975 0.048 0.007 1.826
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 2.76
Prob(Q): 0.97 Prob(JB): 0.25
Heteroskedasticity (H): 0.27 Skew: -1.10
Prob(H) (two-sided): 0.24 Kurtosis: 2.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 150.00321646061855, Current Price: 150.99
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.259
Date: Wed, 09 Oct 2024 AIC 44.518
Time: 14:39:47 BIC 47.343
Sample: 0 HQIC 43.938
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4652 0.602 0.772 0.440 -0.715 1.646
ma.L1 -2.1127 4.809 -0.439 0.660 -11.539 7.314
ar.S.L7 -0.2207 0.309 -0.713 0.476 -0.827 0.386
ma.S.L7 -1.0001 9487.399 -0.000 1.000 -1.86e+04 1.86e+04
sigma2 0.1106 1049.318 0.000 1.000 -2056.514 2056.735
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 2.71
Prob(Q): 0.86 Prob(JB): 0.26
Heteroskedasticity (H): 0.26 Skew: -1.09
Prob(H) (two-sided): 0.22 Kurtosis: 2.49
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 151.56918808614037, Current Price: 148.339
BUY EXECUTED at 148.339
BUY ORDER COMPLETED at 147.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.965
Date: Wed, 09 Oct 2024 AIC 53.929
Time: 14:39:47 BIC 56.754
Sample: 0 HQIC 53.349
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7793 0.345 -2.258 0.024 -1.456 -0.103
ma.L1 1.0000 5.94e+04 1.68e-05 1.000 -1.16e+05 1.16e+05
ar.S.L7 -0.4536 0.527 -0.861 0.389 -1.487 0.579
ma.S.L7 -0.4909 1.518 -0.323 0.746 -3.465 2.484
sigma2 1.3555 8.06e+04 1.68e-05 1.000 -1.58e+05 1.58e+05
===================================================================================
Ljung-Box (L1) (Q): 0.23 Jarque-Bera (JB): 3.95
Prob(Q): 0.63 Prob(JB): 0.14
Heteroskedasticity (H): 2.13 Skew: -1.30
Prob(H) (two-sided): 0.48 Kurtosis: 3.74
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 147.9005363879851, Current Price: 146.26
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.108
Date: Wed, 09 Oct 2024 AIC 56.216
Time: 14:39:47 BIC 59.040
Sample: 0 HQIC 55.635
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3165 5.426 0.058 0.953 -10.319 10.952
ma.L1 -0.0502 5.256 -0.010 0.992 -10.351 10.251
ar.S.L7 -0.4760 1.256 -0.379 0.705 -2.938 1.986
ma.S.L7 -0.9999 3.75e+04 -2.67e-05 1.000 -7.35e+04 7.35e+04
sigma2 1.2339 4.63e+04 2.67e-05 1.000 -9.07e+04 9.07e+04
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 1.95
Prob(Q): 0.73 Prob(JB): 0.38
Heteroskedasticity (H): 1.57 Skew: -0.95
Prob(H) (two-sided): 0.67 Kurtosis: 2.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 145.37641176387555, Current Price: 145.73
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.319
Date: Wed, 09 Oct 2024 AIC 52.639
Time: 14:39:47 BIC 55.464
Sample: 0 HQIC 52.058
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5680 0.290 -1.956 0.050 -1.137 0.001
ma.L1 1.0000 3.44e+04 2.91e-05 1.000 -6.74e+04 6.74e+04
ar.S.L7 -0.4540 0.575 -0.790 0.430 -1.581 0.673
ma.S.L7 -1.7154 8.149 -0.211 0.833 -17.687 14.256
sigma2 0.3971 1.37e+04 2.91e-05 1.000 -2.68e+04 2.68e+04
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 2.11
Prob(Q): 0.75 Prob(JB): 0.35
Heteroskedasticity (H): 2.83 Skew: -0.97
Prob(H) (two-sided): 0.34 Kurtosis: 3.40
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 145.52780783346927, Current Price: 146.24
SELL EXECUTED at 146.24
SELL ORDER COMPLETED at 146.77
OPERATION PROFIT, GROSS -1.0900000000000034, NET -1.3846300000000036
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.833
Date: Wed, 09 Oct 2024 AIC 51.666
Time: 14:39:47 BIC 54.490
Sample: 0 HQIC 51.085
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5044 0.127 -3.984 0.000 -0.753 -0.256
ma.L1 1.0000 4.16e+04 2.4e-05 1.000 -8.16e+04 8.16e+04
ar.S.L7 -0.4056 0.485 -0.836 0.403 -1.356 0.545
ma.S.L7 -0.7319 5.944 -0.123 0.902 -12.382 10.918
sigma2 0.9837 4.1e+04 2.4e-05 1.000 -8.03e+04 8.03e+04
===================================================================================
Ljung-Box (L1) (Q): 0.39 Jarque-Bera (JB): 1.91
Prob(Q): 0.53 Prob(JB): 0.38
Heteroskedasticity (H): 3.65 Skew: -0.91
Prob(H) (two-sided): 0.24 Kurtosis: 3.49
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 147.29693365267275, Current Price: 147.18
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.210
Date: Wed, 09 Oct 2024 AIC 48.419
Time: 14:39:47 BIC 51.244
Sample: 0 HQIC 47.838
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0782 2.310 0.034 0.973 -4.449 4.605
ma.L1 0.4469 2.110 0.212 0.832 -3.689 4.583
ar.S.L7 -0.7785 1.447 -0.538 0.591 -3.615 2.059
ma.S.L7 -0.2405 2.163 -0.111 0.911 -4.480 3.999
sigma2 1.0979 0.590 1.862 0.063 -0.058 2.254
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 38.89
Prob(Q): 0.92 Prob(JB): 0.00
Heteroskedasticity (H): 5.75 Skew: -2.73
Prob(H) (two-sided): 0.12 Kurtosis: 9.49
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 146.26648714278605, Current Price: 146.001
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.102
Date: Wed, 09 Oct 2024 AIC 48.205
Time: 14:39:47 BIC 51.030
Sample: 0 HQIC 47.624
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0541 2.302 0.024 0.981 -4.457 4.565
ma.L1 0.4682 2.189 0.214 0.831 -3.822 4.758
ar.S.L7 -0.8110 1.388 -0.584 0.559 -3.532 1.910
ma.S.L7 -0.3208 2.495 -0.129 0.898 -5.211 4.569
sigma2 1.0590 0.952 1.112 0.266 -0.808 2.926
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 34.18
Prob(Q): 0.86 Prob(JB): 0.00
Heteroskedasticity (H): 3.40 Skew: -2.58
Prob(H) (two-sided): 0.26 Kurtosis: 9.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 144.6431983600006, Current Price: 144.93
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.217
Date: Wed, 09 Oct 2024 AIC 46.434
Time: 14:39:47 BIC 49.258
Sample: 0 HQIC 45.853
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2429 2.386 0.102 0.919 -4.434 4.919
ma.L1 0.3922 2.547 0.154 0.878 -4.599 5.383
ar.S.L7 -0.9067 1.356 -0.668 0.504 -3.565 1.752
ma.S.L7 -1.0001 1.08e+04 -9.3e-05 1.000 -2.11e+04 2.11e+04
sigma2 0.5813 6250.555 9.3e-05 1.000 -1.23e+04 1.23e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 36.80
Prob(Q): 0.97 Prob(JB): 0.00
Heteroskedasticity (H): 4.89 Skew: -2.65
Prob(H) (two-sided): 0.15 Kurtosis: 9.31
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 147.78274274634006, Current Price: 147.63
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.243
Date: Wed, 09 Oct 2024 AIC 48.486
Time: 14:39:47 BIC 51.311
Sample: 0 HQIC 47.905
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1317 3.103 0.042 0.966 -5.949 6.213
ma.L1 0.4735 2.005 0.236 0.813 -3.455 4.402
ar.S.L7 -0.8461 0.758 -1.116 0.264 -2.331 0.639
ma.S.L7 -1.0003 5375.017 -0.000 1.000 -1.05e+04 1.05e+04
sigma2 0.6806 3658.436 0.000 1.000 -7169.721 7171.082
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 37.95
Prob(Q): 0.76 Prob(JB): 0.00
Heteroskedasticity (H): 0.33 Skew: -2.69
Prob(H) (two-sided): 0.31 Kurtosis: 9.40
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 149.1545138342689, Current Price: 148.91
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.749
Date: Wed, 09 Oct 2024 AIC 47.499
Time: 14:39:47 BIC 50.323
Sample: 0 HQIC 46.918
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0840 3.667 0.023 0.982 -7.103 7.271
ma.L1 0.4521 3.408 0.133 0.894 -6.227 7.132
ar.S.L7 -0.8782 0.731 -1.202 0.229 -2.310 0.554
ma.S.L7 -1.0001 2.03e+04 -4.94e-05 1.000 -3.97e+04 3.97e+04
sigma2 0.6310 1.28e+04 4.94e-05 1.000 -2.51e+04 2.51e+04
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 26.73
Prob(Q): 0.82 Prob(JB): 0.00
Heteroskedasticity (H): 0.94 Skew: -2.39
Prob(H) (two-sided): 0.95 Kurtosis: 8.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 148.7630307076476, Current Price: 149.15
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.473
Date: Wed, 09 Oct 2024 AIC 46.947
Time: 14:39:47 BIC 49.771
Sample: 0 HQIC 46.366
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0922 3.581 0.026 0.979 -6.927 7.111
ma.L1 0.4179 2.922 0.143 0.886 -5.309 6.145
ar.S.L7 -0.9367 0.901 -1.039 0.299 -2.703 0.829
ma.S.L7 -1.0000 3.55e+04 -2.81e-05 1.000 -6.96e+04 6.96e+04
sigma2 0.6048 2.15e+04 2.81e-05 1.000 -4.21e+04 4.21e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 30.85
Prob(Q): 0.99 Prob(JB): 0.00
Heteroskedasticity (H): 0.04 Skew: -2.51
Prob(H) (two-sided): 0.01 Kurtosis: 8.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 149.66761859223894, Current Price: 150.25
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.694
Date: Wed, 09 Oct 2024 AIC 47.388
Time: 14:39:47 BIC 50.213
Sample: 0 HQIC 46.808
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1003 3.048 0.033 0.974 -5.873 6.073
ma.L1 0.4260 2.571 0.166 0.868 -4.613 5.465
ar.S.L7 -0.9313 0.906 -1.028 0.304 -2.707 0.844
ma.S.L7 -1.0001 2.02e+04 -4.96e-05 1.000 -3.95e+04 3.95e+04
sigma2 0.6256 1.26e+04 4.96e-05 1.000 -2.47e+04 2.47e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 28.54
Prob(Q): 0.97 Prob(JB): 0.00
Heteroskedasticity (H): 0.05 Skew: -2.44
Prob(H) (two-sided): 0.01 Kurtosis: 8.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 150.52097874172088, Current Price: 151.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.145
Date: Wed, 09 Oct 2024 AIC 48.291
Time: 14:39:47 BIC 51.115
Sample: 0 HQIC 47.710
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1278 1.743 0.073 0.942 -3.289 3.545
ma.L1 0.4692 1.726 0.272 0.786 -2.914 3.853
ar.S.L7 -0.8095 0.822 -0.985 0.325 -2.420 0.801
ma.S.L7 -1.0000 6.32e+04 -1.58e-05 1.000 -1.24e+05 1.24e+05
sigma2 0.6706 4.24e+04 1.58e-05 1.000 -8.31e+04 8.31e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 28.56
Prob(Q): 0.97 Prob(JB): 0.00
Heteroskedasticity (H): 0.15 Skew: -2.42
Prob(H) (two-sided): 0.09 Kurtosis: 8.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 152.4949124170523, Current Price: 152.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.987
Date: Wed, 09 Oct 2024 AIC 47.973
Time: 14:39:47 BIC 50.798
Sample: 0 HQIC 47.393
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0860 2.240 0.038 0.969 -4.305 4.477
ma.L1 0.5021 1.609 0.312 0.755 -2.652 3.656
ar.S.L7 -0.8589 0.715 -1.201 0.230 -2.261 0.543
ma.S.L7 -1.0000 5.39e+04 -1.86e-05 1.000 -1.06e+05 1.06e+05
sigma2 0.6544 3.53e+04 1.86e-05 1.000 -6.91e+04 6.91e+04
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 26.43
Prob(Q): 0.70 Prob(JB): 0.00
Heteroskedasticity (H): 0.13 Skew: -2.36
Prob(H) (two-sided): 0.07 Kurtosis: 8.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 152.6727496410677, Current Price: 154.14
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.520
Date: Wed, 09 Oct 2024 AIC 31.039
Time: 14:39:47 BIC 33.864
Sample: 0 HQIC 30.458
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4552 0.348 1.310 0.190 -0.226 1.137
ma.L1 0.2833 0.466 0.608 0.543 -0.630 1.197
ar.S.L7 -0.8362 0.254 -3.295 0.001 -1.334 -0.339
ma.S.L7 -1.0001 1.18e+04 -8.48e-05 1.000 -2.31e+04 2.31e+04
sigma2 0.1714 2021.387 8.48e-05 1.000 -3961.675 3962.017
===================================================================================
Ljung-Box (L1) (Q): 0.46 Jarque-Bera (JB): 0.97
Prob(Q): 0.50 Prob(JB): 0.62
Heteroskedasticity (H): 1.91 Skew: 0.09
Prob(H) (two-sided): 0.55 Kurtosis: 1.68
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 152.93117523321004, Current Price: 154.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.924
Date: Wed, 09 Oct 2024 AIC 41.847
Time: 14:39:47 BIC 44.672
Sample: 0 HQIC 41.267
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1855 0.737 0.252 0.801 -1.258 1.629
ma.L1 0.4756 0.674 0.705 0.481 -0.846 1.797
ar.S.L7 -0.7069 0.377 -1.876 0.061 -1.446 0.032
ma.S.L7 -0.6821 2.144 -0.318 0.750 -4.885 3.521
sigma2 0.5411 1.126 0.480 0.631 -1.667 2.749
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.70
Prob(Q): 0.80 Prob(JB): 0.70
Heteroskedasticity (H): 6.67 Skew: 0.31
Prob(H) (two-sided): 0.09 Kurtosis: 2.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 154.30373359652353, Current Price: 155.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.480
Date: Wed, 09 Oct 2024 AIC 42.959
Time: 14:39:47 BIC 45.784
Sample: 0 HQIC 42.379
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4614 0.248 1.858 0.063 -0.025 0.948
ma.L1 0.2553 0.716 0.357 0.721 -1.147 1.658
ar.S.L7 -0.8737 0.136 -6.403 0.000 -1.141 -0.606
ma.S.L7 0.9999 7369.503 0.000 1.000 -1.44e+04 1.44e+04
sigma2 0.4332 3192.448 0.000 1.000 -6256.651 6257.517
===================================================================================
Ljung-Box (L1) (Q): 0.59 Jarque-Bera (JB): 1.05
Prob(Q): 0.44 Prob(JB): 0.59
Heteroskedasticity (H): 2.06 Skew: 0.62
Prob(H) (two-sided): 0.50 Kurtosis: 2.38
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.78949423677207, Current Price: 156.57
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.590
Date: Wed, 09 Oct 2024 AIC 35.179
Time: 14:39:47 BIC 38.004
Sample: 0 HQIC 34.599
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.1297 0.077 14.760 0.000 0.980 1.280
ma.L1 -1.0000 1.48e+04 -6.76e-05 1.000 -2.9e+04 2.9e+04
ar.S.L7 -0.9020 0.081 -11.082 0.000 -1.062 -0.742
ma.S.L7 1.0000 1.85e+04 5.4e-05 1.000 -3.63e+04 3.63e+04
sigma2 0.2161 6102.254 3.54e-05 1.000 -1.2e+04 1.2e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 2.17
Prob(Q): 0.99 Prob(JB): 0.34
Heteroskedasticity (H): 0.18 Skew: 0.49
Prob(H) (two-sided): 0.13 Kurtosis: 4.74
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 158.69641280716385, Current Price: 154.66
BUY EXECUTED at 154.66
BUY ORDER COMPLETED at 154.22
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.329
Date: Wed, 09 Oct 2024 AIC 52.657
Time: 14:39:48 BIC 55.482
Sample: 0 HQIC 52.077
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2073 1.311 0.158 0.874 -2.362 2.776
ma.L1 2.9725 18.473 0.161 0.872 -33.234 39.179
ar.S.L7 -0.8961 0.180 -4.979 0.000 -1.249 -0.543
ma.S.L7 0.6832 3.083 0.222 0.825 -5.359 6.725
sigma2 0.1406 1.869 0.075 0.940 -3.523 3.804
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 10.07
Prob(Q): 0.68 Prob(JB): 0.01
Heteroskedasticity (H): 3.88 Skew: -1.63
Prob(H) (two-sided): 0.22 Kurtosis: 5.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 154.80083385943203, Current Price: 156.02
SELL EXECUTED at 156.02
SELL ORDER COMPLETED at 155.91
OPERATION PROFIT, GROSS 1.6899999999999977, NET 1.3798699999999977
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.719
Date: Wed, 09 Oct 2024 AIC 53.437
Time: 14:39:48 BIC 56.262
Sample: 0 HQIC 52.857
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3058 2.872 0.106 0.915 -5.324 5.935
ma.L1 0.0393 3.522 0.011 0.991 -6.863 6.942
ar.S.L7 -0.8843 0.151 -5.867 0.000 -1.180 -0.589
ma.S.L7 1.0000 3.63e+04 2.76e-05 1.000 -7.11e+04 7.11e+04
sigma2 0.9963 3.61e+04 2.76e-05 1.000 -7.08e+04 7.08e+04
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 19.49
Prob(Q): 0.67 Prob(JB): 0.00
Heteroskedasticity (H): 3.64 Skew: -2.07
Prob(H) (two-sided): 0.24 Kurtosis: 7.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.52015341333492, Current Price: 154.83
BUY EXECUTED at 154.83
BUY ORDER COMPLETED at 156.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.827
Date: Wed, 09 Oct 2024 AIC 53.654
Time: 14:39:48 BIC 56.479
Sample: 0 HQIC 53.074
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3562 1.674 0.213 0.831 -2.924 3.636
ma.L1 -0.0047 2.012 -0.002 0.998 -3.949 3.939
ar.S.L7 -0.9209 0.152 -6.064 0.000 -1.219 -0.623
ma.S.L7 1.0000 3.08e+05 3.24e-06 1.000 -6.04e+05 6.04e+05
sigma2 1.0119 3.12e+05 3.24e-06 1.000 -6.11e+05 6.11e+05
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 13.04
Prob(Q): 0.70 Prob(JB): 0.00
Heteroskedasticity (H): 3.77 Skew: -1.83
Prob(H) (two-sided): 0.23 Kurtosis: 6.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 154.47903636534392, Current Price: 156.12
SELL EXECUTED at 156.12
SELL ORDER COMPLETED at 157.6
OPERATION PROFIT, GROSS 1.5999999999999943, NET 1.2863999999999942
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.930
Date: Wed, 09 Oct 2024 AIC 51.860
Time: 14:39:48 BIC 54.685
Sample: 0 HQIC 51.280
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3512 1.881 0.187 0.852 -3.335 4.038
ma.L1 -0.1787 2.077 -0.086 0.931 -4.250 3.892
ar.S.L7 -0.7628 0.321 -2.378 0.017 -1.392 -0.134
ma.S.L7 1.0001 9717.525 0.000 1.000 -1.9e+04 1.9e+04
sigma2 0.8827 8578.283 0.000 1.000 -1.68e+04 1.68e+04
===================================================================================
Ljung-Box (L1) (Q): 0.49 Jarque-Bera (JB): 11.82
Prob(Q): 0.48 Prob(JB): 0.00
Heteroskedasticity (H): 7.60 Skew: -1.84
Prob(H) (two-sided): 0.07 Kurtosis: 5.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 158.6906140663928, Current Price: 157.34
BUY EXECUTED at 157.34
BUY ORDER COMPLETED at 156.97
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.671
Date: Wed, 09 Oct 2024 AIC 51.343
Time: 14:39:48 BIC 54.167
Sample: 0 HQIC 50.762
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3392 1.824 -0.186 0.853 -3.915 3.237
ma.L1 0.2744 1.813 0.151 0.880 -3.279 3.828
ar.S.L7 -0.6596 0.371 -1.780 0.075 -1.386 0.067
ma.S.L7 1.0003 5989.736 0.000 1.000 -1.17e+04 1.17e+04
sigma2 0.8481 5080.470 0.000 1.000 -9956.691 9958.387
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 2.86
Prob(Q): 0.94 Prob(JB): 0.24
Heteroskedasticity (H): 1.24 Skew: -1.10
Prob(H) (two-sided): 0.84 Kurtosis: 3.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 158.95408184805726, Current Price: 157.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.041
Date: Wed, 09 Oct 2024 AIC 52.081
Time: 14:39:48 BIC 54.906
Sample: 0 HQIC 51.501
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6472 0.723 -0.895 0.371 -2.064 0.770
ma.L1 0.5735 0.908 0.631 0.528 -1.207 2.354
ar.S.L7 -0.4872 0.297 -1.640 0.101 -1.069 0.095
ma.S.L7 0.2777 0.850 0.327 0.744 -1.389 1.945
sigma2 1.4227 0.919 1.548 0.122 -0.379 3.224
===================================================================================
Ljung-Box (L1) (Q): 0.36 Jarque-Bera (JB): 1.06
Prob(Q): 0.55 Prob(JB): 0.59
Heteroskedasticity (H): 0.47 Skew: -0.70
Prob(H) (two-sided): 0.48 Kurtosis: 2.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 158.88739864311313, Current Price: 157.19
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.654
Date: Wed, 09 Oct 2024 AIC 51.308
Time: 14:39:48 BIC 54.133
Sample: 0 HQIC 50.727
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7282 0.691 -1.054 0.292 -2.082 0.626
ma.L1 0.5923 0.952 0.622 0.534 -1.274 2.459
ar.S.L7 -0.4301 0.464 -0.926 0.354 -1.340 0.480
ma.S.L7 -1.0001 1.08e+04 -9.3e-05 1.000 -2.11e+04 2.11e+04
sigma2 0.8160 8776.385 9.3e-05 1.000 -1.72e+04 1.72e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.78
Prob(Q): 0.99 Prob(JB): 0.68
Heteroskedasticity (H): 0.54 Skew: -0.60
Prob(H) (two-sided): 0.56 Kurtosis: 3.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 158.18472082904896, Current Price: 157.32
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.799
Date: Wed, 09 Oct 2024 AIC 51.598
Time: 14:39:48 BIC 54.423
Sample: 0 HQIC 51.018
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6377 1.216 -0.525 0.600 -3.020 1.745
ma.L1 0.5277 1.464 0.360 0.719 -2.342 3.397
ar.S.L7 -0.4065 0.460 -0.884 0.377 -1.308 0.495
ma.S.L7 -1.0013 884.556 -0.001 0.999 -1734.700 1732.697
sigma2 0.8347 738.916 0.001 0.999 -1447.414 1449.083
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.37
Prob(Q): 0.96 Prob(JB): 0.83
Heteroskedasticity (H): 0.20 Skew: -0.40
Prob(H) (two-sided): 0.14 Kurtosis: 2.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 158.53445687595752, Current Price: 158.29
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.229
Date: Wed, 09 Oct 2024 AIC 50.458
Time: 14:39:48 BIC 53.283
Sample: 0 HQIC 49.878
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6324 0.453 1.395 0.163 -0.256 1.521
ma.L1 -0.7252 0.678 -1.070 0.285 -2.053 0.603
ar.S.L7 -0.0011 0.003 -0.402 0.688 -0.007 0.004
ma.S.L7 -1.0010 830.146 -0.001 0.999 -1628.056 1626.054
sigma2 0.8833 733.517 0.001 0.999 -1436.783 1438.549
===================================================================================
Ljung-Box (L1) (Q): 1.21 Jarque-Bera (JB): 0.92
Prob(Q): 0.27 Prob(JB): 0.63
Heteroskedasticity (H): 0.36 Skew: -0.65
Prob(H) (two-sided): 0.35 Kurtosis: 2.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 158.32694921584456, Current Price: 157.72
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.145
Date: Wed, 09 Oct 2024 AIC 46.291
Time: 14:39:48 BIC 49.115
Sample: 0 HQIC 45.710
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3519 1.674 -0.210 0.834 -3.634 2.930
ma.L1 0.0501 1.579 0.032 0.975 -3.046 3.146
ar.S.L7 -0.2643 0.313 -0.845 0.398 -0.877 0.349
ma.S.L7 -1.6163 2.776 -0.582 0.560 -7.058 3.825
sigma2 0.3052 0.789 0.387 0.699 -1.241 1.851
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 0.04
Prob(Q): 0.68 Prob(JB): 0.98
Heteroskedasticity (H): 0.32 Skew: 0.13
Prob(H) (two-sided): 0.30 Kurtosis: 3.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 158.3409281962471, Current Price: 161.52
SELL EXECUTED at 161.52
SELL ORDER COMPLETED at 162.36
OPERATION PROFIT, GROSS 5.390000000000015, NET 5.070670000000015
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.140
Date: Wed, 09 Oct 2024 AIC 52.281
Time: 14:39:48 BIC 55.105
Sample: 0 HQIC 51.700
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4383 0.100 4.396 0.000 0.243 0.634
ma.L1 -0.8051 0.277 -2.907 0.004 -1.348 -0.262
ar.S.L7 -0.5054 0.286 -1.766 0.077 -1.066 0.056
ma.S.L7 24.7437 300.467 0.082 0.934 -564.161 613.649
sigma2 0.0024 0.059 0.041 0.967 -0.113 0.118
===================================================================================
Ljung-Box (L1) (Q): 0.33 Jarque-Bera (JB): 0.81
Prob(Q): 0.57 Prob(JB): 0.67
Heteroskedasticity (H): 0.63 Skew: 0.41
Prob(H) (two-sided): 0.66 Kurtosis: 2.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.88604702085178, Current Price: 161.49
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.511
Date: Wed, 09 Oct 2024 AIC 51.023
Time: 14:39:48 BIC 53.848
Sample: 0 HQIC 50.442
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2772 0.679 0.408 0.683 -1.054 1.609
ma.L1 -1.3457 0.895 -1.503 0.133 -3.100 0.409
ar.S.L7 -0.5548 0.183 -3.029 0.002 -0.914 -0.196
ma.S.L7 -0.1522 0.409 -0.372 0.710 -0.955 0.650
sigma2 0.7434 0.823 0.904 0.366 -0.869 2.356
===================================================================================
Ljung-Box (L1) (Q): 1.34 Jarque-Bera (JB): 2.18
Prob(Q): 0.25 Prob(JB): 0.34
Heteroskedasticity (H): 0.74 Skew: 1.00
Prob(H) (two-sided): 0.77 Kurtosis: 2.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.0346765798531, Current Price: 160.64
BUY EXECUTED at 160.64
BUY ORDER COMPLETED at 161.64
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.468
Date: Wed, 09 Oct 2024 AIC 48.935
Time: 14:39:48 BIC 51.760
Sample: 0 HQIC 48.355
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0156 0.847 0.018 0.985 -1.644 1.676
ma.L1 -0.5774 0.656 -0.880 0.379 -1.864 0.709
ar.S.L7 -0.6377 0.203 -3.139 0.002 -1.036 -0.240
ma.S.L7 0.1515 0.328 0.462 0.644 -0.492 0.795
sigma2 1.1570 0.896 1.291 0.197 -0.600 2.914
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.33
Prob(Q): 0.99 Prob(JB): 0.51
Heteroskedasticity (H): 1.25 Skew: 0.78
Prob(H) (two-sided): 0.83 Kurtosis: 2.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.73393272358274, Current Price: 161.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.904
Date: Wed, 09 Oct 2024 AIC 43.809
Time: 14:39:48 BIC 46.634
Sample: 0 HQIC 43.228
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5831 0.140 -4.170 0.000 -0.857 -0.309
ma.L1 1.0002 350.969 0.003 0.998 -686.886 688.886
ar.S.L7 -0.6599 0.155 -4.269 0.000 -0.963 -0.357
ma.S.L7 1.0000 3.94e+04 2.54e-05 1.000 -7.73e+04 7.73e+04
sigma2 0.3815 1.51e+04 2.53e-05 1.000 -2.96e+04 2.96e+04
===================================================================================
Ljung-Box (L1) (Q): 3.72 Jarque-Bera (JB): 2.36
Prob(Q): 0.05 Prob(JB): 0.31
Heteroskedasticity (H): 2.63 Skew: 1.04
Prob(H) (two-sided): 0.37 Kurtosis: 3.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.89330721422172, Current Price: 167.119
SELL EXECUTED at 167.119
SELL ORDER COMPLETED at 169.93
OPERATION PROFIT, GROSS 8.29000000000002, NET 7.95843000000002
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.201
Date: Wed, 09 Oct 2024 AIC 62.402
Time: 14:39:48 BIC 65.227
Sample: 0 HQIC 61.821
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5278 0.348 -1.515 0.130 -1.210 0.155
ma.L1 1.0000 2.5e+04 3.99e-05 1.000 -4.91e+04 4.91e+04
ar.S.L7 -0.2308 0.475 -0.486 0.627 -1.161 0.700
ma.S.L7 1.0001 1.62e+04 6.18e-05 1.000 -3.17e+04 3.17e+04
sigma2 1.6312 4.72e+04 3.46e-05 1.000 -9.24e+04 9.24e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.20
Prob(Q): 0.96 Prob(JB): 0.55
Heteroskedasticity (H): 10.57 Skew: 0.74
Prob(H) (two-sided): 0.04 Kurtosis: 2.84
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.2593327304695, Current Price: 168.61
BUY EXECUTED at 168.61
BUY ORDER COMPLETED at 172.46
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.959
Date: Wed, 09 Oct 2024 AIC 61.918
Time: 14:39:48 BIC 64.742
Sample: 0 HQIC 61.337
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5144 0.768 -0.669 0.503 -2.020 0.991
ma.L1 1.0000 6633.213 0.000 1.000 -1.3e+04 1.3e+04
ar.S.L7 -0.1212 0.373 -0.325 0.746 -0.853 0.611
ma.S.L7 0.4516 1.539 0.293 0.769 -2.565 3.468
sigma2 2.4967 1.66e+04 0.000 1.000 -3.25e+04 3.25e+04
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 0.94
Prob(Q): 0.62 Prob(JB): 0.63
Heteroskedasticity (H): 7.55 Skew: 0.62
Prob(H) (two-sided): 0.08 Kurtosis: 2.58
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.6070362797, Current Price: 174.58
SELL EXECUTED at 174.58
SELL ORDER COMPLETED at 172.28
OPERATION PROFIT, GROSS -0.18000000000000682, NET -0.5247400000000069
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.215
Date: Wed, 09 Oct 2024 AIC 70.431
Time: 14:39:48 BIC 73.256
Sample: 0 HQIC 69.850
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.1404 0.472 2.416 0.016 0.215 2.066
ma.L1 -1.3028 1.266 -1.029 0.303 -3.784 1.178
ar.S.L7 0.0001 0.208 0.001 1.000 -0.407 0.408
ma.S.L7 -4.9078 19.812 -0.248 0.804 -43.739 33.923
sigma2 0.1491 1.364 0.109 0.913 -2.525 2.823
===================================================================================
Ljung-Box (L1) (Q): 1.71 Jarque-Bera (JB): 0.91
Prob(Q): 0.19 Prob(JB): 0.63
Heteroskedasticity (H): 6.43 Skew: 0.50
Prob(H) (two-sided): 0.10 Kurtosis: 2.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 181.76384943827173, Current Price: 170.75
BUY EXECUTED at 170.75
BUY ORDER COMPLETED at 169.57
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.702
Date: Wed, 09 Oct 2024 AIC 73.405
Time: 14:39:48 BIC 76.229
Sample: 0 HQIC 72.824
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.2583 0.890 -1.413 0.158 -3.003 0.487
ma.L1 0.8196 0.797 1.028 0.304 -0.743 2.382
ar.S.L7 -0.5454 0.935 -0.583 0.560 -2.378 1.287
ma.S.L7 -0.1850 2.025 -0.091 0.927 -4.155 3.785
sigma2 7.2726 3.120 2.331 0.020 1.157 13.388
===================================================================================
Ljung-Box (L1) (Q): 0.61 Jarque-Bera (JB): 1.51
Prob(Q): 0.43 Prob(JB): 0.47
Heteroskedasticity (H): 20.42 Skew: 0.80
Prob(H) (two-sided): 0.01 Kurtosis: 2.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.01538885656745, Current Price: 169.97
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -33.238
Date: Wed, 09 Oct 2024 AIC 76.475
Time: 14:39:48 BIC 79.300
Sample: 0 HQIC 75.895
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8109 1.950 -0.416 0.678 -4.633 3.011
ma.L1 0.6333 2.631 0.241 0.810 -4.524 5.790
ar.S.L7 -0.7668 2.537 -0.302 0.763 -5.740 4.206
ma.S.L7 -0.3315 3.616 -0.092 0.927 -7.420 6.757
sigma2 9.1203 13.362 0.683 0.495 -17.070 35.310
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 1.65
Prob(Q): 0.85 Prob(JB): 0.44
Heteroskedasticity (H): 22.31 Skew: 0.87
Prob(H) (two-sided): 0.01 Kurtosis: 2.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.82737053924552, Current Price: 171.8
SELL EXECUTED at 171.8
SELL ORDER COMPLETED at 172.6
OPERATION PROFIT, GROSS 3.030000000000001, NET 2.6878300000000013
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -33.142
Date: Wed, 09 Oct 2024 AIC 76.283
Time: 14:39:48 BIC 79.108
Sample: 0 HQIC 75.702
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3559 2.626 0.136 0.892 -4.792 5.504
ma.L1 -0.5715 2.227 -0.257 0.797 -4.936 3.793
ar.S.L7 -0.9911 1.335 -0.742 0.458 -3.608 1.626
ma.S.L7 -1.0005 3729.440 -0.000 1.000 -7310.568 7308.567
sigma2 5.7607 2.15e+04 0.000 1.000 -4.21e+04 4.21e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 4.27
Prob(Q): 0.90 Prob(JB): 0.12
Heteroskedasticity (H): 7.90 Skew: 1.38
Prob(H) (two-sided): 0.07 Kurtosis: 3.55
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.82640620236288, Current Price: 173.92
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -33.309
Date: Wed, 09 Oct 2024 AIC 76.618
Time: 14:39:48 BIC 79.443
Sample: 0 HQIC 76.038
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3252 2.189 0.149 0.882 -3.965 4.616
ma.L1 -0.5317 1.825 -0.291 0.771 -4.108 3.045
ar.S.L7 -1.1505 1.183 -0.972 0.331 -3.470 1.169
ma.S.L7 -1.0001 1.22e+04 -8.2e-05 1.000 -2.39e+04 2.39e+04
sigma2 5.9181 7.22e+04 8.2e-05 1.000 -1.41e+05 1.41e+05
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 2.76
Prob(Q): 0.78 Prob(JB): 0.25
Heteroskedasticity (H): 1.99 Skew: 1.13
Prob(H) (two-sided): 0.52 Kurtosis: 3.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.26233742111617, Current Price: 174.42
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -33.277
Date: Wed, 09 Oct 2024 AIC 76.554
Time: 14:39:48 BIC 79.379
Sample: 0 HQIC 75.973
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6325 1.516 0.417 0.677 -2.339 3.604
ma.L1 -1.0000 1.18e+04 -8.48e-05 1.000 -2.31e+04 2.31e+04
ar.S.L7 -0.3537 1.010 -0.350 0.726 -2.334 1.626
ma.S.L7 -0.9630 59.753 -0.016 0.987 -118.076 116.150
sigma2 4.9157 5.81e+04 8.46e-05 1.000 -1.14e+05 1.14e+05
===================================================================================
Ljung-Box (L1) (Q): 0.80 Jarque-Bera (JB): 0.69
Prob(Q): 0.37 Prob(JB): 0.71
Heteroskedasticity (H): 1.75 Skew: 0.56
Prob(H) (two-sided): 0.60 Kurtosis: 3.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 175.74410679089235, Current Price: 177.72
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -33.390
Date: Wed, 09 Oct 2024 AIC 76.780
Time: 14:39:48 BIC 79.605
Sample: 0 HQIC 76.199
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3572 2.017 0.177 0.859 -3.596 4.310
ma.L1 -0.5898 1.698 -0.347 0.728 -3.917 2.738
ar.S.L7 -0.3508 0.975 -0.360 0.719 -2.263 1.561
ma.S.L7 -1.0002 7766.696 -0.000 1.000 -1.52e+04 1.52e+04
sigma2 5.9829 4.65e+04 0.000 1.000 -9.11e+04 9.11e+04
===================================================================================
Ljung-Box (L1) (Q): 0.35 Jarque-Bera (JB): 0.60
Prob(Q): 0.55 Prob(JB): 0.74
Heteroskedasticity (H): 2.00 Skew: 0.52
Prob(H) (two-sided): 0.52 Kurtosis: 3.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 176.3355184483242, Current Price: 179.95
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -33.321
Date: Wed, 09 Oct 2024 AIC 76.642
Time: 14:39:48 BIC 79.467
Sample: 0 HQIC 76.062
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2672 1.347 0.198 0.843 -2.372 2.907
ma.L1 -0.5727 1.102 -0.519 0.603 -2.733 1.588
ar.S.L7 -0.1396 0.738 -0.189 0.850 -1.586 1.306
ma.S.L7 -0.5457 1.736 -0.314 0.753 -3.948 2.857
sigma2 8.5767 10.358 0.828 0.408 -11.724 28.877
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 1.03
Prob(Q): 0.72 Prob(JB): 0.60
Heteroskedasticity (H): 0.33 Skew: 0.67
Prob(H) (two-sided): 0.31 Kurtosis: 3.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.91975398398716, Current Price: 184.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -33.301
Date: Wed, 09 Oct 2024 AIC 76.602
Time: 14:39:49 BIC 79.427
Sample: 0 HQIC 76.021
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3981 4.366 -0.091 0.927 -8.956 8.159
ma.L1 0.3143 4.629 0.068 0.946 -8.759 9.387
ar.S.L7 -0.3434 0.848 -0.405 0.686 -2.006 1.320
ma.S.L7 -1.0000 2.57e+04 -3.9e-05 1.000 -5.03e+04 5.03e+04
sigma2 5.9247 1.52e+05 3.9e-05 1.000 -2.98e+05 2.98e+05
===================================================================================
Ljung-Box (L1) (Q): 0.23 Jarque-Bera (JB): 0.41
Prob(Q): 0.63 Prob(JB): 0.82
Heteroskedasticity (H): 0.48 Skew: -0.43
Prob(H) (two-sided): 0.50 Kurtosis: 3.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 185.0205970363115, Current Price: 177.67
BUY EXECUTED at 177.67
BUY ORDER COMPLETED at 177.9
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -35.187
Date: Wed, 09 Oct 2024 AIC 80.373
Time: 14:39:49 BIC 83.198
Sample: 0 HQIC 79.793
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4181 0.651 -0.642 0.521 -1.695 0.859
ma.L1 0.0384 0.712 0.054 0.957 -1.357 1.434
ar.S.L7 -1.0024 0.534 -1.879 0.060 -2.048 0.043
ma.S.L7 1.0000 4.61e+04 2.17e-05 1.000 -9.04e+04 9.04e+04
sigma2 7.9019 3.64e+05 2.17e-05 1.000 -7.14e+05 7.14e+05
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 0.53
Prob(Q): 0.62 Prob(JB): 0.77
Heteroskedasticity (H): 0.39 Skew: 0.07
Prob(H) (two-sided): 0.39 Kurtosis: 2.02
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 180.45936892812813, Current Price: 171.646
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -36.649
Date: Wed, 09 Oct 2024 AIC 83.298
Time: 14:39:49 BIC 86.122
Sample: 0 HQIC 82.717
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6171 0.391 1.578 0.115 -0.150 1.384
ma.L1 -1.0000 8117.019 -0.000 1.000 -1.59e+04 1.59e+04
ar.S.L7 -0.7533 0.715 -1.054 0.292 -2.154 0.648
ma.S.L7 -0.0298 1.124 -0.027 0.979 -2.233 2.173
sigma2 14.0696 1.14e+05 0.000 1.000 -2.24e+05 2.24e+05
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.49
Prob(Q): 0.88 Prob(JB): 0.78
Heteroskedasticity (H): 0.78 Skew: -0.23
Prob(H) (two-sided): 0.82 Kurtosis: 2.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 174.94109056314082, Current Price: 172.36
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -34.967
Date: Wed, 09 Oct 2024 AIC 79.935
Time: 14:39:49 BIC 82.760
Sample: 0 HQIC 79.354
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6770 0.279 2.429 0.015 0.131 1.223
ma.L1 -1.0000 7006.396 -0.000 1.000 -1.37e+04 1.37e+04
ar.S.L7 -1.1445 0.498 -2.296 0.022 -2.121 -0.168
ma.S.L7 0.2386 0.694 0.344 0.731 -1.121 1.598
sigma2 10.8112 7.57e+04 0.000 1.000 -1.48e+05 1.48e+05
===================================================================================
Ljung-Box (L1) (Q): 0.57 Jarque-Bera (JB): 0.91
Prob(Q): 0.45 Prob(JB): 0.64
Heteroskedasticity (H): 1.04 Skew: 0.00
Prob(H) (two-sided): 0.97 Kurtosis: 1.71
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.99786418826503, Current Price: 177.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -34.106
Date: Wed, 09 Oct 2024 AIC 78.212
Time: 14:39:49 BIC 81.037
Sample: 0 HQIC 77.631
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3722 0.716 0.520 0.603 -1.031 1.775
ma.L1 -0.1510 0.787 -0.192 0.848 -1.694 1.392
ar.S.L7 -1.4400 0.618 -2.331 0.020 -2.651 -0.229
ma.S.L7 1.0000 3.75e+04 2.66e-05 1.000 -7.36e+04 7.36e+04
sigma2 6.7014 2.52e+05 2.66e-05 1.000 -4.93e+05 4.93e+05
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.14
Prob(Q): 0.78 Prob(JB): 0.93
Heteroskedasticity (H): 0.66 Skew: 0.21
Prob(H) (two-sided): 0.70 Kurtosis: 2.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.517452970415, Current Price: 173.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -33.681
Date: Wed, 09 Oct 2024 AIC 77.362
Time: 14:39:49 BIC 80.187
Sample: 0 HQIC 76.782
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0234 2.139 0.011 0.991 -4.169 4.216
ma.L1 0.3460 2.161 0.160 0.873 -3.890 4.582
ar.S.L7 -1.3737 0.438 -3.136 0.002 -2.232 -0.515
ma.S.L7 0.3909 0.766 0.510 0.610 -1.111 1.893
sigma2 9.7569 7.959 1.226 0.220 -5.842 25.356
===================================================================================
Ljung-Box (L1) (Q): 2.14 Jarque-Bera (JB): 1.08
Prob(Q): 0.14 Prob(JB): 0.58
Heteroskedasticity (H): 0.65 Skew: -0.47
Prob(H) (two-sided): 0.68 Kurtosis: 1.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 180.69562265459928, Current Price: 179.1
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.657
Date: Wed, 09 Oct 2024 AIC 67.314
Time: 14:39:49 BIC 70.138
Sample: 0 HQIC 66.733
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3336 0.518 0.644 0.519 -0.681 1.348
ma.L1 2.2460 2.189 1.026 0.305 -2.044 6.536
ar.S.L7 -1.3786 0.152 -9.065 0.000 -1.677 -1.081
ma.S.L7 1.0001 3851.500 0.000 1.000 -7547.801 7549.802
sigma2 0.5756 2216.692 0.000 1.000 -4344.060 4345.212
===================================================================================
Ljung-Box (L1) (Q): 0.34 Jarque-Bera (JB): 0.77
Prob(Q): 0.56 Prob(JB): 0.68
Heteroskedasticity (H): 1.20 Skew: -0.58
Prob(H) (two-sided): 0.86 Kurtosis: 3.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.5414968114564, Current Price: 177.72
SELL EXECUTED at 177.72
SELL ORDER COMPLETED at 177.44
OPERATION PROFIT, GROSS -0.46000000000000796, NET -0.815340000000008
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.053
Date: Wed, 09 Oct 2024 AIC 66.106
Time: 14:39:49 BIC 68.930
Sample: 0 HQIC 65.525
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3016 0.340 0.886 0.376 -0.366 0.969
ma.L1 1.0000 2036.366 0.000 1.000 -3990.204 3992.204
ar.S.L7 -1.2450 0.040 -31.151 0.000 -1.323 -1.167
ma.S.L7 -0.7470 2.540 -0.294 0.769 -5.725 4.231
sigma2 3.0674 6244.998 0.000 1.000 -1.22e+04 1.22e+04
===================================================================================
Ljung-Box (L1) (Q): 0.35 Jarque-Bera (JB): 1.61
Prob(Q): 0.55 Prob(JB): 0.45
Heteroskedasticity (H): 1.79 Skew: -0.81
Prob(H) (two-sided): 0.59 Kurtosis: 2.38
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 184.83930226739346, Current Price: 177.87
BUY EXECUTED at 177.87
BUY ORDER COMPLETED at 182.8199
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.214
Date: Wed, 09 Oct 2024 AIC 68.429
Time: 14:39:49 BIC 71.254
Sample: 0 HQIC 67.848
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1799 0.699 0.257 0.797 -1.191 1.551
ma.L1 1.0000 9.68e+04 1.03e-05 1.000 -1.9e+05 1.9e+05
ar.S.L7 -1.1715 0.107 -10.960 0.000 -1.381 -0.962
ma.S.L7 0.1881 0.539 0.349 0.727 -0.868 1.244
sigma2 4.4464 4.3e+05 1.03e-05 1.000 -8.43e+05 8.43e+05
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.98
Prob(Q): 0.81 Prob(JB): 0.61
Heteroskedasticity (H): 3.47 Skew: -0.55
Prob(H) (two-sided): 0.26 Kurtosis: 2.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.8879480869435, Current Price: 183.238
SELL EXECUTED at 183.238
SELL ORDER COMPLETED at 184.58
OPERATION PROFIT, GROSS 1.7601000000000226, NET 1.3927001000000225
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.826
Date: Wed, 09 Oct 2024 AIC 71.651
Time: 14:39:49 BIC 74.476
Sample: 0 HQIC 71.071
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5286 0.437 -1.210 0.226 -1.385 0.327
ma.L1 1.0000 1.04e+04 9.6e-05 1.000 -2.04e+04 2.04e+04
ar.S.L7 -1.0539 0.362 -2.909 0.004 -1.764 -0.344
ma.S.L7 -1.0008 1256.205 -0.001 0.999 -2463.117 2461.115
sigma2 3.5754 4e+04 8.93e-05 1.000 -7.84e+04 7.84e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 1.90
Prob(Q): 0.85 Prob(JB): 0.39
Heteroskedasticity (H): 2.02 Skew: -0.93
Prob(H) (two-sided): 0.51 Kurtosis: 2.84
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 186.17666007856548, Current Price: 182.9
BUY EXECUTED at 182.9
BUY ORDER COMPLETED at 176.19
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.711
Date: Wed, 09 Oct 2024 AIC 73.423
Time: 14:39:49 BIC 76.248
Sample: 0 HQIC 72.842
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5112 0.178 -2.871 0.004 -0.860 -0.162
ma.L1 1.0000 7586.077 0.000 1.000 -1.49e+04 1.49e+04
ar.S.L7 -1.0169 0.261 -3.897 0.000 -1.528 -0.506
ma.S.L7 -0.6975 2.503 -0.279 0.781 -5.604 4.209
sigma2 5.4251 4.11e+04 0.000 1.000 -8.06e+04 8.07e+04
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 1.09
Prob(Q): 0.73 Prob(JB): 0.58
Heteroskedasticity (H): 0.43 Skew: -0.55
Prob(H) (two-sided): 0.44 Kurtosis: 2.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 181.32334188504802, Current Price: 177.08
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.994
Date: Wed, 09 Oct 2024 AIC 73.988
Time: 14:39:49 BIC 76.812
Sample: 0 HQIC 73.407
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1962 0.670 -0.293 0.770 -1.509 1.117
ma.L1 1.0000 5.74e+04 1.74e-05 1.000 -1.12e+05 1.13e+05
ar.S.L7 -1.0876 0.124 -8.752 0.000 -1.331 -0.844
ma.S.L7 -0.2164 0.919 -0.235 0.814 -2.018 1.585
sigma2 7.1384 4.1e+05 1.74e-05 1.000 -8.03e+05 8.03e+05
===================================================================================
Ljung-Box (L1) (Q): 0.62 Jarque-Bera (JB): 0.62
Prob(Q): 0.43 Prob(JB): 0.73
Heteroskedasticity (H): 0.89 Skew: -0.31
Prob(H) (two-sided): 0.92 Kurtosis: 2.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 181.13724885077988, Current Price: 181.81
SELL EXECUTED at 181.81
SELL ORDER COMPLETED at 179.76
OPERATION PROFIT, GROSS 3.569999999999993, NET 3.214049999999993
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.681
Date: Wed, 09 Oct 2024 AIC 73.363
Time: 14:39:49 BIC 76.187
Sample: 0 HQIC 72.782
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2444 0.643 -0.380 0.704 -1.505 1.016
ma.L1 1.0000 7034.281 0.000 1.000 -1.38e+04 1.38e+04
ar.S.L7 -1.0908 0.131 -8.321 0.000 -1.348 -0.834
ma.S.L7 -0.3120 0.830 -0.376 0.707 -1.939 1.315
sigma2 6.7330 4.74e+04 0.000 1.000 -9.28e+04 9.28e+04
===================================================================================
Ljung-Box (L1) (Q): 1.03 Jarque-Bera (JB): 0.46
Prob(Q): 0.31 Prob(JB): 0.79
Heteroskedasticity (H): 0.97 Skew: -0.27
Prob(H) (two-sided): 0.98 Kurtosis: 2.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 184.10167934334282, Current Price: 180.7
BUY EXECUTED at 180.7
BUY ORDER COMPLETED at 178.73
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.190
Date: Wed, 09 Oct 2024 AIC 74.379
Time: 14:39:49 BIC 77.204
Sample: 0 HQIC 73.799
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2381 0.508 -0.469 0.639 -1.233 0.757
ma.L1 1.0000 1.47e+04 6.82e-05 1.000 -2.87e+04 2.88e+04
ar.S.L7 -1.1005 0.095 -11.610 0.000 -1.286 -0.915
ma.S.L7 -0.6325 1.155 -0.548 0.584 -2.896 1.631
sigma2 6.4157 9.41e+04 6.82e-05 1.000 -1.84e+05 1.84e+05
===================================================================================
Ljung-Box (L1) (Q): 1.20 Jarque-Bera (JB): 0.44
Prob(Q): 0.27 Prob(JB): 0.80
Heteroskedasticity (H): 1.28 Skew: 0.27
Prob(H) (two-sided): 0.81 Kurtosis: 2.28
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 182.58294994785285, Current Price: 176.67
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -33.360
Date: Wed, 09 Oct 2024 AIC 76.720
Time: 14:39:49 BIC 79.544
Sample: 0 HQIC 76.139
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9977 0.219 4.554 0.000 0.568 1.427
ma.L1 -1.0001 1589.451 -0.001 0.999 -3116.267 3114.266
ar.S.L7 -1.1148 0.289 -3.855 0.000 -1.682 -0.548
ma.S.L7 -1.0000 2.73e+04 -3.66e-05 1.000 -5.35e+04 5.35e+04
sigma2 4.8032 1.37e+05 3.51e-05 1.000 -2.68e+05 2.68e+05
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.63
Prob(Q): 0.90 Prob(JB): 0.73
Heteroskedasticity (H): 2.11 Skew: 0.54
Prob(H) (two-sided): 0.49 Kurtosis: 2.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.131248072203, Current Price: 178.54
SELL EXECUTED at 178.54
SELL ORDER COMPLETED at 177.55
OPERATION PROFIT, GROSS -1.1799999999999784, NET -1.5362799999999783
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -36.669
Date: Wed, 09 Oct 2024 AIC 83.338
Time: 14:39:49 BIC 86.162
Sample: 0 HQIC 82.757
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0143 3.645 0.004 0.997 -7.129 7.158
ma.L1 -0.1538 3.336 -0.046 0.963 -6.692 6.385
ar.S.L7 -0.7332 0.623 -1.177 0.239 -1.954 0.488
ma.S.L7 -1.0003 4757.983 -0.000 1.000 -9326.476 9324.475
sigma2 9.9349 4.73e+04 0.000 1.000 -9.26e+04 9.27e+04
===================================================================================
Ljung-Box (L1) (Q): 0.81 Jarque-Bera (JB): 0.08
Prob(Q): 0.37 Prob(JB): 0.96
Heteroskedasticity (H): 4.16 Skew: 0.03
Prob(H) (two-sided): 0.20 Kurtosis: 2.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.01312331009512, Current Price: 177.21
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -36.771
Date: Wed, 09 Oct 2024 AIC 83.542
Time: 14:39:49 BIC 86.367
Sample: 0 HQIC 82.961
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5460 0.259 2.111 0.035 0.039 1.053
ma.L1 -1.0000 4899.954 -0.000 1.000 -9604.733 9602.733
ar.S.L7 -0.7387 0.521 -1.418 0.156 -1.759 0.282
ma.S.L7 -0.0759 1.849 -0.041 0.967 -3.700 3.549
sigma2 14.3440 7.03e+04 0.000 1.000 -1.38e+05 1.38e+05
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.75
Prob(Q): 0.98 Prob(JB): 0.69
Heteroskedasticity (H): 4.90 Skew: -0.54
Prob(H) (two-sided): 0.15 Kurtosis: 2.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.07241640462047, Current Price: 174.4
BUY EXECUTED at 174.4
BUY ORDER COMPLETED at 173.72
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -37.032
Date: Wed, 09 Oct 2024 AIC 84.064
Time: 14:39:49 BIC 86.889
Sample: 0 HQIC 83.483
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3458 1.134 0.305 0.760 -1.877 2.569
ma.L1 -0.7617 0.835 -0.913 0.361 -2.398 0.874
ar.S.L7 -0.7811 0.257 -3.041 0.002 -1.285 -0.278
ma.S.L7 0.2675 1.214 0.220 0.826 -2.111 2.646
sigma2 16.9002 9.715 1.740 0.082 -2.141 35.942
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.41
Prob(Q): 0.89 Prob(JB): 0.82
Heteroskedasticity (H): 3.19 Skew: -0.33
Prob(H) (two-sided): 0.29 Kurtosis: 2.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 176.3228295466432, Current Price: 176.03
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -36.290
Date: Wed, 09 Oct 2024 AIC 82.581
Time: 14:39:49 BIC 85.406
Sample: 0 HQIC 82.000
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3604 1.138 0.317 0.752 -1.870 2.591
ma.L1 -0.7517 0.859 -0.875 0.382 -2.436 0.933
ar.S.L7 -0.7657 0.216 -3.540 0.000 -1.190 -0.342
ma.S.L7 0.2134 1.076 0.198 0.843 -1.896 2.322
sigma2 15.2438 7.782 1.959 0.050 -0.009 30.496
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.58
Prob(Q): 0.87 Prob(JB): 0.75
Heteroskedasticity (H): 0.40 Skew: -0.51
Prob(H) (two-sided): 0.40 Kurtosis: 2.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 175.8497961570502, Current Price: 173.31
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -36.403
Date: Wed, 09 Oct 2024 AIC 82.806
Time: 14:39:49 BIC 85.631
Sample: 0 HQIC 82.225
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3418 1.207 0.283 0.777 -2.025 2.708
ma.L1 -1.4014 1.686 -0.831 0.406 -4.707 1.904
ar.S.L7 -0.7955 0.225 -3.535 0.000 -1.237 -0.355
ma.S.L7 0.2335 1.051 0.222 0.824 -1.826 2.293
sigma2 7.8789 17.016 0.463 0.643 -25.472 41.230
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.70
Prob(Q): 0.85 Prob(JB): 0.71
Heteroskedasticity (H): 0.38 Skew: -0.56
Prob(H) (two-sided): 0.37 Kurtosis: 2.78
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.27862673466825, Current Price: 175.78
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -36.149
Date: Wed, 09 Oct 2024 AIC 82.298
Time: 14:39:49 BIC 85.123
Sample: 0 HQIC 81.718
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4969 0.496 1.001 0.317 -0.476 1.469
ma.L1 -0.7626 0.612 -1.245 0.213 -1.963 0.437
ar.S.L7 -0.8068 0.203 -3.984 0.000 -1.204 -0.410
ma.S.L7 1.0000 4.11e+04 2.43e-05 1.000 -8.06e+04 8.06e+04
sigma2 8.9083 3.66e+05 2.43e-05 1.000 -7.18e+05 7.18e+05
===================================================================================
Ljung-Box (L1) (Q): 0.27 Jarque-Bera (JB): 0.65
Prob(Q): 0.60 Prob(JB): 0.72
Heteroskedasticity (H): 0.23 Skew: -0.53
Prob(H) (two-sided): 0.19 Kurtosis: 2.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.20553795385857, Current Price: 173.59
SELL EXECUTED at 173.59
SELL ORDER COMPLETED at 169.3
OPERATION PROFIT, GROSS -4.4199999999999875, NET -4.763019999999988
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -36.094
Date: Wed, 09 Oct 2024 AIC 82.189
Time: 14:39:49 BIC 85.013
Sample: 0 HQIC 81.608
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3774 1.296 0.291 0.771 -2.163 2.917
ma.L1 -0.7285 0.966 -0.755 0.451 -2.621 1.164
ar.S.L7 -0.7682 0.200 -3.841 0.000 -1.160 -0.376
ma.S.L7 0.3573 1.113 0.321 0.748 -1.825 2.539
sigma2 14.3055 13.378 1.069 0.285 -11.915 40.526
===================================================================================
Ljung-Box (L1) (Q): 0.33 Jarque-Bera (JB): 0.32
Prob(Q): 0.57 Prob(JB): 0.85
Heteroskedasticity (H): 0.13 Skew: -0.38
Prob(H) (two-sided): 0.08 Kurtosis: 2.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 176.05949025555466, Current Price: 169.05
BUY EXECUTED at 169.05
BUY ORDER COMPLETED at 164.51
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -35.898
Date: Wed, 09 Oct 2024 AIC 81.796
Time: 14:39:49 BIC 84.621
Sample: 0 HQIC 81.215
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0146 1.361 0.011 0.991 -2.652 2.682
ma.L1 -0.4910 0.815 -0.603 0.547 -2.088 1.106
ar.S.L7 -0.6140 0.432 -1.421 0.155 -1.461 0.233
ma.S.L7 0.2055 1.080 0.190 0.849 -1.911 2.322
sigma2 14.4002 8.705 1.654 0.098 -2.661 31.462
===================================================================================
Ljung-Box (L1) (Q): 2.62 Jarque-Bera (JB): 1.33
Prob(Q): 0.11 Prob(JB): 0.51
Heteroskedasticity (H): 0.63 Skew: -0.52
Prob(H) (two-sided): 0.67 Kurtosis: 1.84
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 174.46721804091032, Current Price: 159.8
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -38.907
Date: Wed, 09 Oct 2024 AIC 87.815
Time: 14:39:49 BIC 90.640
Sample: 0 HQIC 87.234
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1171 5.597 0.021 0.983 -10.854 11.088
ma.L1 -0.1705 5.627 -0.030 0.976 -11.199 10.858
ar.S.L7 -0.3316 0.500 -0.664 0.507 -1.311 0.648
ma.S.L7 -1.0000 4.47e+04 -2.24e-05 1.000 -8.76e+04 8.76e+04
sigma2 14.0272 6.27e+05 2.24e-05 1.000 -1.23e+06 1.23e+06
===================================================================================
Ljung-Box (L1) (Q): 0.45 Jarque-Bera (JB): 0.11
Prob(Q): 0.50 Prob(JB): 0.95
Heteroskedasticity (H): 0.93 Skew: -0.09
Prob(H) (two-sided): 0.95 Kurtosis: 2.58
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.71910298913164, Current Price: 157.58
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -38.241
Date: Wed, 09 Oct 2024 AIC 86.483
Time: 14:39:49 BIC 89.307
Sample: 0 HQIC 85.902
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0243 8.815 -0.003 0.998 -17.301 17.252
ma.L1 -0.0234 8.779 -0.003 0.998 -17.231 17.184
ar.S.L7 -0.3830 0.486 -0.789 0.430 -1.335 0.569
ma.S.L7 -0.2712 0.961 -0.282 0.778 -2.154 1.612
sigma2 20.3943 9.303 2.192 0.028 2.161 38.628
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.23
Prob(Q): 0.76 Prob(JB): 0.89
Heteroskedasticity (H): 1.69 Skew: -0.28
Prob(H) (two-sided): 0.62 Kurtosis: 3.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 156.172342004999, Current Price: 160.63
SELL EXECUTED at 160.63
SELL ORDER COMPLETED at 160.73
OPERATION PROFIT, GROSS -3.780000000000001, NET -4.105240000000001
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -36.830
Date: Wed, 09 Oct 2024 AIC 83.661
Time: 14:39:49 BIC 86.486
Sample: 0 HQIC 83.080
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4513 0.175 -2.579 0.010 -0.794 -0.108
ma.L1 1.0000 4104.906 0.000 1.000 -8044.467 8046.467
ar.S.L7 -0.5908 0.384 -1.539 0.124 -1.343 0.161
ma.S.L7 -1.0000 3.38e+04 -2.96e-05 1.000 -6.62e+04 6.62e+04
sigma2 9.6492 3.21e+05 3.01e-05 1.000 -6.29e+05 6.29e+05
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 2.75
Prob(Q): 0.72 Prob(JB): 0.25
Heteroskedasticity (H): 2.34 Skew: -0.95
Prob(H) (two-sided): 0.43 Kurtosis: 4.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.08480714932293, Current Price: 156.22
BUY EXECUTED at 156.22
BUY ORDER COMPLETED at 158.12
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -37.856
Date: Wed, 09 Oct 2024 AIC 85.713
Time: 14:39:49 BIC 88.537
Sample: 0 HQIC 85.132
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3131 3.531 0.089 0.929 -6.607 7.233
ma.L1 -0.4015 3.451 -0.116 0.907 -7.165 6.362
ar.S.L7 -0.2325 0.289 -0.805 0.421 -0.798 0.334
ma.S.L7 0.0297 0.523 0.057 0.955 -0.995 1.054
sigma2 19.8023 12.151 1.630 0.103 -4.014 43.619
===================================================================================
Ljung-Box (L1) (Q): 0.57 Jarque-Bera (JB): 0.50
Prob(Q): 0.45 Prob(JB): 0.78
Heteroskedasticity (H): 2.22 Skew: -0.17
Prob(H) (two-sided): 0.46 Kurtosis: 2.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 158.17080023752706, Current Price: 157.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -37.094
Date: Wed, 09 Oct 2024 AIC 84.187
Time: 14:39:49 BIC 87.012
Sample: 0 HQIC 83.607
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2386 2.487 0.096 0.924 -4.636 5.113
ma.L1 -0.3775 2.335 -0.162 0.872 -4.953 4.198
ar.S.L7 -0.2525 0.274 -0.920 0.357 -0.790 0.285
ma.S.L7 0.2442 0.747 0.327 0.744 -1.220 1.708
sigma2 17.1976 9.653 1.782 0.075 -1.722 36.118
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.72
Prob(Q): 0.74 Prob(JB): 0.70
Heteroskedasticity (H): 0.22 Skew: -0.44
Prob(H) (two-sided): 0.17 Kurtosis: 2.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.78813425703163, Current Price: 158.06
SELL EXECUTED at 158.06
SELL ORDER COMPLETED at 161.09
OPERATION PROFIT, GROSS 2.969999999999999, NET 2.650789999999999
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -36.450
Date: Wed, 09 Oct 2024 AIC 82.901
Time: 14:39:49 BIC 85.725
Sample: 0 HQIC 82.320
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1375 2.208 0.062 0.950 -4.191 4.466
ma.L1 -0.3293 2.373 -0.139 0.890 -4.981 4.323
ar.S.L7 -0.1842 0.291 -0.633 0.527 -0.754 0.386
ma.S.L7 1.0000 3.77e+04 2.65e-05 1.000 -7.39e+04 7.39e+04
sigma2 9.6057 3.62e+05 2.65e-05 1.000 -7.09e+05 7.09e+05
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.51
Prob(Q): 0.77 Prob(JB): 0.78
Heteroskedasticity (H): 0.04 Skew: -0.33
Prob(H) (two-sided): 0.01 Kurtosis: 2.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 149.57282865457444, Current Price: 160.96
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -36.689
Date: Wed, 09 Oct 2024 AIC 83.379
Time: 14:39:50 BIC 86.204
Sample: 0 HQIC 82.798
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4201 0.513 -0.819 0.413 -1.425 0.585
ma.L1 1.0000 1.57e+04 6.35e-05 1.000 -3.08e+04 3.08e+04
ar.S.L7 -0.4347 0.249 -1.749 0.080 -0.922 0.053
ma.S.L7 0.0841 0.468 0.180 0.857 -0.833 1.001
sigma2 14.8058 2.33e+05 6.35e-05 1.000 -4.57e+05 4.57e+05
===================================================================================
Ljung-Box (L1) (Q): 0.24 Jarque-Bera (JB): 1.07
Prob(Q): 0.62 Prob(JB): 0.59
Heteroskedasticity (H): 1.04 Skew: -0.68
Prob(H) (two-sided): 0.97 Kurtosis: 2.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 156.5725613461995, Current Price: 157.644
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -36.695
Date: Wed, 09 Oct 2024 AIC 83.390
Time: 14:39:50 BIC 86.215
Sample: 0 HQIC 82.809
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5551 0.407 -1.362 0.173 -1.354 0.244
ma.L1 1.0000 2.2e+04 4.56e-05 1.000 -4.3e+04 4.3e+04
ar.S.L7 -0.4194 0.302 -1.386 0.166 -1.012 0.173
ma.S.L7 0.1191 0.597 0.199 0.842 -1.052 1.290
sigma2 14.0888 3.09e+05 4.56e-05 1.000 -6.06e+05 6.06e+05
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 1.56
Prob(Q): 0.79 Prob(JB): 0.46
Heteroskedasticity (H): 1.19 Skew: -0.84
Prob(H) (two-sided): 0.87 Kurtosis: 2.74
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 154.75799134582613, Current Price: 159.46
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -36.301
Date: Wed, 09 Oct 2024 AIC 82.602
Time: 14:39:50 BIC 85.427
Sample: 0 HQIC 82.022
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1023 0.495 0.207 0.836 -0.868 1.072
ma.L1 0.6291 0.517 1.216 0.224 -0.385 1.643
ar.S.L7 -0.4110 0.132 -3.117 0.002 -0.669 -0.153
ma.S.L7 1.0000 0.684 1.462 0.144 -0.341 2.341
sigma2 9.3202 0.073 126.996 0.000 9.176 9.464
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.83
Prob(Q): 0.78 Prob(JB): 0.66
Heteroskedasticity (H): 0.71 Skew: -0.12
Prob(H) (two-sided): 0.74 Kurtosis: 1.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 9.59e+17. Standard errors may be unstable.
Predicted Price: 165.23458780246332, Current Price: 160.49
BUY EXECUTED at 160.49
BUY ORDER COMPLETED at 161.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -36.048
Date: Wed, 09 Oct 2024 AIC 82.096
Time: 14:39:50 BIC 84.921
Sample: 0 HQIC 81.516
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0886 0.663 0.134 0.894 -1.211 1.388
ma.L1 0.2861 0.613 0.466 0.641 -0.916 1.488
ar.S.L7 -5.902e-05 0.202 -0.000 1.000 -0.396 0.396
ma.S.L7 -0.2689 0.291 -0.924 0.356 -0.840 0.302
sigma2 14.9398 9.556 1.563 0.118 -3.790 33.669
===================================================================================
Ljung-Box (L1) (Q): 0.52 Jarque-Bera (JB): 1.41
Prob(Q): 0.47 Prob(JB): 0.49
Heteroskedasticity (H): 0.38 Skew: -0.69
Prob(H) (two-sided): 0.37 Kurtosis: 2.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 156.1190156763891, Current Price: 159.18
SELL EXECUTED at 159.18
SELL ORDER COMPLETED at 162.05
OPERATION PROFIT, GROSS 1.0300000000000011, NET 0.7069300000000011
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -34.364
Date: Wed, 09 Oct 2024 AIC 78.729
Time: 14:39:50 BIC 81.554
Sample: 0 HQIC 78.148
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0997 0.572 0.174 0.861 -1.021 1.220
ma.L1 0.4364 0.454 0.962 0.336 -0.453 1.326
ar.S.L7 0.0450 0.280 0.161 0.872 -0.504 0.593
ma.S.L7 -0.3559 0.510 -0.697 0.486 -1.356 0.644
sigma2 10.9553 10.642 1.029 0.303 -9.902 31.812
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 1.25
Prob(Q): 0.78 Prob(JB): 0.53
Heteroskedasticity (H): 0.70 Skew: -0.28
Prob(H) (two-sided): 0.74 Kurtosis: 1.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.437790223465, Current Price: 163.266
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -33.825
Date: Wed, 09 Oct 2024 AIC 77.651
Time: 14:39:50 BIC 80.475
Sample: 0 HQIC 77.070
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5360 0.911 -0.589 0.556 -2.321 1.249
ma.L1 1.0000 2600.915 0.000 1.000 -5096.700 5098.700
ar.S.L7 0.0361 0.220 0.165 0.869 -0.394 0.466
ma.S.L7 -1.0001 1.68e+04 -5.95e-05 1.000 -3.3e+04 3.3e+04
sigma2 6.2028 1.08e+05 5.75e-05 1.000 -2.11e+05 2.11e+05
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.88
Prob(Q): 0.73 Prob(JB): 0.65
Heteroskedasticity (H): 0.93 Skew: -0.51
Prob(H) (two-sided): 0.95 Kurtosis: 2.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.97129420829845, Current Price: 162.1
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.256
Date: Wed, 09 Oct 2024 AIC 72.513
Time: 14:39:50 BIC 75.338
Sample: 0 HQIC 71.932
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0674 0.642 0.105 0.916 -1.191 1.326
ma.L1 0.4529 0.760 0.596 0.551 -1.038 1.943
ar.S.L7 0.0279 0.187 0.149 0.881 -0.338 0.394
ma.S.L7 -1.0001 1.14e+04 -8.78e-05 1.000 -2.23e+04 2.23e+04
sigma2 4.3291 4.93e+04 8.78e-05 1.000 -9.67e+04 9.67e+04
===================================================================================
Ljung-Box (L1) (Q): 2.73 Jarque-Bera (JB): 0.73
Prob(Q): 0.10 Prob(JB): 0.69
Heteroskedasticity (H): 1.32 Skew: -0.43
Prob(H) (two-sided): 0.80 Kurtosis: 2.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.47063318745975, Current Price: 163.26
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.456
Date: Wed, 09 Oct 2024 AIC 66.913
Time: 14:39:50 BIC 69.737
Sample: 0 HQIC 66.332
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5986 0.811 -0.739 0.460 -2.187 0.990
ma.L1 0.7277 0.850 0.856 0.392 -0.939 2.394
ar.S.L7 -0.1260 0.235 -0.536 0.592 -0.587 0.335
ma.S.L7 -1.0000 2e+04 -5.01e-05 1.000 -3.92e+04 3.92e+04
sigma2 2.7415 5.48e+04 5.01e-05 1.000 -1.07e+05 1.07e+05
===================================================================================
Ljung-Box (L1) (Q): 1.27 Jarque-Bera (JB): 0.09
Prob(Q): 0.26 Prob(JB): 0.96
Heteroskedasticity (H): 1.08 Skew: -0.06
Prob(H) (two-sided): 0.95 Kurtosis: 2.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 158.75545753006895, Current Price: 162.3
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.102
Date: Wed, 09 Oct 2024 AIC 70.203
Time: 14:39:50 BIC 73.028
Sample: 0 HQIC 69.623
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2327 1.072 0.217 0.828 -1.869 2.335
ma.L1 0.2685 0.975 0.276 0.783 -1.641 2.179
ar.S.L7 -0.0986 0.285 -0.345 0.730 -0.658 0.461
ma.S.L7 -1.0001 6873.594 -0.000 1.000 -1.35e+04 1.35e+04
sigma2 3.6212 2.49e+04 0.000 1.000 -4.88e+04 4.88e+04
===================================================================================
Ljung-Box (L1) (Q): 2.90 Jarque-Bera (JB): 0.71
Prob(Q): 0.09 Prob(JB): 0.70
Heteroskedasticity (H): 1.07 Skew: -0.40
Prob(H) (two-sided): 0.95 Kurtosis: 2.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.43867238447595, Current Price: 163.4
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.387
Date: Wed, 09 Oct 2024 AIC 72.773
Time: 14:39:50 BIC 75.598
Sample: 0 HQIC 72.193
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7165 0.210 -3.407 0.001 -1.129 -0.304
ma.L1 1.0000 3e+04 3.33e-05 1.000 -5.89e+04 5.89e+04
ar.S.L7 -0.4350 0.186 -2.342 0.019 -0.799 -0.071
ma.S.L7 0.4533 0.752 0.603 0.547 -1.021 1.928
sigma2 5.4880 1.65e+05 3.33e-05 1.000 -3.23e+05 3.23e+05
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.28
Prob(Q): 0.88 Prob(JB): 0.53
Heteroskedasticity (H): 0.51 Skew: -0.36
Prob(H) (two-sided): 0.53 Kurtosis: 1.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.15171505125346, Current Price: 162.62
BUY EXECUTED at 162.62
BUY ORDER COMPLETED at 159.96
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.901
Date: Wed, 09 Oct 2024 AIC 69.802
Time: 14:39:50 BIC 72.627
Sample: 0 HQIC 69.222
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7228 0.372 -1.945 0.052 -1.451 0.006
ma.L1 1.1392 0.237 4.800 0.000 0.674 1.604
ar.S.L7 -0.0001 0.039 -0.003 0.998 -0.077 0.077
ma.S.L7 -1.0004 1158.371 -0.001 0.999 -2271.366 2269.365
sigma2 3.2115 3720.396 0.001 0.999 -7288.630 7295.053
===================================================================================
Ljung-Box (L1) (Q): 0.57 Jarque-Bera (JB): 0.44
Prob(Q): 0.45 Prob(JB): 0.80
Heteroskedasticity (H): 0.85 Skew: -0.14
Prob(H) (two-sided): 0.88 Kurtosis: 2.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.86282353881455, Current Price: 161.84
SELL EXECUTED at 161.84
SELL ORDER COMPLETED at 161.09
OPERATION PROFIT, GROSS 1.1299999999999955, NET 0.8089499999999954
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.785
Date: Wed, 09 Oct 2024 AIC 71.570
Time: 14:39:50 BIC 74.395
Sample: 0 HQIC 70.990
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5518 0.154 -3.579 0.000 -0.854 -0.250
ma.L1 1.0000 1.22e+04 8.17e-05 1.000 -2.4e+04 2.4e+04
ar.S.L7 -0.4554 0.230 -1.982 0.047 -0.906 -0.005
ma.S.L7 0.5037 1.032 0.488 0.625 -1.518 2.526
sigma2 4.9078 6.01e+04 8.17e-05 1.000 -1.18e+05 1.18e+05
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 1.33
Prob(Q): 0.66 Prob(JB): 0.51
Heteroskedasticity (H): 0.52 Skew: -0.10
Prob(H) (two-sided): 0.54 Kurtosis: 1.45
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 165.99027817356853, Current Price: 159.87
BUY EXECUTED at 159.87
BUY ORDER COMPLETED at 157.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.343
Date: Wed, 09 Oct 2024 AIC 74.686
Time: 14:39:50 BIC 77.510
Sample: 0 HQIC 74.105
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4102 2.585 -0.159 0.874 -5.477 4.657
ma.L1 0.5687 2.621 0.217 0.828 -4.568 5.705
ar.S.L7 -0.5130 0.301 -1.706 0.088 -1.102 0.076
ma.S.L7 0.3834 1.623 0.236 0.813 -2.798 3.565
sigma2 7.9523 3.948 2.014 0.044 0.214 15.691
===================================================================================
Ljung-Box (L1) (Q): 0.51 Jarque-Bera (JB): 0.80
Prob(Q): 0.48 Prob(JB): 0.67
Heteroskedasticity (H): 1.20 Skew: -0.60
Prob(H) (two-sided): 0.86 Kurtosis: 2.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 157.93997511185466, Current Price: 157.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.546
Date: Wed, 09 Oct 2024 AIC 69.092
Time: 14:39:50 BIC 71.916
Sample: 0 HQIC 68.511
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7434 0.285 2.608 0.009 0.185 1.302
ma.L1 -1.0000 4865.505 -0.000 1.000 -9537.215 9535.215
ar.S.L7 -0.3193 0.452 -0.707 0.480 -1.205 0.566
ma.S.L7 0.2773 2.499 0.111 0.912 -4.621 5.175
sigma2 4.6593 2.27e+04 0.000 1.000 -4.44e+04 4.44e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.92
Prob(Q): 0.87 Prob(JB): 0.63
Heteroskedasticity (H): 2.64 Skew: -0.64
Prob(H) (two-sided): 0.37 Kurtosis: 3.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.42296050590403, Current Price: 159.52
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.429
Date: Wed, 09 Oct 2024 AIC 68.857
Time: 14:39:50 BIC 71.682
Sample: 0 HQIC 68.277
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6589 0.199 3.308 0.001 0.268 1.049
ma.L1 -1.0000 5120.471 -0.000 1.000 -1e+04 1e+04
ar.S.L7 -0.2722 0.208 -1.307 0.191 -0.680 0.136
ma.S.L7 0.1666 1.274 0.131 0.896 -2.330 2.663
sigma2 4.6523 2.38e+04 0.000 1.000 -4.67e+04 4.67e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.40
Prob(Q): 1.00 Prob(JB): 0.82
Heteroskedasticity (H): 2.37 Skew: -0.42
Prob(H) (two-sided): 0.42 Kurtosis: 2.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.7319140016611, Current Price: 161.02
SELL EXECUTED at 161.02
SELL ORDER COMPLETED at 161.24
OPERATION PROFIT, GROSS 3.6200000000000045, NET 3.3011400000000046
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.549
Date: Wed, 09 Oct 2024 AIC 69.098
Time: 14:39:50 BIC 71.923
Sample: 0 HQIC 68.518
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0209 6.168 -0.003 0.997 -12.110 12.068
ma.L1 -0.0444 6.228 -0.007 0.994 -12.251 12.162
ar.S.L7 -0.2362 0.455 -0.520 0.603 -1.127 0.655
ma.S.L7 0.2675 0.955 0.280 0.779 -1.604 2.139
sigma2 5.3600 2.493 2.150 0.032 0.473 10.247
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 1.96
Prob(Q): 0.76 Prob(JB): 0.38
Heteroskedasticity (H): 2.93 Skew: -0.87
Prob(H) (two-sided): 0.32 Kurtosis: 3.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.9252791252969, Current Price: 165.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.060
Date: Wed, 09 Oct 2024 AIC 70.120
Time: 14:39:50 BIC 72.945
Sample: 0 HQIC 69.540
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7364 0.865 -0.851 0.395 -2.433 0.960
ma.L1 1.0000 8664.642 0.000 1.000 -1.7e+04 1.7e+04
ar.S.L7 -4.852e-05 0.586 -8.28e-05 1.000 -1.148 1.148
ma.S.L7 -0.0768 0.371 -0.207 0.836 -0.804 0.650
sigma2 5.6016 4.85e+04 0.000 1.000 -9.51e+04 9.51e+04
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.80
Prob(Q): 0.82 Prob(JB): 0.67
Heteroskedasticity (H): 0.92 Skew: -0.60
Prob(H) (two-sided): 0.94 Kurtosis: 3.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.71729637914947, Current Price: 167.4
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.890
Date: Wed, 09 Oct 2024 AIC 69.780
Time: 14:39:50 BIC 72.604
Sample: 0 HQIC 69.199
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3457 1.115 -0.310 0.756 -2.531 1.839
ma.L1 0.5980 0.922 0.649 0.517 -1.209 2.405
ar.S.L7 -0.0668 0.417 -0.160 0.873 -0.883 0.750
ma.S.L7 -0.0285 0.816 -0.035 0.972 -1.627 1.570
sigma2 5.8086 3.137 1.852 0.064 -0.340 11.957
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 3.13
Prob(Q): 0.83 Prob(JB): 0.21
Heteroskedasticity (H): 1.49 Skew: -1.09
Prob(H) (two-sided): 0.71 Kurtosis: 4.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.96638782601963, Current Price: 169.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.857
Date: Wed, 09 Oct 2024 AIC 71.714
Time: 14:39:50 BIC 74.538
Sample: 0 HQIC 71.133
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6612 0.327 2.020 0.043 0.020 1.302
ma.L1 -1.0000 6841.622 -0.000 1.000 -1.34e+04 1.34e+04
ar.S.L7 -0.4490 0.276 -1.629 0.103 -0.989 0.091
ma.S.L7 1.0000 2.02e+04 4.95e-05 1.000 -3.96e+04 3.96e+04
sigma2 3.5970 7.14e+04 5.04e-05 1.000 -1.4e+05 1.4e+05
===================================================================================
Ljung-Box (L1) (Q): 0.74 Jarque-Bera (JB): 0.64
Prob(Q): 0.39 Prob(JB): 0.73
Heteroskedasticity (H): 1.50 Skew: -0.35
Prob(H) (two-sided): 0.70 Kurtosis: 2.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 165.45006432990223, Current Price: 169.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.715
Date: Wed, 09 Oct 2024 AIC 67.430
Time: 14:39:50 BIC 70.255
Sample: 0 HQIC 66.850
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4156 1.002 0.415 0.678 -1.547 2.379
ma.L1 -0.0197 1.002 -0.020 0.984 -1.983 1.944
ar.S.L7 0.2679 0.295 0.909 0.364 -0.310 0.846
ma.S.L7 -1.0001 1.15e+04 -8.68e-05 1.000 -2.26e+04 2.26e+04
sigma2 2.9275 3.37e+04 8.68e-05 1.000 -6.61e+04 6.61e+04
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 2.62
Prob(Q): 0.68 Prob(JB): 0.27
Heteroskedasticity (H): 0.66 Skew: -1.06
Prob(H) (two-sided): 0.69 Kurtosis: 3.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.41702830915784, Current Price: 167.34
BUY EXECUTED at 167.34
BUY ORDER COMPLETED at 164.03
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.003
Date: Wed, 09 Oct 2024 AIC 68.005
Time: 14:39:50 BIC 70.830
Sample: 0 HQIC 67.425
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5191 0.277 1.876 0.061 -0.023 1.062
ma.L1 -0.2190 0.612 -0.358 0.720 -1.418 0.980
ar.S.L7 0.3577 0.365 0.980 0.327 -0.358 1.073
ma.S.L7 -1.0000 4.2e+04 -2.38e-05 1.000 -8.23e+04 8.23e+04
sigma2 3.0000 1.26e+05 2.38e-05 1.000 -2.47e+05 2.47e+05
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 9.19
Prob(Q): 0.75 Prob(JB): 0.01
Heteroskedasticity (H): 1.09 Skew: -1.62
Prob(H) (two-sided): 0.93 Kurtosis: 5.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.6363626113396, Current Price: 167.38
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.053
Date: Wed, 09 Oct 2024 AIC 66.106
Time: 14:39:50 BIC 68.931
Sample: 0 HQIC 65.525
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1607 1.460 0.110 0.912 -2.701 3.022
ma.L1 0.0296 1.338 0.022 0.982 -2.593 2.652
ar.S.L7 -0.5289 0.299 -1.768 0.077 -1.115 0.058
ma.S.L7 1.0000 1.92e+05 5.21e-06 1.000 -3.76e+05 3.76e+05
sigma2 2.6405 5.07e+05 5.21e-06 1.000 -9.94e+05 9.94e+05
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.33
Prob(Q): 0.97 Prob(JB): 0.51
Heteroskedasticity (H): 0.10 Skew: -0.78
Prob(H) (two-sided): 0.05 Kurtosis: 2.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.13176650249096, Current Price: 169.06
SELL EXECUTED at 169.06
SELL ORDER COMPLETED at 171.17
OPERATION PROFIT, GROSS 7.139999999999986, NET 6.804799999999986
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.088
Date: Wed, 09 Oct 2024 AIC 68.177
Time: 14:39:50 BIC 71.001
Sample: 0 HQIC 67.596
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4875 1.009 0.483 0.629 -1.490 2.465
ma.L1 -0.1027 1.051 -0.098 0.922 -2.163 1.957
ar.S.L7 -0.0106 1.098 -0.010 0.992 -2.162 2.141
ma.S.L7 -0.1002 1.080 -0.093 0.926 -2.217 2.017
sigma2 5.1195 2.197 2.330 0.020 0.813 9.426
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 7.43
Prob(Q): 0.78 Prob(JB): 0.02
Heteroskedasticity (H): 0.11 Skew: -1.56
Prob(H) (two-sided): 0.05 Kurtosis: 5.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.3721703527635, Current Price: 171.72
BUY EXECUTED at 171.72
BUY ORDER COMPLETED at 171.03
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.894
Date: Wed, 09 Oct 2024 AIC 65.787
Time: 14:39:50 BIC 68.612
Sample: 0 HQIC 65.207
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3603 1.403 0.257 0.797 -2.390 3.111
ma.L1 -0.1597 1.168 -0.137 0.891 -2.448 2.129
ar.S.L7 -0.6647 0.299 -2.224 0.026 -1.250 -0.079
ma.S.L7 1.0000 1.98e+04 5.04e-05 1.000 -3.89e+04 3.89e+04
sigma2 2.5772 5.11e+04 5.04e-05 1.000 -1e+05 1e+05
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.26
Prob(Q): 0.78 Prob(JB): 0.88
Heteroskedasticity (H): 0.08 Skew: -0.35
Prob(H) (two-sided): 0.03 Kurtosis: 3.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.58280894944934, Current Price: 170.85
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.695
Date: Wed, 09 Oct 2024 AIC 63.389
Time: 14:39:50 BIC 66.214
Sample: 0 HQIC 62.808
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5859 1.053 0.556 0.578 -1.478 2.650
ma.L1 -0.3139 0.859 -0.365 0.715 -1.997 1.369
ar.S.L7 -0.6917 0.500 -1.384 0.166 -1.671 0.288
ma.S.L7 1.0000 4.82e+04 2.08e-05 1.000 -9.44e+04 9.44e+04
sigma2 2.0647 9.94e+04 2.08e-05 1.000 -1.95e+05 1.95e+05
===================================================================================
Ljung-Box (L1) (Q): 1.89 Jarque-Bera (JB): 0.79
Prob(Q): 0.17 Prob(JB): 0.67
Heteroskedasticity (H): 0.14 Skew: 0.31
Prob(H) (two-sided): 0.08 Kurtosis: 4.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.046876212152, Current Price: 174.98
SELL EXECUTED at 174.98
SELL ORDER COMPLETED at 174.35
OPERATION PROFIT, GROSS 3.319999999999993, NET 2.974619999999993
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.430
Date: Wed, 09 Oct 2024 AIC 60.860
Time: 14:39:50 BIC 63.684
Sample: 0 HQIC 60.279
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3229 0.698 0.463 0.644 -1.045 1.691
ma.L1 0.0167 0.782 0.021 0.983 -1.515 1.548
ar.S.L7 0.4543 0.485 0.936 0.349 -0.497 1.406
ma.S.L7 -1.0001 1.07e+04 -9.38e-05 1.000 -2.09e+04 2.09e+04
sigma2 1.7631 1.88e+04 9.38e-05 1.000 -3.68e+04 3.69e+04
===================================================================================
Ljung-Box (L1) (Q): 1.29 Jarque-Bera (JB): 0.70
Prob(Q): 0.26 Prob(JB): 0.70
Heteroskedasticity (H): 0.95 Skew: -0.13
Prob(H) (two-sided): 0.96 Kurtosis: 1.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 175.92465742527946, Current Price: 173.53
BUY EXECUTED at 173.53
BUY ORDER COMPLETED at 174.28
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.863
Date: Wed, 09 Oct 2024 AIC 61.726
Time: 14:39:50 BIC 64.551
Sample: 0 HQIC 61.146
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1610 2.334 0.069 0.945 -4.414 4.737
ma.L1 0.0839 2.042 0.041 0.967 -3.918 4.086
ar.S.L7 -0.6439 0.367 -1.754 0.079 -1.363 0.076
ma.S.L7 1.0000 2.12e+04 4.71e-05 1.000 -4.16e+04 4.16e+04
sigma2 1.8852 4e+04 4.71e-05 1.000 -7.85e+04 7.85e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.31
Prob(Q): 0.99 Prob(JB): 0.52
Heteroskedasticity (H): 0.62 Skew: 0.61
Prob(H) (two-sided): 0.65 Kurtosis: 2.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.3440019682629, Current Price: 172.07
SELL EXECUTED at 172.07
SELL ORDER COMPLETED at 172.4299
OPERATION PROFIT, GROSS -1.8500999999999976, NET -2.1968098999999977
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.711
Date: Wed, 09 Oct 2024 AIC 61.421
Time: 14:39:51 BIC 64.246
Sample: 0 HQIC 60.841
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3867 0.940 0.411 0.681 -1.456 2.230
ma.L1 -0.0165 1.000 -0.017 0.987 -1.976 1.943
ar.S.L7 -0.4231 0.266 -1.588 0.112 -0.945 0.099
ma.S.L7 1.0000 9.09e+04 1.1e-05 1.000 -1.78e+05 1.78e+05
sigma2 1.8420 1.67e+05 1.1e-05 1.000 -3.28e+05 3.28e+05
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.03
Prob(Q): 0.90 Prob(JB): 0.60
Heteroskedasticity (H): 0.66 Skew: 0.22
Prob(H) (two-sided): 0.69 Kurtosis: 1.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 172.12774161980914, Current Price: 171.14
BUY EXECUTED at 171.14
BUY ORDER COMPLETED at 172.1
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.727
Date: Wed, 09 Oct 2024 AIC 55.454
Time: 14:39:51 BIC 58.279
Sample: 0 HQIC 54.874
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7388 0.134 5.495 0.000 0.475 1.002
ma.L1 -1.0000 1.16e+04 -8.65e-05 1.000 -2.26e+04 2.26e+04
ar.S.L7 -0.4589 0.236 -1.943 0.052 -0.922 0.004
ma.S.L7 1.3641 3.988 0.342 0.732 -6.451 9.180
sigma2 0.7034 8129.677 8.65e-05 1.000 -1.59e+04 1.59e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.70
Prob(Q): 0.84 Prob(JB): 0.71
Heteroskedasticity (H): 0.64 Skew: 0.01
Prob(H) (two-sided): 0.68 Kurtosis: 1.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.17650218364955, Current Price: 173.96
SELL EXECUTED at 173.96
SELL ORDER COMPLETED at 173.74
OPERATION PROFIT, GROSS 1.6400000000000148, NET 1.2941600000000149
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.413
Date: Wed, 09 Oct 2024 AIC 50.826
Time: 14:39:51 BIC 53.651
Sample: 0 HQIC 50.245
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5731 0.076 7.552 0.000 0.424 0.722
ma.L1 -1.0000 1.15e+04 -8.73e-05 1.000 -2.25e+04 2.25e+04
ar.S.L7 -0.4166 0.145 -2.872 0.004 -0.701 -0.132
ma.S.L7 1.0000 4.84e+04 2.06e-05 1.000 -9.49e+04 9.49e+04
sigma2 0.7187 4.07e+04 1.77e-05 1.000 -7.97e+04 7.97e+04
===================================================================================
Ljung-Box (L1) (Q): 0.79 Jarque-Bera (JB): 0.23
Prob(Q): 0.37 Prob(JB): 0.89
Heteroskedasticity (H): 0.33 Skew: -0.03
Prob(H) (two-sided): 0.31 Kurtosis: 2.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 176.74625858984788, Current Price: 173.2
BUY EXECUTED at 173.2
BUY ORDER COMPLETED at 173.35
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.262
Date: Wed, 09 Oct 2024 AIC 58.524
Time: 14:39:51 BIC 61.349
Sample: 0 HQIC 57.943
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5793 0.145 3.982 0.000 0.294 0.864
ma.L1 -0.7881 0.598 -1.317 0.188 -1.961 0.385
ar.S.L7 -0.2604 0.261 -0.998 0.318 -0.771 0.251
ma.S.L7 1.0001 1.42e+04 7.07e-05 1.000 -2.77e+04 2.77e+04
sigma2 1.4054 1.99e+04 7.07e-05 1.000 -3.9e+04 3.9e+04
===================================================================================
Ljung-Box (L1) (Q): 1.32 Jarque-Bera (JB): 0.62
Prob(Q): 0.25 Prob(JB): 0.73
Heteroskedasticity (H): 2.38 Skew: -0.48
Prob(H) (two-sided): 0.42 Kurtosis: 2.51
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 172.20618841167115, Current Price: 173.36
SELL EXECUTED at 173.36
SELL ORDER COMPLETED at 171.63
OPERATION PROFIT, GROSS -1.7199999999999989, NET -2.064979999999999
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.173
Date: Wed, 09 Oct 2024 AIC 54.347
Time: 14:39:51 BIC 57.172
Sample: 0 HQIC 53.766
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6334 1.127 -0.562 0.574 -2.843 1.576
ma.L1 0.2268 0.506 0.448 0.654 -0.766 1.219
ar.S.L7 -0.3049 0.330 -0.923 0.356 -0.953 0.343
ma.S.L7 0.7732 5.857 0.132 0.895 -10.706 12.253
sigma2 1.2764 6.042 0.211 0.833 -10.565 13.118
===================================================================================
Ljung-Box (L1) (Q): 0.93 Jarque-Bera (JB): 2.91
Prob(Q): 0.34 Prob(JB): 0.23
Heteroskedasticity (H): 2.85 Skew: -1.15
Prob(H) (two-sided): 0.33 Kurtosis: 3.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 176.4284458668828, Current Price: 171.51
BUY EXECUTED at 171.51
BUY ORDER COMPLETED at 170.04
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.052
Date: Wed, 09 Oct 2024 AIC 60.104
Time: 14:39:51 BIC 62.928
Sample: 0 HQIC 59.523
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.3627 0.149 -9.135 0.000 -1.655 -1.070
ma.L1 1.0000 1.25e+04 8e-05 1.000 -2.45e+04 2.45e+04
ar.S.L7 -0.1408 0.281 -0.501 0.616 -0.691 0.410
ma.S.L7 1.0000 4.08e+04 2.45e-05 1.000 -8e+04 8e+04
sigma2 1.3381 5.59e+04 2.4e-05 1.000 -1.09e+05 1.1e+05
===================================================================================
Ljung-Box (L1) (Q): 1.54 Jarque-Bera (JB): 0.32
Prob(Q): 0.21 Prob(JB): 0.85
Heteroskedasticity (H): 4.26 Skew: -0.36
Prob(H) (two-sided): 0.19 Kurtosis: 3.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 175.5628231932853, Current Price: 167.1
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.775
Date: Wed, 09 Oct 2024 AIC 67.550
Time: 14:39:51 BIC 70.374
Sample: 0 HQIC 66.969
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.1915 0.301 3.963 0.000 0.602 1.781
ma.L1 -1.0000 1.99e+04 -5.04e-05 1.000 -3.89e+04 3.89e+04
ar.S.L7 -0.2115 0.387 -0.547 0.585 -0.970 0.547
ma.S.L7 -0.6504 1.474 -0.441 0.659 -3.539 2.238
sigma2 3.2441 6.44e+04 5.04e-05 1.000 -1.26e+05 1.26e+05
===================================================================================
Ljung-Box (L1) (Q): 5.30 Jarque-Bera (JB): 0.21
Prob(Q): 0.02 Prob(JB): 0.90
Heteroskedasticity (H): 4.79 Skew: 0.07
Prob(H) (two-sided): 0.16 Kurtosis: 2.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.381687198777, Current Price: 167.62
SELL EXECUTED at 167.62
SELL ORDER COMPLETED at 166.6099
OPERATION PROFIT, GROSS -3.4300999999999817, NET -3.7667498999999816
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.988
Date: Wed, 09 Oct 2024 AIC 69.977
Time: 14:39:51 BIC 72.802
Sample: 0 HQIC 69.396
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5644 1.537 -0.367 0.713 -3.576 2.447
ma.L1 0.4222 1.797 0.235 0.814 -3.100 3.945
ar.S.L7 -0.2085 0.567 -0.368 0.713 -1.320 0.903
ma.S.L7 -0.0920 0.981 -0.094 0.925 -2.015 1.831
sigma2 5.8764 4.056 1.449 0.147 -2.074 13.827
===================================================================================
Ljung-Box (L1) (Q): 0.34 Jarque-Bera (JB): 0.69
Prob(Q): 0.56 Prob(JB): 0.71
Heteroskedasticity (H): 3.83 Skew: -0.34
Prob(H) (two-sided): 0.22 Kurtosis: 2.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.66861743491262, Current Price: 163.5
BUY EXECUTED at 163.5
BUY ORDER COMPLETED at 164.74
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.560
Date: Wed, 09 Oct 2024 AIC 71.120
Time: 14:39:51 BIC 73.945
Sample: 0 HQIC 70.539
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9540 0.355 2.688 0.007 0.258 1.649
ma.L1 -1.0000 1.26e+04 -7.93e-05 1.000 -2.47e+04 2.47e+04
ar.S.L7 0.0611 0.942 0.065 0.948 -1.785 1.907
ma.S.L7 -0.1599 1.375 -0.116 0.907 -2.855 2.535
sigma2 5.3905 6.79e+04 7.93e-05 1.000 -1.33e+05 1.33e+05
===================================================================================
Ljung-Box (L1) (Q): 2.47 Jarque-Bera (JB): 0.52
Prob(Q): 0.12 Prob(JB): 0.77
Heteroskedasticity (H): 3.55 Skew: -0.16
Prob(H) (two-sided): 0.25 Kurtosis: 2.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 165.3027979300221, Current Price: 165.31
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.458
Date: Wed, 09 Oct 2024 AIC 70.916
Time: 14:39:51 BIC 73.740
Sample: 0 HQIC 70.335
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9408 0.411 2.291 0.022 0.136 1.746
ma.L1 -1.0000 1.71e+04 -5.85e-05 1.000 -3.35e+04 3.35e+04
ar.S.L7 0.1254 0.996 0.126 0.900 -1.827 2.078
ma.S.L7 -0.1843 1.378 -0.134 0.894 -2.886 2.517
sigma2 5.2766 9.02e+04 5.85e-05 1.000 -1.77e+05 1.77e+05
===================================================================================
Ljung-Box (L1) (Q): 2.68 Jarque-Bera (JB): 0.58
Prob(Q): 0.10 Prob(JB): 0.75
Heteroskedasticity (H): 1.39 Skew: -0.33
Prob(H) (two-sided): 0.76 Kurtosis: 2.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.98846823412086, Current Price: 164.83
SELL EXECUTED at 164.83
SELL ORDER COMPLETED at 163.33
OPERATION PROFIT, GROSS -1.4099999999999966, NET -1.7380699999999967
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.996
Date: Wed, 09 Oct 2024 AIC 69.992
Time: 14:39:51 BIC 72.817
Sample: 0 HQIC 69.412
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9365 0.652 1.436 0.151 -0.342 2.215
ma.L1 -1.0000 4961.316 -0.000 1.000 -9725.002 9723.002
ar.S.L7 -0.0103 0.052 -0.198 0.843 -0.112 0.091
ma.S.L7 -0.3651 0.641 -0.570 0.569 -1.621 0.890
sigma2 4.7711 2.37e+04 0.000 1.000 -4.64e+04 4.64e+04
===================================================================================
Ljung-Box (L1) (Q): 2.72 Jarque-Bera (JB): 0.56
Prob(Q): 0.10 Prob(JB): 0.75
Heteroskedasticity (H): 1.79 Skew: -0.18
Prob(H) (two-sided): 0.59 Kurtosis: 2.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.97194141226578, Current Price: 163.4
BUY EXECUTED at 163.4
BUY ORDER COMPLETED at 166.93
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.039
Date: Wed, 09 Oct 2024 AIC 68.078
Time: 14:39:51 BIC 70.902
Sample: 0 HQIC 67.497
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8996 0.837 1.075 0.282 -0.741 2.540
ma.L1 -1.0000 1.76e+04 -5.68e-05 1.000 -3.45e+04 3.45e+04
ar.S.L7 0.1096 0.728 0.151 0.880 -1.317 1.536
ma.S.L7 -0.7155 4.259 -0.168 0.867 -9.063 7.631
sigma2 3.2118 5.65e+04 5.68e-05 1.000 -1.11e+05 1.11e+05
===================================================================================
Ljung-Box (L1) (Q): 2.26 Jarque-Bera (JB): 0.09
Prob(Q): 0.13 Prob(JB): 0.96
Heteroskedasticity (H): 1.46 Skew: -0.13
Prob(H) (two-sided): 0.72 Kurtosis: 2.68
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.94900316168358, Current Price: 166.63
SELL EXECUTED at 166.63
SELL ORDER COMPLETED at 166.4
OPERATION PROFIT, GROSS -0.5300000000000011, NET -0.8633300000000012
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.383
Date: Wed, 09 Oct 2024 AIC 70.765
Time: 14:39:51 BIC 73.590
Sample: 0 HQIC 70.185
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4550 1.655 -0.275 0.783 -3.699 2.789
ma.L1 0.2982 1.812 0.165 0.869 -3.253 3.849
ar.S.L7 -0.1203 0.557 -0.216 0.829 -1.213 0.972
ma.S.L7 -0.6699 1.885 -0.355 0.722 -4.364 3.024
sigma2 5.0543 6.493 0.778 0.436 -7.672 17.781
===================================================================================
Ljung-Box (L1) (Q): 1.30 Jarque-Bera (JB): 0.66
Prob(Q): 0.26 Prob(JB): 0.72
Heteroskedasticity (H): 0.86 Skew: -0.14
Prob(H) (two-sided): 0.89 Kurtosis: 1.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.4891201854993, Current Price: 166.88
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.067
Date: Wed, 09 Oct 2024 AIC 72.134
Time: 14:39:51 BIC 74.959
Sample: 0 HQIC 71.553
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8309 0.525 1.583 0.113 -0.198 1.860
ma.L1 -1.0003 776.786 -0.001 0.999 -1523.473 1521.472
ar.S.L7 -0.2079 0.665 -0.312 0.755 -1.512 1.096
ma.S.L7 -0.9999 1.36e+04 -7.36e-05 1.000 -2.66e+04 2.66e+04
sigma2 3.3763 4.57e+04 7.38e-05 1.000 -8.96e+04 8.96e+04
===================================================================================
Ljung-Box (L1) (Q): 1.40 Jarque-Bera (JB): 0.59
Prob(Q): 0.24 Prob(JB): 0.74
Heteroskedasticity (H): 1.10 Skew: -0.00
Prob(H) (two-sided): 0.93 Kurtosis: 1.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.376642600564, Current Price: 170.13
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.981
Date: Wed, 09 Oct 2024 AIC 71.962
Time: 14:39:51 BIC 74.786
Sample: 0 HQIC 71.381
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8641 0.419 2.061 0.039 0.042 1.686
ma.L1 -1.7299 1.698 -1.019 0.308 -5.057 1.598
ar.S.L7 -0.9324 0.432 -2.156 0.031 -1.780 -0.085
ma.S.L7 1.0000 2.12e+06 4.72e-07 1.000 -4.16e+06 4.16e+06
sigma2 1.3364 2.83e+06 4.72e-07 1.000 -5.55e+06 5.55e+06
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 0.54
Prob(Q): 0.70 Prob(JB): 0.76
Heteroskedasticity (H): 0.76 Skew: -0.26
Prob(H) (two-sided): 0.80 Kurtosis: 2.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.6318828775082, Current Price: 169.63
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.877
Date: Wed, 09 Oct 2024 AIC 71.753
Time: 14:39:51 BIC 74.578
Sample: 0 HQIC 71.172
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9135 0.219 4.164 0.000 0.483 1.343
ma.L1 -1.6484 1.111 -1.483 0.138 -3.827 0.530
ar.S.L7 -0.9709 0.506 -1.917 0.055 -1.964 0.022
ma.S.L7 1.0002 5090.235 0.000 1.000 -9975.678 9977.678
sigma2 1.4466 7363.954 0.000 1.000 -1.44e+04 1.44e+04
===================================================================================
Ljung-Box (L1) (Q): 0.23 Jarque-Bera (JB): 0.18
Prob(Q): 0.63 Prob(JB): 0.91
Heteroskedasticity (H): 0.91 Skew: -0.00
Prob(H) (two-sided): 0.93 Kurtosis: 2.42
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.70314825937976, Current Price: 169.82
BUY EXECUTED at 169.82
BUY ORDER COMPLETED at 169.06
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.719
Date: Wed, 09 Oct 2024 AIC 71.438
Time: 14:39:51 BIC 74.263
Sample: 0 HQIC 70.857
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6781 0.485 1.399 0.162 -0.272 1.628
ma.L1 -0.5845 0.628 -0.931 0.352 -1.814 0.645
ar.S.L7 -0.2411 0.758 -0.318 0.751 -1.727 1.245
ma.S.L7 -0.6744 3.245 -0.208 0.835 -7.034 5.685
sigma2 5.5291 11.994 0.461 0.645 -17.978 29.036
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.48
Prob(Q): 0.76 Prob(JB): 0.78
Heteroskedasticity (H): 0.83 Skew: -0.13
Prob(H) (two-sided): 0.86 Kurtosis: 2.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.41582646138923, Current Price: 167.32
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.108
Date: Wed, 09 Oct 2024 AIC 68.217
Time: 14:39:51 BIC 71.041
Sample: 0 HQIC 67.636
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7499 0.122 6.141 0.000 0.511 0.989
ma.L1 -1.0000 3233.044 -0.000 1.000 -6337.649 6335.649
ar.S.L7 -1.0387 0.333 -3.118 0.002 -1.692 -0.386
ma.S.L7 0.7976 2.696 0.296 0.767 -4.487 6.082
sigma2 3.3149 1.07e+04 0.000 1.000 -2.1e+04 2.1e+04
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 1.44
Prob(Q): 0.71 Prob(JB): 0.49
Heteroskedasticity (H): 0.86 Skew: 0.40
Prob(H) (two-sided): 0.88 Kurtosis: 1.58
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.60294263211776, Current Price: 168.18
SELL EXECUTED at 168.18
SELL ORDER COMPLETED at 168.79
OPERATION PROFIT, GROSS -0.27000000000001023, NET -0.6078500000000102
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.101
Date: Wed, 09 Oct 2024 AIC 68.202
Time: 14:39:51 BIC 71.027
Sample: 0 HQIC 67.621
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6853 0.175 3.924 0.000 0.343 1.028
ma.L1 -1.0000 3146.895 -0.000 1.000 -6168.801 6166.801
ar.S.L7 -0.9670 0.311 -3.105 0.002 -1.577 -0.357
ma.S.L7 0.3301 0.588 0.561 0.574 -0.822 1.483
sigma2 4.3025 1.35e+04 0.000 1.000 -2.65e+04 2.65e+04
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 1.17
Prob(Q): 0.81 Prob(JB): 0.56
Heteroskedasticity (H): 0.41 Skew: 0.26
Prob(H) (two-sided): 0.41 Kurtosis: 1.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.04835257976077, Current Price: 169.4
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.404
Date: Wed, 09 Oct 2024 AIC 62.809
Time: 14:39:51 BIC 65.634
Sample: 0 HQIC 62.228
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4269 0.488 -0.875 0.382 -1.384 0.530
ma.L1 1.0000 1.16e+04 8.63e-05 1.000 -2.27e+04 2.27e+04
ar.S.L7 -0.0726 0.212 -0.342 0.732 -0.489 0.344
ma.S.L7 -1.0000 1.44e+04 -6.95e-05 1.000 -2.82e+04 2.82e+04
sigma2 1.9651 3.83e+04 5.13e-05 1.000 -7.5e+04 7.51e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.56
Prob(Q): 0.99 Prob(JB): 0.76
Heteroskedasticity (H): 0.69 Skew: -0.18
Prob(H) (two-sided): 0.73 Kurtosis: 2.05
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.2919690234281, Current Price: 165.976
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.047
Date: Wed, 09 Oct 2024 AIC 64.095
Time: 14:39:51 BIC 66.920
Sample: 0 HQIC 63.514
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5894 0.496 1.189 0.234 -0.382 1.561
ma.L1 -0.7071 0.562 -1.259 0.208 -1.808 0.394
ar.S.L7 -0.8106 0.193 -4.201 0.000 -1.189 -0.432
ma.S.L7 0.5427 0.614 0.884 0.377 -0.661 1.746
sigma2 3.1550 2.605 1.211 0.226 -1.950 8.260
===================================================================================
Ljung-Box (L1) (Q): 0.68 Jarque-Bera (JB): 1.00
Prob(Q): 0.41 Prob(JB): 0.61
Heteroskedasticity (H): 0.61 Skew: 0.05
Prob(H) (two-sided): 0.64 Kurtosis: 1.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.09700259263593, Current Price: 166.4
BUY EXECUTED at 166.4
BUY ORDER COMPLETED at 162.35
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.965
Date: Wed, 09 Oct 2024 AIC 59.930
Time: 14:39:51 BIC 62.755
Sample: 0 HQIC 59.349
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1711 0.914 0.187 0.851 -1.620 1.962
ma.L1 0.2641 0.798 0.331 0.741 -1.301 1.829
ar.S.L7 -0.6234 0.315 -1.976 0.048 -1.242 -0.005
ma.S.L7 0.0366 0.476 0.077 0.939 -0.896 0.970
sigma2 2.7245 1.896 1.437 0.151 -0.992 6.441
===================================================================================
Ljung-Box (L1) (Q): 0.66 Jarque-Bera (JB): 0.66
Prob(Q): 0.42 Prob(JB): 0.72
Heteroskedasticity (H): 0.56 Skew: -0.18
Prob(H) (two-sided): 0.59 Kurtosis: 1.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.2778280772704, Current Price: 161.99
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.577
Date: Wed, 09 Oct 2024 AIC 51.154
Time: 14:39:51 BIC 53.979
Sample: 0 HQIC 50.574
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3853 0.460 0.838 0.402 -0.516 1.287
ma.L1 1.0000 4.53e+05 2.21e-06 1.000 -8.88e+05 8.88e+05
ar.S.L7 -0.5035 0.110 -4.582 0.000 -0.719 -0.288
ma.S.L7 -1.0003 3187.271 -0.000 1.000 -6247.936 6245.935
sigma2 0.7684 3.5e+05 2.2e-06 1.000 -6.86e+05 6.86e+05
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.36
Prob(Q): 0.92 Prob(JB): 0.84
Heteroskedasticity (H): 0.45 Skew: -0.01
Prob(H) (two-sided): 0.46 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.56952464541635, Current Price: 158.45
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.638
Date: Wed, 09 Oct 2024 AIC 55.277
Time: 14:39:52 BIC 58.101
Sample: 0 HQIC 54.696
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4423 0.465 0.950 0.342 -0.470 1.354
ma.L1 1.0000 6637.221 0.000 1.000 -1.3e+04 1.3e+04
ar.S.L7 -0.6409 0.088 -7.320 0.000 -0.812 -0.469
ma.S.L7 1.7967 5.485 0.328 0.743 -8.954 12.547
sigma2 0.4287 2846.289 0.000 1.000 -5578.196 5579.053
===================================================================================
Ljung-Box (L1) (Q): 0.75 Jarque-Bera (JB): 0.93
Prob(Q): 0.39 Prob(JB): 0.63
Heteroskedasticity (H): 1.96 Skew: -0.29
Prob(H) (two-sided): 0.53 Kurtosis: 1.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 152.81000682828108, Current Price: 152.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.800
Date: Wed, 09 Oct 2024 AIC 55.600
Time: 14:39:52 BIC 58.425
Sample: 0 HQIC 55.019
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4116 0.376 1.095 0.273 -0.325 1.148
ma.L1 1.0000 5909.640 0.000 1.000 -1.16e+04 1.16e+04
ar.S.L7 -0.6488 0.114 -5.712 0.000 -0.871 -0.426
ma.S.L7 0.6191 1.790 0.346 0.729 -2.888 4.126
sigma2 1.3710 8101.300 0.000 1.000 -1.59e+04 1.59e+04
===================================================================================
Ljung-Box (L1) (Q): 0.41 Jarque-Bera (JB): 0.62
Prob(Q): 0.52 Prob(JB): 0.74
Heteroskedasticity (H): 1.22 Skew: -0.13
Prob(H) (two-sided): 0.85 Kurtosis: 1.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 151.60922820560475, Current Price: 152.33
SELL EXECUTED at 152.33
SELL ORDER COMPLETED at 154.31
OPERATION PROFIT, GROSS -8.039999999999992, NET -8.356659999999993
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.592
Date: Wed, 09 Oct 2024 AIC 53.184
Time: 14:39:52 BIC 56.009
Sample: 0 HQIC 52.603
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5678 0.260 2.188 0.029 0.059 1.076
ma.L1 1.0000 1.31e+04 7.65e-05 1.000 -2.56e+04 2.56e+04
ar.S.L7 -0.5525 0.093 -5.946 0.000 -0.735 -0.370
ma.S.L7 1.0003 2812.096 0.000 1.000 -5510.607 5512.607
sigma2 0.7846 1.09e+04 7.22e-05 1.000 -2.13e+04 2.13e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 1.38
Prob(Q): 0.83 Prob(JB): 0.50
Heteroskedasticity (H): 0.70 Skew: -0.00
Prob(H) (two-sided): 0.74 Kurtosis: 1.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 154.72348172505448, Current Price: 155.23
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.860
Date: Wed, 09 Oct 2024 AIC 51.720
Time: 14:39:52 BIC 54.545
Sample: 0 HQIC 51.140
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4711 0.293 1.607 0.108 -0.103 1.046
ma.L1 1.0000 1.26e+04 7.92e-05 1.000 -2.47e+04 2.47e+04
ar.S.L7 -0.5662 0.086 -6.583 0.000 -0.735 -0.398
ma.S.L7 1.0001 6223.487 0.000 1.000 -1.22e+04 1.22e+04
sigma2 0.7237 9521.022 7.6e-05 1.000 -1.87e+04 1.87e+04
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 1.04
Prob(Q): 0.77 Prob(JB): 0.59
Heteroskedasticity (H): 0.60 Skew: 0.06
Prob(H) (two-sided): 0.63 Kurtosis: 1.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 152.57712786222504, Current Price: 154.87
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.454
Date: Wed, 09 Oct 2024 AIC 52.909
Time: 14:39:52 BIC 55.733
Sample: 0 HQIC 52.328
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5754 0.342 1.682 0.092 -0.095 1.246
ma.L1 1.0000 1.18e+04 8.46e-05 1.000 -2.32e+04 2.32e+04
ar.S.L7 -0.4964 0.087 -5.704 0.000 -0.667 -0.326
ma.S.L7 0.6406 0.794 0.807 0.420 -0.916 2.197
sigma2 1.0575 1.25e+04 8.46e-05 1.000 -2.45e+04 2.45e+04
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.71
Prob(Q): 0.76 Prob(JB): 0.70
Heteroskedasticity (H): 0.43 Skew: 0.02
Prob(H) (two-sided): 0.43 Kurtosis: 1.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 157.90870209015617, Current Price: 156.98
BUY EXECUTED at 156.98
BUY ORDER COMPLETED at 156.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.384
Date: Wed, 09 Oct 2024 AIC 52.769
Time: 14:39:52 BIC 55.593
Sample: 0 HQIC 52.188
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5305 0.205 2.593 0.010 0.129 0.932
ma.L1 1.0000 4335.354 0.000 1.000 -8496.138 8498.138
ar.S.L7 -0.5087 0.119 -4.264 0.000 -0.742 -0.275
ma.S.L7 1.0000 1.43e+04 7e-05 1.000 -2.8e+04 2.8e+04
sigma2 0.7607 1.14e+04 6.69e-05 1.000 -2.23e+04 2.23e+04
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.45
Prob(Q): 0.77 Prob(JB): 0.80
Heteroskedasticity (H): 0.47 Skew: 0.05
Prob(H) (two-sided): 0.48 Kurtosis: 2.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 153.0327142223692, Current Price: 157.16
SELL EXECUTED at 157.16
SELL ORDER COMPLETED at 156.35
OPERATION PROFIT, GROSS -0.6299999999999955, NET -0.9433299999999954
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.837
Date: Wed, 09 Oct 2024 AIC 55.674
Time: 14:39:52 BIC 58.498
Sample: 0 HQIC 55.093
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6232 0.275 2.266 0.023 0.084 1.162
ma.L1 0.2980 0.571 0.522 0.602 -0.821 1.417
ar.S.L7 -0.5947 0.324 -1.837 0.066 -1.229 0.040
ma.S.L7 1.0000 5.21e+04 1.92e-05 1.000 -1.02e+05 1.02e+05
sigma2 1.1445 5.97e+04 1.92e-05 1.000 -1.17e+05 1.17e+05
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.85
Prob(Q): 0.87 Prob(JB): 0.65
Heteroskedasticity (H): 1.71 Skew: 0.53
Prob(H) (two-sided): 0.62 Kurtosis: 2.33
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 156.70353918637514, Current Price: 156.04
BUY EXECUTED at 156.04
BUY ORDER COMPLETED at 156.35
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.718
Date: Wed, 09 Oct 2024 AIC 57.437
Time: 14:39:52 BIC 60.261
Sample: 0 HQIC 56.856
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3306 0.758 0.436 0.663 -1.155 1.816
ma.L1 0.4226 1.087 0.389 0.697 -1.708 2.553
ar.S.L7 -0.6391 0.368 -1.735 0.083 -1.361 0.083
ma.S.L7 0.5728 2.780 0.206 0.837 -4.876 6.021
sigma2 1.9302 3.205 0.602 0.547 -4.352 8.213
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.02
Prob(Q): 0.84 Prob(JB): 0.99
Heteroskedasticity (H): 2.29 Skew: 0.05
Prob(H) (two-sided): 0.44 Kurtosis: 3.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 151.21906100595402, Current Price: 156.31
SELL EXECUTED at 156.31
SELL ORDER COMPLETED at 155.08
OPERATION PROFIT, GROSS -1.2699999999999818, NET -1.581429999999982
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.191
Date: Wed, 09 Oct 2024 AIC 62.382
Time: 14:39:52 BIC 65.207
Sample: 0 HQIC 61.801
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.0409 0.509 2.043 0.041 0.042 2.039
ma.L1 -0.1011 0.506 -0.200 0.842 -1.094 0.891
ar.S.L7 -0.4940 0.235 -2.098 0.036 -0.956 -0.032
ma.S.L7 0.7622 4.958 0.154 0.878 -8.955 10.479
sigma2 2.4011 11.397 0.211 0.833 -19.937 24.740
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.96
Prob(Q): 0.98 Prob(JB): 0.62
Heteroskedasticity (H): 5.04 Skew: 0.24
Prob(H) (two-sided): 0.15 Kurtosis: 1.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.0682823341331, Current Price: 154.91
BUY EXECUTED at 154.91
BUY ORDER COMPLETED at 154.05
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.850
Date: Wed, 09 Oct 2024 AIC 63.700
Time: 14:39:52 BIC 66.524
Sample: 0 HQIC 63.119
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4216 1.150 0.366 0.714 -1.833 2.676
ma.L1 -0.1276 1.308 -0.097 0.922 -2.692 2.437
ar.S.L7 -0.4358 0.334 -1.305 0.192 -1.090 0.219
ma.S.L7 -1.0000 1.84e+04 -5.43e-05 1.000 -3.61e+04 3.61e+04
sigma2 2.1960 4.04e+04 5.43e-05 1.000 -7.93e+04 7.93e+04
===================================================================================
Ljung-Box (L1) (Q): 0.24 Jarque-Bera (JB): 0.88
Prob(Q): 0.63 Prob(JB): 0.64
Heteroskedasticity (H): 1.29 Skew: 0.47
Prob(H) (two-sided): 0.81 Kurtosis: 2.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 156.20448992784964, Current Price: 151.03
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.792
Date: Wed, 09 Oct 2024 AIC 69.584
Time: 14:39:52 BIC 72.408
Sample: 0 HQIC 69.003
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3596 1.115 0.322 0.747 -1.826 2.545
ma.L1 0.1184 0.948 0.125 0.901 -1.740 1.977
ar.S.L7 -0.5518 0.373 -1.481 0.139 -1.282 0.179
ma.S.L7 -0.6670 1.964 -0.340 0.734 -4.517 3.183
sigma2 4.6221 7.162 0.645 0.519 -9.416 18.660
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 0.37
Prob(Q): 0.72 Prob(JB): 0.83
Heteroskedasticity (H): 2.81 Skew: 0.08
Prob(H) (two-sided): 0.34 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 146.2414611383336, Current Price: 150.34
SELL EXECUTED at 150.34
SELL ORDER COMPLETED at 152.1401
OPERATION PROFIT, GROSS -1.9099000000000217, NET -2.216090100000022
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.303
Date: Wed, 09 Oct 2024 AIC 70.605
Time: 14:39:52 BIC 73.430
Sample: 0 HQIC 70.024
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4170 0.697 -0.598 0.550 -1.783 0.949
ma.L1 0.7634 0.491 1.555 0.120 -0.199 1.725
ar.S.L7 -0.4088 0.411 -0.994 0.320 -1.215 0.397
ma.S.L7 -1.0001 1.93e+04 -5.18e-05 1.000 -3.78e+04 3.78e+04
sigma2 3.7622 7.26e+04 5.18e-05 1.000 -1.42e+05 1.42e+05
===================================================================================
Ljung-Box (L1) (Q): 0.60 Jarque-Bera (JB): 0.81
Prob(Q): 0.44 Prob(JB): 0.67
Heteroskedasticity (H): 2.12 Skew: 0.31
Prob(H) (two-sided): 0.48 Kurtosis: 1.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 152.79076681734503, Current Price: 151.99
BUY EXECUTED at 151.99
BUY ORDER COMPLETED at 154.76
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.200
Date: Wed, 09 Oct 2024 AIC 70.400
Time: 14:39:52 BIC 73.225
Sample: 0 HQIC 69.819
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4452 0.628 -0.709 0.478 -1.677 0.786
ma.L1 0.7690 0.521 1.477 0.140 -0.251 1.789
ar.S.L7 -0.4008 0.522 -0.767 0.443 -1.425 0.623
ma.S.L7 -1.0001 2.55e+04 -3.92e-05 1.000 -5.01e+04 5.01e+04
sigma2 3.6902 9.42e+04 3.92e-05 1.000 -1.85e+05 1.85e+05
===================================================================================
Ljung-Box (L1) (Q): 0.77 Jarque-Bera (JB): 0.73
Prob(Q): 0.38 Prob(JB): 0.69
Heteroskedasticity (H): 1.69 Skew: 0.15
Prob(H) (two-sided): 0.62 Kurtosis: 1.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 148.59229930177497, Current Price: 155.92
SELL EXECUTED at 155.92
SELL ORDER COMPLETED at 155.43
OPERATION PROFIT, GROSS 0.6700000000000159, NET 0.35981000000001595
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.508
Date: Wed, 09 Oct 2024 AIC 75.017
Time: 14:39:52 BIC 77.842
Sample: 0 HQIC 74.436
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1803 1.856 0.097 0.923 -3.458 3.819
ma.L1 0.0449 1.876 0.024 0.981 -3.632 3.722
ar.S.L7 -0.3595 1.246 -0.289 0.773 -2.801 2.082
ma.S.L7 -0.1761 1.629 -0.108 0.914 -3.370 3.017
sigma2 8.5949 5.446 1.578 0.115 -2.079 19.269
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 0.16
Prob(Q): 0.65 Prob(JB): 0.92
Heteroskedasticity (H): 6.43 Skew: -0.27
Prob(H) (two-sided): 0.10 Kurtosis: 2.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.19223029435315, Current Price: 156.71
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.209
Date: Wed, 09 Oct 2024 AIC 74.418
Time: 14:39:52 BIC 77.243
Sample: 0 HQIC 73.837
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0540 1.513 0.036 0.972 -2.911 3.019
ma.L1 0.1639 1.430 0.115 0.909 -2.638 2.966
ar.S.L7 -0.4510 0.819 -0.550 0.582 -2.057 1.155
ma.S.L7 -0.0402 1.060 -0.038 0.970 -2.119 2.038
sigma2 8.3041 3.831 2.168 0.030 0.795 15.813
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.56
Prob(Q): 0.74 Prob(JB): 0.75
Heteroskedasticity (H): 19.74 Skew: -0.44
Prob(H) (two-sided): 0.01 Kurtosis: 3.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 154.62527129459403, Current Price: 157.78
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.510
Date: Wed, 09 Oct 2024 AIC 75.020
Time: 14:39:52 BIC 77.845
Sample: 0 HQIC 74.440
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1598 1.057 0.151 0.880 -1.912 2.231
ma.L1 0.1293 1.074 0.120 0.904 -1.975 2.234
ar.S.L7 -0.3323 0.712 -0.467 0.641 -1.728 1.063
ma.S.L7 0.1125 0.810 0.139 0.889 -1.475 1.700
sigma2 8.6603 4.560 1.899 0.058 -0.278 17.599
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 1.46
Prob(Q): 0.68 Prob(JB): 0.48
Heteroskedasticity (H): 2.13 Skew: -0.77
Prob(H) (two-sided): 0.48 Kurtosis: 3.57
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 157.06901187113897, Current Price: 157.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.598
Date: Wed, 09 Oct 2024 AIC 73.195
Time: 14:39:52 BIC 76.020
Sample: 0 HQIC 72.615
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1246 2.245 0.055 0.956 -4.276 4.526
ma.L1 0.1306 2.407 0.054 0.957 -4.587 4.848
ar.S.L7 -0.4002 0.416 -0.963 0.336 -1.215 0.415
ma.S.L7 1.0002 1.03e+04 9.69e-05 1.000 -2.02e+04 2.02e+04
sigma2 4.5534 4.7e+04 9.69e-05 1.000 -9.21e+04 9.21e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 4.11
Prob(Q): 0.85 Prob(JB): 0.13
Heteroskedasticity (H): 2.59 Skew: -1.14
Prob(H) (two-sided): 0.38 Kurtosis: 4.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 151.9722821573525, Current Price: 156.5
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.036
Date: Wed, 09 Oct 2024 AIC 74.071
Time: 14:39:52 BIC 76.896
Sample: 0 HQIC 73.491
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2994 1.345 0.223 0.824 -2.336 2.935
ma.L1 -0.0134 1.343 -0.010 0.992 -2.645 2.619
ar.S.L7 -0.4437 0.504 -0.880 0.379 -1.431 0.544
ma.S.L7 0.3007 1.198 0.251 0.802 -2.048 2.649
sigma2 7.7934 5.752 1.355 0.175 -3.480 19.067
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 1.86
Prob(Q): 0.75 Prob(JB): 0.39
Heteroskedasticity (H): 0.29 Skew: -0.86
Prob(H) (two-sided): 0.26 Kurtosis: 3.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 156.73215313964795, Current Price: 158.64
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.348
Date: Wed, 09 Oct 2024 AIC 72.696
Time: 14:39:52 BIC 75.520
Sample: 0 HQIC 72.115
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3636 1.124 0.323 0.746 -1.840 2.567
ma.L1 -0.0288 1.201 -0.024 0.981 -2.382 2.324
ar.S.L7 -0.5249 0.266 -1.970 0.049 -1.047 -0.003
ma.S.L7 0.9999 1.56e+04 6.39e-05 1.000 -3.07e+04 3.07e+04
sigma2 4.3841 6.86e+04 6.39e-05 1.000 -1.34e+05 1.34e+05
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 1.60
Prob(Q): 0.85 Prob(JB): 0.45
Heteroskedasticity (H): 0.33 Skew: -0.82
Prob(H) (two-sided): 0.31 Kurtosis: 3.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.50215760954617, Current Price: 159.67
BUY EXECUTED at 159.67
BUY ORDER COMPLETED at 161.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.293
Date: Wed, 09 Oct 2024 AIC 74.586
Time: 14:39:52 BIC 77.411
Sample: 0 HQIC 74.005
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0908 0.516 -0.176 0.860 -1.102 0.921
ma.L1 0.7830 0.482 1.625 0.104 -0.161 1.727
ar.S.L7 0.5752 1.321 0.435 0.663 -2.014 3.164
ma.S.L7 -1.0001 1.31e+04 -7.64e-05 1.000 -2.57e+04 2.57e+04
sigma2 5.0779 6.65e+04 7.64e-05 1.000 -1.3e+05 1.3e+05
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 0.13
Prob(Q): 0.65 Prob(JB): 0.94
Heteroskedasticity (H): 0.19 Skew: 0.12
Prob(H) (two-sided): 0.14 Kurtosis: 2.57
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.11955077392898, Current Price: 160.38
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.099
Date: Wed, 09 Oct 2024 AIC 74.197
Time: 14:39:52 BIC 77.022
Sample: 0 HQIC 73.617
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0608 1.132 0.054 0.957 -2.157 2.279
ma.L1 0.2318 0.968 0.239 0.811 -1.665 2.129
ar.S.L7 -0.3655 0.386 -0.948 0.343 -1.121 0.390
ma.S.L7 0.3489 0.680 0.513 0.608 -0.984 1.682
sigma2 7.7599 5.207 1.490 0.136 -2.445 17.965
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.50
Prob(Q): 0.94 Prob(JB): 0.78
Heteroskedasticity (H): 0.34 Skew: -0.35
Prob(H) (two-sided): 0.33 Kurtosis: 2.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.41503221030132, Current Price: 159.26
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.307
Date: Wed, 09 Oct 2024 AIC 68.614
Time: 14:39:52 BIC 71.438
Sample: 0 HQIC 68.033
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1491 0.607 -0.245 0.806 -1.340 1.042
ma.L1 0.6144 0.561 1.095 0.274 -0.486 1.714
ar.S.L7 0.2841 0.569 0.499 0.618 -0.831 1.399
ma.S.L7 -1.0001 1.87e+04 -5.34e-05 1.000 -3.67e+04 3.67e+04
sigma2 3.2062 6e+04 5.34e-05 1.000 -1.18e+05 1.18e+05
===================================================================================
Ljung-Box (L1) (Q): 0.32 Jarque-Bera (JB): 0.75
Prob(Q): 0.57 Prob(JB): 0.69
Heteroskedasticity (H): 0.27 Skew: -0.56
Prob(H) (two-sided): 0.23 Kurtosis: 2.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.12371641286896, Current Price: 160.5
SELL EXECUTED at 160.5
SELL ORDER COMPLETED at 159.94
OPERATION PROFIT, GROSS -1.0800000000000125, NET -1.4009600000000124
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.598
Date: Wed, 09 Oct 2024 AIC 67.195
Time: 14:39:52 BIC 70.020
Sample: 0 HQIC 66.614
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0475 0.569 -0.083 0.933 -1.163 1.068
ma.L1 0.6287 0.354 1.777 0.076 -0.065 1.322
ar.S.L7 0.3654 0.365 1.000 0.317 -0.351 1.082
ma.S.L7 -1.0001 5645.592 -0.000 1.000 -1.11e+04 1.11e+04
sigma2 2.8723 1.62e+04 0.000 1.000 -3.18e+04 3.18e+04
===================================================================================
Ljung-Box (L1) (Q): 0.42 Jarque-Bera (JB): 1.32
Prob(Q): 0.52 Prob(JB): 0.52
Heteroskedasticity (H): 0.31 Skew: -0.77
Prob(H) (two-sided): 0.28 Kurtosis: 2.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.1994016947605, Current Price: 161.6
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.763
Date: Wed, 09 Oct 2024 AIC 57.525
Time: 14:39:52 BIC 60.350
Sample: 0 HQIC 56.945
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0667 2.416 0.028 0.978 -4.669 4.802
ma.L1 0.1196 2.466 0.048 0.961 -4.714 4.953
ar.S.L7 0.1242 0.249 0.499 0.618 -0.364 0.612
ma.S.L7 -0.9999 7232.404 -0.000 1.000 -1.42e+04 1.42e+04
sigma2 1.3647 9869.862 0.000 1.000 -1.93e+04 1.93e+04
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.45
Prob(Q): 0.76 Prob(JB): 0.80
Heteroskedasticity (H): 0.91 Skew: 0.22
Prob(H) (two-sided): 0.93 Kurtosis: 2.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.30454369754705, Current Price: 161.22
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.876
Date: Wed, 09 Oct 2024 AIC 57.753
Time: 14:39:52 BIC 60.577
Sample: 0 HQIC 57.172
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2666 2.203 0.121 0.904 -4.051 4.584
ma.L1 0.0342 1.811 0.019 0.985 -3.514 3.583
ar.S.L7 -0.0175 1.341 -0.013 0.990 -2.646 2.611
ma.S.L7 -0.9815 80.626 -0.012 0.990 -159.006 157.043
sigma2 1.4013 111.124 0.013 0.990 -216.398 219.201
===================================================================================
Ljung-Box (L1) (Q): 0.40 Jarque-Bera (JB): 1.78
Prob(Q): 0.53 Prob(JB): 0.41
Heteroskedasticity (H): 0.24 Skew: 0.91
Prob(H) (two-sided): 0.20 Kurtosis: 2.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.5429220858395, Current Price: 162.07
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.282
Date: Wed, 09 Oct 2024 AIC 58.565
Time: 14:39:52 BIC 61.390
Sample: 0 HQIC 57.984
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2012 0.655 0.307 0.759 -1.083 1.485
ma.L1 0.4979 0.511 0.975 0.329 -0.503 1.499
ar.S.L7 0.0706 0.173 0.408 0.683 -0.268 0.409
ma.S.L7 -0.6855 1.350 -0.508 0.612 -3.332 1.961
sigma2 1.9526 2.408 0.811 0.417 -2.768 6.673
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.87
Prob(Q): 0.82 Prob(JB): 0.65
Heteroskedasticity (H): 0.42 Skew: 0.58
Prob(H) (two-sided): 0.42 Kurtosis: 2.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.2117233982601, Current Price: 163.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.611
Date: Wed, 09 Oct 2024 AIC 47.221
Time: 14:39:52 BIC 50.046
Sample: 0 HQIC 46.641
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3416 0.282 1.213 0.225 -0.210 0.893
ma.L1 0.4121 0.252 1.635 0.102 -0.082 0.906
ar.S.L7 -0.0795 0.130 -0.612 0.540 -0.334 0.175
ma.S.L7 -1.0005 2170.473 -0.000 1.000 -4255.049 4253.048
sigma2 0.6179 1341.123 0.000 1.000 -2627.934 2629.170
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.35
Prob(Q): 0.99 Prob(JB): 0.84
Heteroskedasticity (H): 0.53 Skew: 0.10
Prob(H) (two-sided): 0.55 Kurtosis: 2.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.45150611348535, Current Price: 162.01
BUY EXECUTED at 162.01
BUY ORDER COMPLETED at 161.07
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.748
Date: Wed, 09 Oct 2024 AIC 53.497
Time: 14:39:52 BIC 56.322
Sample: 0 HQIC 52.916
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2941 0.913 0.322 0.747 -1.496 2.085
ma.L1 0.4779 0.567 0.843 0.399 -0.634 1.589
ar.S.L7 -0.1374 0.198 -0.693 0.488 -0.526 0.251
ma.S.L7 -0.6031 2.077 -0.290 0.772 -4.675 3.468
sigma2 1.3991 1.469 0.952 0.341 -1.480 4.278
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 2.24
Prob(Q): 0.76 Prob(JB): 0.33
Heteroskedasticity (H): 1.37 Skew: -0.93
Prob(H) (two-sided): 0.77 Kurtosis: 3.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.36553988290737, Current Price: 166.42
SELL EXECUTED at 166.42
SELL ORDER COMPLETED at 168.05
OPERATION PROFIT, GROSS 6.980000000000018, NET 6.6508800000000186
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.197
Date: Wed, 09 Oct 2024 AIC 64.395
Time: 14:39:52 BIC 67.219
Sample: 0 HQIC 63.814
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1833 2.023 0.091 0.928 -3.782 4.149
ma.L1 -0.3746 1.711 -0.219 0.827 -3.727 2.978
ar.S.L7 -0.4882 0.440 -1.109 0.268 -1.351 0.375
ma.S.L7 0.0458 0.697 0.066 0.948 -1.320 1.412
sigma2 3.8399 2.691 1.427 0.154 -1.435 9.115
===================================================================================
Ljung-Box (L1) (Q): 0.30 Jarque-Bera (JB): 0.09
Prob(Q): 0.58 Prob(JB): 0.96
Heteroskedasticity (H): 2.84 Skew: -0.11
Prob(H) (two-sided): 0.34 Kurtosis: 2.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.94315582443977, Current Price: 167.27
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.142
Date: Wed, 09 Oct 2024 AIC 62.283
Time: 14:39:52 BIC 65.108
Sample: 0 HQIC 61.703
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5482 0.198 2.766 0.006 0.160 0.937
ma.L1 -1.0000 3.15e+04 -3.17e-05 1.000 -6.18e+04 6.18e+04
ar.S.L7 -0.3850 0.350 -1.101 0.271 -1.070 0.300
ma.S.L7 -0.1384 0.545 -0.254 0.800 -1.207 0.930
sigma2 2.7342 8.62e+04 3.17e-05 1.000 -1.69e+05 1.69e+05
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 0.06
Prob(Q): 0.67 Prob(JB): 0.97
Heteroskedasticity (H): 3.19 Skew: 0.10
Prob(H) (two-sided): 0.29 Kurtosis: 2.74
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.6459032212429, Current Price: 168.97
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.679
Date: Wed, 09 Oct 2024 AIC 63.358
Time: 14:39:52 BIC 66.182
Sample: 0 HQIC 62.777
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3122 1.071 0.291 0.771 -1.787 2.411
ma.L1 -0.7045 0.732 -0.962 0.336 -2.139 0.730
ar.S.L7 -0.4256 0.219 -1.945 0.052 -0.854 0.003
ma.S.L7 0.3565 1.097 0.325 0.745 -1.794 2.507
sigma2 3.3616 2.467 1.362 0.173 -1.474 8.197
===================================================================================
Ljung-Box (L1) (Q): 0.23 Jarque-Bera (JB): 0.12
Prob(Q): 0.63 Prob(JB): 0.94
Heteroskedasticity (H): 2.61 Skew: 0.15
Prob(H) (two-sided): 0.38 Kurtosis: 2.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.21533572661747, Current Price: 168.03
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.558
Date: Wed, 09 Oct 2024 AIC 61.116
Time: 14:39:52 BIC 63.940
Sample: 0 HQIC 60.535
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3463 1.059 0.327 0.744 -1.730 2.423
ma.L1 -0.7288 0.736 -0.990 0.322 -2.172 0.715
ar.S.L7 -0.3271 0.293 -1.116 0.264 -0.902 0.247
ma.S.L7 0.1284 0.727 0.177 0.860 -1.297 1.554
sigma2 2.9569 2.064 1.433 0.152 -1.088 7.002
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.30
Prob(Q): 0.82 Prob(JB): 0.86
Heteroskedasticity (H): 4.27 Skew: 0.37
Prob(H) (two-sided): 0.19 Kurtosis: 3.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.76689433578767, Current Price: 169.31
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.740
Date: Wed, 09 Oct 2024 AIC 61.479
Time: 14:39:52 BIC 64.304
Sample: 0 HQIC 60.899
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3370 0.946 0.356 0.722 -1.517 2.191
ma.L1 -0.6932 0.787 -0.881 0.379 -2.236 0.850
ar.S.L7 -0.3661 0.266 -1.375 0.169 -0.888 0.156
ma.S.L7 0.0875 0.563 0.156 0.876 -1.015 1.190
sigma2 3.0540 2.149 1.421 0.155 -1.158 7.266
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.08
Prob(Q): 0.79 Prob(JB): 0.96
Heteroskedasticity (H): 0.47 Skew: 0.19
Prob(H) (two-sided): 0.49 Kurtosis: 2.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.1062454919888, Current Price: 169.56
BUY EXECUTED at 169.56
BUY ORDER COMPLETED at 169.96
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.254
Date: Wed, 09 Oct 2024 AIC 60.509
Time: 14:39:53 BIC 63.333
Sample: 0 HQIC 59.928
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4733 0.577 0.820 0.412 -0.658 1.605
ma.L1 -0.8122 0.774 -1.050 0.294 -2.329 0.704
ar.S.L7 -0.1890 0.706 -0.268 0.789 -1.573 1.195
ma.S.L7 -8.5373 65.302 -0.131 0.896 -136.527 119.453
sigma2 0.0378 0.579 0.065 0.948 -1.096 1.172
===================================================================================
Ljung-Box (L1) (Q): 0.63 Jarque-Bera (JB): 0.36
Prob(Q): 0.43 Prob(JB): 0.83
Heteroskedasticity (H): 0.57 Skew: 0.30
Prob(H) (two-sided): 0.60 Kurtosis: 3.55
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.92923168319896, Current Price: 171.05
SELL EXECUTED at 171.05
SELL ORDER COMPLETED at 169.88
OPERATION PROFIT, GROSS -0.0800000000000125, NET -0.41984000000001254
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.211
Date: Wed, 09 Oct 2024 AIC 56.423
Time: 14:39:53 BIC 59.247
Sample: 0 HQIC 55.842
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7206 0.573 -1.259 0.208 -1.843 0.402
ma.L1 2.6137 6.045 0.432 0.665 -9.235 14.462
ar.S.L7 -0.0749 0.390 -0.192 0.848 -0.840 0.690
ma.S.L7 -1.0001 6586.536 -0.000 1.000 -1.29e+04 1.29e+04
sigma2 0.1752 1153.764 0.000 1.000 -2261.160 2261.511
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.14
Prob(Q): 0.93 Prob(JB): 0.93
Heteroskedasticity (H): 0.46 Skew: -0.20
Prob(H) (two-sided): 0.47 Kurtosis: 2.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 172.23748248060903, Current Price: 167.64
BUY EXECUTED at 167.64
BUY ORDER COMPLETED at 166.96
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.947
Date: Wed, 09 Oct 2024 AIC 61.894
Time: 14:39:53 BIC 64.719
Sample: 0 HQIC 61.313
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0784 0.387 -2.786 0.005 -1.837 -0.320
ma.L1 1.0000 1.71e+04 5.86e-05 1.000 -3.35e+04 3.35e+04
ar.S.L7 -0.2582 0.372 -0.693 0.488 -0.988 0.472
ma.S.L7 -1.0000 3.75e+04 -2.67e-05 1.000 -7.34e+04 7.34e+04
sigma2 1.6870 9.04e+04 1.87e-05 1.000 -1.77e+05 1.77e+05
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.21
Prob(Q): 0.84 Prob(JB): 0.90
Heteroskedasticity (H): 1.38 Skew: 0.28
Prob(H) (two-sided): 0.76 Kurtosis: 2.74
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.4046701023631, Current Price: 167.18
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.072
Date: Wed, 09 Oct 2024 AIC 64.143
Time: 14:39:53 BIC 66.968
Sample: 0 HQIC 63.563
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4283 1.484 -0.289 0.773 -3.338 2.481
ma.L1 0.3160 1.437 0.220 0.826 -2.501 3.133
ar.S.L7 -0.4541 0.348 -1.304 0.192 -1.137 0.229
ma.S.L7 -0.9999 7878.032 -0.000 1.000 -1.54e+04 1.54e+04
sigma2 2.2645 1.78e+04 0.000 1.000 -3.5e+04 3.5e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.15
Prob(Q): 1.00 Prob(JB): 0.93
Heteroskedasticity (H): 1.15 Skew: 0.15
Prob(H) (two-sided): 0.89 Kurtosis: 2.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.1018583560146, Current Price: 169.7
SELL EXECUTED at 169.7
SELL ORDER COMPLETED at 169.26
OPERATION PROFIT, GROSS 2.299999999999983, NET 1.963779999999983
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.458
Date: Wed, 09 Oct 2024 AIC 62.916
Time: 14:39:53 BIC 65.741
Sample: 0 HQIC 62.336
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4478 0.106 4.207 0.000 0.239 0.656
ma.L1 -1.0000 1.02e+04 -9.8e-05 1.000 -2e+04 2e+04
ar.S.L7 -0.8517 0.287 -2.963 0.003 -1.415 -0.288
ma.S.L7 -0.2623 1.634 -0.161 0.872 -3.465 2.941
sigma2 2.8269 2.89e+04 9.8e-05 1.000 -5.66e+04 5.66e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 1.12
Prob(Q): 0.85 Prob(JB): 0.57
Heteroskedasticity (H): 0.55 Skew: -0.70
Prob(H) (two-sided): 0.57 Kurtosis: 2.68
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.86812943637165, Current Price: 168.5
BUY EXECUTED at 168.5
BUY ORDER COMPLETED at 170.01
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.523
Date: Wed, 09 Oct 2024 AIC 61.046
Time: 14:39:53 BIC 63.870
Sample: 0 HQIC 60.465
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3358 0.840 0.400 0.689 -1.310 1.982
ma.L1 -1.1500 2.050 -0.561 0.575 -5.169 2.869
ar.S.L7 -0.8113 0.290 -2.794 0.005 -1.380 -0.242
ma.S.L7 -1.0002 3042.907 -0.000 1.000 -5964.988 5962.988
sigma2 1.2766 3885.438 0.000 1.000 -7614.041 7616.595
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.88
Prob(Q): 0.79 Prob(JB): 0.65
Heteroskedasticity (H): 0.82 Skew: -0.53
Prob(H) (two-sided): 0.85 Kurtosis: 2.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.89520125092952, Current Price: 168.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.439
Date: Wed, 09 Oct 2024 AIC 62.877
Time: 14:39:53 BIC 65.702
Sample: 0 HQIC 62.297
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0370 2.466 0.015 0.988 -4.797 4.871
ma.L1 -0.3611 2.243 -0.161 0.872 -4.757 4.035
ar.S.L7 -0.6781 0.329 -2.059 0.039 -1.323 -0.033
ma.S.L7 -1.0001 1.27e+04 -7.88e-05 1.000 -2.49e+04 2.49e+04
sigma2 2.0592 2.61e+04 7.88e-05 1.000 -5.12e+04 5.12e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.38
Prob(Q): 0.91 Prob(JB): 0.83
Heteroskedasticity (H): 0.49 Skew: -0.02
Prob(H) (two-sided): 0.51 Kurtosis: 2.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.02858649785716, Current Price: 167.14
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.688
Date: Wed, 09 Oct 2024 AIC 55.376
Time: 14:39:53 BIC 58.200
Sample: 0 HQIC 54.795
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2931 0.899 0.326 0.744 -1.469 2.055
ma.L1 -0.6412 0.597 -1.074 0.283 -1.811 0.529
ar.S.L7 -1.4590 0.513 -2.842 0.004 -2.465 -0.453
ma.S.L7 0.2011 0.372 0.541 0.588 -0.527 0.929
sigma2 1.8901 1.064 1.777 0.076 -0.195 3.975
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.29
Prob(Q): 0.76 Prob(JB): 0.86
Heteroskedasticity (H): 1.31 Skew: 0.37
Prob(H) (two-sided): 0.80 Kurtosis: 3.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.13080733316582, Current Price: 167.51
SELL EXECUTED at 167.51
SELL ORDER COMPLETED at 167.65
OPERATION PROFIT, GROSS -2.359999999999985, NET -2.6976599999999853
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.611
Date: Wed, 09 Oct 2024 AIC 55.222
Time: 14:39:53 BIC 58.046
Sample: 0 HQIC 54.641
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3210 2.252 -0.143 0.887 -4.736 4.094
ma.L1 0.2786 2.268 0.123 0.902 -4.167 4.724
ar.S.L7 -0.7708 0.428 -1.800 0.072 -1.610 0.068
ma.S.L7 -0.4371 0.737 -0.593 0.553 -1.882 1.007
sigma2 1.7460 1.165 1.499 0.134 -0.538 4.030
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.74
Prob(Q): 0.97 Prob(JB): 0.69
Heteroskedasticity (H): 2.55 Skew: 0.46
Prob(H) (two-sided): 0.39 Kurtosis: 2.28
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.95674912240762, Current Price: 167.12
BUY EXECUTED at 167.12
BUY ORDER COMPLETED at 168.63
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.864
Date: Wed, 09 Oct 2024 AIC 59.727
Time: 14:39:53 BIC 62.552
Sample: 0 HQIC 59.147
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2901 1.648 -0.176 0.860 -3.520 2.940
ma.L1 0.1186 1.659 0.071 0.943 -3.133 3.370
ar.S.L7 -0.4512 1.026 -0.440 0.660 -2.463 1.560
ma.S.L7 -0.5098 2.853 -0.179 0.858 -6.101 5.082
sigma2 2.3862 4.690 0.509 0.611 -6.805 11.578
===================================================================================
Ljung-Box (L1) (Q): 0.40 Jarque-Bera (JB): 0.80
Prob(Q): 0.53 Prob(JB): 0.67
Heteroskedasticity (H): 6.80 Skew: -0.11
Prob(H) (two-sided): 0.09 Kurtosis: 1.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.42135524306525, Current Price: 168.108
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.897
Date: Wed, 09 Oct 2024 AIC 53.793
Time: 14:39:53 BIC 56.618
Sample: 0 HQIC 53.212
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5114 1.503 0.340 0.734 -2.435 3.458
ma.L1 -0.4913 1.671 -0.294 0.769 -3.767 2.785
ar.S.L7 -0.7887 0.137 -5.737 0.000 -1.058 -0.519
ma.S.L7 1.0000 6.64e+04 1.51e-05 1.000 -1.3e+05 1.3e+05
sigma2 0.9908 6.58e+04 1.51e-05 1.000 -1.29e+05 1.29e+05
===================================================================================
Ljung-Box (L1) (Q): 2.27 Jarque-Bera (JB): 0.27
Prob(Q): 0.13 Prob(JB): 0.88
Heteroskedasticity (H): 2.66 Skew: -0.35
Prob(H) (two-sided): 0.37 Kurtosis: 2.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.39597924009996, Current Price: 168.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.127
Date: Wed, 09 Oct 2024 AIC 56.254
Time: 14:39:53 BIC 59.079
Sample: 0 HQIC 55.674
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3158 2.980 -0.106 0.916 -6.157 5.525
ma.L1 0.0971 3.298 0.029 0.977 -6.366 6.560
ar.S.L7 -0.8344 0.186 -4.477 0.000 -1.200 -0.469
ma.S.L7 1.0001 1.06e+04 9.46e-05 1.000 -2.07e+04 2.07e+04
sigma2 1.2386 1.31e+04 9.46e-05 1.000 -2.57e+04 2.57e+04
===================================================================================
Ljung-Box (L1) (Q): 3.24 Jarque-Bera (JB): 0.80
Prob(Q): 0.07 Prob(JB): 0.67
Heteroskedasticity (H): 0.88 Skew: 0.10
Prob(H) (two-sided): 0.91 Kurtosis: 1.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.12645137855353, Current Price: 167.35
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.656
Date: Wed, 09 Oct 2024 AIC 57.313
Time: 14:39:53 BIC 60.138
Sample: 0 HQIC 56.732
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3621 1.710 -0.212 0.832 -3.714 2.990
ma.L1 0.1029 1.919 0.054 0.957 -3.658 3.864
ar.S.L7 -0.8345 0.142 -5.875 0.000 -1.113 -0.556
ma.S.L7 1.0000 7.17e+05 1.4e-06 1.000 -1.4e+06 1.4e+06
sigma2 1.3420 9.62e+05 1.4e-06 1.000 -1.89e+06 1.89e+06
===================================================================================
Ljung-Box (L1) (Q): 3.34 Jarque-Bera (JB): 1.23
Prob(Q): 0.07 Prob(JB): 0.54
Heteroskedasticity (H): 0.70 Skew: 0.00
Prob(H) (two-sided): 0.74 Kurtosis: 1.49
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.36698523214432, Current Price: 171.02
SELL EXECUTED at 171.02
SELL ORDER COMPLETED at 170.4
OPERATION PROFIT, GROSS 1.7700000000000102, NET 1.4309700000000103
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.134
Date: Wed, 09 Oct 2024 AIC 62.267
Time: 14:39:53 BIC 65.092
Sample: 0 HQIC 61.687
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8591 0.378 2.274 0.023 0.118 1.600
ma.L1 -1.0000 1.94e+04 -5.16e-05 1.000 -3.8e+04 3.8e+04
ar.S.L7 -0.7859 0.153 -5.124 0.000 -1.087 -0.485
ma.S.L7 0.1466 0.492 0.298 0.766 -0.818 1.111
sigma2 2.8015 5.43e+04 5.16e-05 1.000 -1.06e+05 1.06e+05
===================================================================================
Ljung-Box (L1) (Q): 1.14 Jarque-Bera (JB): 0.59
Prob(Q): 0.29 Prob(JB): 0.74
Heteroskedasticity (H): 0.91 Skew: 0.13
Prob(H) (two-sided): 0.93 Kurtosis: 1.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.68739571291272, Current Price: 172.94
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.400
Date: Wed, 09 Oct 2024 AIC 62.800
Time: 14:39:53 BIC 65.624
Sample: 0 HQIC 62.219
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7911 0.430 1.839 0.066 -0.052 1.634
ma.L1 -1.0000 9014.372 -0.000 1.000 -1.77e+04 1.77e+04
ar.S.L7 -0.7557 0.192 -3.926 0.000 -1.133 -0.378
ma.S.L7 -0.0167 0.535 -0.031 0.975 -1.065 1.032
sigma2 2.9072 2.62e+04 0.000 1.000 -5.14e+04 5.14e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.65
Prob(Q): 0.86 Prob(JB): 0.72
Heteroskedasticity (H): 1.10 Skew: 0.08
Prob(H) (two-sided): 0.93 Kurtosis: 1.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.80982117164478, Current Price: 173.02
BUY EXECUTED at 173.02
BUY ORDER COMPLETED at 172.63
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.555
Date: Wed, 09 Oct 2024 AIC 53.110
Time: 14:39:53 BIC 55.935
Sample: 0 HQIC 52.530
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5077 0.114 -4.438 0.000 -0.732 -0.283
ma.L1 1.0000 1.72e+04 5.81e-05 1.000 -3.37e+04 3.37e+04
ar.S.L7 -0.1777 0.193 -0.919 0.358 -0.557 0.201
ma.S.L7 -0.4313 1.166 -0.370 0.711 -2.716 1.853
sigma2 1.3364 2.3e+04 5.81e-05 1.000 -4.51e+04 4.51e+04
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 0.38
Prob(Q): 0.65 Prob(JB): 0.83
Heteroskedasticity (H): 3.60 Skew: 0.24
Prob(H) (two-sided): 0.24 Kurtosis: 2.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.46364506500555, Current Price: 172.231
SELL EXECUTED at 172.231
SELL ORDER COMPLETED at 172.14
OPERATION PROFIT, GROSS -0.4900000000000091, NET -0.8347700000000091
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.510
Date: Wed, 09 Oct 2024 AIC 53.021
Time: 14:39:53 BIC 55.846
Sample: 0 HQIC 52.440
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5373 0.160 -3.349 0.001 -0.852 -0.223
ma.L1 1.0000 3134.322 0.000 1.000 -6142.158 6144.158
ar.S.L7 -0.1176 0.186 -0.633 0.527 -0.482 0.247
ma.S.L7 -1.0003 2058.190 -0.000 1.000 -4034.979 4032.979
sigma2 0.8684 3820.471 0.000 1.000 -7487.117 7488.854
===================================================================================
Ljung-Box (L1) (Q): 0.41 Jarque-Bera (JB): 0.69
Prob(Q): 0.52 Prob(JB): 0.71
Heteroskedasticity (H): 3.70 Skew: 0.41
Prob(H) (two-sided): 0.23 Kurtosis: 2.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.54923833478063, Current Price: 171.7
BUY EXECUTED at 171.7
BUY ORDER COMPLETED at 172.84
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.677
Date: Wed, 09 Oct 2024 AIC 51.355
Time: 14:39:53 BIC 54.179
Sample: 0 HQIC 50.774
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5364 0.701 0.765 0.444 -0.837 1.910
ma.L1 -0.4934 0.796 -0.620 0.535 -2.053 1.066
ar.S.L7 -0.5574 0.165 -3.378 0.001 -0.881 -0.234
ma.S.L7 -1.0000 2.18e+04 -4.58e-05 1.000 -4.28e+04 4.28e+04
sigma2 0.8214 1.79e+04 4.58e-05 1.000 -3.52e+04 3.52e+04
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 1.30
Prob(Q): 0.68 Prob(JB): 0.52
Heteroskedasticity (H): 0.88 Skew: 0.77
Prob(H) (two-sided): 0.91 Kurtosis: 2.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.9376035531679, Current Price: 173.49
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.764
Date: Wed, 09 Oct 2024 AIC 51.528
Time: 14:39:53 BIC 54.353
Sample: 0 HQIC 50.947
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2201 1.518 -0.145 0.885 -3.195 2.755
ma.L1 0.3884 1.409 0.276 0.783 -2.373 3.150
ar.S.L7 -0.4941 0.229 -2.155 0.031 -0.944 -0.045
ma.S.L7 -1.0000 2.55e+04 -3.93e-05 1.000 -4.99e+04 4.99e+04
sigma2 0.8604 2.19e+04 3.93e-05 1.000 -4.29e+04 4.29e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.61
Prob(Q): 0.85 Prob(JB): 0.74
Heteroskedasticity (H): 0.54 Skew: 0.43
Prob(H) (two-sided): 0.56 Kurtosis: 2.38
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 172.42763607740446, Current Price: 164.286
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.080
Date: Wed, 09 Oct 2024 AIC 72.161
Time: 14:39:53 BIC 74.985
Sample: 0 HQIC 71.580
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5317 1.369 0.388 0.698 -2.152 3.215
ma.L1 -0.3125 2.071 -0.151 0.880 -4.372 3.748
ar.S.L7 -0.5956 0.607 -0.982 0.326 -1.785 0.593
ma.S.L7 -0.4076 2.135 -0.191 0.849 -4.592 3.777
sigma2 6.4318 4.616 1.393 0.164 -2.615 15.479
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 12.65
Prob(Q): 0.94 Prob(JB): 0.00
Heteroskedasticity (H): 12.63 Skew: -1.77
Prob(H) (two-sided): 0.03 Kurtosis: 6.28
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.5862036037833, Current Price: 166.61
SELL EXECUTED at 166.61
SELL ORDER COMPLETED at 166.23
OPERATION PROFIT, GROSS -6.610000000000014, NET -6.949070000000013
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.743
Date: Wed, 09 Oct 2024 AIC 71.486
Time: 14:39:53 BIC 74.310
Sample: 0 HQIC 70.905
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4465 0.624 0.716 0.474 -0.776 1.669
ma.L1 -1.0000 6.89e+04 -1.45e-05 1.000 -1.35e+05 1.35e+05
ar.S.L7 -0.5507 0.794 -0.694 0.488 -2.107 1.005
ma.S.L7 -0.2460 2.433 -0.101 0.919 -5.014 4.523
sigma2 5.6799 3.91e+05 1.45e-05 1.000 -7.67e+05 7.67e+05
===================================================================================
Ljung-Box (L1) (Q): 0.49 Jarque-Bera (JB): 8.51
Prob(Q): 0.48 Prob(JB): 0.01
Heteroskedasticity (H): 7.70 Skew: -1.56
Prob(H) (two-sided): 0.07 Kurtosis: 5.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.6291997925385, Current Price: 166.34
BUY EXECUTED at 166.34
BUY ORDER COMPLETED at 165.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.913
Date: Wed, 09 Oct 2024 AIC 71.827
Time: 14:39:53 BIC 74.652
Sample: 0 HQIC 71.246
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5539 0.770 0.719 0.472 -0.955 2.063
ma.L1 -1.0000 2.71e+04 -3.7e-05 1.000 -5.3e+04 5.3e+04
ar.S.L7 -0.7325 0.426 -1.720 0.085 -1.567 0.102
ma.S.L7 -0.1438 1.861 -0.077 0.938 -3.791 3.503
sigma2 5.7385 1.55e+05 3.7e-05 1.000 -3.04e+05 3.04e+05
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 8.78
Prob(Q): 0.81 Prob(JB): 0.01
Heteroskedasticity (H): 7.67 Skew: -1.57
Prob(H) (two-sided): 0.07 Kurtosis: 5.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.9480017781591, Current Price: 165.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.474
Date: Wed, 09 Oct 2024 AIC 70.948
Time: 14:39:53 BIC 73.773
Sample: 0 HQIC 70.367
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4963 0.547 0.907 0.364 -0.576 1.568
ma.L1 -1.0000 1.83e+04 -5.46e-05 1.000 -3.59e+04 3.59e+04
ar.S.L7 -1.1176 1.104 -1.012 0.312 -3.282 1.047
ma.S.L7 -0.0881 0.995 -0.089 0.929 -2.038 1.861
sigma2 5.4284 9.94e+04 5.46e-05 1.000 -1.95e+05 1.95e+05
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 10.30
Prob(Q): 1.00 Prob(JB): 0.01
Heteroskedasticity (H): 8.51 Skew: -1.65
Prob(H) (two-sided): 0.06 Kurtosis: 5.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.11964503959422, Current Price: 162.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.008
Date: Wed, 09 Oct 2024 AIC 72.016
Time: 14:39:53 BIC 74.840
Sample: 0 HQIC 71.435
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4416 0.116 3.804 0.000 0.214 0.669
ma.L1 -1.0000 1.77e+04 -5.65e-05 1.000 -3.47e+04 3.47e+04
ar.S.L7 -1.3014 0.823 -1.581 0.114 -2.914 0.312
ma.S.L7 -4.9333 22.280 -0.221 0.825 -48.602 38.735
sigma2 0.2394 4236.550 5.65e-05 1.000 -8303.247 8303.725
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 6.35
Prob(Q): 0.94 Prob(JB): 0.04
Heteroskedasticity (H): 1.57 Skew: -1.43
Prob(H) (two-sided): 0.67 Kurtosis: 4.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 165.5928470191109, Current Price: 163.63
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.130
Date: Wed, 09 Oct 2024 AIC 72.260
Time: 14:39:53 BIC 75.085
Sample: 0 HQIC 71.680
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3541 4.968 0.071 0.943 -9.383 10.092
ma.L1 -0.5149 4.736 -0.109 0.913 -9.797 8.768
ar.S.L7 -0.8076 1.159 -0.697 0.486 -3.079 1.464
ma.S.L7 -0.0977 1.879 -0.052 0.959 -3.781 3.586
sigma2 7.0106 3.904 1.796 0.073 -0.641 14.662
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 11.31
Prob(Q): 0.98 Prob(JB): 0.00
Heteroskedasticity (H): 0.64 Skew: -1.71
Prob(H) (two-sided): 0.67 Kurtosis: 6.02
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.14739225569963, Current Price: 165.28
SELL EXECUTED at 165.28
SELL ORDER COMPLETED at 163.64
OPERATION PROFIT, GROSS -2.130000000000024, NET -2.459410000000024
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.214
Date: Wed, 09 Oct 2024 AIC 72.429
Time: 14:39:53 BIC 75.254
Sample: 0 HQIC 71.848
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3647 2.902 0.126 0.900 -5.322 6.052
ma.L1 -0.5418 2.679 -0.202 0.840 -5.793 4.710
ar.S.L7 -0.7841 0.901 -0.870 0.384 -2.550 0.982
ma.S.L7 -0.1351 1.648 -0.082 0.935 -3.365 3.095
sigma2 7.0781 3.335 2.122 0.034 0.542 13.614
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 11.29
Prob(Q): 1.00 Prob(JB): 0.00
Heteroskedasticity (H): 0.54 Skew: -1.73
Prob(H) (two-sided): 0.56 Kurtosis: 5.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.78370286360945, Current Price: 166.3799
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.076
Date: Wed, 09 Oct 2024 AIC 70.153
Time: 14:39:53 BIC 72.978
Sample: 0 HQIC 69.572
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5672 0.852 -0.665 0.506 -2.238 1.104
ma.L1 0.4095 1.328 0.308 0.758 -2.193 3.012
ar.S.L7 -0.6213 0.954 -0.652 0.515 -2.491 1.248
ma.S.L7 -1.0001 2.61e+04 -3.83e-05 1.000 -5.12e+04 5.12e+04
sigma2 3.4585 9.03e+04 3.83e-05 1.000 -1.77e+05 1.77e+05
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 11.48
Prob(Q): 0.65 Prob(JB): 0.00
Heteroskedasticity (H): 0.78 Skew: -1.77
Prob(H) (two-sided): 0.82 Kurtosis: 5.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.23908561233264, Current Price: 165.07
BUY EXECUTED at 165.07
BUY ORDER COMPLETED at 163.94
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.785
Date: Wed, 09 Oct 2024 AIC 69.570
Time: 14:39:54 BIC 72.394
Sample: 0 HQIC 68.989
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0043 0.267 -3.759 0.000 -1.528 -0.481
ma.L1 1.0000 2.12e+04 4.73e-05 1.000 -4.15e+04 4.15e+04
ar.S.L7 -0.5295 0.556 -0.953 0.341 -1.618 0.559
ma.S.L7 -1.0000 2.28e+04 -4.39e-05 1.000 -4.47e+04 4.47e+04
sigma2 3.0444 1.27e+05 2.4e-05 1.000 -2.48e+05 2.48e+05
===================================================================================
Ljung-Box (L1) (Q): 0.88 Jarque-Bera (JB): 6.78
Prob(Q): 0.35 Prob(JB): 0.03
Heteroskedasticity (H): 3.93 Skew: -1.45
Prob(H) (two-sided): 0.21 Kurtosis: 5.02
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.77233096775598, Current Price: 162.3
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.622
Date: Wed, 09 Oct 2024 AIC 73.243
Time: 14:39:54 BIC 76.068
Sample: 0 HQIC 72.663
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0390 14.754 -0.003 0.998 -28.957 28.879
ma.L1 0.0870 14.602 0.006 0.995 -28.533 28.707
ar.S.L7 -0.6605 0.812 -0.813 0.416 -2.253 0.931
ma.S.L7 -1.0000 2.91e+04 -3.43e-05 1.000 -5.71e+04 5.71e+04
sigma2 4.5716 1.33e+05 3.43e-05 1.000 -2.61e+05 2.61e+05
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 3.25
Prob(Q): 0.62 Prob(JB): 0.20
Heteroskedasticity (H): 0.54 Skew: -1.19
Prob(H) (two-sided): 0.57 Kurtosis: 3.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.9498847697619, Current Price: 159.57
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.597
Date: Wed, 09 Oct 2024 AIC 73.194
Time: 14:39:54 BIC 76.019
Sample: 0 HQIC 72.613
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8871 0.467 -1.901 0.057 -1.802 0.027
ma.L1 1.0000 1.17e+04 8.55e-05 1.000 -2.29e+04 2.29e+04
ar.S.L7 -0.7050 2.398 -0.294 0.769 -5.406 3.996
ma.S.L7 -1.0001 1.37e+04 -7.31e-05 1.000 -2.68e+04 2.68e+04
sigma2 4.0235 8.1e+04 4.97e-05 1.000 -1.59e+05 1.59e+05
===================================================================================
Ljung-Box (L1) (Q): 0.26 Jarque-Bera (JB): 1.50
Prob(Q): 0.61 Prob(JB): 0.47
Heteroskedasticity (H): 1.11 Skew: -0.76
Prob(H) (two-sided): 0.92 Kurtosis: 2.33
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.55096867075747, Current Price: 161.08
SELL EXECUTED at 161.08
SELL ORDER COMPLETED at 160.08
OPERATION PROFIT, GROSS -3.859999999999985, NET -4.184019999999985
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.324
Date: Wed, 09 Oct 2024 AIC 74.647
Time: 14:39:54 BIC 77.472
Sample: 0 HQIC 74.067
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1144 4.728 0.024 0.981 -9.152 9.381
ma.L1 0.0478 4.913 0.010 0.992 -9.582 9.677
ar.S.L7 -0.7598 0.881 -0.862 0.389 -2.487 0.967
ma.S.L7 -1.0000 4.42e+04 -2.26e-05 1.000 -8.67e+04 8.67e+04
sigma2 5.0929 2.25e+05 2.26e-05 1.000 -4.41e+05 4.41e+05
===================================================================================
Ljung-Box (L1) (Q): 0.70 Jarque-Bera (JB): 1.06
Prob(Q): 0.40 Prob(JB): 0.59
Heteroskedasticity (H): 0.67 Skew: -0.70
Prob(H) (two-sided): 0.71 Kurtosis: 3.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.14768810107756, Current Price: 161.3
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.767
Date: Wed, 09 Oct 2024 AIC 73.535
Time: 14:39:54 BIC 76.359
Sample: 0 HQIC 72.954
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8899 0.217 -4.104 0.000 -1.315 -0.465
ma.L1 1.0000 9695.481 0.000 1.000 -1.9e+04 1.9e+04
ar.S.L7 -0.7004 1.076 -0.651 0.515 -2.809 1.408
ma.S.L7 -1.0001 1.03e+04 -9.74e-05 1.000 -2.01e+04 2.01e+04
sigma2 4.1305 6.37e+04 6.48e-05 1.000 -1.25e+05 1.25e+05
===================================================================================
Ljung-Box (L1) (Q): 0.42 Jarque-Bera (JB): 1.11
Prob(Q): 0.52 Prob(JB): 0.57
Heteroskedasticity (H): 0.76 Skew: -0.55
Prob(H) (two-sided): 0.79 Kurtosis: 2.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.53088768668547, Current Price: 161.59
BUY EXECUTED at 161.59
BUY ORDER COMPLETED at 160.1976
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.046
Date: Wed, 09 Oct 2024 AIC 66.092
Time: 14:39:54 BIC 68.917
Sample: 0 HQIC 65.512
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1297 1.895 -0.068 0.945 -3.844 3.585
ma.L1 3.6837 25.738 0.143 0.886 -46.762 54.130
ar.S.L7 -0.6844 0.452 -1.516 0.130 -1.569 0.201
ma.S.L7 -0.9424 17.627 -0.053 0.957 -35.491 33.606
sigma2 0.2027 5.057 0.040 0.968 -9.709 10.115
===================================================================================
Ljung-Box (L1) (Q): 0.96 Jarque-Bera (JB): 0.68
Prob(Q): 0.33 Prob(JB): 0.71
Heteroskedasticity (H): 1.11 Skew: -0.27
Prob(H) (two-sided): 0.92 Kurtosis: 2.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.30245287336422, Current Price: 160.13
SELL EXECUTED at 160.13
SELL ORDER COMPLETED at 160.63
OPERATION PROFIT, GROSS 0.43240000000000123, NET 0.11157240000000124
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.062
Date: Wed, 09 Oct 2024 AIC 70.124
Time: 14:39:54 BIC 72.949
Sample: 0 HQIC 69.544
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1079 2.239 0.048 0.962 -4.281 4.497
ma.L1 0.0627 2.285 0.027 0.978 -4.417 4.542
ar.S.L7 -0.5594 0.356 -1.572 0.116 -1.257 0.138
ma.S.L7 -1.0001 1.39e+04 -7.2e-05 1.000 -2.72e+04 2.72e+04
sigma2 3.5963 4.99e+04 7.2e-05 1.000 -9.78e+04 9.79e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.42
Prob(Q): 0.96 Prob(JB): 0.81
Heteroskedasticity (H): 5.31 Skew: 0.43
Prob(H) (two-sided): 0.13 Kurtosis: 2.78
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.16917073072597, Current Price: 160.21
BUY EXECUTED at 160.21
BUY ORDER COMPLETED at 158.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.230
Date: Wed, 09 Oct 2024 AIC 72.459
Time: 14:39:54 BIC 75.284
Sample: 0 HQIC 71.879
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7891 0.748 -1.054 0.292 -2.256 0.678
ma.L1 1.0000 4.1e+04 2.44e-05 1.000 -8.04e+04 8.04e+04
ar.S.L7 -0.5807 0.162 -3.578 0.000 -0.899 -0.263
ma.S.L7 0.3140 0.760 0.413 0.679 -1.175 1.803
sigma2 5.7097 2.34e+05 2.44e-05 1.000 -4.59e+05 4.59e+05
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.47
Prob(Q): 0.98 Prob(JB): 0.79
Heteroskedasticity (H): 0.97 Skew: 0.36
Prob(H) (two-sided): 0.98 Kurtosis: 2.42
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 157.46604023373357, Current Price: 159.57
SELL EXECUTED at 159.57
SELL ORDER COMPLETED at 160.88
OPERATION PROFIT, GROSS 2.680000000000007, NET 2.360920000000007
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.453
Date: Wed, 09 Oct 2024 AIC 72.906
Time: 14:39:54 BIC 75.731
Sample: 0 HQIC 72.325
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3178 7.547 -0.042 0.966 -15.110 14.474
ma.L1 0.3655 7.432 0.049 0.961 -14.202 14.933
ar.S.L7 -0.6233 0.214 -2.919 0.004 -1.042 -0.205
ma.S.L7 0.3152 0.605 0.521 0.603 -0.871 1.502
sigma2 7.0976 5.244 1.354 0.176 -3.180 17.375
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.47
Prob(Q): 0.78 Prob(JB): 0.79
Heteroskedasticity (H): 0.42 Skew: 0.07
Prob(H) (two-sided): 0.43 Kurtosis: 2.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 157.5033296355474, Current Price: 161.5329
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.434
Date: Wed, 09 Oct 2024 AIC 72.869
Time: 14:39:54 BIC 75.693
Sample: 0 HQIC 72.288
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6109 0.661 -0.924 0.356 -1.907 0.685
ma.L1 1.0000 8.03e+04 1.25e-05 1.000 -1.57e+05 1.57e+05
ar.S.L7 -0.6755 0.155 -4.348 0.000 -0.980 -0.371
ma.S.L7 0.6501 1.946 0.334 0.738 -3.165 4.465
sigma2 4.8814 3.92e+05 1.25e-05 1.000 -7.68e+05 7.68e+05
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.57
Prob(Q): 0.84 Prob(JB): 0.75
Heteroskedasticity (H): 0.60 Skew: -0.38
Prob(H) (two-sided): 0.64 Kurtosis: 2.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.2108433305814, Current Price: 164.4
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.656
Date: Wed, 09 Oct 2024 AIC 73.313
Time: 14:39:54 BIC 76.137
Sample: 0 HQIC 72.732
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5494 0.414 -1.326 0.185 -1.362 0.263
ma.L1 1.0000 3.21e+04 3.12e-05 1.000 -6.28e+04 6.28e+04
ar.S.L7 -0.6286 0.207 -3.038 0.002 -1.034 -0.223
ma.S.L7 1.0000 3.09e+04 3.24e-05 1.000 -6.05e+04 6.06e+04
sigma2 3.7061 1.52e+05 2.44e-05 1.000 -2.97e+05 2.97e+05
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.95
Prob(Q): 0.76 Prob(JB): 0.62
Heteroskedasticity (H): 0.68 Skew: -0.46
Prob(H) (two-sided): 0.71 Kurtosis: 2.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 165.7713970096842, Current Price: 163.24
BUY EXECUTED at 163.24
BUY ORDER COMPLETED at 162.71
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.952
Date: Wed, 09 Oct 2024 AIC 73.904
Time: 14:39:54 BIC 76.728
Sample: 0 HQIC 73.323
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2241 1.363 -0.164 0.869 -2.895 2.447
ma.L1 1.8510 4.306 0.430 0.667 -6.588 10.290
ar.S.L7 -0.6428 0.210 -3.056 0.002 -1.055 -0.231
ma.S.L7 0.9999 7472.832 0.000 1.000 -1.46e+04 1.46e+04
sigma2 1.4012 1.05e+04 0.000 1.000 -2.05e+04 2.05e+04
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.65
Prob(Q): 0.80 Prob(JB): 0.72
Heteroskedasticity (H): 0.60 Skew: -0.30
Prob(H) (two-sided): 0.64 Kurtosis: 2.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.3631778423316, Current Price: 161.51
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.144
Date: Wed, 09 Oct 2024 AIC 70.288
Time: 14:39:54 BIC 73.113
Sample: 0 HQIC 69.707
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0484 2.221 -0.022 0.983 -4.402 4.305
ma.L1 -26.5092 1567.433 -0.017 0.987 -3098.621 3045.603
ar.S.L7 -0.1021 0.505 -0.202 0.840 -1.093 0.889
ma.S.L7 -7.4828 37.067 -0.202 0.840 -80.133 65.167
sigma2 0.0002 0.018 0.009 0.993 -0.035 0.035
===================================================================================
Ljung-Box (L1) (Q): 1.74 Jarque-Bera (JB): 1.17
Prob(Q): 0.19 Prob(JB): 0.56
Heteroskedasticity (H): 0.87 Skew: 0.53
Prob(H) (two-sided): 0.90 Kurtosis: 1.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.55382801662108, Current Price: 161.28
SELL EXECUTED at 161.28
SELL ORDER COMPLETED at 161.67
OPERATION PROFIT, GROSS -1.0400000000000205, NET -1.3643800000000206
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.906
Date: Wed, 09 Oct 2024 AIC 67.811
Time: 14:39:54 BIC 70.636
Sample: 0 HQIC 67.231
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5756 0.963 0.598 0.550 -1.312 2.463
ma.L1 -0.7636 1.020 -0.748 0.454 -2.764 1.236
ar.S.L7 -0.0379 0.231 -0.164 0.870 -0.491 0.415
ma.S.L7 -0.2026 0.467 -0.433 0.665 -1.119 0.714
sigma2 4.8901 2.831 1.728 0.084 -0.658 10.438
===================================================================================
Ljung-Box (L1) (Q): 0.67 Jarque-Bera (JB): 1.12
Prob(Q): 0.41 Prob(JB): 0.57
Heteroskedasticity (H): 0.66 Skew: 0.53
Prob(H) (two-sided): 0.70 Kurtosis: 2.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.98885328864995, Current Price: 162.12
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.963
Date: Wed, 09 Oct 2024 AIC 65.926
Time: 14:39:54 BIC 68.751
Sample: 0 HQIC 65.345
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5672 0.507 1.119 0.263 -0.426 1.561
ma.L1 -1.8695 3.781 -0.494 0.621 -9.281 5.542
ar.S.L7 -0.3229 0.387 -0.834 0.404 -1.082 0.436
ma.S.L7 0.4531 1.533 0.296 0.768 -2.551 3.458
sigma2 1.1029 4.547 0.243 0.808 -7.808 10.014
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 0.96
Prob(Q): 0.67 Prob(JB): 0.62
Heteroskedasticity (H): 0.44 Skew: 0.64
Prob(H) (two-sided): 0.45 Kurtosis: 2.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.57298139365844, Current Price: 162.94
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.898
Date: Wed, 09 Oct 2024 AIC 65.796
Time: 14:39:54 BIC 68.621
Sample: 0 HQIC 65.215
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5391 0.499 1.080 0.280 -0.439 1.517
ma.L1 -1.9878 5.220 -0.381 0.703 -12.219 8.243
ar.S.L7 -0.3162 0.416 -0.760 0.447 -1.131 0.499
ma.S.L7 1.0005 4116.962 0.000 1.000 -8068.097 8070.098
sigma2 0.6289 2592.258 0.000 1.000 -5080.103 5081.361
===================================================================================
Ljung-Box (L1) (Q): 0.95 Jarque-Bera (JB): 0.85
Prob(Q): 0.33 Prob(JB): 0.65
Heteroskedasticity (H): 0.36 Skew: 0.61
Prob(H) (two-sided): 0.34 Kurtosis: 2.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.46461808828462, Current Price: 159.89
BUY EXECUTED at 159.89
BUY ORDER COMPLETED at 157.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.819
Date: Wed, 09 Oct 2024 AIC 65.639
Time: 14:39:54 BIC 68.463
Sample: 0 HQIC 65.058
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7812 0.734 1.064 0.287 -0.657 2.220
ma.L1 -1.0000 4960.080 -0.000 1.000 -9722.578 9720.578
ar.S.L7 -0.2968 0.693 -0.428 0.669 -1.655 1.062
ma.S.L7 -0.1339 0.806 -0.166 0.868 -1.713 1.445
sigma2 3.5552 1.76e+04 0.000 1.000 -3.46e+04 3.46e+04
===================================================================================
Ljung-Box (L1) (Q): 0.54 Jarque-Bera (JB): 0.50
Prob(Q): 0.46 Prob(JB): 0.78
Heteroskedasticity (H): 6.75 Skew: 0.12
Prob(H) (two-sided): 0.09 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.93751155101523, Current Price: 157.21
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.534
Date: Wed, 09 Oct 2024 AIC 69.069
Time: 14:39:54 BIC 71.894
Sample: 0 HQIC 68.488
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5545 0.265 2.092 0.036 0.035 1.074
ma.L1 -1.0000 3697.454 -0.000 1.000 -7247.877 7245.877
ar.S.L7 -0.3296 0.795 -0.415 0.678 -1.888 1.228
ma.S.L7 -1.0001 7260.791 -0.000 1.000 -1.42e+04 1.42e+04
sigma2 2.7260 2.37e+04 0.000 1.000 -4.65e+04 4.65e+04
===================================================================================
Ljung-Box (L1) (Q): 1.21 Jarque-Bera (JB): 0.65
Prob(Q): 0.27 Prob(JB): 0.72
Heteroskedasticity (H): 5.03 Skew: 0.43
Prob(H) (two-sided): 0.15 Kurtosis: 2.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 158.53478506046622, Current Price: 158.31
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.949
Date: Wed, 09 Oct 2024 AIC 67.899
Time: 14:39:54 BIC 70.724
Sample: 0 HQIC 67.318
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4512 0.921 0.490 0.624 -1.354 2.256
ma.L1 -1.6825 2.089 -0.805 0.421 -5.776 2.411
ar.S.L7 -0.3625 0.403 -0.899 0.369 -1.153 0.428
ma.S.L7 -1.0001 8280.384 -0.000 1.000 -1.62e+04 1.62e+04
sigma2 1.0641 8812.138 0.000 1.000 -1.73e+04 1.73e+04
===================================================================================
Ljung-Box (L1) (Q): 1.22 Jarque-Bera (JB): 0.40
Prob(Q): 0.27 Prob(JB): 0.82
Heteroskedasticity (H): 1.43 Skew: -0.29
Prob(H) (two-sided): 0.74 Kurtosis: 2.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.5648169369768, Current Price: 159.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.805
Date: Wed, 09 Oct 2024 AIC 67.609
Time: 14:39:54 BIC 70.434
Sample: 0 HQIC 67.029
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6602 0.721 0.915 0.360 -0.754 2.074
ma.L1 -1.0000 2.68e+04 -3.73e-05 1.000 -5.26e+04 5.26e+04
ar.S.L7 -0.5205 0.345 -1.511 0.131 -1.196 0.155
ma.S.L7 -0.5707 1.061 -0.538 0.591 -2.650 1.509
sigma2 3.4492 9.26e+04 3.73e-05 1.000 -1.81e+05 1.81e+05
===================================================================================
Ljung-Box (L1) (Q): 0.82 Jarque-Bera (JB): 0.20
Prob(Q): 0.37 Prob(JB): 0.91
Heteroskedasticity (H): 0.37 Skew: -0.05
Prob(H) (two-sided): 0.35 Kurtosis: 2.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 158.31295609734187, Current Price: 161.1
SELL EXECUTED at 161.1
SELL ORDER COMPLETED at 161.2
OPERATION PROFIT, GROSS 3.5, NET 3.1811
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.485
Date: Wed, 09 Oct 2024 AIC 62.970
Time: 14:39:54 BIC 65.795
Sample: 0 HQIC 62.390
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0748 0.690 -0.109 0.914 -1.426 1.277
ma.L1 1.0000 1626.660 0.001 1.000 -3187.195 3189.195
ar.S.L7 -0.4151 0.114 -3.630 0.000 -0.639 -0.191
ma.S.L7 -1.0009 1023.271 -0.001 0.999 -2006.575 2004.573
sigma2 1.9458 3484.344 0.001 1.000 -6827.243 6831.135
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.94
Prob(Q): 0.76 Prob(JB): 0.63
Heteroskedasticity (H): 1.02 Skew: -0.66
Prob(H) (two-sided): 0.98 Kurtosis: 3.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.4826603678259, Current Price: 161.065
BUY EXECUTED at 161.065
BUY ORDER COMPLETED at 160.74
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.360
Date: Wed, 09 Oct 2024 AIC 64.720
Time: 14:39:54 BIC 67.545
Sample: 0 HQIC 64.139
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5483 0.438 1.251 0.211 -0.311 1.407
ma.L1 -1.0000 1.26e+04 -7.92e-05 1.000 -2.48e+04 2.48e+04
ar.S.L7 -0.5401 0.424 -1.272 0.203 -1.372 0.292
ma.S.L7 -1.0000 4.52e+04 -2.21e-05 1.000 -8.85e+04 8.85e+04
sigma2 1.9090 8.36e+04 2.28e-05 1.000 -1.64e+05 1.64e+05
===================================================================================
Ljung-Box (L1) (Q): 1.10 Jarque-Bera (JB): 0.36
Prob(Q): 0.30 Prob(JB): 0.84
Heteroskedasticity (H): 0.20 Skew: 0.18
Prob(H) (two-sided): 0.15 Kurtosis: 2.27
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.0996851633142, Current Price: 162.7
SELL EXECUTED at 162.7
SELL ORDER COMPLETED at 162.4509
OPERATION PROFIT, GROSS 1.710899999999981, NET 1.387709099999981
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.841
Date: Wed, 09 Oct 2024 AIC 65.681
Time: 14:39:54 BIC 68.506
Sample: 0 HQIC 65.101
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1431 1.065 -0.134 0.893 -2.231 1.945
ma.L1 0.4932 0.994 0.496 0.620 -1.456 2.442
ar.S.L7 -0.3651 0.442 -0.826 0.409 -1.231 0.501
ma.S.L7 -0.4213 0.768 -0.548 0.583 -1.927 1.085
sigma2 3.9264 3.243 1.211 0.226 -2.430 10.282
===================================================================================
Ljung-Box (L1) (Q): 0.29 Jarque-Bera (JB): 1.19
Prob(Q): 0.59 Prob(JB): 0.55
Heteroskedasticity (H): 1.63 Skew: -0.27
Prob(H) (two-sided): 0.65 Kurtosis: 1.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.33458984964355, Current Price: 160.85
BUY EXECUTED at 160.85
BUY ORDER COMPLETED at 160.51
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.667
Date: Wed, 09 Oct 2024 AIC 59.335
Time: 14:39:54 BIC 62.160
Sample: 0 HQIC 58.754
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3410 0.623 0.547 0.584 -0.881 1.563
ma.L1 -1.0000 3249.010 -0.000 1.000 -6368.943 6366.943
ar.S.L7 -0.5190 0.336 -1.544 0.123 -1.178 0.140
ma.S.L7 -1.0001 1.43e+04 -6.99e-05 1.000 -2.8e+04 2.8e+04
sigma2 1.3493 1.92e+04 7.03e-05 1.000 -3.76e+04 3.76e+04
===================================================================================
Ljung-Box (L1) (Q): 0.94 Jarque-Bera (JB): 0.06
Prob(Q): 0.33 Prob(JB): 0.97
Heteroskedasticity (H): 5.74 Skew: 0.16
Prob(H) (two-sided): 0.12 Kurtosis: 3.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.41361468445297, Current Price: 160.46
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.533
Date: Wed, 09 Oct 2024 AIC 65.066
Time: 14:39:54 BIC 67.890
Sample: 0 HQIC 64.485
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1973 1.779 -0.111 0.912 -3.685 3.290
ma.L1 0.4696 1.762 0.266 0.790 -2.984 3.924
ar.S.L7 -0.4304 0.419 -1.027 0.305 -1.252 0.391
ma.S.L7 -0.3257 1.097 -0.297 0.766 -2.475 1.823
sigma2 3.8710 3.365 1.150 0.250 -2.724 10.466
===================================================================================
Ljung-Box (L1) (Q): 0.30 Jarque-Bera (JB): 1.09
Prob(Q): 0.59 Prob(JB): 0.58
Heteroskedasticity (H): 1.67 Skew: -0.24
Prob(H) (two-sided): 0.63 Kurtosis: 1.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.22393060386995, Current Price: 160.27
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.630
Date: Wed, 09 Oct 2024 AIC 65.260
Time: 14:39:54 BIC 68.085
Sample: 0 HQIC 64.680
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1673 1.737 -0.096 0.923 -3.571 3.236
ma.L1 0.3717 1.753 0.212 0.832 -3.064 3.808
ar.S.L7 -0.5621 0.313 -1.796 0.072 -1.175 0.051
ma.S.L7 0.1520 0.716 0.212 0.832 -1.251 1.555
sigma2 4.0705 3.275 1.243 0.214 -2.349 10.490
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 1.13
Prob(Q): 0.84 Prob(JB): 0.57
Heteroskedasticity (H): 0.35 Skew: -0.64
Prob(H) (two-sided): 0.33 Kurtosis: 2.35
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.97218855887672, Current Price: 159.31
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.591
Date: Wed, 09 Oct 2024 AIC 65.182
Time: 14:39:54 BIC 68.006
Sample: 0 HQIC 64.601
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1863 1.675 -0.111 0.911 -3.470 3.097
ma.L1 0.3873 1.732 0.224 0.823 -3.007 3.782
ar.S.L7 -0.5912 0.334 -1.772 0.076 -1.245 0.063
ma.S.L7 0.2107 0.875 0.241 0.810 -1.503 1.925
sigma2 4.0108 3.900 1.028 0.304 -3.633 11.655
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.97
Prob(Q): 0.90 Prob(JB): 0.62
Heteroskedasticity (H): 0.12 Skew: -0.54
Prob(H) (two-sided): 0.06 Kurtosis: 2.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.3355841727425, Current Price: 159.43
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.123
Date: Wed, 09 Oct 2024 AIC 64.246
Time: 14:39:55 BIC 67.071
Sample: 0 HQIC 63.665
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2038 3.018 -0.068 0.946 -6.119 5.711
ma.L1 0.3420 2.966 0.115 0.908 -5.472 6.156
ar.S.L7 -0.6499 0.360 -1.807 0.071 -1.355 0.055
ma.S.L7 0.3413 0.788 0.433 0.665 -1.202 1.885
sigma2 3.6177 2.864 1.263 0.206 -1.995 9.230
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 0.35
Prob(Q): 0.62 Prob(JB): 0.84
Heteroskedasticity (H): 0.07 Skew: -0.25
Prob(H) (two-sided): 0.03 Kurtosis: 2.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.5065661797936, Current Price: 159.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.986
Date: Wed, 09 Oct 2024 AIC 59.972
Time: 14:39:55 BIC 62.797
Sample: 0 HQIC 59.392
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8393 0.796 -1.055 0.291 -2.399 0.720
ma.L1 1.0000 5.04e+04 1.98e-05 1.000 -9.87e+04 9.88e+04
ar.S.L7 -0.7983 0.389 -2.051 0.040 -1.561 -0.035
ma.S.L7 1.0000 1.04e+05 9.59e-06 1.000 -2.04e+05 2.04e+05
sigma2 1.3247 1.43e+05 9.29e-06 1.000 -2.79e+05 2.79e+05
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.92
Prob(Q): 0.84 Prob(JB): 0.63
Heteroskedasticity (H): 0.13 Skew: -0.46
Prob(H) (two-sided): 0.07 Kurtosis: 3.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.2992798818182, Current Price: 159.07
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.345
Date: Wed, 09 Oct 2024 AIC 58.690
Time: 14:39:55 BIC 61.515
Sample: 0 HQIC 58.109
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0719 0.712 -0.101 0.920 -1.467 1.324
ma.L1 0.5263 0.724 0.727 0.467 -0.893 1.945
ar.S.L7 -0.0026 0.007 -0.377 0.706 -0.016 0.011
ma.S.L7 -1.0000 3.05e+04 -3.28e-05 1.000 -5.98e+04 5.98e+04
sigma2 1.6059 4.9e+04 3.28e-05 1.000 -9.61e+04 9.61e+04
===================================================================================
Ljung-Box (L1) (Q): 2.91 Jarque-Bera (JB): 0.24
Prob(Q): 0.09 Prob(JB): 0.89
Heteroskedasticity (H): 0.07 Skew: 0.06
Prob(H) (two-sided): 0.03 Kurtosis: 2.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 157.46687269993308, Current Price: 159.3
SELL EXECUTED at 159.3
SELL ORDER COMPLETED at 159.48
OPERATION PROFIT, GROSS -1.0300000000000011, NET -1.3499900000000011
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.123
Date: Wed, 09 Oct 2024 AIC 46.246
Time: 14:39:55 BIC 49.071
Sample: 0 HQIC 45.666
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5231 0.397 1.319 0.187 -0.254 1.301
ma.L1 -1.0000 4.09e+04 -2.45e-05 1.000 -8.01e+04 8.01e+04
ar.S.L7 -1.811e-05 0.023 -0.001 0.999 -0.046 0.046
ma.S.L7 -0.8849 1.929 -0.459 0.646 -4.666 2.897
sigma2 0.6639 2.71e+04 2.45e-05 1.000 -5.32e+04 5.32e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.98
Prob(Q): 0.83 Prob(JB): 0.61
Heteroskedasticity (H): 0.86 Skew: 0.64
Prob(H) (two-sided): 0.89 Kurtosis: 2.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.62583031919013, Current Price: 159.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.526
Date: Wed, 09 Oct 2024 AIC 51.053
Time: 14:39:55 BIC 53.877
Sample: 0 HQIC 50.472
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1020 0.901 0.113 0.910 -1.664 1.868
ma.L1 0.2561 0.852 0.301 0.764 -1.414 1.926
ar.S.L7 -0.1059 0.649 -0.163 0.870 -1.378 1.166
ma.S.L7 -1.0005 2401.015 -0.000 1.000 -4706.903 4704.902
sigma2 0.8292 1991.251 0.000 1.000 -3901.951 3903.609
===================================================================================
Ljung-Box (L1) (Q): 2.64 Jarque-Bera (JB): 1.10
Prob(Q): 0.10 Prob(JB): 0.58
Heteroskedasticity (H): 1.54 Skew: 0.68
Prob(H) (two-sided): 0.69 Kurtosis: 2.55
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.47251578364893, Current Price: 161.03
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.161
Date: Wed, 09 Oct 2024 AIC 50.321
Time: 14:39:55 BIC 53.146
Sample: 0 HQIC 49.741
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6200 0.280 2.217 0.027 0.072 1.168
ma.L1 -0.5622 0.472 -1.191 0.234 -1.487 0.363
ar.S.L7 -0.4164 0.202 -2.062 0.039 -0.812 -0.021
ma.S.L7 -1.0001 1.31e+04 -7.64e-05 1.000 -2.57e+04 2.57e+04
sigma2 0.7551 9888.986 7.64e-05 1.000 -1.94e+04 1.94e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.18
Prob(Q): 0.91 Prob(JB): 0.56
Heteroskedasticity (H): 1.76 Skew: 0.49
Prob(H) (two-sided): 0.60 Kurtosis: 1.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.3939875041028, Current Price: 161.38
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.791
Date: Wed, 09 Oct 2024 AIC 47.582
Time: 14:39:55 BIC 50.407
Sample: 0 HQIC 47.002
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1609 5.324 0.030 0.976 -10.274 10.596
ma.L1 -0.1136 5.282 -0.022 0.983 -10.466 10.239
ar.S.L7 -0.4178 0.237 -1.766 0.077 -0.881 0.046
ma.S.L7 -1.0012 1038.809 -0.001 0.999 -2037.029 2035.027
sigma2 0.6344 659.143 0.001 0.999 -1291.262 1292.531
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.77
Prob(Q): 0.92 Prob(JB): 0.68
Heteroskedasticity (H): 3.16 Skew: 0.47
Prob(H) (two-sided): 0.29 Kurtosis: 2.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.906630242041, Current Price: 161.88
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.557
Date: Wed, 09 Oct 2024 AIC 47.113
Time: 14:39:55 BIC 49.938
Sample: 0 HQIC 46.532
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3867 0.602 0.643 0.520 -0.792 1.566
ma.L1 -0.2158 0.602 -0.359 0.720 -1.395 0.964
ar.S.L7 -0.4255 0.173 -2.464 0.014 -0.764 -0.087
ma.S.L7 -1.0001 1.04e+04 -9.57e-05 1.000 -2.05e+04 2.05e+04
sigma2 0.6100 6373.209 9.57e-05 1.000 -1.25e+04 1.25e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.31
Prob(Q): 0.95 Prob(JB): 0.52
Heteroskedasticity (H): 0.83 Skew: 0.77
Prob(H) (two-sided): 0.86 Kurtosis: 2.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.29490949974812, Current Price: 161.32
BUY EXECUTED at 161.32
BUY ORDER COMPLETED at 160.74
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.344
Date: Wed, 09 Oct 2024 AIC 46.689
Time: 14:39:55 BIC 49.513
Sample: 0 HQIC 46.108
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4172 0.307 -1.361 0.174 -1.018 0.184
ma.L1 1.7119 1.028 1.665 0.096 -0.303 3.727
ar.S.L7 -0.5231 0.249 -2.097 0.036 -1.012 -0.034
ma.S.L7 -1.0001 1.87e+04 -5.34e-05 1.000 -3.67e+04 3.67e+04
sigma2 0.1986 3721.358 5.34e-05 1.000 -7293.530 7293.927
===================================================================================
Ljung-Box (L1) (Q): 1.11 Jarque-Bera (JB): 2.84
Prob(Q): 0.29 Prob(JB): 0.24
Heteroskedasticity (H): 0.89 Skew: 1.11
Prob(H) (two-sided): 0.92 Kurtosis: 3.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.525826405819, Current Price: 160.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.772
Date: Wed, 09 Oct 2024 AIC 45.545
Time: 14:39:55 BIC 48.370
Sample: 0 HQIC 44.964
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2634 1.825 0.144 0.885 -3.314 3.840
ma.L1 0.2610 1.972 0.132 0.895 -3.604 4.126
ar.S.L7 -0.7029 0.772 -0.910 0.363 -2.216 0.810
ma.S.L7 -1.0001 1e+04 -9.98e-05 1.000 -1.96e+04 1.96e+04
sigma2 0.5431 5444.945 9.97e-05 1.000 -1.07e+04 1.07e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.13
Prob(Q): 0.92 Prob(JB): 0.57
Heteroskedasticity (H): 8.93 Skew: 0.20
Prob(H) (two-sided): 0.06 Kurtosis: 4.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 157.11909792372342, Current Price: 158.97
SELL EXECUTED at 158.97
SELL ORDER COMPLETED at 158.82
OPERATION PROFIT, GROSS -1.920000000000016, NET -2.239560000000016
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.787
Date: Wed, 09 Oct 2024 AIC 49.574
Time: 14:39:55 BIC 52.399
Sample: 0 HQIC 48.994
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2895 2.884 0.100 0.920 -5.364 5.943
ma.L1 -0.0181 2.668 -0.007 0.995 -5.248 5.212
ar.S.L7 -0.4533 0.580 -0.782 0.434 -1.590 0.683
ma.S.L7 -0.1879 0.984 -0.191 0.849 -2.117 1.741
sigma2 1.2121 0.790 1.535 0.125 -0.336 2.760
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 5.25
Prob(Q): 0.95 Prob(JB): 0.07
Heteroskedasticity (H): 3.21 Skew: 1.27
Prob(H) (two-sided): 0.29 Kurtosis: 4.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 158.51765834204622, Current Price: 159.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.151
Date: Wed, 09 Oct 2024 AIC 50.302
Time: 14:39:55 BIC 53.127
Sample: 0 HQIC 49.721
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2906 2.427 0.120 0.905 -4.467 5.048
ma.L1 -0.0167 2.469 -0.007 0.995 -4.857 4.823
ar.S.L7 -0.4273 0.520 -0.822 0.411 -1.446 0.591
ma.S.L7 0.0304 0.622 0.049 0.961 -1.189 1.250
sigma2 1.2994 0.853 1.524 0.128 -0.372 2.971
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 4.74
Prob(Q): 0.95 Prob(JB): 0.09
Heteroskedasticity (H): 0.60 Skew: 1.25
Prob(H) (two-sided): 0.63 Kurtosis: 4.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.34197048587808, Current Price: 159.08
BUY EXECUTED at 159.08
BUY ORDER COMPLETED at 156.61
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.065
Date: Wed, 09 Oct 2024 AIC 50.130
Time: 14:39:55 BIC 52.955
Sample: 0 HQIC 49.549
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2409 1.418 -0.170 0.865 -3.019 2.538
ma.L1 1.0001 2600.363 0.000 1.000 -5095.618 5097.618
ar.S.L7 -0.8483 0.190 -4.461 0.000 -1.221 -0.476
ma.S.L7 1.0000 3.36e+04 2.97e-05 1.000 -6.59e+04 6.59e+04
sigma2 0.6581 2.17e+04 3.03e-05 1.000 -4.26e+04 4.26e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 19.36
Prob(Q): 0.97 Prob(JB): 0.00
Heteroskedasticity (H): 0.25 Skew: 2.12
Prob(H) (two-sided): 0.20 Kurtosis: 7.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 157.6612798620601, Current Price: 156.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.345
Date: Wed, 09 Oct 2024 AIC 52.690
Time: 14:39:55 BIC 55.514
Sample: 0 HQIC 52.109
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1900 1.144 -0.166 0.868 -2.433 2.053
ma.L1 1.0000 1.35e+04 7.42e-05 1.000 -2.64e+04 2.64e+04
ar.S.L7 -0.8311 0.239 -3.471 0.001 -1.300 -0.362
ma.S.L7 1.0001 1.8e+04 5.56e-05 1.000 -3.52e+04 3.52e+04
sigma2 0.7998 1.79e+04 4.46e-05 1.000 -3.51e+04 3.51e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 14.68
Prob(Q): 0.93 Prob(JB): 0.00
Heteroskedasticity (H): 0.37 Skew: 1.87
Prob(H) (two-sided): 0.35 Kurtosis: 6.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 154.47511184959924, Current Price: 154.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.269
Date: Wed, 09 Oct 2024 AIC 52.537
Time: 14:39:55 BIC 55.362
Sample: 0 HQIC 51.956
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1821 1.054 -0.173 0.863 -2.247 1.883
ma.L1 1.0000 4877.406 0.000 1.000 -9558.540 9560.540
ar.S.L7 -0.8334 0.216 -3.858 0.000 -1.257 -0.410
ma.S.L7 1.0000 1.56e+05 6.41e-06 1.000 -3.06e+05 3.06e+05
sigma2 0.7904 1.22e+05 6.47e-06 1.000 -2.4e+05 2.4e+05
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 9.03
Prob(Q): 0.92 Prob(JB): 0.01
Heteroskedasticity (H): 0.36 Skew: 1.53
Prob(H) (two-sided): 0.35 Kurtosis: 5.71
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 154.5291985808414, Current Price: 154.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.797
Date: Wed, 09 Oct 2024 AIC 51.595
Time: 14:39:55 BIC 54.419
Sample: 0 HQIC 51.014
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1436 0.733 -0.196 0.845 -1.580 1.293
ma.L1 1.0000 6421.777 0.000 1.000 -1.26e+04 1.26e+04
ar.S.L7 -0.7867 0.217 -3.624 0.000 -1.212 -0.361
ma.S.L7 1.0003 2976.981 0.000 1.000 -5833.776 5835.777
sigma2 0.7339 4836.353 0.000 1.000 -9478.344 9479.811
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 6.73
Prob(Q): 0.64 Prob(JB): 0.03
Heteroskedasticity (H): 0.37 Skew: 1.39
Prob(H) (two-sided): 0.36 Kurtosis: 5.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 153.61654845093898, Current Price: 153.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.072
Date: Wed, 09 Oct 2024 AIC 40.144
Time: 14:39:55 BIC 42.969
Sample: 0 HQIC 39.563
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0193 0.384 0.050 0.960 -0.733 0.771
ma.L1 1.0000 5152.389 0.000 1.000 -1.01e+04 1.01e+04
ar.S.L7 -0.7201 0.112 -6.457 0.000 -0.939 -0.502
ma.S.L7 0.4407 0.578 0.762 0.446 -0.693 1.574
sigma2 0.4657 2399.455 0.000 1.000 -4702.379 4703.311
===================================================================================
Ljung-Box (L1) (Q): 0.32 Jarque-Bera (JB): 1.03
Prob(Q): 0.57 Prob(JB): 0.60
Heteroskedasticity (H): 3.24 Skew: -0.65
Prob(H) (two-sided): 0.28 Kurtosis: 2.51
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 152.27133215895108, Current Price: 151.33
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.750
Date: Wed, 09 Oct 2024 AIC 41.500
Time: 14:39:55 BIC 44.325
Sample: 0 HQIC 40.920
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2168 0.466 0.466 0.641 -0.696 1.129
ma.L1 1.0000 1.43e+04 6.99e-05 1.000 -2.8e+04 2.8e+04
ar.S.L7 -0.5775 0.088 -6.562 0.000 -0.750 -0.405
ma.S.L7 0.1807 0.285 0.634 0.526 -0.378 0.739
sigma2 0.5606 8016.056 6.99e-05 1.000 -1.57e+04 1.57e+04
===================================================================================
Ljung-Box (L1) (Q): 0.45 Jarque-Bera (JB): 0.84
Prob(Q): 0.50 Prob(JB): 0.66
Heteroskedasticity (H): 8.41 Skew: -0.26
Prob(H) (two-sided): 0.06 Kurtosis: 1.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 151.14565442736887, Current Price: 149.74
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.711
Date: Wed, 09 Oct 2024 AIC 43.423
Time: 14:39:55 BIC 46.248
Sample: 0 HQIC 42.842
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3531 0.381 0.928 0.353 -0.393 1.099
ma.L1 1.2678 0.748 1.695 0.090 -0.198 2.734
ar.S.L7 -0.6079 0.084 -7.200 0.000 -0.773 -0.442
ma.S.L7 1.5160 3.782 0.401 0.689 -5.898 8.929
sigma2 0.1581 0.584 0.271 0.787 -0.987 1.303
===================================================================================
Ljung-Box (L1) (Q): 0.31 Jarque-Bera (JB): 0.68
Prob(Q): 0.58 Prob(JB): 0.71
Heteroskedasticity (H): 1.04 Skew: 0.06
Prob(H) (two-sided): 0.97 Kurtosis: 1.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 148.34485554005556, Current Price: 149.46
SELL EXECUTED at 149.46
SELL ORDER COMPLETED at 150.83
OPERATION PROFIT, GROSS -5.780000000000001, NET -6.087440000000001
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.794
Date: Wed, 09 Oct 2024 AIC 43.588
Time: 14:39:55 BIC 46.412
Sample: 0 HQIC 43.007
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2200 0.363 0.605 0.545 -0.492 0.932
ma.L1 1.0000 2539.987 0.000 1.000 -4977.284 4979.284
ar.S.L7 -0.6608 0.089 -7.412 0.000 -0.835 -0.486
ma.S.L7 0.2011 0.604 0.333 0.739 -0.983 1.385
sigma2 0.6551 1663.926 0.000 1.000 -3260.580 3261.891
===================================================================================
Ljung-Box (L1) (Q): 0.65 Jarque-Bera (JB): 0.77
Prob(Q): 0.42 Prob(JB): 0.68
Heteroskedasticity (H): 1.00 Skew: 0.17
Prob(H) (two-sided): 1.00 Kurtosis: 1.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 148.37917239367306, Current Price: 152.8
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.645
Date: Wed, 09 Oct 2024 AIC 53.291
Time: 14:39:55 BIC 56.116
Sample: 0 HQIC 52.710
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1173 1.103 0.106 0.915 -2.045 2.280
ma.L1 1.0000 2.09e+04 4.78e-05 1.000 -4.1e+04 4.1e+04
ar.S.L7 -0.6295 0.149 -4.226 0.000 -0.922 -0.338
ma.S.L7 -1.0001 5163.350 -0.000 1.000 -1.01e+04 1.01e+04
sigma2 0.9177 2.15e+04 4.26e-05 1.000 -4.22e+04 4.22e+04
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 2.41
Prob(Q): 0.81 Prob(JB): 0.30
Heteroskedasticity (H): 5.49 Skew: 0.88
Prob(H) (two-sided): 0.13 Kurtosis: 4.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 156.76335807705487, Current Price: 154.55
BUY EXECUTED at 154.55
BUY ORDER COMPLETED at 154.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.623
Date: Wed, 09 Oct 2024 AIC 55.246
Time: 14:39:55 BIC 58.071
Sample: 0 HQIC 54.665
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2296 0.505 -0.454 0.650 -1.220 0.761
ma.L1 1.0000 2.44e+04 4.1e-05 1.000 -4.78e+04 4.78e+04
ar.S.L7 -0.6146 0.205 -3.002 0.003 -1.016 -0.213
ma.S.L7 -1.0001 7062.807 -0.000 1.000 -1.38e+04 1.38e+04
sigma2 1.0834 3.05e+04 3.55e-05 1.000 -5.98e+04 5.98e+04
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 5.91
Prob(Q): 0.62 Prob(JB): 0.05
Heteroskedasticity (H): 6.12 Skew: 1.35
Prob(H) (two-sided): 0.11 Kurtosis: 4.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 152.8875043206981, Current Price: 154.65
SELL EXECUTED at 154.65
SELL ORDER COMPLETED at 153.59
OPERATION PROFIT, GROSS -0.5200000000000102, NET -0.8277000000000103
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.181
Date: Wed, 09 Oct 2024 AIC 54.361
Time: 14:39:55 BIC 57.186
Sample: 0 HQIC 53.781
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2510 1.173 0.214 0.831 -2.048 2.550
ma.L1 0.1339 1.201 0.112 0.911 -2.220 2.488
ar.S.L7 -1.0478 0.406 -2.578 0.010 -1.844 -0.251
ma.S.L7 -1.0004 1745.679 -0.001 1.000 -3422.469 3420.468
sigma2 1.0694 1867.267 0.001 1.000 -3658.706 3660.845
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.75
Prob(Q): 0.98 Prob(JB): 0.69
Heteroskedasticity (H): 1.86 Skew: 0.56
Prob(H) (two-sided): 0.56 Kurtosis: 2.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.50658883556736, Current Price: 152.08
BUY EXECUTED at 152.08
BUY ORDER COMPLETED at 151.5
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.792
Date: Wed, 09 Oct 2024 AIC 55.585
Time: 14:39:55 BIC 58.409
Sample: 0 HQIC 55.004
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5433 0.893 0.608 0.543 -1.207 2.293
ma.L1 -0.1741 0.872 -0.200 0.842 -1.883 1.535
ar.S.L7 -1.3374 1.022 -1.308 0.191 -3.341 0.666
ma.S.L7 -0.7779 4.360 -0.178 0.858 -9.323 7.767
sigma2 1.3967 5.226 0.267 0.789 -8.846 11.639
===================================================================================
Ljung-Box (L1) (Q): 1.46 Jarque-Bera (JB): 0.17
Prob(Q): 0.23 Prob(JB): 0.92
Heteroskedasticity (H): 3.02 Skew: -0.00
Prob(H) (two-sided): 0.31 Kurtosis: 2.45
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 150.89699352336388, Current Price: 151.62
SELL EXECUTED at 151.62
SELL ORDER COMPLETED at 152.71
OPERATION PROFIT, GROSS 1.210000000000008, NET 0.905790000000008
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.064
Date: Wed, 09 Oct 2024 AIC 56.127
Time: 14:39:55 BIC 58.952
Sample: 0 HQIC 55.547
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3280 1.916 0.171 0.864 -3.427 4.083
ma.L1 -0.1000 2.093 -0.048 0.962 -4.202 4.002
ar.S.L7 -1.2629 0.665 -1.898 0.058 -2.567 0.041
ma.S.L7 -0.6468 1.967 -0.329 0.742 -4.501 3.208
sigma2 1.6650 2.558 0.651 0.515 -3.349 6.679
===================================================================================
Ljung-Box (L1) (Q): 1.23 Jarque-Bera (JB): 0.26
Prob(Q): 0.27 Prob(JB): 0.88
Heteroskedasticity (H): 1.90 Skew: 0.10
Prob(H) (two-sided): 0.55 Kurtosis: 2.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 153.2978198542309, Current Price: 151.41
BUY EXECUTED at 151.41
BUY ORDER COMPLETED at 151.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.752
Date: Wed, 09 Oct 2024 AIC 57.504
Time: 14:39:56 BIC 60.329
Sample: 0 HQIC 56.923
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3117 2.064 0.151 0.880 -3.734 4.358
ma.L1 -0.0685 2.129 -0.032 0.974 -4.241 4.104
ar.S.L7 -1.0299 0.538 -1.913 0.056 -2.085 0.025
ma.S.L7 -0.6549 1.905 -0.344 0.731 -4.388 3.078
sigma2 1.8409 2.754 0.668 0.504 -3.557 7.239
===================================================================================
Ljung-Box (L1) (Q): 0.61 Jarque-Bera (JB): 1.06
Prob(Q): 0.43 Prob(JB): 0.59
Heteroskedasticity (H): 1.80 Skew: 0.69
Prob(H) (two-sided): 0.58 Kurtosis: 2.78
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 151.6682633441844, Current Price: 152.68
SELL EXECUTED at 152.68
SELL ORDER COMPLETED at 153.47
OPERATION PROFIT, GROSS 1.5800000000000125, NET 1.2746400000000127
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.179
Date: Wed, 09 Oct 2024 AIC 56.358
Time: 14:39:56 BIC 59.183
Sample: 0 HQIC 55.778
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1515 3.376 0.045 0.964 -6.464 6.767
ma.L1 -0.0108 3.393 -0.003 0.997 -6.661 6.639
ar.S.L7 -0.8791 0.383 -2.298 0.022 -1.629 -0.129
ma.S.L7 -1.0002 3334.882 -0.000 1.000 -6537.248 6535.248
sigma2 1.2471 4159.631 0.000 1.000 -8151.480 8153.974
===================================================================================
Ljung-Box (L1) (Q): 0.43 Jarque-Bera (JB): 0.75
Prob(Q): 0.51 Prob(JB): 0.69
Heteroskedasticity (H): 1.46 Skew: 0.53
Prob(H) (two-sided): 0.72 Kurtosis: 2.51
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 148.93915495546224, Current Price: 151.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.074
Date: Wed, 09 Oct 2024 AIC 56.148
Time: 14:39:56 BIC 58.973
Sample: 0 HQIC 55.567
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0830 5.148 -0.016 0.987 -10.173 10.007
ma.L1 0.1867 4.940 0.038 0.970 -9.496 9.869
ar.S.L7 -0.6243 0.653 -0.956 0.339 -1.905 0.656
ma.S.L7 -1.0002 6334.069 -0.000 1.000 -1.24e+04 1.24e+04
sigma2 1.2271 7773.361 0.000 1.000 -1.52e+04 1.52e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.44
Prob(Q): 0.84 Prob(JB): 0.80
Heteroskedasticity (H): 0.74 Skew: 0.42
Prob(H) (two-sided): 0.78 Kurtosis: 2.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 150.05801872773228, Current Price: 151.91
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.718
Date: Wed, 09 Oct 2024 AIC 59.436
Time: 14:39:56 BIC 62.261
Sample: 0 HQIC 58.855
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1836 2.098 0.088 0.930 -3.929 4.297
ma.L1 0.1036 1.887 0.055 0.956 -3.595 3.802
ar.S.L7 -0.6466 0.833 -0.776 0.438 -2.279 0.986
ma.S.L7 -0.7398 5.472 -0.135 0.892 -11.465 9.986
sigma2 2.0042 8.427 0.238 0.812 -14.513 18.521
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.91
Prob(Q): 0.87 Prob(JB): 0.63
Heteroskedasticity (H): 1.54 Skew: 0.65
Prob(H) (two-sided): 0.69 Kurtosis: 2.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 152.32530674266812, Current Price: 151.62
BUY EXECUTED at 151.62
BUY ORDER COMPLETED at 155.41
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.117
Date: Wed, 09 Oct 2024 AIC 60.234
Time: 14:39:56 BIC 63.059
Sample: 0 HQIC 59.654
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1280 3.382 0.038 0.970 -6.501 6.757
ma.L1 0.0500 3.435 0.015 0.988 -6.682 6.782
ar.S.L7 -0.8206 0.447 -1.834 0.067 -1.697 0.056
ma.S.L7 -0.0770 0.801 -0.096 0.923 -1.648 1.494
sigma2 2.7843 2.168 1.284 0.199 -1.464 7.033
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.75
Prob(Q): 0.80 Prob(JB): 0.69
Heteroskedasticity (H): 0.32 Skew: 0.53
Prob(H) (two-sided): 0.29 Kurtosis: 2.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 150.19658039232013, Current Price: 157.5
SELL EXECUTED at 157.5
SELL ORDER COMPLETED at 157.26
OPERATION PROFIT, GROSS 1.8499999999999943, NET 1.5373299999999943
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.058
Date: Wed, 09 Oct 2024 AIC 70.115
Time: 14:39:56 BIC 72.940
Sample: 0 HQIC 69.535
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3892 2.288 0.170 0.865 -4.095 4.874
ma.L1 -0.1736 2.596 -0.067 0.947 -5.262 4.915
ar.S.L7 -0.9842 0.637 -1.545 0.122 -2.233 0.264
ma.S.L7 -0.5279 2.271 -0.232 0.816 -4.980 3.924
sigma2 5.2562 8.174 0.643 0.520 -10.764 21.276
===================================================================================
Ljung-Box (L1) (Q): 0.33 Jarque-Bera (JB): 1.62
Prob(Q): 0.57 Prob(JB): 0.45
Heteroskedasticity (H): 3.85 Skew: 0.86
Prob(H) (two-sided): 0.22 Kurtosis: 3.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 156.52641363000265, Current Price: 157.32
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.966
Date: Wed, 09 Oct 2024 AIC 69.933
Time: 14:39:56 BIC 72.757
Sample: 0 HQIC 69.352
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3716 1.707 0.218 0.828 -2.974 3.717
ma.L1 -0.1236 2.020 -0.061 0.951 -4.083 3.836
ar.S.L7 -0.9429 0.658 -1.433 0.152 -2.233 0.347
ma.S.L7 -1.4023 7.470 -0.188 0.851 -16.043 13.239
sigma2 2.3361 18.112 0.129 0.897 -33.163 37.836
===================================================================================
Ljung-Box (L1) (Q): 0.83 Jarque-Bera (JB): 1.85
Prob(Q): 0.36 Prob(JB): 0.40
Heteroskedasticity (H): 3.92 Skew: 0.89
Prob(H) (two-sided): 0.21 Kurtosis: 3.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 157.38960952256892, Current Price: 157.14
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.031
Date: Wed, 09 Oct 2024 AIC 70.061
Time: 14:39:56 BIC 72.886
Sample: 0 HQIC 69.480
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4246 1.078 0.394 0.694 -1.689 2.538
ma.L1 -0.1987 1.303 -0.153 0.879 -2.752 2.355
ar.S.L7 -0.9929 0.714 -1.392 0.164 -2.391 0.406
ma.S.L7 -0.3866 1.732 -0.223 0.823 -3.782 3.009
sigma2 5.5700 4.695 1.186 0.236 -3.633 14.773
===================================================================================
Ljung-Box (L1) (Q): 0.89 Jarque-Bera (JB): 1.92
Prob(Q): 0.35 Prob(JB): 0.38
Heteroskedasticity (H): 2.82 Skew: 0.86
Prob(H) (two-sided): 0.34 Kurtosis: 3.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 156.8074019878886, Current Price: 157.21
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.751
Date: Wed, 09 Oct 2024 AIC 65.503
Time: 14:39:56 BIC 68.328
Sample: 0 HQIC 64.922
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9838 0.525 1.874 0.061 -0.045 2.013
ma.L1 -1.0000 7569.890 -0.000 1.000 -1.48e+04 1.48e+04
ar.S.L7 -0.8571 0.800 -1.072 0.284 -2.424 0.710
ma.S.L7 -0.5824 4.042 -0.144 0.885 -8.504 7.339
sigma2 2.9078 2.2e+04 0.000 1.000 -4.31e+04 4.31e+04
===================================================================================
Ljung-Box (L1) (Q): 0.34 Jarque-Bera (JB): 6.43
Prob(Q): 0.56 Prob(JB): 0.04
Heteroskedasticity (H): 5.06 Skew: 1.36
Prob(H) (two-sided): 0.15 Kurtosis: 5.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.55088065848992, Current Price: 154.5
BUY EXECUTED at 154.5
BUY ORDER COMPLETED at 153.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.288
Date: Wed, 09 Oct 2024 AIC 70.575
Time: 14:39:56 BIC 73.400
Sample: 0 HQIC 69.995
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3106 7.204 0.043 0.966 -13.809 14.431
ma.L1 -0.2205 7.417 -0.030 0.976 -14.758 14.317
ar.S.L7 -0.4225 0.932 -0.453 0.650 -2.249 1.404
ma.S.L7 -0.7297 4.689 -0.156 0.876 -9.919 8.460
sigma2 4.7599 19.287 0.247 0.805 -33.041 42.561
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 7.76
Prob(Q): 0.72 Prob(JB): 0.02
Heteroskedasticity (H): 2.88 Skew: 1.29
Prob(H) (two-sided): 0.33 Kurtosis: 5.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 154.45107614030138, Current Price: 154.73
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.773
Date: Wed, 09 Oct 2024 AIC 71.545
Time: 14:39:56 BIC 74.370
Sample: 0 HQIC 70.965
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5048 0.896 0.564 0.573 -1.250 2.260
ma.L1 -0.4137 1.293 -0.320 0.749 -2.949 2.121
ar.S.L7 -0.5688 0.646 -0.880 0.379 -1.835 0.698
ma.S.L7 -0.2422 1.660 -0.146 0.884 -3.496 3.012
sigma2 6.4717 4.552 1.422 0.155 -2.451 15.394
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 5.28
Prob(Q): 0.85 Prob(JB): 0.07
Heteroskedasticity (H): 2.45 Skew: 1.07
Prob(H) (two-sided): 0.41 Kurtosis: 5.28
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 154.58538238889687, Current Price: 155.36
SELL EXECUTED at 155.36
SELL ORDER COMPLETED at 155.49
OPERATION PROFIT, GROSS 2.469999999999999, NET 2.161489999999999
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.671
Date: Wed, 09 Oct 2024 AIC 71.342
Time: 14:39:56 BIC 74.167
Sample: 0 HQIC 70.761
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7694 1.482 0.519 0.604 -2.136 3.675
ma.L1 -1.0000 2e+04 -5.01e-05 1.000 -3.91e+04 3.91e+04
ar.S.L7 -0.5261 0.789 -0.667 0.505 -2.072 1.020
ma.S.L7 -0.3159 1.835 -0.172 0.863 -3.912 3.280
sigma2 5.2357 1.04e+05 5.01e-05 1.000 -2.05e+05 2.05e+05
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 4.38
Prob(Q): 0.65 Prob(JB): 0.11
Heteroskedasticity (H): 2.28 Skew: 0.95
Prob(H) (two-sided): 0.44 Kurtosis: 5.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 154.75685016170382, Current Price: 156.4594
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.352
Date: Wed, 09 Oct 2024 AIC 70.705
Time: 14:39:56 BIC 73.529
Sample: 0 HQIC 70.124
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7242 1.423 0.509 0.611 -2.065 3.513
ma.L1 -1.0000 1.71e+04 -5.85e-05 1.000 -3.35e+04 3.35e+04
ar.S.L7 -0.4088 0.668 -0.612 0.541 -1.719 0.901
ma.S.L7 -0.2759 1.377 -0.200 0.841 -2.974 2.422
sigma2 5.0564 8.65e+04 5.85e-05 1.000 -1.7e+05 1.7e+05
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 6.44
Prob(Q): 0.65 Prob(JB): 0.04
Heteroskedasticity (H): 1.62 Skew: 1.24
Prob(H) (two-sided): 0.65 Kurtosis: 5.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.879040859227, Current Price: 157.12
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.236
Date: Wed, 09 Oct 2024 AIC 68.473
Time: 14:39:56 BIC 71.297
Sample: 0 HQIC 67.892
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8018 0.767 1.045 0.296 -0.702 2.306
ma.L1 -1.0001 2806.625 -0.000 1.000 -5501.884 5499.884
ar.S.L7 -0.0002 0.057 -0.003 0.998 -0.112 0.112
ma.S.L7 -1.0001 9027.944 -0.000 1.000 -1.77e+04 1.77e+04
sigma2 3.2945 3.06e+04 0.000 1.000 -6e+04 6e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 16.27
Prob(Q): 0.96 Prob(JB): 0.00
Heteroskedasticity (H): 0.34 Skew: 1.90
Prob(H) (two-sided): 0.33 Kurtosis: 6.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 157.1019619227806, Current Price: 157.75
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.359
Date: Wed, 09 Oct 2024 AIC 70.718
Time: 14:39:56 BIC 73.543
Sample: 0 HQIC 70.138
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2791 7.237 0.039 0.969 -13.905 14.464
ma.L1 -6.0807 281.578 -0.022 0.983 -557.963 545.802
ar.S.L7 -0.6085 0.399 -1.526 0.127 -1.390 0.173
ma.S.L7 0.1978 1.013 0.195 0.845 -1.787 2.183
sigma2 0.1664 15.377 0.011 0.991 -29.973 30.306
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 11.11
Prob(Q): 0.96 Prob(JB): 0.00
Heteroskedasticity (H): 0.06 Skew: 1.53
Prob(H) (two-sided): 0.02 Kurtosis: 6.33
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 158.52550346896862, Current Price: 157.84
BUY EXECUTED at 157.84
BUY ORDER COMPLETED at 157.46
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.081
Date: Wed, 09 Oct 2024 AIC 68.162
Time: 14:39:56 BIC 70.986
Sample: 0 HQIC 67.581
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7240 0.357 2.030 0.042 0.025 1.423
ma.L1 -1.0000 1.08e+04 -9.23e-05 1.000 -2.12e+04 2.12e+04
ar.S.L7 -0.6940 0.404 -1.717 0.086 -1.486 0.098
ma.S.L7 0.8437 7.138 0.118 0.906 -13.147 14.834
sigma2 3.1703 3.44e+04 9.23e-05 1.000 -6.73e+04 6.74e+04
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 3.89
Prob(Q): 0.77 Prob(JB): 0.14
Heteroskedasticity (H): 0.21 Skew: 1.10
Prob(H) (two-sided): 0.16 Kurtosis: 4.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 154.17115193370014, Current Price: 157.93
SELL EXECUTED at 157.93
SELL ORDER COMPLETED at 158.0
OPERATION PROFIT, GROSS 0.539999999999992, NET 0.22453999999999202
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.407
Date: Wed, 09 Oct 2024 AIC 66.814
Time: 14:39:56 BIC 69.639
Sample: 0 HQIC 66.233
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7315 0.580 1.262 0.207 -0.404 1.867
ma.L1 -0.9997 292.384 -0.003 0.997 -574.062 572.063
ar.S.L7 -4.06e-05 0.330 -0.000 1.000 -0.646 0.646
ma.S.L7 -0.9099 4.033 -0.226 0.822 -8.815 6.995
sigma2 3.1628 924.919 0.003 0.997 -1809.646 1815.971
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 8.35
Prob(Q): 0.90 Prob(JB): 0.02
Heteroskedasticity (H): 0.05 Skew: 1.37
Prob(H) (two-sided): 0.01 Kurtosis: 5.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 158.8018693103828, Current Price: 157.16
BUY EXECUTED at 157.16
BUY ORDER COMPLETED at 156.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.627
Date: Wed, 09 Oct 2024 AIC 67.255
Time: 14:39:56 BIC 70.079
Sample: 0 HQIC 66.674
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6330 0.550 1.151 0.250 -0.445 1.711
ma.L1 -1.0000 4051.686 -0.000 1.000 -7942.159 7940.158
ar.S.L7 0.0001 0.071 0.002 0.999 -0.138 0.139
ma.S.L7 -1.3633 3.824 -0.356 0.721 -8.859 6.132
sigma2 2.0144 8163.503 0.000 1.000 -1.6e+04 1.6e+04
===================================================================================
Ljung-Box (L1) (Q): 1.18 Jarque-Bera (JB): 6.86
Prob(Q): 0.28 Prob(JB): 0.03
Heteroskedasticity (H): 0.09 Skew: 1.35
Prob(H) (two-sided): 0.04 Kurtosis: 5.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 157.88996058206607, Current Price: 155.97
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.338
Date: Wed, 09 Oct 2024 AIC 48.676
Time: 14:39:56 BIC 51.500
Sample: 0 HQIC 48.095
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2809 4.782 0.059 0.953 -9.092 9.654
ma.L1 -4.3348 91.751 -0.047 0.962 -184.163 175.493
ar.S.L7 -0.0864 0.205 -0.422 0.673 -0.488 0.315
ma.S.L7 -1.0021 1044.238 -0.001 0.999 -2047.672 2045.668
sigma2 0.0367 39.162 0.001 0.999 -76.720 76.793
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.69
Prob(Q): 0.89 Prob(JB): 0.71
Heteroskedasticity (H): 3.45 Skew: 0.43
Prob(H) (two-sided): 0.26 Kurtosis: 2.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 157.3306191265914, Current Price: 152.015
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -41.885
Date: Wed, 09 Oct 2024 AIC 93.770
Time: 14:39:56 BIC 96.595
Sample: 0 HQIC 93.190
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 5.4205 1.669 3.247 0.001 2.149 8.692
ma.L1 -6.0097 5.029 -1.195 0.232 -15.867 3.847
ar.S.L7 -0.0132 0.019 -0.680 0.496 -0.051 0.025
ma.S.L7 -0.7419 1.223 -0.606 0.544 -3.140 1.656
sigma2 0.9210 1.991 0.463 0.644 -2.981 4.823
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 0.90
Prob(Q): 0.70 Prob(JB): 0.64
Heteroskedasticity (H): 1.08 Skew: -0.34
Prob(H) (two-sided): 0.94 Kurtosis: 1.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.15901642077883, Current Price: 152.64
SELL EXECUTED at 152.64
SELL ORDER COMPLETED at 152.58
OPERATION PROFIT, GROSS -3.4199999999999875, NET -3.7285799999999876
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.189
Date: Wed, 09 Oct 2024 AIC 64.378
Time: 14:39:56 BIC 67.203
Sample: 0 HQIC 63.797
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2442 3.815 0.064 0.949 -7.232 7.721
ma.L1 -7.0591 182.209 -0.039 0.969 -364.182 350.064
ar.S.L7 -0.0452 0.158 -0.287 0.774 -0.354 0.264
ma.S.L7 1.0111 46.679 0.022 0.983 -90.479 92.501
sigma2 0.0456 3.093 0.015 0.988 -6.017 6.108
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.01
Prob(Q): 0.94 Prob(JB): 1.00
Heteroskedasticity (H): 4.76 Skew: 0.05
Prob(H) (two-sided): 0.16 Kurtosis: 2.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 153.65453611628163, Current Price: 153.76
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.053
Date: Wed, 09 Oct 2024 AIC 64.106
Time: 14:39:57 BIC 66.931
Sample: 0 HQIC 63.526
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2288 3.588 0.064 0.949 -6.804 7.262
ma.L1 -8.2414 235.354 -0.035 0.972 -469.527 453.044
ar.S.L7 -0.0366 0.129 -0.284 0.777 -0.290 0.217
ma.S.L7 1.0127 40.480 0.025 0.980 -78.327 80.352
sigma2 0.0330 2.249 0.015 0.988 -4.374 4.440
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.03
Prob(Q): 0.87 Prob(JB): 0.98
Heteroskedasticity (H): 0.70 Skew: -0.12
Prob(H) (two-sided): 0.74 Kurtosis: 2.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 154.20728827415775, Current Price: 152.62
BUY EXECUTED at 152.62
BUY ORDER COMPLETED at 153.3
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32128.664
Date: Wed, 09 Oct 2024 AIC 64267.328
Time: 14:39:57 BIC 64270.153
Sample: 0 HQIC 64266.747
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 4.8519 0.002 2235.139 0.000 4.848 4.856
ma.L1 -4.8628 0.003 -1917.398 0.000 -4.868 -4.858
ar.S.L7 -61.5000 0.504 -121.921 0.000 -62.489 -60.511
ma.S.L7 3.715e-05 0.000 0.247 0.805 -0.000 0.000
sigma2 7.0970 0.121 58.778 0.000 6.860 7.334
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 3.60
Prob(Q): 0.97 Prob(JB): 0.17
Heteroskedasticity (H): 0.29 Skew: -1.05
Prob(H) (two-sided): 0.25 Kurtosis: 4.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 27.008702104794338, Current Price: 152.83
SELL EXECUTED at 152.83
SELL ORDER COMPLETED at 151.9
OPERATION PROFIT, GROSS -1.4000000000000057, NET -1.7052000000000058
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.526
Date: Wed, 09 Oct 2024 AIC 65.053
Time: 14:39:57 BIC 67.877
Sample: 0 HQIC 64.472
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1756 8.882 0.020 0.984 -17.233 17.584
ma.L1 -8.3766 605.155 -0.014 0.989 -1194.458 1177.705
ar.S.L7 -0.0903 0.154 -0.588 0.557 -0.391 0.211
ma.S.L7 1.9168 2.309 0.830 0.407 -2.610 6.443
sigma2 0.0138 1.996 0.007 0.994 -3.898 3.926
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.03
Prob(Q): 0.84 Prob(JB): 0.99
Heteroskedasticity (H): 0.19 Skew: -0.03
Prob(H) (two-sided): 0.14 Kurtosis: 2.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 151.69824298816727, Current Price: 151.05
BUY EXECUTED at 151.05
BUY ORDER COMPLETED at 155.13
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.124
Date: Wed, 09 Oct 2024 AIC 62.248
Time: 14:39:57 BIC 65.072
Sample: 0 HQIC 61.667
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2872 4.497 0.064 0.949 -8.526 9.101
ma.L1 -6.4451 178.548 -0.036 0.971 -356.392 343.502
ar.S.L7 -0.1187 0.145 -0.818 0.413 -0.403 0.166
ma.S.L7 0.9971 292.631 0.003 0.997 -572.548 574.542
sigma2 0.0472 15.136 0.003 0.998 -29.619 29.714
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.23
Prob(Q): 0.92 Prob(JB): 0.89
Heteroskedasticity (H): 0.18 Skew: -0.23
Prob(H) (two-sided): 0.12 Kurtosis: 2.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 148.53692999152247, Current Price: 155.19
SELL EXECUTED at 155.19
SELL ORDER COMPLETED at 154.67
OPERATION PROFIT, GROSS -0.46000000000000796, NET -0.7698000000000079
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.378
Date: Wed, 09 Oct 2024 AIC 66.757
Time: 14:39:57 BIC 69.582
Sample: 0 HQIC 66.176
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2377 1.472 -0.161 0.872 -3.123 2.647
ma.L1 3.5043 18.400 0.190 0.849 -32.558 39.567
ar.S.L7 -0.0003 0.043 -0.006 0.995 -0.084 0.083
ma.S.L7 0.4960 0.740 0.670 0.503 -0.955 1.947
sigma2 0.3384 3.492 0.097 0.923 -6.506 7.183
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 7.96
Prob(Q): 0.82 Prob(JB): 0.02
Heteroskedasticity (H): 3.67 Skew: 1.64
Prob(H) (two-sided): 0.24 Kurtosis: 4.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 150.8424102634535, Current Price: 155.09
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.657
Date: Wed, 09 Oct 2024 AIC 65.314
Time: 14:39:57 BIC 68.139
Sample: 0 HQIC 64.734
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0505 0.672 0.075 0.940 -1.266 1.367
ma.L1 1.0000 1.57e+04 6.37e-05 1.000 -3.08e+04 3.08e+04
ar.S.L7 0.4107 0.346 1.186 0.236 -0.268 1.090
ma.S.L7 1.0000 8.27e+04 1.21e-05 1.000 -1.62e+05 1.62e+05
sigma2 2.0970 1.82e+05 1.15e-05 1.000 -3.56e+05 3.56e+05
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.00
Prob(Q): 0.98 Prob(JB): 0.61
Heteroskedasticity (H): 2.25 Skew: 0.67
Prob(H) (two-sided): 0.45 Kurtosis: 2.74
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 156.54561340968687, Current Price: 157.46
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.582
Date: Wed, 09 Oct 2024 AIC 67.163
Time: 14:39:57 BIC 69.988
Sample: 0 HQIC 66.583
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3702 2.251 0.165 0.869 -4.041 4.781
ma.L1 0.0462 2.256 0.020 0.984 -4.376 4.469
ar.S.L7 0.3571 0.376 0.951 0.342 -0.379 1.093
ma.S.L7 -1.0000 6.03e+04 -1.66e-05 1.000 -1.18e+05 1.18e+05
sigma2 2.8639 1.73e+05 1.66e-05 1.000 -3.39e+05 3.39e+05
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.74
Prob(Q): 0.91 Prob(JB): 0.42
Heteroskedasticity (H): 2.86 Skew: 0.88
Prob(H) (two-sided): 0.33 Kurtosis: 3.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.02845857922915, Current Price: 155.68
BUY EXECUTED at 155.68
BUY ORDER COMPLETED at 154.23
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.097
Date: Wed, 09 Oct 2024 AIC 68.193
Time: 14:39:57 BIC 71.018
Sample: 0 HQIC 67.613
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2013 0.674 0.299 0.765 -1.120 1.523
ma.L1 1.0000 1.35e+04 7.43e-05 1.000 -2.64e+04 2.64e+04
ar.S.L7 0.8528 0.662 1.289 0.197 -0.444 2.149
ma.S.L7 -0.3398 2.421 -0.140 0.888 -5.084 4.405
sigma2 4.4097 5.93e+04 7.43e-05 1.000 -1.16e+05 1.16e+05
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 3.72
Prob(Q): 0.95 Prob(JB): 0.16
Heteroskedasticity (H): 2.76 Skew: 1.09
Prob(H) (two-sided): 0.35 Kurtosis: 4.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 150.52009737609467, Current Price: 153.71
SELL EXECUTED at 153.71
SELL ORDER COMPLETED at 153.61
OPERATION PROFIT, GROSS -0.6199999999999761, NET -0.9278399999999761
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.999
Date: Wed, 09 Oct 2024 AIC 67.998
Time: 14:39:57 BIC 70.823
Sample: 0 HQIC 67.418
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1752 2.503 0.070 0.944 -4.730 5.081
ma.L1 0.1186 2.347 0.051 0.960 -4.482 4.719
ar.S.L7 0.2987 0.388 0.770 0.441 -0.462 1.059
ma.S.L7 -1.0002 1.37e+04 -7.32e-05 1.000 -2.68e+04 2.68e+04
sigma2 3.0539 4.17e+04 7.32e-05 1.000 -8.18e+04 8.18e+04
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 1.86
Prob(Q): 0.71 Prob(JB): 0.40
Heteroskedasticity (H): 1.38 Skew: 0.86
Prob(H) (two-sided): 0.76 Kurtosis: 3.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 153.1525905343155, Current Price: 154.04
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.398
Date: Wed, 09 Oct 2024 AIC 66.795
Time: 14:39:57 BIC 69.620
Sample: 0 HQIC 66.215
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2335 1.862 0.125 0.900 -3.416 3.883
ma.L1 0.3560 1.720 0.207 0.836 -3.014 3.726
ar.S.L7 0.4764 0.442 1.078 0.281 -0.389 1.342
ma.S.L7 -0.7113 4.842 -0.147 0.883 -10.201 8.778
sigma2 3.6092 14.016 0.257 0.797 -23.863 31.081
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 4.49
Prob(Q): 0.85 Prob(JB): 0.11
Heteroskedasticity (H): 3.00 Skew: 1.11
Prob(H) (two-sided): 0.31 Kurtosis: 4.84
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 152.299492114136, Current Price: 152.15
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.780
Date: Wed, 09 Oct 2024 AIC 65.559
Time: 14:39:57 BIC 68.384
Sample: 0 HQIC 64.978
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2101 1.540 0.136 0.891 -2.808 3.228
ma.L1 0.3964 1.427 0.278 0.781 -2.400 3.193
ar.S.L7 0.4378 0.385 1.136 0.256 -0.317 1.193
ma.S.L7 -1.0000 3.09e+04 -3.23e-05 1.000 -6.06e+04 6.06e+04
sigma2 2.5314 7.83e+04 3.23e-05 1.000 -1.54e+05 1.54e+05
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 5.27
Prob(Q): 0.94 Prob(JB): 0.07
Heteroskedasticity (H): 3.28 Skew: 1.12
Prob(H) (two-sided): 0.28 Kurtosis: 5.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.30175406509073, Current Price: 152.99
BUY EXECUTED at 152.99
BUY ORDER COMPLETED at 151.26
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.540
Date: Wed, 09 Oct 2024 AIC 57.080
Time: 14:39:57 BIC 59.905
Sample: 0 HQIC 56.500
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6090 0.831 -0.733 0.463 -2.237 1.019
ma.L1 0.4180 1.120 0.373 0.709 -1.777 2.612
ar.S.L7 -0.3678 1.025 -0.359 0.720 -2.377 1.641
ma.S.L7 -1.0001 1.93e+04 -5.18e-05 1.000 -3.78e+04 3.78e+04
sigma2 1.2690 2.45e+04 5.18e-05 1.000 -4.8e+04 4.8e+04
===================================================================================
Ljung-Box (L1) (Q): 1.40 Jarque-Bera (JB): 0.19
Prob(Q): 0.24 Prob(JB): 0.91
Heteroskedasticity (H): 1.91 Skew: 0.21
Prob(H) (two-sided): 0.55 Kurtosis: 2.57
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 151.69588228716916, Current Price: 152.59
SELL EXECUTED at 152.59
SELL ORDER COMPLETED at 153.45
OPERATION PROFIT, GROSS 2.1899999999999977, NET 1.8852899999999977
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.466
Date: Wed, 09 Oct 2024 AIC 60.932
Time: 14:39:57 BIC 63.757
Sample: 0 HQIC 60.352
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0600 4.157 0.014 0.988 -8.088 8.208
ma.L1 0.0566 3.966 0.014 0.989 -7.717 7.831
ar.S.L7 -0.1413 1.356 -0.104 0.917 -2.799 2.516
ma.S.L7 -1.0001 2.39e+04 -4.18e-05 1.000 -4.69e+04 4.69e+04
sigma2 1.7741 4.24e+04 4.18e-05 1.000 -8.31e+04 8.31e+04
===================================================================================
Ljung-Box (L1) (Q): 1.28 Jarque-Bera (JB): 2.42
Prob(Q): 0.26 Prob(JB): 0.30
Heteroskedasticity (H): 0.45 Skew: 0.89
Prob(H) (two-sided): 0.46 Kurtosis: 4.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 153.57622035509726, Current Price: 154.14
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.967
Date: Wed, 09 Oct 2024 AIC 57.933
Time: 14:39:57 BIC 60.758
Sample: 0 HQIC 57.352
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9079 0.116 -7.833 0.000 -1.135 -0.681
ma.L1 1.0000 2.7e+04 3.71e-05 1.000 -5.29e+04 5.29e+04
ar.S.L7 -0.6660 0.163 -4.097 0.000 -0.985 -0.347
ma.S.L7 1.3594 5.770 0.236 0.814 -9.949 12.668
sigma2 0.7831 2.11e+04 3.71e-05 1.000 -4.14e+04 4.14e+04
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.28
Prob(Q): 0.72 Prob(JB): 0.87
Heteroskedasticity (H): 0.33 Skew: 0.26
Prob(H) (two-sided): 0.30 Kurtosis: 2.51
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 153.5089195621237, Current Price: 154.21
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.139
Date: Wed, 09 Oct 2024 AIC 56.277
Time: 14:39:57 BIC 59.102
Sample: 0 HQIC 55.696
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8600 0.113 -7.594 0.000 -1.082 -0.638
ma.L1 1.0000 4019.448 0.000 1.000 -7876.974 7878.974
ar.S.L7 -0.6957 0.142 -4.894 0.000 -0.974 -0.417
ma.S.L7 1.6867 4.506 0.374 0.708 -7.146 10.519
sigma2 0.4991 2007.004 0.000 1.000 -3933.157 3934.155
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 0.15
Prob(Q): 0.67 Prob(JB): 0.93
Heteroskedasticity (H): 0.28 Skew: -0.26
Prob(H) (two-sided): 0.24 Kurtosis: 2.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 151.25661554960348, Current Price: 153.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.758
Date: Wed, 09 Oct 2024 AIC 59.516
Time: 14:39:57 BIC 62.341
Sample: 0 HQIC 58.936
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3768 0.909 -0.414 0.679 -2.159 1.405
ma.L1 0.1648 1.441 0.114 0.909 -2.659 2.989
ar.S.L7 -0.7427 0.152 -4.901 0.000 -1.040 -0.446
ma.S.L7 0.4352 1.092 0.398 0.690 -1.706 2.576
sigma2 2.4367 2.868 0.850 0.395 -3.184 8.057
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.52
Prob(Q): 0.75 Prob(JB): 0.77
Heteroskedasticity (H): 0.51 Skew: 0.25
Prob(H) (two-sided): 0.53 Kurtosis: 2.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 153.2398801654601, Current Price: 153.05
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.406
Date: Wed, 09 Oct 2024 AIC 56.812
Time: 14:39:57 BIC 59.637
Sample: 0 HQIC 56.232
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5425 0.196 2.770 0.006 0.159 0.926
ma.L1 -1.0000 1.1e+04 -9.1e-05 1.000 -2.15e+04 2.15e+04
ar.S.L7 -0.6551 0.240 -2.729 0.006 -1.126 -0.185
ma.S.L7 0.2162 0.554 0.390 0.696 -0.870 1.303
sigma2 1.8269 2.01e+04 9.1e-05 1.000 -3.94e+04 3.94e+04
===================================================================================
Ljung-Box (L1) (Q): 0.59 Jarque-Bera (JB): 0.45
Prob(Q): 0.44 Prob(JB): 0.80
Heteroskedasticity (H): 0.14 Skew: 0.29
Prob(H) (two-sided): 0.08 Kurtosis: 2.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 150.7857761689521, Current Price: 153.38
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.382
Date: Wed, 09 Oct 2024 AIC 54.764
Time: 14:39:57 BIC 57.589
Sample: 0 HQIC 54.183
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4159 4.340 0.096 0.924 -8.090 8.922
ma.L1 -2.4601 27.856 -0.088 0.930 -57.058 52.137
ar.S.L7 -0.6104 0.221 -2.765 0.006 -1.043 -0.178
ma.S.L7 6.6158 29.300 0.226 0.821 -50.810 64.042
sigma2 0.0067 0.170 0.040 0.968 -0.326 0.339
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 0.35
Prob(Q): 0.69 Prob(JB): 0.84
Heteroskedasticity (H): 0.53 Skew: -0.30
Prob(H) (two-sided): 0.55 Kurtosis: 2.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 156.15411017302884, Current Price: 153.67
BUY EXECUTED at 153.67
BUY ORDER COMPLETED at 152.5
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.617
Date: Wed, 09 Oct 2024 AIC 51.233
Time: 14:39:57 BIC 54.058
Sample: 0 HQIC 50.653
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4679 0.169 2.762 0.006 0.136 0.800
ma.L1 -1.0000 2005.983 -0.000 1.000 -3932.655 3930.655
ar.S.L7 -0.1932 0.568 -0.340 0.734 -1.306 0.919
ma.S.L7 -1.0004 2034.490 -0.000 1.000 -3988.527 3986.526
sigma2 0.7183 1681.948 0.000 1.000 -3295.840 3297.276
===================================================================================
Ljung-Box (L1) (Q): 0.71 Jarque-Bera (JB): 1.65
Prob(Q): 0.40 Prob(JB): 0.44
Heteroskedasticity (H): 0.48 Skew: 0.86
Prob(H) (two-sided): 0.49 Kurtosis: 2.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 152.50771832411027, Current Price: 153.03
SELL EXECUTED at 153.03
SELL ORDER COMPLETED at 153.63
OPERATION PROFIT, GROSS 1.1299999999999955, NET 0.8238699999999954
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.123
Date: Wed, 09 Oct 2024 AIC 50.246
Time: 14:39:57 BIC 53.070
Sample: 0 HQIC 49.665
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3481 0.364 0.955 0.339 -0.366 1.062
ma.L1 -1.0000 5143.083 -0.000 1.000 -1.01e+04 1.01e+04
ar.S.L7 -0.3836 0.194 -1.975 0.048 -0.764 -0.003
ma.S.L7 -0.1675 0.564 -0.297 0.766 -1.273 0.938
sigma2 1.1382 5854.117 0.000 1.000 -1.15e+04 1.15e+04
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 1.29
Prob(Q): 0.70 Prob(JB): 0.53
Heteroskedasticity (H): 0.81 Skew: 0.72
Prob(H) (two-sided): 0.85 Kurtosis: 3.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.08906893929398, Current Price: 153.52
BUY EXECUTED at 153.52
BUY ORDER COMPLETED at 155.33
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.481
Date: Wed, 09 Oct 2024 AIC 48.963
Time: 14:39:57 BIC 51.788
Sample: 0 HQIC 48.382
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3766 1.648 -0.229 0.819 -3.606 2.853
ma.L1 0.1730 1.889 0.092 0.927 -3.530 3.876
ar.S.L7 -0.3457 0.167 -2.066 0.039 -0.674 -0.018
ma.S.L7 -0.4846 0.835 -0.581 0.562 -2.121 1.151
sigma2 1.0563 0.600 1.762 0.078 -0.119 2.231
===================================================================================
Ljung-Box (L1) (Q): 1.27 Jarque-Bera (JB): 0.32
Prob(Q): 0.26 Prob(JB): 0.85
Heteroskedasticity (H): 1.60 Skew: 0.34
Prob(H) (two-sided): 0.66 Kurtosis: 2.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 153.2964644620651, Current Price: 155.67
SELL EXECUTED at 155.67
SELL ORDER COMPLETED at 156.7
OPERATION PROFIT, GROSS 1.3699999999999761, NET 1.057969999999976
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.708
Date: Wed, 09 Oct 2024 AIC 49.417
Time: 14:39:58 BIC 52.241
Sample: 0 HQIC 48.836
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3800 0.541 -0.703 0.482 -1.440 0.680
ma.L1 -0.1515 0.644 -0.235 0.814 -1.413 1.110
ar.S.L7 -0.3886 0.201 -1.930 0.054 -0.783 0.006
ma.S.L7 -0.7959 3.064 -0.260 0.795 -6.801 5.209
sigma2 0.8912 2.588 0.344 0.731 -4.182 5.964
===================================================================================
Ljung-Box (L1) (Q): 0.59 Jarque-Bera (JB): 1.44
Prob(Q): 0.44 Prob(JB): 0.49
Heteroskedasticity (H): 3.77 Skew: 0.78
Prob(H) (two-sided): 0.23 Kurtosis: 2.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 153.0788745351013, Current Price: 156.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.800
Date: Wed, 09 Oct 2024 AIC 53.601
Time: 14:39:58 BIC 56.426
Sample: 0 HQIC 53.020
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0721 4.355 0.017 0.987 -8.464 8.608
ma.L1 -0.1704 4.525 -0.038 0.970 -9.040 8.699
ar.S.L7 -0.2043 0.143 -1.430 0.153 -0.484 0.076
ma.S.L7 1.0000 3.02e+04 3.31e-05 1.000 -5.92e+04 5.92e+04
sigma2 1.0090 3.05e+04 3.31e-05 1.000 -5.98e+04 5.98e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.47
Prob(Q): 0.85 Prob(JB): 0.79
Heteroskedasticity (H): 1.49 Skew: 0.05
Prob(H) (two-sided): 0.71 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.8456884371802, Current Price: 157.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.497
Date: Wed, 09 Oct 2024 AIC 54.993
Time: 14:39:58 BIC 57.818
Sample: 0 HQIC 54.413
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2474 12.973 0.019 0.985 -25.179 25.673
ma.L1 -0.1810 12.873 -0.014 0.989 -25.411 25.049
ar.S.L7 -0.1977 0.152 -1.298 0.194 -0.496 0.101
ma.S.L7 0.6498 2.577 0.252 0.801 -4.400 5.700
sigma2 1.5227 3.538 0.430 0.667 -5.412 8.457
===================================================================================
Ljung-Box (L1) (Q): 0.26 Jarque-Bera (JB): 0.65
Prob(Q): 0.61 Prob(JB): 0.72
Heteroskedasticity (H): 1.56 Skew: -0.13
Prob(H) (two-sided): 0.68 Kurtosis: 1.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 158.90298824867054, Current Price: 157.43
BUY EXECUTED at 157.43
BUY ORDER COMPLETED at 157.6
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.316
Date: Wed, 09 Oct 2024 AIC 52.632
Time: 14:39:58 BIC 55.457
Sample: 0 HQIC 52.051
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1885 3.637 0.052 0.959 -6.939 7.316
ma.L1 -0.1089 3.742 -0.029 0.977 -7.442 7.224
ar.S.L7 0.0124 1.233 0.010 0.992 -2.405 2.429
ma.S.L7 0.2654 1.437 0.185 0.854 -2.552 3.082
sigma2 1.5069 1.193 1.263 0.207 -0.832 3.846
===================================================================================
Ljung-Box (L1) (Q): 0.82 Jarque-Bera (JB): 1.19
Prob(Q): 0.36 Prob(JB): 0.55
Heteroskedasticity (H): 1.41 Skew: 0.10
Prob(H) (two-sided): 0.74 Kurtosis: 1.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 157.73031098159947, Current Price: 156.49
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.162
Date: Wed, 09 Oct 2024 AIC 52.323
Time: 14:39:58 BIC 55.148
Sample: 0 HQIC 51.743
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4431 0.553 0.801 0.423 -0.642 1.528
ma.L1 -0.5924 0.590 -1.004 0.315 -1.749 0.564
ar.S.L7 -0.1766 0.435 -0.406 0.685 -1.028 0.675
ma.S.L7 0.6870 3.910 0.176 0.861 -6.976 8.350
sigma2 1.2062 4.005 0.301 0.763 -6.643 9.055
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 1.42
Prob(Q): 0.82 Prob(JB): 0.49
Heteroskedasticity (H): 2.92 Skew: 0.06
Prob(H) (two-sided): 0.32 Kurtosis: 1.38
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.7271237449927, Current Price: 155.14
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.930
Date: Wed, 09 Oct 2024 AIC 51.859
Time: 14:39:58 BIC 54.684
Sample: 0 HQIC 51.279
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6550 0.900 0.727 0.467 -1.110 2.420
ma.L1 -1.3208 1.319 -1.002 0.317 -3.906 1.264
ar.S.L7 -0.0097 0.064 -0.151 0.880 -0.135 0.116
ma.S.L7 1.0001 5175.624 0.000 1.000 -1.01e+04 1.01e+04
sigma2 0.5118 2649.200 0.000 1.000 -5191.824 5192.848
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 1.37
Prob(Q): 0.79 Prob(JB): 0.50
Heteroskedasticity (H): 0.79 Skew: 0.06
Prob(H) (two-sided): 0.82 Kurtosis: 1.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.32139122586477, Current Price: 154.13
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.985
Date: Wed, 09 Oct 2024 AIC 49.971
Time: 14:39:58 BIC 52.796
Sample: 0 HQIC 49.390
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2935 0.926 -0.317 0.751 -2.108 1.521
ma.L1 0.5875 0.689 0.853 0.394 -0.763 1.938
ar.S.L7 0.4443 1.501 0.296 0.767 -2.497 3.386
ma.S.L7 0.0665 1.283 0.052 0.959 -2.449 2.582
sigma2 1.2640 0.904 1.399 0.162 -0.507 3.035
===================================================================================
Ljung-Box (L1) (Q): 0.26 Jarque-Bera (JB): 0.20
Prob(Q): 0.61 Prob(JB): 0.91
Heteroskedasticity (H): 0.80 Skew: 0.25
Prob(H) (two-sided): 0.83 Kurtosis: 2.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 157.12323411956817, Current Price: 155.55
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.912
Date: Wed, 09 Oct 2024 AIC 47.825
Time: 14:39:58 BIC 50.649
Sample: 0 HQIC 47.244
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5396 0.224 2.406 0.016 0.100 0.979
ma.L1 -0.2639 0.455 -0.580 0.562 -1.156 0.628
ar.S.L7 0.4695 0.292 1.609 0.108 -0.102 1.041
ma.S.L7 -1.0001 1.24e+04 -8.1e-05 1.000 -2.42e+04 2.42e+04
sigma2 0.6239 7706.498 8.1e-05 1.000 -1.51e+04 1.51e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.31
Prob(Q): 0.93 Prob(JB): 0.52
Heteroskedasticity (H): 0.34 Skew: 0.75
Prob(H) (two-sided): 0.32 Kurtosis: 2.57
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 156.3692994704164, Current Price: 156.3
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.736
Date: Wed, 09 Oct 2024 AIC 45.473
Time: 14:39:58 BIC 48.298
Sample: 0 HQIC 44.892
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5697 0.522 1.090 0.276 -0.454 1.594
ma.L1 -0.2372 0.600 -0.395 0.692 -1.413 0.938
ar.S.L7 0.4763 0.232 2.050 0.040 0.021 0.932
ma.S.L7 -1.0001 1.64e+04 -6.08e-05 1.000 -3.22e+04 3.22e+04
sigma2 0.5222 8586.155 6.08e-05 1.000 -1.68e+04 1.68e+04
===================================================================================
Ljung-Box (L1) (Q): 1.32 Jarque-Bera (JB): 1.93
Prob(Q): 0.25 Prob(JB): 0.38
Heteroskedasticity (H): 0.37 Skew: 0.94
Prob(H) (two-sided): 0.35 Kurtosis: 2.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 156.96417316272158, Current Price: 156.28
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.281
Date: Wed, 09 Oct 2024 AIC 36.562
Time: 14:39:58 BIC 39.387
Sample: 0 HQIC 35.982
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3300 0.597 0.553 0.580 -0.840 1.500
ma.L1 0.2084 0.617 0.338 0.735 -1.000 1.417
ar.S.L7 0.4720 0.138 3.419 0.001 0.201 0.743
ma.S.L7 -1.0000 1.01e+04 -9.87e-05 1.000 -1.99e+04 1.99e+04
sigma2 0.2729 2765.491 9.87e-05 1.000 -5419.990 5420.535
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 2.32
Prob(Q): 0.74 Prob(JB): 0.31
Heteroskedasticity (H): 0.72 Skew: 1.01
Prob(H) (two-sided): 0.76 Kurtosis: 3.40
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.92957840328958, Current Price: 156.48
SELL EXECUTED at 156.48
SELL ORDER COMPLETED at 156.36
OPERATION PROFIT, GROSS -1.2399999999999807, NET -1.5539599999999807
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.283
Date: Wed, 09 Oct 2024 AIC 40.565
Time: 14:39:58 BIC 43.390
Sample: 0 HQIC 39.985
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2371 0.815 0.291 0.771 -1.361 1.835
ma.L1 0.2060 0.873 0.236 0.813 -1.505 1.917
ar.S.L7 0.4555 0.193 2.356 0.018 0.077 0.835
ma.S.L7 -1.0000 4.09e+04 -2.45e-05 1.000 -8.01e+04 8.01e+04
sigma2 0.3702 1.51e+04 2.45e-05 1.000 -2.97e+04 2.97e+04
===================================================================================
Ljung-Box (L1) (Q): 0.65 Jarque-Bera (JB): 1.21
Prob(Q): 0.42 Prob(JB): 0.55
Heteroskedasticity (H): 0.19 Skew: 0.69
Prob(H) (two-sided): 0.14 Kurtosis: 2.42
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.4694036966573, Current Price: 156.99
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.317
Date: Wed, 09 Oct 2024 AIC 44.635
Time: 14:39:58 BIC 47.459
Sample: 0 HQIC 44.054
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2607 1.140 0.229 0.819 -1.974 2.496
ma.L1 0.2722 1.074 0.253 0.800 -1.834 2.378
ar.S.L7 0.3009 0.132 2.284 0.022 0.043 0.559
ma.S.L7 -1.0002 8161.115 -0.000 1.000 -1.6e+04 1.6e+04
sigma2 0.5062 4131.667 0.000 1.000 -8097.413 8098.425
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.28
Prob(Q): 1.00 Prob(JB): 0.87
Heteroskedasticity (H): 0.48 Skew: 0.22
Prob(H) (two-sided): 0.50 Kurtosis: 2.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 156.56483941104466, Current Price: 157.18
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.406
Date: Wed, 09 Oct 2024 AIC 44.813
Time: 14:39:58 BIC 47.638
Sample: 0 HQIC 44.232
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3262 0.853 0.382 0.702 -1.345 1.998
ma.L1 0.2667 0.930 0.287 0.774 -1.555 2.089
ar.S.L7 0.2894 0.132 2.200 0.028 0.032 0.547
ma.S.L7 -1.0001 1.35e+04 -7.4e-05 1.000 -2.65e+04 2.65e+04
sigma2 0.5132 6939.012 7.4e-05 1.000 -1.36e+04 1.36e+04
===================================================================================
Ljung-Box (L1) (Q): 0.32 Jarque-Bera (JB): 0.09
Prob(Q): 0.57 Prob(JB): 0.96
Heteroskedasticity (H): 0.36 Skew: -0.08
Prob(H) (two-sided): 0.35 Kurtosis: 2.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 157.36873468309363, Current Price: 155.99
BUY EXECUTED at 155.99
BUY ORDER COMPLETED at 155.06
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.108
Date: Wed, 09 Oct 2024 AIC 38.216
Time: 14:39:58 BIC 41.041
Sample: 0 HQIC 37.636
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4083 0.452 0.903 0.367 -0.478 1.295
ma.L1 0.3745 0.343 1.092 0.275 -0.298 1.047
ar.S.L7 -0.0889 0.169 -0.527 0.598 -0.420 0.242
ma.S.L7 0.2159 0.430 0.502 0.616 -0.628 1.059
sigma2 0.5038 0.302 1.667 0.095 -0.088 1.096
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.59
Prob(Q): 0.84 Prob(JB): 0.75
Heteroskedasticity (H): 2.35 Skew: 0.07
Prob(H) (two-sided): 0.43 Kurtosis: 1.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 156.9295550111994, Current Price: 155.13
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.979
Date: Wed, 09 Oct 2024 AIC 35.958
Time: 14:39:58 BIC 38.783
Sample: 0 HQIC 35.377
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3327 0.461 0.721 0.471 -0.572 1.237
ma.L1 1.0000 2e+04 5e-05 1.000 -3.92e+04 3.92e+04
ar.S.L7 0.0827 0.069 1.204 0.229 -0.052 0.217
ma.S.L7 -1.0001 6507.157 -0.000 1.000 -1.28e+04 1.28e+04
sigma2 0.2403 5684.175 4.23e-05 1.000 -1.11e+04 1.11e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.89
Prob(Q): 0.85 Prob(JB): 0.64
Heteroskedasticity (H): 2.65 Skew: -0.50
Prob(H) (two-sided): 0.37 Kurtosis: 2.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 154.10167660200725, Current Price: 155.63
SELL EXECUTED at 155.63
SELL ORDER COMPLETED at 155.85
OPERATION PROFIT, GROSS 0.789999999999992, NET 0.479089999999992
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.542
Date: Wed, 09 Oct 2024 AIC 41.084
Time: 14:39:58 BIC 43.909
Sample: 0 HQIC 40.503
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0655 0.538 0.122 0.903 -0.989 1.120
ma.L1 1.0000 8068.014 0.000 1.000 -1.58e+04 1.58e+04
ar.S.L7 0.0832 0.144 0.578 0.563 -0.199 0.365
ma.S.L7 -0.6197 1.504 -0.412 0.680 -3.568 2.329
sigma2 0.4922 3971.281 0.000 1.000 -7783.076 7784.060
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.52
Prob(Q): 0.81 Prob(JB): 0.77
Heteroskedasticity (H): 2.93 Skew: 0.12
Prob(H) (two-sided): 0.32 Kurtosis: 2.05
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 156.8651555394735, Current Price: 156.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.955
Date: Wed, 09 Oct 2024 AIC 39.910
Time: 14:39:58 BIC 42.735
Sample: 0 HQIC 39.330
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0575 0.616 0.093 0.926 -1.149 1.264
ma.L1 1.0000 4.31e+04 2.32e-05 1.000 -8.45e+04 8.45e+04
ar.S.L7 0.0908 0.177 0.514 0.607 -0.256 0.437
ma.S.L7 -0.3378 0.878 -0.385 0.700 -2.059 1.383
sigma2 0.5035 2.17e+04 2.32e-05 1.000 -4.26e+04 4.26e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.31
Prob(Q): 0.95 Prob(JB): 0.86
Heteroskedasticity (H): 4.43 Skew: 0.02
Prob(H) (two-sided): 0.18 Kurtosis: 2.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 156.56178907104032, Current Price: 156.72
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.296
Date: Wed, 09 Oct 2024 AIC 40.593
Time: 14:39:58 BIC 43.418
Sample: 0 HQIC 40.012
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0012 0.484 -0.003 0.998 -0.949 0.947
ma.L1 1.0000 8086.091 0.000 1.000 -1.58e+04 1.58e+04
ar.S.L7 0.0829 0.299 0.278 0.781 -0.502 0.668
ma.S.L7 -1.0004 2012.393 -0.000 1.000 -3945.219 3943.218
sigma2 0.3471 3234.851 0.000 1.000 -6339.843 6340.538
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.70
Prob(Q): 0.82 Prob(JB): 0.71
Heteroskedasticity (H): 2.24 Skew: -0.37
Prob(H) (two-sided): 0.45 Kurtosis: 2.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 156.9003028973499, Current Price: 157.26
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.336
Date: Wed, 09 Oct 2024 AIC 40.672
Time: 14:39:58 BIC 43.497
Sample: 0 HQIC 40.091
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0107 0.489 0.022 0.983 -0.947 0.969
ma.L1 1.0000 1.4e+04 7.13e-05 1.000 -2.75e+04 2.75e+04
ar.S.L7 0.0744 0.350 0.212 0.832 -0.612 0.761
ma.S.L7 -0.4245 0.784 -0.541 0.588 -1.961 1.112
sigma2 0.5225 7330.070 7.13e-05 1.000 -1.44e+04 1.44e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.72
Prob(Q): 0.87 Prob(JB): 0.70
Heteroskedasticity (H): 0.72 Skew: -0.32
Prob(H) (two-sided): 0.76 Kurtosis: 2.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 157.20309209239772, Current Price: 158.83
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.423
Date: Wed, 09 Oct 2024 AIC 40.845
Time: 14:39:58 BIC 43.670
Sample: 0 HQIC 40.264
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0915 0.412 -0.222 0.824 -0.899 0.716
ma.L1 1.0000 2.72e+04 3.67e-05 1.000 -5.34e+04 5.34e+04
ar.S.L7 -0.0648 0.506 -0.128 0.898 -1.057 0.927
ma.S.L7 0.3626 0.691 0.525 0.600 -0.991 1.717
sigma2 0.5102 1.39e+04 3.67e-05 1.000 -2.72e+04 2.72e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.64
Prob(Q): 0.93 Prob(JB): 0.73
Heteroskedasticity (H): 1.91 Skew: -0.54
Prob(H) (two-sided): 0.55 Kurtosis: 2.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 158.54293262033536, Current Price: 160.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.066
Date: Wed, 09 Oct 2024 AIC 40.133
Time: 14:39:58 BIC 42.957
Sample: 0 HQIC 39.552
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3409 0.527 0.647 0.518 -0.693 1.374
ma.L1 0.9333 0.432 2.159 0.031 0.086 1.781
ar.S.L7 -0.5254 0.907 -0.579 0.562 -2.303 1.252
ma.S.L7 -1.3023 7.867 -0.166 0.869 -16.721 14.117
sigma2 0.2531 2.027 0.125 0.901 -3.720 4.227
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.06
Prob(Q): 0.74 Prob(JB): 0.97
Heteroskedasticity (H): 8.25 Skew: -0.15
Prob(H) (two-sided): 0.07 Kurtosis: 3.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.68177020488503, Current Price: 161.89
BUY EXECUTED at 161.89
BUY ORDER COMPLETED at 161.87
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.546
Date: Wed, 09 Oct 2024 AIC 43.092
Time: 14:39:58 BIC 45.917
Sample: 0 HQIC 42.512
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2819 0.296 0.951 0.341 -0.299 0.862
ma.L1 1.0000 1.08e+04 9.28e-05 1.000 -2.11e+04 2.11e+04
ar.S.L7 -0.3734 0.431 -0.867 0.386 -1.217 0.471
ma.S.L7 -0.1424 0.761 -0.187 0.852 -1.633 1.349
sigma2 0.6527 7032.548 9.28e-05 1.000 -1.38e+04 1.38e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.58
Prob(Q): 0.90 Prob(JB): 0.75
Heteroskedasticity (H): 2.63 Skew: -0.49
Prob(H) (two-sided): 0.37 Kurtosis: 2.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.38180326708806, Current Price: 161.97
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.137
Date: Wed, 09 Oct 2024 AIC 42.273
Time: 14:39:58 BIC 45.098
Sample: 0 HQIC 41.693
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2926 0.321 0.912 0.362 -0.336 0.921
ma.L1 1.0000 6524.449 0.000 1.000 -1.28e+04 1.28e+04
ar.S.L7 -0.3930 0.324 -1.213 0.225 -1.028 0.242
ma.S.L7 -0.3574 0.749 -0.478 0.633 -1.824 1.110
sigma2 0.5962 3889.539 0.000 1.000 -7622.759 7623.952
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.14
Prob(Q): 0.79 Prob(JB): 0.93
Heteroskedasticity (H): 1.19 Skew: -0.15
Prob(H) (two-sided): 0.87 Kurtosis: 2.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.94886747408066, Current Price: 161.36
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.421
Date: Wed, 09 Oct 2024 AIC 42.841
Time: 14:39:58 BIC 45.666
Sample: 0 HQIC 42.261
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3066 0.350 0.876 0.381 -0.379 0.992
ma.L1 1.0000 8268.450 0.000 1.000 -1.62e+04 1.62e+04
ar.S.L7 -0.2655 0.457 -0.581 0.561 -1.160 0.629
ma.S.L7 -0.4101 1.036 -0.396 0.692 -2.440 1.620
sigma2 0.6136 5074.272 0.000 1.000 -9944.777 9946.004
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.43
Prob(Q): 0.77 Prob(JB): 0.81
Heteroskedasticity (H): 0.26 Skew: 0.19
Prob(H) (two-sided): 0.22 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.65507139765384, Current Price: 161.64
SELL EXECUTED at 161.64
SELL ORDER COMPLETED at 161.6
OPERATION PROFIT, GROSS -0.27000000000001023, NET -0.5934700000000103
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.769
Date: Wed, 09 Oct 2024 AIC 43.537
Time: 14:39:58 BIC 46.362
Sample: 0 HQIC 42.957
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2402 0.269 0.893 0.372 -0.287 0.768
ma.L1 1.0000 7301.499 0.000 1.000 -1.43e+04 1.43e+04
ar.S.L7 -0.2813 0.391 -0.720 0.471 -1.047 0.484
ma.S.L7 -0.2575 0.754 -0.341 0.733 -1.736 1.221
sigma2 0.6704 4894.880 0.000 1.000 -9593.118 9594.459
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.56
Prob(Q): 0.87 Prob(JB): 0.75
Heteroskedasticity (H): 0.32 Skew: 0.06
Prob(H) (two-sided): 0.30 Kurtosis: 1.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.8678243471137, Current Price: 160.59
BUY EXECUTED at 160.59
BUY ORDER COMPLETED at 161.26
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10051.995
Date: Wed, 09 Oct 2024 AIC 20113.989
Time: 14:39:58 BIC 20116.814
Sample: 0 HQIC 20113.409
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1469 0.000 -313.026 0.000 -0.148 -0.146
ma.L1 0.9581 0.002 477.264 0.000 0.954 0.962
ar.S.L7 -53.0000 0.836 -63.369 0.000 -54.639 -51.361
ma.S.L7 -3.311e-05 0.001 -0.061 0.951 -0.001 0.001
sigma2 1.1223 0.035 32.117 0.000 1.054 1.191
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.61
Prob(Q): 0.95 Prob(JB): 0.74
Heteroskedasticity (H): 0.39 Skew: -0.44
Prob(H) (two-sided): 0.38 Kurtosis: 2.40
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 85.45605657370513, Current Price: 160.52
SELL EXECUTED at 160.52
SELL ORDER COMPLETED at 161.14
OPERATION PROFIT, GROSS -0.12000000000000455, NET -0.4424000000000045
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.991
Date: Wed, 09 Oct 2024 AIC 47.983
Time: 14:39:58 BIC 50.808
Sample: 0 HQIC 47.402
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2156 0.609 0.354 0.723 -0.978 1.409
ma.L1 0.5679 0.634 0.896 0.370 -0.675 1.810
ar.S.L7 -0.4411 1.574 -0.280 0.779 -3.526 2.644
ma.S.L7 -0.1879 1.358 -0.138 0.890 -2.849 2.473
sigma2 1.0687 0.794 1.345 0.179 -0.488 2.626
===================================================================================
Ljung-Box (L1) (Q): 0.24 Jarque-Bera (JB): 0.74
Prob(Q): 0.62 Prob(JB): 0.69
Heteroskedasticity (H): 1.34 Skew: -0.41
Prob(H) (two-sided): 0.78 Kurtosis: 2.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.74772912503948, Current Price: 164.22
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.590
Date: Wed, 09 Oct 2024 AIC 49.179
Time: 14:39:58 BIC 52.004
Sample: 0 HQIC 48.598
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0217 0.520 -0.042 0.967 -1.042 0.998
ma.L1 0.9999 236.794 0.004 0.997 -463.108 465.107
ar.S.L7 3.294e-07 0.018 1.87e-05 1.000 -0.034 0.034
ma.S.L7 -0.0363 0.441 -0.082 0.934 -0.900 0.828
sigma2 1.1149 263.918 0.004 0.997 -516.155 518.385
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 1.35
Prob(Q): 0.81 Prob(JB): 0.51
Heteroskedasticity (H): 8.94 Skew: -0.78
Prob(H) (two-sided): 0.06 Kurtosis: 3.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.97140847181817, Current Price: 164.48
BUY EXECUTED at 164.48
BUY ORDER COMPLETED at 164.12
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.426
Date: Wed, 09 Oct 2024 AIC 52.852
Time: 14:39:58 BIC 55.677
Sample: 0 HQIC 52.271
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2938 0.628 -0.468 0.640 -1.524 0.937
ma.L1 1.0000 1.41e+04 7.11e-05 1.000 -2.76e+04 2.76e+04
ar.S.L7 -0.0161 3.322 -0.005 0.996 -6.528 6.496
ma.S.L7 -0.2718 3.928 -0.069 0.945 -7.970 7.427
sigma2 1.4046 1.98e+04 7.11e-05 1.000 -3.87e+04 3.87e+04
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 0.30
Prob(Q): 0.64 Prob(JB): 0.86
Heteroskedasticity (H): 6.64 Skew: -0.20
Prob(H) (two-sided): 0.09 Kurtosis: 2.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.1194451339016, Current Price: 164.31
SELL EXECUTED at 164.31
SELL ORDER COMPLETED at 165.16
OPERATION PROFIT, GROSS 1.039999999999992, NET 0.710719999999992
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.058
Date: Wed, 09 Oct 2024 AIC 54.117
Time: 14:39:58 BIC 56.942
Sample: 0 HQIC 53.536
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4162 0.450 -0.924 0.355 -1.299 0.467
ma.L1 1.0000 1.21e+04 8.24e-05 1.000 -2.38e+04 2.38e+04
ar.S.L7 -0.1765 0.670 -0.263 0.792 -1.490 1.137
ma.S.L7 0.0030 1.101 0.003 0.998 -2.155 2.161
sigma2 1.5664 1.9e+04 8.24e-05 1.000 -3.72e+04 3.72e+04
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.40
Prob(Q): 0.79 Prob(JB): 0.82
Heteroskedasticity (H): 1.00 Skew: -0.10
Prob(H) (two-sided): 1.00 Kurtosis: 2.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.92266864847574, Current Price: 164.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.016
Date: Wed, 09 Oct 2024 AIC 54.031
Time: 14:39:59 BIC 56.856
Sample: 0 HQIC 53.451
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4080 0.456 -0.894 0.371 -1.302 0.486
ma.L1 1.0000 7401.990 0.000 1.000 -1.45e+04 1.45e+04
ar.S.L7 -0.1537 0.722 -0.213 0.831 -1.569 1.261
ma.S.L7 -0.0226 1.175 -0.019 0.985 -2.325 2.280
sigma2 1.5604 1.15e+04 0.000 1.000 -2.26e+04 2.26e+04
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.44
Prob(Q): 0.75 Prob(JB): 0.80
Heteroskedasticity (H): 1.01 Skew: -0.11
Prob(H) (two-sided): 0.99 Kurtosis: 2.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.69175599646212, Current Price: 168.44
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.586
Date: Wed, 09 Oct 2024 AIC 59.172
Time: 14:39:59 BIC 61.997
Sample: 0 HQIC 58.592
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0416 0.996 0.042 0.967 -1.910 1.993
ma.L1 2.3857 6.180 0.386 0.699 -9.727 14.499
ar.S.L7 -0.2764 0.728 -0.379 0.704 -1.704 1.151
ma.S.L7 0.3386 1.767 0.192 0.848 -3.124 3.802
sigma2 0.4304 2.598 0.166 0.868 -4.662 5.523
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.69
Prob(Q): 0.91 Prob(JB): 0.71
Heteroskedasticity (H): 1.88 Skew: -0.04
Prob(H) (two-sided): 0.56 Kurtosis: 1.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.58936732363483, Current Price: 167.29
BUY EXECUTED at 167.29
BUY ORDER COMPLETED at 168.22
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.245
Date: Wed, 09 Oct 2024 AIC 58.489
Time: 14:39:59 BIC 61.314
Sample: 0 HQIC 57.909
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1108 1.131 -0.098 0.922 -2.328 2.106
ma.L1 0.4485 1.166 0.385 0.700 -1.836 2.733
ar.S.L7 -0.3692 0.499 -0.740 0.459 -1.347 0.608
ma.S.L7 0.6113 1.629 0.375 0.707 -2.581 3.804
sigma2 2.0437 2.307 0.886 0.376 -2.478 6.565
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 0.75
Prob(Q): 0.65 Prob(JB): 0.69
Heteroskedasticity (H): 1.91 Skew: 0.35
Prob(H) (two-sided): 0.55 Kurtosis: 2.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.41167125556555, Current Price: 167.9
SELL EXECUTED at 167.9
SELL ORDER COMPLETED at 168.84
OPERATION PROFIT, GROSS 0.6200000000000045, NET 0.2829400000000045
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.346
Date: Wed, 09 Oct 2024 AIC 54.693
Time: 14:39:59 BIC 57.518
Sample: 0 HQIC 54.112
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5341 2.194 -0.243 0.808 -4.834 3.766
ma.L1 0.5493 2.706 0.203 0.839 -4.754 5.852
ar.S.L7 -0.5861 1.027 -0.570 0.568 -2.600 1.427
ma.S.L7 1.0000 6.19e+04 1.61e-05 1.000 -1.21e+05 1.21e+05
sigma2 1.0510 6.51e+04 1.61e-05 1.000 -1.28e+05 1.28e+05
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 2.12
Prob(Q): 0.97 Prob(JB): 0.35
Heteroskedasticity (H): 8.86 Skew: 0.95
Prob(H) (two-sided): 0.06 Kurtosis: 3.55
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.66466706255352, Current Price: 167.92
BUY EXECUTED at 167.92
BUY ORDER COMPLETED at 167.87
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.786
Date: Wed, 09 Oct 2024 AIC 57.573
Time: 14:39:59 BIC 60.397
Sample: 0 HQIC 56.992
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4949 0.180 2.755 0.006 0.143 0.847
ma.L1 -1.0000 4656.017 -0.000 1.000 -9126.626 9124.626
ar.S.L7 -0.1887 0.774 -0.244 0.807 -1.705 1.327
ma.S.L7 -0.3979 0.873 -0.456 0.649 -2.110 1.314
sigma2 1.8094 8424.874 0.000 1.000 -1.65e+04 1.65e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.22
Prob(Q): 0.91 Prob(JB): 0.54
Heteroskedasticity (H): 3.47 Skew: 0.74
Prob(H) (two-sided): 0.26 Kurtosis: 3.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.77762055895502, Current Price: 171.31
SELL EXECUTED at 171.31
SELL ORDER COMPLETED at 171.89
OPERATION PROFIT, GROSS 4.019999999999982, NET 3.6802399999999817
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.429
Date: Wed, 09 Oct 2024 AIC 58.857
Time: 14:39:59 BIC 61.682
Sample: 0 HQIC 58.277
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2838 1.028 0.276 0.782 -1.731 2.299
ma.L1 -0.7753 0.870 -0.892 0.373 -2.480 0.929
ar.S.L7 -0.2820 0.405 -0.697 0.486 -1.075 0.511
ma.S.L7 -0.5023 2.099 -0.239 0.811 -4.617 3.612
sigma2 2.1882 1.855 1.180 0.238 -1.447 5.824
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.69
Prob(Q): 1.00 Prob(JB): 0.71
Heteroskedasticity (H): 1.03 Skew: 0.54
Prob(H) (two-sided): 0.98 Kurtosis: 2.69
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.58911752986324, Current Price: 171.8
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.043
Date: Wed, 09 Oct 2024 AIC 58.087
Time: 14:39:59 BIC 60.911
Sample: 0 HQIC 57.506
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3080 1.084 0.284 0.776 -1.816 2.432
ma.L1 -1.4032 1.719 -0.816 0.414 -4.772 1.966
ar.S.L7 -0.2525 0.484 -0.522 0.602 -1.200 0.696
ma.S.L7 -1.0001 8553.973 -0.000 1.000 -1.68e+04 1.68e+04
sigma2 0.7138 6105.193 0.000 1.000 -1.2e+04 1.2e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.71
Prob(Q): 0.90 Prob(JB): 0.70
Heteroskedasticity (H): 0.94 Skew: 0.55
Prob(H) (two-sided): 0.95 Kurtosis: 2.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.4827112719803, Current Price: 170.4
BUY EXECUTED at 170.4
BUY ORDER COMPLETED at 170.81
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.220
Date: Wed, 09 Oct 2024 AIC 58.439
Time: 14:39:59 BIC 61.264
Sample: 0 HQIC 57.858
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3037 0.798 0.380 0.704 -1.261 1.868
ma.L1 -0.7820 0.707 -1.105 0.269 -2.169 0.605
ar.S.L7 -0.2672 0.531 -0.503 0.615 -1.308 0.773
ma.S.L7 -1.0002 7143.578 -0.000 1.000 -1.4e+04 1.4e+04
sigma2 1.4240 1.02e+04 0.000 1.000 -1.99e+04 1.99e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.56
Prob(Q): 0.85 Prob(JB): 0.76
Heteroskedasticity (H): 1.14 Skew: 0.48
Prob(H) (two-sided): 0.90 Kurtosis: 2.69
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.99628113218327, Current Price: 171.72
SELL EXECUTED at 171.72
SELL ORDER COMPLETED at 171.88
OPERATION PROFIT, GROSS 1.0699999999999932, NET 0.7273099999999931
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.933
Date: Wed, 09 Oct 2024 AIC 57.866
Time: 14:39:59 BIC 60.690
Sample: 0 HQIC 57.285
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2565 0.822 0.312 0.755 -1.354 1.867
ma.L1 -0.7036 0.719 -0.978 0.328 -2.114 0.706
ar.S.L7 -0.2316 0.469 -0.494 0.621 -1.150 0.687
ma.S.L7 -0.7494 3.515 -0.213 0.831 -7.638 6.139
sigma2 1.7402 4.985 0.349 0.727 -8.030 11.510
===================================================================================
Ljung-Box (L1) (Q): 0.45 Jarque-Bera (JB): 0.44
Prob(Q): 0.50 Prob(JB): 0.80
Heteroskedasticity (H): 1.13 Skew: 0.45
Prob(H) (two-sided): 0.91 Kurtosis: 3.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.18915367166173, Current Price: 171.74
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.991
Date: Wed, 09 Oct 2024 AIC 55.982
Time: 14:39:59 BIC 58.807
Sample: 0 HQIC 55.402
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3629 0.598 0.607 0.544 -0.809 1.535
ma.L1 -1.2786 1.233 -1.037 0.300 -3.696 1.139
ar.S.L7 -0.2060 0.375 -0.549 0.583 -0.941 0.529
ma.S.L7 -1.0001 1.83e+04 -5.45e-05 1.000 -3.59e+04 3.59e+04
sigma2 0.7226 1.32e+04 5.45e-05 1.000 -2.6e+04 2.6e+04
===================================================================================
Ljung-Box (L1) (Q): 0.33 Jarque-Bera (JB): 0.81
Prob(Q): 0.57 Prob(JB): 0.67
Heteroskedasticity (H): 0.58 Skew: 0.57
Prob(H) (two-sided): 0.61 Kurtosis: 3.45
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 172.21982503515474, Current Price: 171.47
BUY EXECUTED at 171.47
BUY ORDER COMPLETED at 172.93
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.489
Date: Wed, 09 Oct 2024 AIC 52.977
Time: 14:39:59 BIC 55.802
Sample: 0 HQIC 52.397
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5663 0.462 1.225 0.221 -0.340 1.472
ma.L1 -1.0000 1.22e+04 -8.21e-05 1.000 -2.39e+04 2.39e+04
ar.S.L7 -0.7495 0.591 -1.269 0.204 -1.907 0.408
ma.S.L7 -0.1559 0.494 -0.316 0.752 -1.124 0.812
sigma2 1.3355 1.63e+04 8.21e-05 1.000 -3.19e+04 3.19e+04
===================================================================================
Ljung-Box (L1) (Q): 0.64 Jarque-Bera (JB): 1.41
Prob(Q): 0.42 Prob(JB): 0.49
Heteroskedasticity (H): 0.22 Skew: 0.78
Prob(H) (two-sided): 0.17 Kurtosis: 3.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 174.25134241520843, Current Price: 171.96
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.829
Date: Wed, 09 Oct 2024 AIC 55.658
Time: 14:39:59 BIC 58.483
Sample: 0 HQIC 55.078
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2888 1.550 0.186 0.852 -2.750 3.327
ma.L1 -0.5448 1.672 -0.326 0.745 -3.822 2.733
ar.S.L7 -0.3718 1.025 -0.363 0.717 -2.381 1.638
ma.S.L7 -0.6691 3.428 -0.195 0.845 -7.389 6.051
sigma2 1.5783 4.649 0.340 0.734 -7.533 10.690
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.49
Prob(Q): 0.89 Prob(JB): 0.78
Heteroskedasticity (H): 0.49 Skew: 0.47
Prob(H) (two-sided): 0.51 Kurtosis: 2.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.14797139167098, Current Price: 171.05
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.895
Date: Wed, 09 Oct 2024 AIC 55.789
Time: 14:39:59 BIC 58.614
Sample: 0 HQIC 55.209
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2816 0.913 0.309 0.758 -1.507 2.070
ma.L1 -1.0000 4141.764 -0.000 1.000 -8118.709 8116.709
ar.S.L7 -1.0940 0.235 -4.646 0.000 -1.555 -0.633
ma.S.L7 1.0002 8927.711 0.000 1.000 -1.75e+04 1.75e+04
sigma2 1.1330 1.02e+04 0.000 1.000 -2e+04 2e+04
===================================================================================
Ljung-Box (L1) (Q): 0.24 Jarque-Bera (JB): 0.25
Prob(Q): 0.63 Prob(JB): 0.88
Heteroskedasticity (H): 1.96 Skew: 0.19
Prob(H) (two-sided): 0.53 Kurtosis: 2.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 172.94343939782306, Current Price: 170.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.036
Date: Wed, 09 Oct 2024 AIC 58.071
Time: 14:39:59 BIC 60.896
Sample: 0 HQIC 57.490
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3440 0.538 0.639 0.523 -0.711 1.398
ma.L1 -1.0000 3062.887 -0.000 1.000 -6004.149 6002.149
ar.S.L7 -1.1437 0.207 -5.537 0.000 -1.549 -0.739
ma.S.L7 0.5548 2.305 0.241 0.810 -3.964 5.073
sigma2 1.9252 5898.411 0.000 1.000 -1.16e+04 1.16e+04
===================================================================================
Ljung-Box (L1) (Q): 1.26 Jarque-Bera (JB): 0.87
Prob(Q): 0.26 Prob(JB): 0.65
Heteroskedasticity (H): 1.26 Skew: 0.33
Prob(H) (two-sided): 0.83 Kurtosis: 1.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.0024795158664, Current Price: 169.81
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.619
Date: Wed, 09 Oct 2024 AIC 55.238
Time: 14:39:59 BIC 58.063
Sample: 0 HQIC 54.658
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3357 3.044 0.110 0.912 -5.630 6.302
ma.L1 -0.4272 3.092 -0.138 0.890 -6.487 5.633
ar.S.L7 -0.8077 0.341 -2.366 0.018 -1.477 -0.138
ma.S.L7 0.1056 0.640 0.165 0.869 -1.149 1.360
sigma2 1.8931 1.168 1.621 0.105 -0.395 4.181
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 0.58
Prob(Q): 0.65 Prob(JB): 0.75
Heteroskedasticity (H): 1.15 Skew: 0.43
Prob(H) (two-sided): 0.89 Kurtosis: 2.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.0942571071921, Current Price: 172.34
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.884
Date: Wed, 09 Oct 2024 AIC 53.769
Time: 14:39:59 BIC 56.594
Sample: 0 HQIC 53.188
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0050 1.655 0.003 0.998 -3.239 3.250
ma.L1 0.2420 1.845 0.131 0.896 -3.374 3.858
ar.S.L7 -0.9301 0.369 -2.520 0.012 -1.653 -0.207
ma.S.L7 0.2494 0.772 0.323 0.747 -1.263 1.762
sigma2 1.6549 0.878 1.886 0.059 -0.065 3.375
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 1.01
Prob(Q): 0.75 Prob(JB): 0.60
Heteroskedasticity (H): 0.36 Skew: 0.67
Prob(H) (two-sided): 0.35 Kurtosis: 3.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.48609932127385, Current Price: 171.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.014
Date: Wed, 09 Oct 2024 AIC 54.028
Time: 14:39:59 BIC 56.853
Sample: 0 HQIC 53.448
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4701 0.614 0.765 0.444 -0.734 1.674
ma.L1 -0.3142 1.073 -0.293 0.770 -2.418 1.789
ar.S.L7 -0.8559 0.348 -2.461 0.014 -1.537 -0.174
ma.S.L7 0.2775 1.185 0.234 0.815 -2.045 2.600
sigma2 1.6616 1.222 1.360 0.174 -0.733 4.056
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.42
Prob(Q): 0.97 Prob(JB): 0.81
Heteroskedasticity (H): 0.13 Skew: 0.42
Prob(H) (two-sided): 0.07 Kurtosis: 2.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 172.2693123792712, Current Price: 172.295
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.922
Date: Wed, 09 Oct 2024 AIC 47.843
Time: 14:39:59 BIC 50.668
Sample: 0 HQIC 47.263
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4898 0.277 -1.770 0.077 -1.032 0.053
ma.L1 1.0000 2.2e+04 4.54e-05 1.000 -4.32e+04 4.32e+04
ar.S.L7 -0.7902 0.282 -2.804 0.005 -1.343 -0.238
ma.S.L7 0.1022 0.911 0.112 0.911 -1.683 1.888
sigma2 0.9061 2e+04 4.54e-05 1.000 -3.91e+04 3.91e+04
===================================================================================
Ljung-Box (L1) (Q): 0.69 Jarque-Bera (JB): 0.39
Prob(Q): 0.40 Prob(JB): 0.82
Heteroskedasticity (H): 0.24 Skew: 0.37
Prob(H) (two-sided): 0.19 Kurtosis: 3.42
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 172.2069667556202, Current Price: 172.1
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.227
Date: Wed, 09 Oct 2024 AIC 44.454
Time: 14:39:59 BIC 47.279
Sample: 0 HQIC 43.874
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4876 0.416 1.172 0.241 -0.328 1.303
ma.L1 -0.0297 0.426 -0.070 0.944 -0.865 0.805
ar.S.L7 -0.5913 0.194 -3.043 0.002 -0.972 -0.210
ma.S.L7 -0.2149 0.421 -0.510 0.610 -1.041 0.611
sigma2 0.7956 0.618 1.287 0.198 -0.416 2.007
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.74
Prob(Q): 0.92 Prob(JB): 0.69
Heteroskedasticity (H): 0.25 Skew: 0.23
Prob(H) (two-sided): 0.21 Kurtosis: 1.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.74159583990456, Current Price: 172.41
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.235
Date: Wed, 09 Oct 2024 AIC 42.469
Time: 14:39:59 BIC 45.294
Sample: 0 HQIC 41.889
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1574 0.561 0.281 0.779 -0.942 1.256
ma.L1 1.0000 3516.688 0.000 1.000 -6891.581 6893.581
ar.S.L7 -0.7550 0.078 -9.720 0.000 -0.907 -0.603
ma.S.L7 -0.1489 0.534 -0.279 0.781 -1.196 0.899
sigma2 0.6246 2196.525 0.000 1.000 -4304.486 4305.735
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.63
Prob(Q): 0.72 Prob(JB): 0.73
Heteroskedasticity (H): 1.74 Skew: 0.02
Prob(H) (two-sided): 0.61 Kurtosis: 1.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.97639938195093, Current Price: 173.61
SELL EXECUTED at 173.61
SELL ORDER COMPLETED at 172.87
OPERATION PROFIT, GROSS -0.060000000000002274, NET -0.40580000000000227
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.628
Date: Wed, 09 Oct 2024 AIC 45.256
Time: 14:39:59 BIC 48.081
Sample: 0 HQIC 44.676
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9219 0.462 1.995 0.046 0.016 1.828
ma.L1 -1.0000 1.23e+04 -8.1e-05 1.000 -2.42e+04 2.42e+04
ar.S.L7 -0.5982 0.106 -5.636 0.000 -0.806 -0.390
ma.S.L7 0.4127 1.039 0.397 0.691 -1.623 2.448
sigma2 0.7183 8863.915 8.1e-05 1.000 -1.74e+04 1.74e+04
===================================================================================
Ljung-Box (L1) (Q): 1.42 Jarque-Bera (JB): 0.21
Prob(Q): 0.23 Prob(JB): 0.90
Heteroskedasticity (H): 0.64 Skew: -0.31
Prob(H) (two-sided): 0.68 Kurtosis: 3.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 172.11689619771875, Current Price: 172.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.744
Date: Wed, 09 Oct 2024 AIC 41.488
Time: 14:39:59 BIC 44.313
Sample: 0 HQIC 40.908
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2019 0.779 0.259 0.795 -1.325 1.728
ma.L1 0.2940 0.876 0.336 0.737 -1.423 2.011
ar.S.L7 -0.6110 0.101 -6.070 0.000 -0.808 -0.414
ma.S.L7 1.0000 3.42e+04 2.92e-05 1.000 -6.71e+04 6.71e+04
sigma2 0.3974 1.36e+04 2.92e-05 1.000 -2.67e+04 2.67e+04
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.47
Prob(Q): 0.82 Prob(JB): 0.79
Heteroskedasticity (H): 0.38 Skew: -0.02
Prob(H) (two-sided): 0.37 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 174.39786982585372, Current Price: 172.05
BUY EXECUTED at 172.05
BUY ORDER COMPLETED at 171.86
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.710
Date: Wed, 09 Oct 2024 AIC 49.420
Time: 14:39:59 BIC 52.245
Sample: 0 HQIC 48.839
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3530 1.757 0.201 0.841 -3.091 3.797
ma.L1 -14.6007 379.393 -0.038 0.969 -758.196 728.995
ar.S.L7 -0.6360 0.159 -3.995 0.000 -0.948 -0.324
ma.S.L7 0.4858 1.635 0.297 0.766 -2.719 3.691
sigma2 0.0051 0.266 0.019 0.985 -0.516 0.526
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.59
Prob(Q): 0.85 Prob(JB): 0.75
Heteroskedasticity (H): 1.43 Skew: -0.48
Prob(H) (two-sided): 0.74 Kurtosis: 2.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.19232894237953, Current Price: 170.99
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.365
Date: Wed, 09 Oct 2024 AIC 48.729
Time: 14:39:59 BIC 51.554
Sample: 0 HQIC 48.148
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9078 0.168 5.418 0.000 0.579 1.236
ma.L1 -1.0000 6630.118 -0.000 1.000 -1.3e+04 1.3e+04
ar.S.L7 -0.6649 0.132 -5.041 0.000 -0.923 -0.406
ma.S.L7 1.0001 1.61e+04 6.2e-05 1.000 -3.16e+04 3.16e+04
sigma2 0.6129 1.16e+04 5.28e-05 1.000 -2.28e+04 2.28e+04
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 0.79
Prob(Q): 0.65 Prob(JB): 0.67
Heteroskedasticity (H): 1.26 Skew: -0.46
Prob(H) (two-sided): 0.83 Kurtosis: 2.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.002030423668, Current Price: 170.84
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.578
Date: Wed, 09 Oct 2024 AIC 45.156
Time: 14:39:59 BIC 47.980
Sample: 0 HQIC 44.575
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8572 0.122 7.047 0.000 0.619 1.096
ma.L1 -1.0000 5620.602 -0.000 1.000 -1.1e+04 1.1e+04
ar.S.L7 -0.6955 0.140 -4.955 0.000 -0.971 -0.420
ma.S.L7 0.2616 0.783 0.334 0.738 -1.272 1.795
sigma2 0.7417 4168.314 0.000 1.000 -8169.003 8170.487
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.17
Prob(Q): 0.97 Prob(JB): 0.56
Heteroskedasticity (H): 3.82 Skew: -0.67
Prob(H) (two-sided): 0.22 Kurtosis: 2.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.2008335261004, Current Price: 171.32
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.150
Date: Wed, 09 Oct 2024 AIC 40.300
Time: 14:39:59 BIC 43.125
Sample: 0 HQIC 39.719
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3451 0.893 -0.387 0.699 -2.095 1.404
ma.L1 1.0000 1.35e+05 7.39e-06 1.000 -2.65e+05 2.65e+05
ar.S.L7 -0.6340 0.122 -5.186 0.000 -0.874 -0.394
ma.S.L7 0.3360 1.057 0.318 0.751 -1.737 2.408
sigma2 0.5009 6.78e+04 7.39e-06 1.000 -1.33e+05 1.33e+05
===================================================================================
Ljung-Box (L1) (Q): 0.77 Jarque-Bera (JB): 0.21
Prob(Q): 0.38 Prob(JB): 0.90
Heteroskedasticity (H): 3.12 Skew: -0.10
Prob(H) (two-sided): 0.30 Kurtosis: 3.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.91155711212483, Current Price: 170.06
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.506
Date: Wed, 09 Oct 2024 AIC 43.012
Time: 14:40:00 BIC 45.837
Sample: 0 HQIC 42.431
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2280 2.438 0.094 0.925 -4.550 5.006
ma.L1 -11.9039 328.052 -0.036 0.971 -654.873 631.066
ar.S.L7 -0.6513 0.224 -2.904 0.004 -1.091 -0.212
ma.S.L7 0.4655 1.164 0.400 0.689 -1.817 2.748
sigma2 0.0047 0.258 0.018 0.986 -0.500 0.510
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 2.66
Prob(Q): 0.99 Prob(JB): 0.26
Heteroskedasticity (H): 1.45 Skew: -0.87
Prob(H) (two-sided): 0.73 Kurtosis: 4.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.73111420682073, Current Price: 168.35
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.022
Date: Wed, 09 Oct 2024 AIC 46.044
Time: 14:40:00 BIC 48.868
Sample: 0 HQIC 45.463
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.0373 0.273 3.806 0.000 0.503 1.572
ma.L1 -1.0000 1.6e+04 -6.24e-05 1.000 -3.14e+04 3.14e+04
ar.S.L7 -0.5242 0.252 -2.083 0.037 -1.017 -0.031
ma.S.L7 -1.0017 384.584 -0.003 0.998 -754.772 752.768
sigma2 0.4530 7239.366 6.26e-05 1.000 -1.42e+04 1.42e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.89
Prob(Q): 0.94 Prob(JB): 0.39
Heteroskedasticity (H): 4.19 Skew: -0.89
Prob(H) (two-sided): 0.19 Kurtosis: 3.57
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.43795334112883, Current Price: 169.42
SELL EXECUTED at 169.42
SELL ORDER COMPLETED at 169.21
OPERATION PROFIT, GROSS -2.6500000000000057, NET -2.991070000000006
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.985
Date: Wed, 09 Oct 2024 AIC 51.970
Time: 14:40:00 BIC 54.795
Sample: 0 HQIC 51.389
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0632 0.420 0.150 0.880 -0.760 0.887
ma.L1 -19.7992 0.001 -1.56e+04 0.000 -19.802 -19.797
ar.S.L7 -0.4888 0.448 -1.090 0.276 -1.367 0.390
ma.S.L7 -1.3659 7.525 -0.182 0.856 -16.114 13.382
sigma2 0.0016 0.012 0.126 0.900 -0.023 0.026
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 0.08
Prob(Q): 0.64 Prob(JB): 0.96
Heteroskedasticity (H): 11.31 Skew: 0.18
Prob(H) (two-sided): 0.04 Kurtosis: 3.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 8.84e+19. Standard errors may be unstable.
Predicted Price: 171.90162798903597, Current Price: 169.54
BUY EXECUTED at 169.54
BUY ORDER COMPLETED at 168.8
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.568
Date: Wed, 09 Oct 2024 AIC 51.136
Time: 14:40:00 BIC 53.960
Sample: 0 HQIC 50.555
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0557 3.441 -0.016 0.987 -6.800 6.689
ma.L1 -3.8899 50.951 -0.076 0.939 -103.753 95.973
ar.S.L7 -0.7616 0.206 -3.695 0.000 -1.166 -0.358
ma.S.L7 1.7396 7.035 0.247 0.805 -12.049 15.528
sigma2 0.0259 0.786 0.033 0.974 -1.514 1.566
===================================================================================
Ljung-Box (L1) (Q): 0.81 Jarque-Bera (JB): 0.96
Prob(Q): 0.37 Prob(JB): 0.62
Heteroskedasticity (H): 1.52 Skew: -0.34
Prob(H) (two-sided): 0.69 Kurtosis: 1.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.42805829307423, Current Price: 168.7891
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.497
Date: Wed, 09 Oct 2024 AIC 50.994
Time: 14:40:00 BIC 53.819
Sample: 0 HQIC 50.413
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0950 3.071 -0.031 0.975 -6.115 5.925
ma.L1 -3.9988 48.652 -0.082 0.934 -99.354 91.356
ar.S.L7 -0.7282 0.209 -3.490 0.000 -1.137 -0.319
ma.S.L7 1.7387 7.680 0.226 0.821 -13.315 16.792
sigma2 0.0243 0.694 0.035 0.972 -1.335 1.384
===================================================================================
Ljung-Box (L1) (Q): 0.70 Jarque-Bera (JB): 1.06
Prob(Q): 0.40 Prob(JB): 0.59
Heteroskedasticity (H): 1.73 Skew: -0.38
Prob(H) (two-sided): 0.61 Kurtosis: 1.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.87060741994213, Current Price: 166.97
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.937
Date: Wed, 09 Oct 2024 AIC 53.873
Time: 14:40:00 BIC 56.698
Sample: 0 HQIC 53.293
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9140 0.421 2.172 0.030 0.089 1.739
ma.L1 -1.0000 3.13e+04 -3.2e-05 1.000 -6.13e+04 6.13e+04
ar.S.L7 -0.6741 0.279 -2.417 0.016 -1.221 -0.128
ma.S.L7 0.4208 1.018 0.413 0.679 -1.574 2.416
sigma2 1.3896 4.35e+04 3.2e-05 1.000 -8.52e+04 8.52e+04
===================================================================================
Ljung-Box (L1) (Q): 2.32 Jarque-Bera (JB): 0.34
Prob(Q): 0.13 Prob(JB): 0.84
Heteroskedasticity (H): 1.15 Skew: 0.05
Prob(H) (two-sided): 0.90 Kurtosis: 2.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.07700323560087, Current Price: 167.58
SELL EXECUTED at 167.58
SELL ORDER COMPLETED at 166.04
OPERATION PROFIT, GROSS -2.7600000000000193, NET -3.094840000000019
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.904
Date: Wed, 09 Oct 2024 AIC 49.808
Time: 14:40:00 BIC 52.633
Sample: 0 HQIC 49.227
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2882 1.156 -0.249 0.803 -2.554 1.977
ma.L1 -0.1471 1.229 -0.120 0.905 -2.555 2.261
ar.S.L7 -0.8786 0.169 -5.205 0.000 -1.209 -0.548
ma.S.L7 1.0000 2.15e+04 4.64e-05 1.000 -4.22e+04 4.22e+04
sigma2 0.7537 1.62e+04 4.64e-05 1.000 -3.18e+04 3.18e+04
===================================================================================
Ljung-Box (L1) (Q): 0.91 Jarque-Bera (JB): 0.77
Prob(Q): 0.34 Prob(JB): 0.68
Heteroskedasticity (H): 0.79 Skew: -0.19
Prob(H) (two-sided): 0.83 Kurtosis: 1.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.08507663964144, Current Price: 165.4258
BUY EXECUTED at 165.4258
BUY ORDER COMPLETED at 165.78
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.847
Date: Wed, 09 Oct 2024 AIC 53.695
Time: 14:40:00 BIC 56.519
Sample: 0 HQIC 53.114
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9378 0.230 4.085 0.000 0.488 1.388
ma.L1 -1.0000 9896.703 -0.000 1.000 -1.94e+04 1.94e+04
ar.S.L7 -0.6622 0.303 -2.189 0.029 -1.255 -0.069
ma.S.L7 0.1848 0.719 0.257 0.797 -1.225 1.594
sigma2 1.4448 1.43e+04 0.000 1.000 -2.8e+04 2.8e+04
===================================================================================
Ljung-Box (L1) (Q): 4.15 Jarque-Bera (JB): 0.34
Prob(Q): 0.04 Prob(JB): 0.84
Heteroskedasticity (H): 1.60 Skew: 0.21
Prob(H) (two-sided): 0.66 Kurtosis: 2.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 165.05730334368718, Current Price: 164.8603
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.505
Date: Wed, 09 Oct 2024 AIC 55.011
Time: 14:40:00 BIC 57.835
Sample: 0 HQIC 54.430
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9598 0.421 2.279 0.023 0.134 1.785
ma.L1 -1.0000 3.3e+04 -3.03e-05 1.000 -6.48e+04 6.48e+04
ar.S.L7 -0.6630 0.532 -1.247 0.212 -1.705 0.379
ma.S.L7 0.2773 1.062 0.261 0.794 -1.804 2.358
sigma2 1.5784 5.22e+04 3.03e-05 1.000 -1.02e+05 1.02e+05
===================================================================================
Ljung-Box (L1) (Q): 2.90 Jarque-Bera (JB): 0.22
Prob(Q): 0.09 Prob(JB): 0.89
Heteroskedasticity (H): 1.03 Skew: 0.21
Prob(H) (two-sided): 0.98 Kurtosis: 2.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.8893370780092, Current Price: 166.02
SELL EXECUTED at 166.02
SELL ORDER COMPLETED at 166.23
OPERATION PROFIT, GROSS 0.44999999999998863, NET 0.1179899999999886
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.676
Date: Wed, 09 Oct 2024 AIC 47.352
Time: 14:40:00 BIC 50.177
Sample: 0 HQIC 46.771
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7956 0.219 3.631 0.000 0.366 1.225
ma.L1 -1.0000 1.02e+04 -9.85e-05 1.000 -1.99e+04 1.99e+04
ar.S.L7 -0.4506 0.319 -1.411 0.158 -1.076 0.175
ma.S.L7 1.0004 3241.810 0.000 1.000 -6352.830 6354.831
sigma2 0.5511 7071.190 7.79e-05 1.000 -1.39e+04 1.39e+04
===================================================================================
Ljung-Box (L1) (Q): 0.80 Jarque-Bera (JB): 0.70
Prob(Q): 0.37 Prob(JB): 0.70
Heteroskedasticity (H): 2.97 Skew: -0.48
Prob(H) (two-sided): 0.32 Kurtosis: 2.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.11755737534753, Current Price: 165.93
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.922
Date: Wed, 09 Oct 2024 AIC 45.843
Time: 14:40:00 BIC 48.668
Sample: 0 HQIC 45.263
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3171 1.070 -0.296 0.767 -2.414 1.780
ma.L1 -15.6880 186.010 -0.084 0.933 -380.262 348.886
ar.S.L7 -0.5820 0.217 -2.680 0.007 -1.008 -0.156
ma.S.L7 0.9723 27.288 0.036 0.972 -52.512 54.457
sigma2 0.0023 0.087 0.027 0.979 -0.168 0.173
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.32
Prob(Q): 0.89 Prob(JB): 0.52
Heteroskedasticity (H): 0.46 Skew: -0.66
Prob(H) (two-sided): 0.48 Kurtosis: 2.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 165.19867638841453, Current Price: 166.83
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.295
Date: Wed, 09 Oct 2024 AIC 52.591
Time: 14:40:00 BIC 55.416
Sample: 0 HQIC 52.010
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2979 2.026 -0.147 0.883 -4.268 3.672
ma.L1 0.0163 1.780 0.009 0.993 -3.472 3.505
ar.S.L7 -0.3179 0.635 -0.501 0.617 -1.563 0.927
ma.S.L7 -16.7736 258.590 -0.065 0.948 -523.600 490.053
sigma2 0.0055 0.171 0.032 0.974 -0.330 0.341
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.53
Prob(Q): 0.91 Prob(JB): 0.77
Heteroskedasticity (H): 0.37 Skew: -0.44
Prob(H) (two-sided): 0.36 Kurtosis: 2.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 165.15891755087816, Current Price: 166.07
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.876
Date: Wed, 09 Oct 2024 AIC 51.752
Time: 14:40:00 BIC 54.577
Sample: 0 HQIC 51.172
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6192 0.299 2.072 0.038 0.033 1.205
ma.L1 -1.0000 6596.322 -0.000 1.000 -1.29e+04 1.29e+04
ar.S.L7 -0.2774 0.313 -0.886 0.375 -0.891 0.336
ma.S.L7 0.0237 0.767 0.031 0.975 -1.479 1.526
sigma2 1.2474 8228.616 0.000 1.000 -1.61e+04 1.61e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.38
Prob(Q): 0.87 Prob(JB): 0.83
Heteroskedasticity (H): 0.38 Skew: -0.11
Prob(H) (two-sided): 0.37 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.14643966514208, Current Price: 162.6
BUY EXECUTED at 162.6
BUY ORDER COMPLETED at 163.12
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.897
Date: Wed, 09 Oct 2024 AIC 63.794
Time: 14:40:00 BIC 66.618
Sample: 0 HQIC 63.213
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6369 3.361 -0.190 0.850 -7.224 5.950
ma.L1 1.6560 9.105 0.182 0.856 -16.190 19.502
ar.S.L7 -0.7737 1.110 -0.697 0.486 -2.949 1.402
ma.S.L7 -0.2928 1.946 -0.150 0.880 -4.106 3.521
sigma2 1.5624 17.845 0.088 0.930 -33.414 36.539
===================================================================================
Ljung-Box (L1) (Q): 0.67 Jarque-Bera (JB): 0.46
Prob(Q): 0.41 Prob(JB): 0.79
Heteroskedasticity (H): 2.05 Skew: 0.09
Prob(H) (two-sided): 0.50 Kurtosis: 2.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.90192902941416, Current Price: 163.23
SELL EXECUTED at 163.23
SELL ORDER COMPLETED at 163.91
OPERATION PROFIT, GROSS 0.789999999999992, NET 0.462969999999992
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.299
Date: Wed, 09 Oct 2024 AIC 50.599
Time: 14:40:01 BIC 53.424
Sample: 0 HQIC 50.018
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0125 0.751 -0.017 0.987 -1.485 1.460
ma.L1 -1.0000 9027.833 -0.000 1.000 -1.77e+04 1.77e+04
ar.S.L7 0.0039 0.040 0.098 0.922 -0.075 0.083
ma.S.L7 -0.2825 0.559 -0.505 0.613 -1.378 0.813
sigma2 1.1184 1.01e+04 0.000 1.000 -1.98e+04 1.98e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.29
Prob(Q): 0.85 Prob(JB): 0.87
Heteroskedasticity (H): 6.68 Skew: 0.29
Prob(H) (two-sided): 0.09 Kurtosis: 2.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.02861796066367, Current Price: 166.3
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.863
Date: Wed, 09 Oct 2024 AIC 59.727
Time: 14:40:01 BIC 62.552
Sample: 0 HQIC 59.146
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1486 1.229 0.121 0.904 -2.259 2.556
ma.L1 -1.0000 1.3e+04 -7.72e-05 1.000 -2.54e+04 2.54e+04
ar.S.L7 -0.2360 0.412 -0.573 0.566 -1.043 0.571
ma.S.L7 -1.0003 4259.863 -0.000 1.000 -8350.178 8348.178
sigma2 1.3723 2.2e+04 6.23e-05 1.000 -4.32e+04 4.32e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.18
Prob(Q): 0.87 Prob(JB): 0.91
Heteroskedasticity (H): 10.36 Skew: 0.29
Prob(H) (two-sided): 0.04 Kurtosis: 3.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.1101743241681, Current Price: 166.49
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.138
Date: Wed, 09 Oct 2024 AIC 60.277
Time: 14:40:01 BIC 63.101
Sample: 0 HQIC 59.696
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5459 0.298 -1.829 0.067 -1.131 0.039
ma.L1 1.0000 7438.473 0.000 1.000 -1.46e+04 1.46e+04
ar.S.L7 -0.6264 0.379 -1.652 0.099 -1.370 0.117
ma.S.L7 -1.0001 7996.761 -0.000 1.000 -1.57e+04 1.57e+04
sigma2 1.4824 1.69e+04 8.77e-05 1.000 -3.31e+04 3.31e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.15
Prob(Q): 0.89 Prob(JB): 0.93
Heteroskedasticity (H): 4.16 Skew: -0.07
Prob(H) (two-sided): 0.20 Kurtosis: 2.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 165.8819492014565, Current Price: 167.99
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.969
Date: Wed, 09 Oct 2024 AIC 61.938
Time: 14:40:01 BIC 64.763
Sample: 0 HQIC 61.357
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5375 0.394 -1.365 0.172 -1.309 0.234
ma.L1 1.0000 1.15e+04 8.66e-05 1.000 -2.26e+04 2.26e+04
ar.S.L7 -0.5621 0.477 -1.179 0.239 -1.497 0.373
ma.S.L7 -0.5463 1.609 -0.339 0.734 -3.701 2.608
sigma2 2.4460 2.82e+04 8.66e-05 1.000 -5.53e+04 5.53e+04
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 0.42
Prob(Q): 0.65 Prob(JB): 0.81
Heteroskedasticity (H): 3.49 Skew: -0.31
Prob(H) (two-sided): 0.25 Kurtosis: 2.38
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.19841833957994, Current Price: 167.82
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.180
Date: Wed, 09 Oct 2024 AIC 62.360
Time: 14:40:01 BIC 65.185
Sample: 0 HQIC 61.779
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1857 1.086 0.171 0.864 -1.942 2.314
ma.L1 -0.5156 0.988 -0.522 0.602 -2.453 1.422
ar.S.L7 -0.0438 1.250 -0.035 0.972 -2.494 2.406
ma.S.L7 -0.0296 1.628 -0.018 0.985 -3.219 3.160
sigma2 3.2828 1.651 1.988 0.047 0.046 6.520
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 0.48
Prob(Q): 0.68 Prob(JB): 0.79
Heteroskedasticity (H): 10.89 Skew: -0.29
Prob(H) (two-sided): 0.04 Kurtosis: 3.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.92132430286887, Current Price: 167.45
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.149
Date: Wed, 09 Oct 2024 AIC 62.298
Time: 14:40:01 BIC 65.122
Sample: 0 HQIC 61.717
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0474 0.846 0.056 0.955 -1.611 1.706
ma.L1 -0.4553 0.770 -0.592 0.554 -1.964 1.053
ar.S.L7 0.0669 0.980 0.068 0.946 -1.854 1.987
ma.S.L7 0.1085 1.518 0.071 0.943 -2.867 3.084
sigma2 3.2544 1.867 1.743 0.081 -0.405 6.914
===================================================================================
Ljung-Box (L1) (Q): 0.42 Jarque-Bera (JB): 0.40
Prob(Q): 0.52 Prob(JB): 0.82
Heteroskedasticity (H): 2.45 Skew: -0.32
Prob(H) (two-sided): 0.41 Kurtosis: 3.58
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.2697612373124, Current Price: 167.1
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.302
Date: Wed, 09 Oct 2024 AIC 62.604
Time: 14:40:01 BIC 65.429
Sample: 0 HQIC 62.023
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3069 2.455 0.125 0.901 -4.505 5.119
ma.L1 -0.4701 2.261 -0.208 0.835 -4.902 3.962
ar.S.L7 -0.4095 1.625 -0.252 0.801 -3.594 2.775
ma.S.L7 -0.3477 2.114 -0.164 0.869 -4.492 3.796
sigma2 3.1811 2.588 1.229 0.219 -1.890 8.253
===================================================================================
Ljung-Box (L1) (Q): 0.26 Jarque-Bera (JB): 3.61
Prob(Q): 0.61 Prob(JB): 0.16
Heteroskedasticity (H): 1.27 Skew: -0.67
Prob(H) (two-sided): 0.82 Kurtosis: 5.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 165.7910244555168, Current Price: 167.14
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.442
Date: Wed, 09 Oct 2024 AIC 62.883
Time: 14:40:01 BIC 65.708
Sample: 0 HQIC 62.302
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1981 2.563 0.077 0.938 -4.825 5.221
ma.L1 -0.3513 2.463 -0.143 0.887 -5.180 4.477
ar.S.L7 -0.3413 0.985 -0.347 0.729 -2.271 1.589
ma.S.L7 -0.4156 1.887 -0.220 0.826 -4.114 3.282
sigma2 3.1734 3.025 1.049 0.294 -2.756 9.103
===================================================================================
Ljung-Box (L1) (Q): 0.35 Jarque-Bera (JB): 4.51
Prob(Q): 0.56 Prob(JB): 0.10
Heteroskedasticity (H): 0.80 Skew: -0.73
Prob(H) (two-sided): 0.84 Kurtosis: 5.49
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.1008437932278, Current Price: 166.09
BUY EXECUTED at 166.09
BUY ORDER COMPLETED at 165.74
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.602
Date: Wed, 09 Oct 2024 AIC 63.203
Time: 14:40:01 BIC 66.028
Sample: 0 HQIC 62.623
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1038 2.080 0.050 0.960 -3.972 4.180
ma.L1 -0.3039 2.085 -0.146 0.884 -4.391 3.783
ar.S.L7 -0.2517 0.946 -0.266 0.790 -2.107 1.603
ma.S.L7 -1.0002 5050.728 -0.000 1.000 -9900.245 9898.245
sigma2 2.1120 1.07e+04 0.000 1.000 -2.09e+04 2.09e+04
===================================================================================
Ljung-Box (L1) (Q): 0.33 Jarque-Bera (JB): 2.64
Prob(Q): 0.56 Prob(JB): 0.27
Heteroskedasticity (H): 0.22 Skew: -0.42
Prob(H) (two-sided): 0.17 Kurtosis: 5.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.96966225288972, Current Price: 165.88
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.101
Date: Wed, 09 Oct 2024 AIC 62.202
Time: 14:40:01 BIC 65.027
Sample: 0 HQIC 61.622
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2511 1.889 0.133 0.894 -3.451 3.953
ma.L1 -0.4568 2.007 -0.228 0.820 -4.391 3.478
ar.S.L7 -0.2599 1.029 -0.253 0.801 -2.276 1.756
ma.S.L7 -1.0000 2.69e+04 -3.71e-05 1.000 -5.28e+04 5.28e+04
sigma2 1.9547 5.26e+04 3.71e-05 1.000 -1.03e+05 1.03e+05
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 1.09
Prob(Q): 0.72 Prob(JB): 0.58
Heteroskedasticity (H): 0.30 Skew: -0.66
Prob(H) (two-sided): 0.27 Kurtosis: 3.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.21230871886027, Current Price: 167.87
SELL EXECUTED at 167.87
SELL ORDER COMPLETED at 167.75
OPERATION PROFIT, GROSS 2.009999999999991, NET 1.6765099999999908
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.212
Date: Wed, 09 Oct 2024 AIC 62.424
Time: 14:40:01 BIC 65.249
Sample: 0 HQIC 61.843
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1761 1.355 0.130 0.897 -2.480 2.833
ma.L1 -0.4508 1.437 -0.314 0.754 -3.267 2.365
ar.S.L7 -0.1806 1.122 -0.161 0.872 -2.380 2.018
ma.S.L7 -1.0001 1.48e+04 -6.76e-05 1.000 -2.9e+04 2.9e+04
sigma2 1.9878 2.94e+04 6.76e-05 1.000 -5.76e+04 5.76e+04
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 0.97
Prob(Q): 0.64 Prob(JB): 0.62
Heteroskedasticity (H): 0.29 Skew: -0.64
Prob(H) (two-sided): 0.26 Kurtosis: 3.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.5259684638553, Current Price: 167.39
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.533
Date: Wed, 09 Oct 2024 AIC 61.065
Time: 14:40:01 BIC 63.890
Sample: 0 HQIC 60.485
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0967 1.033 0.094 0.925 -1.927 2.121
ma.L1 -0.4529 1.045 -0.434 0.665 -2.500 1.594
ar.S.L7 -0.1950 0.668 -0.292 0.770 -1.504 1.114
ma.S.L7 -1.0001 1.81e+04 -5.54e-05 1.000 -3.54e+04 3.54e+04
sigma2 1.7908 3.23e+04 5.54e-05 1.000 -6.34e+04 6.34e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.50
Prob(Q): 0.96 Prob(JB): 0.78
Heteroskedasticity (H): 0.14 Skew: -0.38
Prob(H) (two-sided): 0.08 Kurtosis: 3.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.3505631200576, Current Price: 167.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.754
Date: Wed, 09 Oct 2024 AIC 57.508
Time: 14:40:01 BIC 60.332
Sample: 0 HQIC 56.927
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1472 0.992 0.148 0.882 -1.797 2.092
ma.L1 -0.4639 0.817 -0.568 0.570 -2.065 1.137
ar.S.L7 -0.2139 0.995 -0.215 0.830 -2.163 1.736
ma.S.L7 -1.0001 1.49e+04 -6.72e-05 1.000 -2.92e+04 2.92e+04
sigma2 1.3617 2.03e+04 6.72e-05 1.000 -3.97e+04 3.97e+04
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.40
Prob(Q): 0.81 Prob(JB): 0.82
Heteroskedasticity (H): 0.28 Skew: 0.41
Prob(H) (two-sided): 0.24 Kurtosis: 3.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.06473258008444, Current Price: 169.61
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.097
Date: Wed, 09 Oct 2024 AIC 52.195
Time: 14:40:01 BIC 55.020
Sample: 0 HQIC 51.614
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4884 0.250 -1.955 0.051 -0.978 0.001
ma.L1 1.0000 2517.045 0.000 1.000 -4932.318 4934.318
ar.S.L7 5.671e-06 0.053 0.000 1.000 -0.103 0.103
ma.S.L7 -1.0019 81.807 -0.012 0.990 -161.340 159.336
sigma2 1.0295 2631.955 0.000 1.000 -5157.508 5159.567
===================================================================================
Ljung-Box (L1) (Q): 2.79 Jarque-Bera (JB): 2.30
Prob(Q): 0.10 Prob(JB): 0.32
Heteroskedasticity (H): 3.09 Skew: -0.92
Prob(H) (two-sided): 0.30 Kurtosis: 3.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.62672483329328, Current Price: 169.43
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.735
Date: Wed, 09 Oct 2024 AIC 57.470
Time: 14:40:01 BIC 60.295
Sample: 0 HQIC 56.889
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1130 2.502 0.045 0.964 -4.791 5.017
ma.L1 -0.2227 2.372 -0.094 0.925 -4.873 4.427
ar.S.L7 -0.3769 0.375 -1.005 0.315 -1.112 0.358
ma.S.L7 -0.0592 0.521 -0.114 0.909 -1.080 0.961
sigma2 2.2531 1.026 2.196 0.028 0.242 4.264
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.34
Prob(Q): 0.97 Prob(JB): 0.84
Heteroskedasticity (H): 4.68 Skew: 0.32
Prob(H) (two-sided): 0.16 Kurtosis: 3.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.0330828331109, Current Price: 168.71
BUY EXECUTED at 168.71
BUY ORDER COMPLETED at 165.43
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.812
Date: Wed, 09 Oct 2024 AIC 53.624
Time: 14:40:01 BIC 56.449
Sample: 0 HQIC 53.043
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5613 0.193 -2.904 0.004 -0.940 -0.182
ma.L1 1.0000 2.71e+04 3.69e-05 1.000 -5.32e+04 5.32e+04
ar.S.L7 -0.3402 0.325 -1.047 0.295 -0.977 0.297
ma.S.L7 0.2957 0.961 0.308 0.758 -1.587 2.179
sigma2 1.3356 3.62e+04 3.69e-05 1.000 -7.1e+04 7.1e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.32
Prob(Q): 0.89 Prob(JB): 0.85
Heteroskedasticity (H): 2.61 Skew: -0.34
Prob(H) (two-sided): 0.37 Kurtosis: 3.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.87147610925052, Current Price: 166.55
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.395
Date: Wed, 09 Oct 2024 AIC 50.791
Time: 14:40:01 BIC 53.615
Sample: 0 HQIC 50.210
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3844 0.423 0.909 0.363 -0.444 1.213
ma.L1 -1.0000 5965.771 -0.000 1.000 -1.17e+04 1.17e+04
ar.S.L7 -0.2936 0.097 -3.026 0.002 -0.484 -0.103
ma.S.L7 1.0000 4.47e+04 2.24e-05 1.000 -8.76e+04 8.76e+04
sigma2 0.7760 3.23e+04 2.4e-05 1.000 -6.33e+04 6.33e+04
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 0.98
Prob(Q): 0.65 Prob(JB): 0.61
Heteroskedasticity (H): 1.26 Skew: 0.29
Prob(H) (two-sided): 0.83 Kurtosis: 1.78
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.68285042449645, Current Price: 167.1817
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.198
Date: Wed, 09 Oct 2024 AIC 54.395
Time: 14:40:01 BIC 57.220
Sample: 0 HQIC 53.815
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3401 2.266 -0.150 0.881 -4.782 4.102
ma.L1 0.5529 1.942 0.285 0.776 -3.254 4.359
ar.S.L7 -0.2986 0.138 -2.161 0.031 -0.570 -0.028
ma.S.L7 1.0000 4.66e+05 2.15e-06 1.000 -9.14e+05 9.14e+05
sigma2 1.0710 4.99e+05 2.15e-06 1.000 -9.78e+05 9.78e+05
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.16
Prob(Q): 0.90 Prob(JB): 0.93
Heteroskedasticity (H): 0.73 Skew: -0.15
Prob(H) (two-sided): 0.77 Kurtosis: 2.55
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.53992053542666, Current Price: 166.05
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.581
Date: Wed, 09 Oct 2024 AIC 55.161
Time: 14:40:01 BIC 57.986
Sample: 0 HQIC 54.581
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3508 2.216 -0.158 0.874 -4.693 3.992
ma.L1 1.7473 5.692 0.307 0.759 -9.409 12.904
ar.S.L7 -0.3087 0.137 -2.262 0.024 -0.576 -0.041
ma.S.L7 1.0001 9185.804 0.000 1.000 -1.8e+04 1.8e+04
sigma2 0.3716 3413.842 0.000 1.000 -6690.635 6691.378
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.19
Prob(Q): 0.72 Prob(JB): 0.91
Heteroskedasticity (H): 0.80 Skew: -0.03
Prob(H) (two-sided): 0.84 Kurtosis: 2.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.17728848909795, Current Price: 166.1267
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.786
Date: Wed, 09 Oct 2024 AIC 53.572
Time: 14:40:01 BIC 56.397
Sample: 0 HQIC 52.991
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3792 3.132 -0.121 0.904 -6.518 5.759
ma.L1 0.5871 2.674 0.220 0.826 -4.653 5.827
ar.S.L7 -0.2418 0.154 -1.567 0.117 -0.544 0.061
ma.S.L7 1.0001 8141.216 0.000 1.000 -1.6e+04 1.6e+04
sigma2 1.0036 8170.448 0.000 1.000 -1.6e+04 1.6e+04
===================================================================================
Ljung-Box (L1) (Q): 0.24 Jarque-Bera (JB): 0.08
Prob(Q): 0.63 Prob(JB): 0.96
Heteroskedasticity (H): 0.78 Skew: -0.17
Prob(H) (two-sided): 0.82 Kurtosis: 2.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.98928828513775, Current Price: 164.42
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.000
Date: Wed, 09 Oct 2024 AIC 60.001
Time: 14:40:01 BIC 62.826
Sample: 0 HQIC 59.420
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1597 1.012 -0.158 0.875 -2.144 1.824
ma.L1 0.5215 0.990 0.527 0.598 -1.419 2.462
ar.S.L7 -0.2755 0.520 -0.530 0.596 -1.294 0.743
ma.S.L7 -0.1809 0.641 -0.282 0.778 -1.437 1.075
sigma2 2.7042 1.491 1.813 0.070 -0.219 5.627
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.52
Prob(Q): 0.79 Prob(JB): 0.77
Heteroskedasticity (H): 0.90 Skew: 0.49
Prob(H) (two-sided): 0.92 Kurtosis: 3.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.3625212764182, Current Price: 164.12
SELL EXECUTED at 164.12
SELL ORDER COMPLETED at 163.72
OPERATION PROFIT, GROSS -1.710000000000008, NET -2.0391500000000082
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.541
Date: Wed, 09 Oct 2024 AIC 53.082
Time: 14:40:01 BIC 55.907
Sample: 0 HQIC 52.501
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1541 2.002 0.077 0.939 -3.770 4.078
ma.L1 0.1368 2.104 0.065 0.948 -3.986 4.260
ar.S.L7 -0.0191 0.453 -0.042 0.966 -0.907 0.869
ma.S.L7 -1.0011 966.327 -0.001 0.999 -1894.966 1892.964
sigma2 0.9697 937.557 0.001 0.999 -1836.608 1838.548
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.07
Prob(Q): 0.84 Prob(JB): 0.97
Heteroskedasticity (H): 6.59 Skew: -0.07
Prob(H) (two-sided): 0.10 Kurtosis: 2.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.53273442089676, Current Price: 164.5
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.459
Date: Wed, 09 Oct 2024 AIC 52.919
Time: 14:40:01 BIC 55.744
Sample: 0 HQIC 52.338
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2115 1.726 0.122 0.903 -3.172 3.595
ma.L1 7.0048 90.119 0.078 0.938 -169.625 183.634
ar.S.L7 -0.0168 0.935 -0.018 0.986 -1.849 1.816
ma.S.L7 -0.9972 543.284 -0.002 0.999 -1065.814 1063.820
sigma2 0.0198 10.328 0.002 0.998 -20.222 20.261
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.09
Prob(Q): 0.77 Prob(JB): 0.96
Heteroskedasticity (H): 1.79 Skew: -0.14
Prob(H) (two-sided): 0.59 Kurtosis: 2.71
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.80782692776677, Current Price: 165.165
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.449
Date: Wed, 09 Oct 2024 AIC 52.898
Time: 14:40:01 BIC 55.723
Sample: 0 HQIC 52.318
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2350 1.957 0.120 0.904 -3.600 4.070
ma.L1 0.0164 1.979 0.008 0.993 -3.862 3.895
ar.S.L7 -0.1768 0.194 -0.911 0.362 -0.557 0.204
ma.S.L7 -1.0000 1.94e+04 -5.16e-05 1.000 -3.8e+04 3.8e+04
sigma2 0.9560 1.85e+04 5.16e-05 1.000 -3.63e+04 3.63e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.06
Prob(Q): 0.95 Prob(JB): 0.97
Heteroskedasticity (H): 0.70 Skew: 0.15
Prob(H) (two-sided): 0.74 Kurtosis: 2.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.86139444272956, Current Price: 165.8
BUY EXECUTED at 165.8
BUY ORDER COMPLETED at 165.45
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.361
Date: Wed, 09 Oct 2024 AIC 52.722
Time: 14:40:01 BIC 55.547
Sample: 0 HQIC 52.141
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0250 2.175 -0.011 0.991 -4.288 4.238
ma.L1 0.2274 2.324 0.098 0.922 -4.328 4.783
ar.S.L7 -0.2444 0.313 -0.782 0.434 -0.857 0.368
ma.S.L7 -1.0000 2.51e+04 -3.98e-05 1.000 -4.92e+04 4.92e+04
sigma2 0.9430 2.37e+04 3.98e-05 1.000 -4.64e+04 4.64e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.88
Prob(Q): 0.99 Prob(JB): 0.64
Heteroskedasticity (H): 0.42 Skew: 0.63
Prob(H) (two-sided): 0.42 Kurtosis: 2.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 165.28171413771642, Current Price: 165.65
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.514
Date: Wed, 09 Oct 2024 AIC 53.028
Time: 14:40:01 BIC 55.853
Sample: 0 HQIC 52.447
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0145 2.739 -0.005 0.996 -5.383 5.354
ma.L1 0.1911 2.838 0.067 0.946 -5.371 5.753
ar.S.L7 -0.2334 0.249 -0.937 0.349 -0.722 0.255
ma.S.L7 -1.0000 1.66e+04 -6.01e-05 1.000 -3.26e+04 3.26e+04
sigma2 0.9653 1.61e+04 6.01e-05 1.000 -3.15e+04 3.15e+04
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 1.03
Prob(Q): 0.70 Prob(JB): 0.60
Heteroskedasticity (H): 0.36 Skew: 0.69
Prob(H) (two-sided): 0.35 Kurtosis: 2.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 165.5810811715577, Current Price: 165.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.389
Date: Wed, 09 Oct 2024 AIC 44.777
Time: 14:40:01 BIC 47.602
Sample: 0 HQIC 44.197
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0948 1.498 -0.063 0.950 -3.030 2.841
ma.L1 0.2450 1.556 0.157 0.875 -2.804 3.294
ar.S.L7 -0.4404 0.283 -1.557 0.119 -0.995 0.114
ma.S.L7 -1.0000 1.45e+04 -6.91e-05 1.000 -2.84e+04 2.83e+04
sigma2 0.5118 7402.865 6.91e-05 1.000 -1.45e+04 1.45e+04
===================================================================================
Ljung-Box (L1) (Q): 0.24 Jarque-Bera (JB): 1.01
Prob(Q): 0.63 Prob(JB): 0.60
Heteroskedasticity (H): 0.49 Skew: 0.07
Prob(H) (two-sided): 0.50 Kurtosis: 1.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.28886801402788, Current Price: 164.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.009
Date: Wed, 09 Oct 2024 AIC 48.018
Time: 14:40:01 BIC 50.843
Sample: 0 HQIC 47.437
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0708 1.045 -0.068 0.946 -2.119 1.977
ma.L1 0.3009 1.213 0.248 0.804 -2.077 2.679
ar.S.L7 -0.4127 0.480 -0.859 0.390 -1.354 0.528
ma.S.L7 -1.0001 1.25e+04 -8.02e-05 1.000 -2.44e+04 2.44e+04
sigma2 0.6567 8190.139 8.02e-05 1.000 -1.61e+04 1.61e+04
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.86
Prob(Q): 0.72 Prob(JB): 0.65
Heteroskedasticity (H): 1.42 Skew: -0.12
Prob(H) (two-sided): 0.74 Kurtosis: 1.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.9876559215238, Current Price: 164.13
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.884
Date: Wed, 09 Oct 2024 AIC 51.769
Time: 14:40:01 BIC 54.593
Sample: 0 HQIC 51.188
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0552 2.174 0.025 0.980 -4.206 4.317
ma.L1 0.2805 2.335 0.120 0.904 -4.297 4.858
ar.S.L7 -0.6303 0.639 -0.987 0.324 -1.882 0.621
ma.S.L7 0.0417 0.762 0.055 0.956 -1.451 1.535
sigma2 1.4541 1.545 0.941 0.347 -1.575 4.483
===================================================================================
Ljung-Box (L1) (Q): 0.72 Jarque-Bera (JB): 0.97
Prob(Q): 0.39 Prob(JB): 0.62
Heteroskedasticity (H): 1.60 Skew: -0.30
Prob(H) (two-sided): 0.66 Kurtosis: 1.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.05081521749466, Current Price: 164.44
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.072
Date: Wed, 09 Oct 2024 AIC 42.143
Time: 14:40:01 BIC 44.968
Sample: 0 HQIC 41.563
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5426 0.142 3.809 0.000 0.263 0.822
ma.L1 -1.0000 1.48e+04 -6.75e-05 1.000 -2.9e+04 2.9e+04
ar.S.L7 -0.6647 0.155 -4.290 0.000 -0.968 -0.361
ma.S.L7 1.0001 2.57e+04 3.89e-05 1.000 -5.04e+04 5.04e+04
sigma2 0.3656 6348.742 5.76e-05 1.000 -1.24e+04 1.24e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.11
Prob(Q): 0.98 Prob(JB): 0.94
Heteroskedasticity (H): 0.28 Skew: 0.15
Prob(H) (two-sided): 0.25 Kurtosis: 3.35
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.44272561653912, Current Price: 162.08
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.799
Date: Wed, 09 Oct 2024 AIC 47.598
Time: 14:40:01 BIC 50.423
Sample: 0 HQIC 47.018
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5246 0.155 3.390 0.001 0.221 0.828
ma.L1 -1.0000 2.14e+04 -4.68e-05 1.000 -4.19e+04 4.19e+04
ar.S.L7 -0.6692 0.158 -4.248 0.000 -0.978 -0.360
ma.S.L7 0.2558 0.862 0.297 0.767 -1.434 1.946
sigma2 0.8937 1.91e+04 4.68e-05 1.000 -3.75e+04 3.75e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.39
Prob(Q): 0.87 Prob(JB): 0.82
Heteroskedasticity (H): 1.41 Skew: -0.11
Prob(H) (two-sided): 0.75 Kurtosis: 2.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.29406990760853, Current Price: 161.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -551576.353
Date: Wed, 09 Oct 2024 AIC 1103162.705
Time: 14:40:02 BIC 1103165.530
Sample: 0 HQIC 1103162.125
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1913 4.46e-05 4291.263 0.000 0.191 0.191
ma.L1 0.0461 5.39e-05 855.638 0.000 0.046 0.046
ar.S.L7 -310.6062 0.004 -8.53e+04 0.000 -310.613 -310.599
ma.S.L7 -0.0002 1.02e-05 -20.359 0.000 -0.000 -0.000
sigma2 2.1597 7.95e-05 2.72e+04 0.000 2.160 2.160
===================================================================================
Ljung-Box (L1) (Q): 0.80 Jarque-Bera (JB): 0.15
Prob(Q): 0.37 Prob(JB): 0.93
Heteroskedasticity (H): 1.33 Skew: -0.22
Prob(H) (two-sided): 0.79 Kurtosis: 2.71
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: -115.67584868062765, Current Price: 159.73
SELL EXECUTED at 159.73
SELL ORDER COMPLETED at 159.82
OPERATION PROFIT, GROSS -5.6299999999999955, NET -5.955269999999995
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.359
Date: Wed, 09 Oct 2024 AIC 46.719
Time: 14:40:02 BIC 49.544
Sample: 0 HQIC 46.138
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4601 0.302 -1.522 0.128 -1.053 0.132
ma.L1 1.0000 7305.696 0.000 1.000 -1.43e+04 1.43e+04
ar.S.L7 -0.8349 0.230 -3.631 0.000 -1.286 -0.384
ma.S.L7 1.7484 4.741 0.369 0.712 -7.544 11.041
sigma2 0.2258 1649.430 0.000 1.000 -3232.598 3233.050
===================================================================================
Ljung-Box (L1) (Q): 0.33 Jarque-Bera (JB): 0.79
Prob(Q): 0.57 Prob(JB): 0.67
Heteroskedasticity (H): 0.66 Skew: 0.04
Prob(H) (two-sided): 0.70 Kurtosis: 1.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.3922430151224, Current Price: 160.33
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.097
Date: Wed, 09 Oct 2024 AIC 46.194
Time: 14:40:02 BIC 49.019
Sample: 0 HQIC 45.613
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2725 31.524 0.009 0.993 -61.514 62.059
ma.L1 -3.8189 464.053 -0.008 0.993 -913.346 905.708
ar.S.L7 -0.7677 0.329 -2.337 0.019 -1.412 -0.124
ma.S.L7 0.9952 386.839 0.003 0.998 -757.196 759.186
sigma2 0.0391 11.404 0.003 0.997 -22.313 22.391
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.68
Prob(Q): 0.80 Prob(JB): 0.71
Heteroskedasticity (H): 1.31 Skew: -0.09
Prob(H) (two-sided): 0.80 Kurtosis: 1.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 157.61741794796126, Current Price: 160.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.208
Date: Wed, 09 Oct 2024 AIC 46.416
Time: 14:40:02 BIC 49.241
Sample: 0 HQIC 45.836
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4480 0.149 -3.000 0.003 -0.741 -0.155
ma.L1 1.0000 1.8e+04 5.54e-05 1.000 -3.54e+04 3.54e+04
ar.S.L7 -0.6260 0.187 -3.344 0.001 -0.993 -0.259
ma.S.L7 -0.4472 0.887 -0.504 0.614 -2.185 1.291
sigma2 0.7735 1.4e+04 5.54e-05 1.000 -2.73e+04 2.73e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.95
Prob(Q): 0.98 Prob(JB): 0.62
Heteroskedasticity (H): 0.52 Skew: -0.27
Prob(H) (two-sided): 0.55 Kurtosis: 1.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.41055806330488, Current Price: 160.78
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.709
Date: Wed, 09 Oct 2024 AIC 41.418
Time: 14:40:02 BIC 44.243
Sample: 0 HQIC 40.837
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2515 0.517 -0.487 0.627 -1.265 0.762
ma.L1 1.0000 4629.543 0.000 1.000 -9072.738 9074.738
ar.S.L7 -0.6913 0.105 -6.593 0.000 -0.897 -0.486
ma.S.L7 -1.0001 9905.139 -0.000 1.000 -1.94e+04 1.94e+04
sigma2 0.3745 4368.602 8.57e-05 1.000 -8561.928 8562.677
===================================================================================
Ljung-Box (L1) (Q): 0.61 Jarque-Bera (JB): 1.37
Prob(Q): 0.43 Prob(JB): 0.50
Heteroskedasticity (H): 0.27 Skew: -0.12
Prob(H) (two-sided): 0.24 Kurtosis: 1.43
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.50492769508355, Current Price: 161.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.895
Date: Wed, 09 Oct 2024 AIC 41.790
Time: 14:40:02 BIC 44.615
Sample: 0 HQIC 41.210
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3628 0.835 -0.434 0.664 -2.000 1.275
ma.L1 0.6161 0.789 0.781 0.435 -0.930 2.162
ar.S.L7 -0.3764 0.248 -1.517 0.129 -0.863 0.110
ma.S.L7 -1.2198 3.571 -0.342 0.733 -8.218 5.779
sigma2 0.3240 1.163 0.279 0.781 -1.956 2.604
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 1.47
Prob(Q): 0.72 Prob(JB): 0.48
Heteroskedasticity (H): 0.97 Skew: -0.05
Prob(H) (two-sided): 0.98 Kurtosis: 1.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.69027529428004, Current Price: 160.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.474
Date: Wed, 09 Oct 2024 AIC 38.949
Time: 14:40:02 BIC 41.773
Sample: 0 HQIC 38.368
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2447 1.270 -0.193 0.847 -2.735 2.245
ma.L1 0.5126 1.148 0.446 0.655 -1.738 2.763
ar.S.L7 -0.4042 0.270 -1.497 0.134 -0.933 0.125
ma.S.L7 -1.0001 8140.804 -0.000 1.000 -1.6e+04 1.6e+04
sigma2 0.3271 2662.825 0.000 1.000 -5218.714 5219.369
===================================================================================
Ljung-Box (L1) (Q): 0.92 Jarque-Bera (JB): 1.06
Prob(Q): 0.34 Prob(JB): 0.59
Heteroskedasticity (H): 0.67 Skew: -0.09
Prob(H) (two-sided): 0.71 Kurtosis: 1.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.36693380150368, Current Price: 162.0204
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.172
Date: Wed, 09 Oct 2024 AIC 40.344
Time: 14:40:02 BIC 43.169
Sample: 0 HQIC 39.764
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3956 0.249 -1.587 0.113 -0.884 0.093
ma.L1 1.0000 2.6e+04 3.85e-05 1.000 -5.09e+04 5.09e+04
ar.S.L7 -0.5852 0.180 -3.244 0.001 -0.939 -0.232
ma.S.L7 -1.0001 4267.132 -0.000 1.000 -8364.425 8362.425
sigma2 0.3352 9313.630 3.6e-05 1.000 -1.83e+04 1.83e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.89
Prob(Q): 0.85 Prob(JB): 0.64
Heteroskedasticity (H): 0.67 Skew: -0.16
Prob(H) (two-sided): 0.71 Kurtosis: 1.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.34617620617732, Current Price: 163.17
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.163
Date: Wed, 09 Oct 2024 AIC 40.326
Time: 14:40:02 BIC 43.151
Sample: 0 HQIC 39.745
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2731 0.405 -0.675 0.500 -1.066 0.520
ma.L1 1.0000 5918.455 0.000 1.000 -1.16e+04 1.16e+04
ar.S.L7 -0.6147 0.085 -7.224 0.000 -0.781 -0.448
ma.S.L7 -1.0000 3.03e+04 -3.3e-05 1.000 -5.94e+04 5.94e+04
sigma2 0.3448 1.16e+04 2.98e-05 1.000 -2.27e+04 2.27e+04
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.63
Prob(Q): 0.76 Prob(JB): 0.73
Heteroskedasticity (H): 0.60 Skew: -0.22
Prob(H) (two-sided): 0.63 Kurtosis: 2.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.32853381679925, Current Price: 161.2
BUY EXECUTED at 161.2
BUY ORDER COMPLETED at 159.52
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.061
Date: Wed, 09 Oct 2024 AIC 40.122
Time: 14:40:02 BIC 42.946
Sample: 0 HQIC 39.541
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3788 0.043 8.873 0.000 0.295 0.462
ma.L1 -1.0000 5215.759 -0.000 1.000 -1.02e+04 1.02e+04
ar.S.L7 -1.1038 0.239 -4.614 0.000 -1.573 -0.635
ma.S.L7 -1.0000 1.78e+04 -5.62e-05 1.000 -3.49e+04 3.49e+04
sigma2 0.2972 6066.124 4.9e-05 1.000 -1.19e+04 1.19e+04
===================================================================================
Ljung-Box (L1) (Q): 0.24 Jarque-Bera (JB): 1.29
Prob(Q): 0.63 Prob(JB): 0.52
Heteroskedasticity (H): 1.88 Skew: -0.15
Prob(H) (two-sided): 0.56 Kurtosis: 1.49
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.8290321829659, Current Price: 160.44
SELL EXECUTED at 160.44
SELL ORDER COMPLETED at 159.36
OPERATION PROFIT, GROSS -0.1599999999999966, NET -0.47887999999999664
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.105
Date: Wed, 09 Oct 2024 AIC 38.210
Time: 14:40:02 BIC 41.035
Sample: 0 HQIC 37.629
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2618 0.484 0.541 0.589 -0.687 1.211
ma.L1 -1.0000 4521.187 -0.000 1.000 -8862.363 8860.363
ar.S.L7 -1.1558 0.221 -5.238 0.000 -1.588 -0.723
ma.S.L7 -1.0000 9326.169 -0.000 1.000 -1.83e+04 1.83e+04
sigma2 0.2637 2689.816 9.8e-05 1.000 -5271.678 5272.206
===================================================================================
Ljung-Box (L1) (Q): 0.34 Jarque-Bera (JB): 1.17
Prob(Q): 0.56 Prob(JB): 0.56
Heteroskedasticity (H): 1.05 Skew: -0.25
Prob(H) (two-sided): 0.96 Kurtosis: 1.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.69021807639487, Current Price: 159.43
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.643
Date: Wed, 09 Oct 2024 AIC 45.287
Time: 14:40:02 BIC 48.111
Sample: 0 HQIC 44.706
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2747 0.421 0.653 0.514 -0.550 1.099
ma.L1 -1.0001 745.159 -0.001 0.999 -1461.484 1459.484
ar.S.L7 -1.0136 0.257 -3.940 0.000 -1.518 -0.509
ma.S.L7 -1.0003 2562.988 -0.000 1.000 -5024.365 5022.365
sigma2 0.4539 1268.632 0.000 1.000 -2486.019 2486.927
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.98
Prob(Q): 0.88 Prob(JB): 0.61
Heteroskedasticity (H): 2.47 Skew: -0.12
Prob(H) (two-sided): 0.40 Kurtosis: 1.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.29445343642374, Current Price: 160.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.166
Date: Wed, 09 Oct 2024 AIC 46.332
Time: 14:40:02 BIC 49.156
Sample: 0 HQIC 45.751
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2891 0.525 0.550 0.582 -0.740 1.319
ma.L1 -0.8669 0.658 -1.317 0.188 -2.156 0.423
ar.S.L7 -1.0815 0.314 -3.448 0.001 -1.696 -0.467
ma.S.L7 -0.2448 0.612 -0.400 0.689 -1.444 0.954
sigma2 0.8950 0.804 1.113 0.266 -0.681 2.471
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.04
Prob(Q): 0.94 Prob(JB): 0.60
Heteroskedasticity (H): 0.64 Skew: -0.09
Prob(H) (two-sided): 0.68 Kurtosis: 1.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 158.02908213914648, Current Price: 160.49
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.486
Date: Wed, 09 Oct 2024 AIC 48.972
Time: 14:40:02 BIC 51.797
Sample: 0 HQIC 48.391
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3195 0.824 0.388 0.698 -1.296 1.935
ma.L1 -0.5933 0.807 -0.736 0.462 -2.174 0.988
ar.S.L7 -0.7401 0.310 -2.386 0.017 -1.348 -0.132
ma.S.L7 -1.0001 1.14e+04 -8.78e-05 1.000 -2.23e+04 2.23e+04
sigma2 0.7044 8021.565 8.78e-05 1.000 -1.57e+04 1.57e+04
===================================================================================
Ljung-Box (L1) (Q): 0.69 Jarque-Bera (JB): 1.12
Prob(Q): 0.41 Prob(JB): 0.57
Heteroskedasticity (H): 0.83 Skew: -0.55
Prob(H) (two-sided): 0.87 Kurtosis: 2.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.7514469335885, Current Price: 161.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.723
Date: Wed, 09 Oct 2024 AIC 51.445
Time: 14:40:02 BIC 54.270
Sample: 0 HQIC 50.865
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0668 21.045 -0.003 0.997 -41.314 41.180
ma.L1 0.0871 21.076 0.004 0.997 -41.221 41.396
ar.S.L7 -0.5606 0.992 -0.565 0.572 -2.505 1.384
ma.S.L7 -0.4596 2.276 -0.202 0.840 -4.920 4.001
sigma2 1.2923 1.874 0.690 0.490 -2.380 4.965
===================================================================================
Ljung-Box (L1) (Q): 0.41 Jarque-Bera (JB): 3.00
Prob(Q): 0.52 Prob(JB): 0.22
Heteroskedasticity (H): 1.74 Skew: -1.10
Prob(H) (two-sided): 0.61 Kurtosis: 3.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.69677630422768, Current Price: 161.06
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.849
Date: Wed, 09 Oct 2024 AIC 51.698
Time: 14:40:02 BIC 54.523
Sample: 0 HQIC 51.117
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0280 3.398 -0.008 0.993 -6.688 6.632
ma.L1 0.1489 3.408 0.044 0.965 -6.530 6.828
ar.S.L7 -0.5578 0.942 -0.592 0.554 -2.403 1.288
ma.S.L7 -0.3114 1.806 -0.172 0.863 -3.851 3.228
sigma2 1.3902 1.399 0.993 0.321 -1.353 4.133
===================================================================================
Ljung-Box (L1) (Q): 0.81 Jarque-Bera (JB): 3.10
Prob(Q): 0.37 Prob(JB): 0.21
Heteroskedasticity (H): 1.49 Skew: -1.13
Prob(H) (two-sided): 0.71 Kurtosis: 3.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.1932634476311, Current Price: 161.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.014
Date: Wed, 09 Oct 2024 AIC 50.027
Time: 14:40:02 BIC 52.852
Sample: 0 HQIC 49.447
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0382 9.897 0.004 0.997 -19.360 19.437
ma.L1 0.0165 9.916 0.002 0.999 -19.419 19.452
ar.S.L7 -0.6828 0.297 -2.299 0.021 -1.265 -0.101
ma.S.L7 -0.1209 0.771 -0.157 0.875 -1.633 1.391
sigma2 1.2655 0.919 1.376 0.169 -0.537 3.068
===================================================================================
Ljung-Box (L1) (Q): 0.35 Jarque-Bera (JB): 1.96
Prob(Q): 0.56 Prob(JB): 0.38
Heteroskedasticity (H): 2.94 Skew: -0.90
Prob(H) (two-sided): 0.32 Kurtosis: 3.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.4804117211924, Current Price: 162.558
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.400
Date: Wed, 09 Oct 2024 AIC 50.800
Time: 14:40:02 BIC 53.625
Sample: 0 HQIC 50.220
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0071 7.176 -0.001 0.999 -14.071 14.057
ma.L1 0.0795 7.217 0.011 0.991 -14.065 14.224
ar.S.L7 -0.7404 0.258 -2.869 0.004 -1.246 -0.235
ma.S.L7 0.0012 0.640 0.002 0.999 -1.253 1.255
sigma2 1.3507 1.056 1.279 0.201 -0.718 3.420
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 2.21
Prob(Q): 0.66 Prob(JB): 0.33
Heteroskedasticity (H): 0.64 Skew: -0.98
Prob(H) (two-sided): 0.68 Kurtosis: 3.51
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.4824712290925, Current Price: 162.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.383
Date: Wed, 09 Oct 2024 AIC 50.767
Time: 14:40:02 BIC 53.591
Sample: 0 HQIC 50.186
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1760 8.000 0.022 0.982 -15.503 15.855
ma.L1 -0.0855 8.042 -0.011 0.992 -15.848 15.677
ar.S.L7 -0.7199 0.313 -2.302 0.021 -1.333 -0.107
ma.S.L7 -0.1178 0.873 -0.135 0.893 -1.830 1.594
sigma2 1.3399 1.148 1.168 0.243 -0.909 3.589
===================================================================================
Ljung-Box (L1) (Q): 0.35 Jarque-Bera (JB): 2.63
Prob(Q): 0.56 Prob(JB): 0.27
Heteroskedasticity (H): 0.11 Skew: -1.04
Prob(H) (two-sided): 0.06 Kurtosis: 3.72
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.16847393436382, Current Price: 163.35
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.275
Date: Wed, 09 Oct 2024 AIC 50.551
Time: 14:40:02 BIC 53.376
Sample: 0 HQIC 49.970
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3534 7.160 0.049 0.961 -13.680 14.387
ma.L1 -0.2605 7.119 -0.037 0.971 -14.214 13.693
ar.S.L7 -0.8123 0.273 -2.976 0.003 -1.347 -0.277
ma.S.L7 0.0529 0.646 0.082 0.935 -1.214 1.320
sigma2 1.3236 1.094 1.210 0.226 -0.821 3.468
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 3.61
Prob(Q): 0.70 Prob(JB): 0.16
Heteroskedasticity (H): 0.09 Skew: -1.14
Prob(H) (two-sided): 0.04 Kurtosis: 4.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.96339229418953, Current Price: 163.09
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.545
Date: Wed, 09 Oct 2024 AIC 49.090
Time: 14:40:02 BIC 51.914
Sample: 0 HQIC 48.509
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5148 1.132 0.455 0.649 -1.704 2.734
ma.L1 -0.2357 0.967 -0.244 0.807 -2.131 1.660
ar.S.L7 -1.0467 0.270 -3.870 0.000 -1.577 -0.517
ma.S.L7 0.7622 2.235 0.341 0.733 -3.619 5.144
sigma2 0.8554 1.798 0.476 0.634 -2.668 4.379
===================================================================================
Ljung-Box (L1) (Q): 0.98 Jarque-Bera (JB): 0.29
Prob(Q): 0.32 Prob(JB): 0.87
Heteroskedasticity (H): 0.11 Skew: -0.33
Prob(H) (two-sided): 0.06 Kurtosis: 3.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.96301096998477, Current Price: 163.67
BUY EXECUTED at 163.67
BUY ORDER COMPLETED at 163.92
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -47168.785
Date: Wed, 09 Oct 2024 AIC 94347.569
Time: 14:40:02 BIC 94350.394
Sample: 0 HQIC 94346.988
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5491 0.000 2697.793 0.000 0.549 0.549
ma.L1 -0.5039 0.000 -2316.955 0.000 -0.504 -0.503
ar.S.L7 -94.7795 0.375 -252.837 0.000 -95.514 -94.045
ma.S.L7 -0.0270 0.000 -218.180 0.000 -0.027 -0.027
sigma2 2.8304 0.022 127.458 0.000 2.787 2.874
===================================================================================
Ljung-Box (L1) (Q): 0.26 Jarque-Bera (JB): 0.53
Prob(Q): 0.61 Prob(JB): 0.77
Heteroskedasticity (H): 0.50 Skew: -0.49
Prob(H) (two-sided): 0.52 Kurtosis: 2.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 352.51165210654295, Current Price: 163.21
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.512
Date: Wed, 09 Oct 2024 AIC 35.024
Time: 14:40:02 BIC 37.849
Sample: 0 HQIC 34.443
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7032 0.442 1.590 0.112 -0.164 1.570
ma.L1 -0.4832 0.434 -1.114 0.265 -1.333 0.367
ar.S.L7 -0.3107 0.205 -1.517 0.129 -0.712 0.091
ma.S.L7 -1.0001 1.55e+04 -6.44e-05 1.000 -3.04e+04 3.04e+04
sigma2 0.2336 3626.758 6.44e-05 1.000 -7108.082 7108.549
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.84
Prob(Q): 0.74 Prob(JB): 0.66
Heteroskedasticity (H): 0.35 Skew: 0.25
Prob(H) (two-sided): 0.34 Kurtosis: 1.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.7198315794527, Current Price: 161.42
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.088
Date: Wed, 09 Oct 2024 AIC 38.177
Time: 14:40:02 BIC 41.002
Sample: 0 HQIC 37.596
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6458 0.465 1.389 0.165 -0.265 1.557
ma.L1 -0.0405 0.296 -0.137 0.891 -0.621 0.540
ar.S.L7 -0.7165 0.228 -3.146 0.002 -1.163 -0.270
ma.S.L7 0.2982 0.738 0.404 0.686 -1.148 1.744
sigma2 0.4898 0.286 1.715 0.086 -0.070 1.049
===================================================================================
Ljung-Box (L1) (Q): 0.52 Jarque-Bera (JB): 0.69
Prob(Q): 0.47 Prob(JB): 0.71
Heteroskedasticity (H): 0.32 Skew: 0.51
Prob(H) (two-sided): 0.30 Kurtosis: 2.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.88979980330006, Current Price: 160.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.960
Date: Wed, 09 Oct 2024 AIC 33.919
Time: 14:40:03 BIC 36.744
Sample: 0 HQIC 33.339
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2224 0.373 0.595 0.552 -0.510 0.954
ma.L1 1.0000 3082.288 0.000 1.000 -6040.173 6042.173
ar.S.L7 -0.7843 0.119 -6.615 0.000 -1.017 -0.552
ma.S.L7 0.0630 0.473 0.133 0.894 -0.864 0.990
sigma2 0.3192 984.130 0.000 1.000 -1928.540 1929.178
===================================================================================
Ljung-Box (L1) (Q): 0.37 Jarque-Bera (JB): 0.52
Prob(Q): 0.54 Prob(JB): 0.77
Heteroskedasticity (H): 0.35 Skew: 0.48
Prob(H) (two-sided): 0.33 Kurtosis: 3.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.4451458916767, Current Price: 160.29
SELL EXECUTED at 160.29
SELL ORDER COMPLETED at 161.01
OPERATION PROFIT, GROSS -2.9099999999999966, NET -3.2349299999999968
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -8.441
Date: Wed, 09 Oct 2024 AIC 26.882
Time: 14:40:03 BIC 29.707
Sample: 0 HQIC 26.301
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3272 0.529 0.619 0.536 -0.709 1.363
ma.L1 1.0000 3273.270 0.000 1.000 -6414.492 6416.492
ar.S.L7 -0.7424 0.059 -12.610 0.000 -0.858 -0.627
ma.S.L7 -0.2224 0.605 -0.368 0.713 -1.408 0.963
sigma2 0.1866 610.855 0.000 1.000 -1197.068 1197.441
===================================================================================
Ljung-Box (L1) (Q): 0.51 Jarque-Bera (JB): 0.43
Prob(Q): 0.47 Prob(JB): 0.81
Heteroskedasticity (H): 0.39 Skew: -0.44
Prob(H) (two-sided): 0.38 Kurtosis: 2.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.9645572342652, Current Price: 160.99
BUY EXECUTED at 160.99
BUY ORDER COMPLETED at 162.68
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -8.018
Date: Wed, 09 Oct 2024 AIC 26.036
Time: 14:40:03 BIC 28.860
Sample: 0 HQIC 25.455
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0309 0.487 0.063 0.949 -0.924 0.986
ma.L1 0.9999 896.820 0.001 0.999 -1756.734 1758.734
ar.S.L7 -0.7188 0.037 -19.604 0.000 -0.791 -0.647
ma.S.L7 -0.5694 0.664 -0.858 0.391 -1.871 0.732
sigma2 0.1593 142.800 0.001 0.999 -279.724 280.042
===================================================================================
Ljung-Box (L1) (Q): 0.35 Jarque-Bera (JB): 0.94
Prob(Q): 0.55 Prob(JB): 0.62
Heteroskedasticity (H): 0.90 Skew: -0.60
Prob(H) (two-sided): 0.92 Kurtosis: 2.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.84109823959014, Current Price: 162.19
SELL EXECUTED at 162.19
SELL ORDER COMPLETED at 161.62
OPERATION PROFIT, GROSS -1.0600000000000023, NET -1.3843000000000023
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.218
Date: Wed, 09 Oct 2024 AIC 34.436
Time: 14:40:03 BIC 37.261
Sample: 0 HQIC 33.856
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4447 0.716 0.621 0.534 -0.958 1.847
ma.L1 -0.1997 0.941 -0.212 0.832 -2.044 1.645
ar.S.L7 -0.7690 0.300 -2.564 0.010 -1.357 -0.181
ma.S.L7 -6.9436 38.738 -0.179 0.858 -82.869 68.982
sigma2 0.0079 0.088 0.089 0.929 -0.165 0.180
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.33
Prob(Q): 0.98 Prob(JB): 0.85
Heteroskedasticity (H): 3.11 Skew: 0.39
Prob(H) (two-sided): 0.30 Kurtosis: 3.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.9053069673564, Current Price: 161.2
BUY EXECUTED at 161.2
BUY ORDER COMPLETED at 162.66
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.317
Date: Wed, 09 Oct 2024 AIC 42.634
Time: 14:40:03 BIC 45.459
Sample: 0 HQIC 42.053
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3028 3.430 -0.088 0.930 -7.026 6.421
ma.L1 -0.1736 2.261 -0.077 0.939 -4.605 4.257
ar.S.L7 -0.9869 0.614 -1.608 0.108 -2.190 0.216
ma.S.L7 -1.2988 4.925 -0.264 0.792 -10.951 8.353
sigma2 0.3197 1.473 0.217 0.828 -2.567 3.206
===================================================================================
Ljung-Box (L1) (Q): 0.29 Jarque-Bera (JB): 3.77
Prob(Q): 0.59 Prob(JB): 0.15
Heteroskedasticity (H): 6.38 Skew: -1.21
Prob(H) (two-sided): 0.10 Kurtosis: 4.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.05785838095642, Current Price: 161.45
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.991
Date: Wed, 09 Oct 2024 AIC 39.982
Time: 14:40:03 BIC 42.807
Sample: 0 HQIC 39.401
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.2457 0.612 -2.036 0.042 -2.445 -0.047
ma.L1 1.0000 6898.301 0.000 1.000 -1.35e+04 1.35e+04
ar.S.L7 -0.8509 0.198 -4.300 0.000 -1.239 -0.463
ma.S.L7 0.3620 1.497 0.242 0.809 -2.572 3.296
sigma2 0.4606 3177.382 0.000 1.000 -6227.093 6228.014
===================================================================================
Ljung-Box (L1) (Q): 0.94 Jarque-Bera (JB): 1.00
Prob(Q): 0.33 Prob(JB): 0.61
Heteroskedasticity (H): 1.14 Skew: -0.51
Prob(H) (two-sided): 0.90 Kurtosis: 2.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.44019882570237, Current Price: 162.0
SELL EXECUTED at 162.0
SELL ORDER COMPLETED at 162.75
OPERATION PROFIT, GROSS 0.09000000000000341, NET -0.23540999999999657
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.632
Date: Wed, 09 Oct 2024 AIC 43.265
Time: 14:40:03 BIC 46.089
Sample: 0 HQIC 42.684
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5217 1.051 -0.497 0.619 -2.581 1.537
ma.L1 0.1923 1.216 0.158 0.874 -2.191 2.576
ar.S.L7 -0.8216 0.228 -3.605 0.000 -1.268 -0.375
ma.S.L7 0.0933 0.904 0.103 0.918 -1.679 1.866
sigma2 0.7534 0.591 1.274 0.203 -0.406 1.912
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.70
Prob(Q): 0.76 Prob(JB): 0.70
Heteroskedasticity (H): 5.77 Skew: -0.46
Prob(H) (two-sided): 0.12 Kurtosis: 2.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.60168821131785, Current Price: 161.96
BUY EXECUTED at 161.96
BUY ORDER COMPLETED at 162.13
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.492
Date: Wed, 09 Oct 2024 AIC 42.983
Time: 14:40:03 BIC 45.808
Sample: 0 HQIC 42.403
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4548 0.663 -0.686 0.492 -1.753 0.844
ma.L1 0.0572 0.740 0.077 0.938 -1.394 1.508
ar.S.L7 -0.7771 0.185 -4.207 0.000 -1.139 -0.415
ma.S.L7 0.2284 0.790 0.289 0.773 -1.320 1.777
sigma2 0.7217 0.471 1.533 0.125 -0.201 1.645
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.34
Prob(Q): 0.83 Prob(JB): 0.84
Heteroskedasticity (H): 1.46 Skew: -0.01
Prob(H) (two-sided): 0.72 Kurtosis: 2.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.25100414197672, Current Price: 162.39
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.433
Date: Wed, 09 Oct 2024 AIC 42.865
Time: 14:40:03 BIC 45.690
Sample: 0 HQIC 42.285
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3207 0.844 -0.380 0.704 -1.975 1.333
ma.L1 -0.0998 0.910 -0.110 0.913 -1.884 1.684
ar.S.L7 -0.7902 0.184 -4.304 0.000 -1.150 -0.430
ma.S.L7 0.2780 0.747 0.372 0.710 -1.186 1.742
sigma2 0.7108 0.487 1.460 0.144 -0.243 1.665
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.45
Prob(Q): 0.79 Prob(JB): 0.80
Heteroskedasticity (H): 0.47 Skew: -0.07
Prob(H) (two-sided): 0.48 Kurtosis: 2.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.86721792254625, Current Price: 161.84
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/tsa/stattools.py:1431: RuntimeWarning: divide by zero encountered in divide
test_statistic = numer_squared_sum / denom_squared_sum
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -96.576
Date: Wed, 09 Oct 2024 AIC 203.152
Time: 14:40:03 BIC 205.977
Sample: 0 HQIC 202.571
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2070 17.292 0.012 0.990 -33.684 34.098
ma.L1 -0.0995 5.51e-05 -1806.254 0.000 -0.100 -0.099
ar.S.L7 -4.378e+13 4.48e-09 -9.76e+21 0.000 -4.38e+13 -4.38e+13
ma.S.L7 2.992e+12 1.12e-17 2.68e+29 0.000 2.99e+12 2.99e+12
sigma2 1.8357 7.27e-05 2.52e+04 0.000 1.836 1.836
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 57.24
Prob(Q): 0.98 Prob(JB): 0.00
Heteroskedasticity (H): inf Skew: 3.18
Prob(H) (two-sided): 0.00 Kurtosis: 11.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 4.1e+53. Standard errors may be unstable.
Predicted Price: -5.356921107989164e+40, Current Price: 161.57
SELL EXECUTED at 161.57
SELL ORDER COMPLETED at 159.78
OPERATION PROFIT, GROSS -2.3499999999999943, NET -2.6719099999999942
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.288
Date: Wed, 09 Oct 2024 AIC 44.577
Time: 14:40:03 BIC 47.401
Sample: 0 HQIC 43.996
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3620 1.108 -0.327 0.744 -2.533 1.809
ma.L1 0.0169 1.092 0.015 0.988 -2.124 2.158
ar.S.L7 -0.7767 0.220 -3.537 0.000 -1.207 -0.346
ma.S.L7 0.0309 0.909 0.034 0.973 -1.751 1.813
sigma2 0.8367 0.579 1.445 0.148 -0.298 1.971
===================================================================================
Ljung-Box (L1) (Q): 0.62 Jarque-Bera (JB): 0.39
Prob(Q): 0.43 Prob(JB): 0.82
Heteroskedasticity (H): 0.68 Skew: 0.10
Prob(H) (two-sided): 0.72 Kurtosis: 2.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.85243113162645, Current Price: 159.7
BUY EXECUTED at 159.7
BUY ORDER COMPLETED at 159.35
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.858
Date: Wed, 09 Oct 2024 AIC 45.716
Time: 14:40:03 BIC 48.541
Sample: 0 HQIC 45.135
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3161 1.097 -0.288 0.773 -2.466 1.834
ma.L1 0.0181 1.169 0.015 0.988 -2.272 2.309
ar.S.L7 -0.8574 0.398 -2.153 0.031 -1.638 -0.077
ma.S.L7 0.5885 0.993 0.593 0.553 -1.358 2.535
sigma2 0.7773 0.839 0.927 0.354 -0.867 2.421
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.73
Prob(Q): 0.77 Prob(JB): 0.70
Heteroskedasticity (H): 8.92 Skew: 0.11
Prob(H) (two-sided): 0.06 Kurtosis: 1.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.5930646495541, Current Price: 159.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.805
Date: Wed, 09 Oct 2024 AIC 45.610
Time: 14:40:03 BIC 48.434
Sample: 0 HQIC 45.029
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4784 0.389 -1.229 0.219 -1.242 0.285
ma.L1 0.1686 0.694 0.243 0.808 -1.191 1.528
ar.S.L7 -0.8759 0.322 -2.718 0.007 -1.507 -0.244
ma.S.L7 0.6614 1.626 0.407 0.684 -2.526 3.849
sigma2 0.7127 1.148 0.621 0.535 -1.537 2.963
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 0.47
Prob(Q): 0.69 Prob(JB): 0.79
Heteroskedasticity (H): 3.34 Skew: 0.09
Prob(H) (two-sided): 0.27 Kurtosis: 2.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 158.78685375645907, Current Price: 159.05
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.901
Date: Wed, 09 Oct 2024 AIC 43.803
Time: 14:40:03 BIC 46.628
Sample: 0 HQIC 43.222
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3541 1.420 -0.249 0.803 -3.138 2.430
ma.L1 0.0773 1.296 0.060 0.952 -2.462 2.617
ar.S.L7 -0.8127 0.302 -2.689 0.007 -1.405 -0.220
ma.S.L7 1.0000 2.04e+04 4.91e-05 1.000 -4e+04 4e+04
sigma2 0.4736 9654.512 4.91e-05 1.000 -1.89e+04 1.89e+04
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.61
Prob(Q): 0.78 Prob(JB): 0.74
Heteroskedasticity (H): 0.79 Skew: -0.19
Prob(H) (two-sided): 0.83 Kurtosis: 2.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 158.02780883179312, Current Price: 158.348
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.757
Date: Wed, 09 Oct 2024 AIC 43.514
Time: 14:40:03 BIC 46.339
Sample: 0 HQIC 42.933
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3138 1.491 -0.210 0.833 -3.236 2.609
ma.L1 0.0849 1.443 0.059 0.953 -2.743 2.913
ar.S.L7 -0.7504 0.470 -1.596 0.110 -1.672 0.171
ma.S.L7 1.0000 2.3e+04 4.36e-05 1.000 -4.5e+04 4.5e+04
sigma2 0.4645 1.07e+04 4.36e-05 1.000 -2.09e+04 2.09e+04
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.58
Prob(Q): 0.74 Prob(JB): 0.75
Heteroskedasticity (H): 0.33 Skew: -0.22
Prob(H) (two-sided): 0.31 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 158.32918112290525, Current Price: 155.76
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.175
Date: Wed, 09 Oct 2024 AIC 50.350
Time: 14:40:03 BIC 53.174
Sample: 0 HQIC 49.769
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2847 1.892 -0.151 0.880 -3.993 3.423
ma.L1 -0.1099 1.735 -0.063 0.949 -3.510 3.291
ar.S.L7 -0.9085 0.448 -2.028 0.043 -1.787 -0.030
ma.S.L7 0.6591 2.640 0.250 0.803 -4.516 5.834
sigma2 1.0586 2.587 0.409 0.682 -4.012 6.129
===================================================================================
Ljung-Box (L1) (Q): 0.41 Jarque-Bera (JB): 0.82
Prob(Q): 0.52 Prob(JB): 0.66
Heteroskedasticity (H): 1.45 Skew: -0.23
Prob(H) (two-sided): 0.73 Kurtosis: 1.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 156.6387601705279, Current Price: 155.33
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.048
Date: Wed, 09 Oct 2024 AIC 50.097
Time: 14:40:03 BIC 52.922
Sample: 0 HQIC 49.516
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3118 3.619 -0.086 0.931 -7.404 6.780
ma.L1 0.1589 3.726 0.043 0.966 -7.144 7.461
ar.S.L7 -0.8183 0.686 -1.193 0.233 -2.163 0.526
ma.S.L7 1.0001 1.11e+04 9e-05 1.000 -2.18e+04 2.18e+04
sigma2 0.7706 8562.175 9e-05 1.000 -1.68e+04 1.68e+04
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.92
Prob(Q): 0.75 Prob(JB): 0.63
Heteroskedasticity (H): 1.59 Skew: -0.59
Prob(H) (two-sided): 0.66 Kurtosis: 2.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.61643447787137, Current Price: 151.44
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.900
Date: Wed, 09 Oct 2024 AIC 53.800
Time: 14:40:03 BIC 56.624
Sample: 0 HQIC 53.219
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.2965 0.339 3.825 0.000 0.632 1.961
ma.L1 -1.0000 6537.074 -0.000 1.000 -1.28e+04 1.28e+04
ar.S.L7 -0.5903 0.378 -1.563 0.118 -1.330 0.150
ma.S.L7 1.0001 9645.072 0.000 1.000 -1.89e+04 1.89e+04
sigma2 0.9052 8722.760 0.000 1.000 -1.71e+04 1.71e+04
===================================================================================
Ljung-Box (L1) (Q): 2.12 Jarque-Bera (JB): 0.78
Prob(Q): 0.15 Prob(JB): 0.68
Heteroskedasticity (H): 4.24 Skew: -0.14
Prob(H) (two-sided): 0.19 Kurtosis: 1.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 146.65121843837176, Current Price: 152.62
SELL EXECUTED at 152.62
SELL ORDER COMPLETED at 152.26
OPERATION PROFIT, GROSS -7.090000000000003, NET -7.401610000000003
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.196
Date: Wed, 09 Oct 2024 AIC 60.391
Time: 14:40:03 BIC 63.216
Sample: 0 HQIC 59.810
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3957 2.126 -0.186 0.852 -4.563 3.772
ma.L1 0.1454 1.624 0.090 0.929 -3.037 3.328
ar.S.L7 -0.5351 1.179 -0.454 0.650 -2.846 1.776
ma.S.L7 0.3838 3.577 0.107 0.915 -6.626 7.394
sigma2 2.6644 3.618 0.736 0.461 -4.427 9.756
===================================================================================
Ljung-Box (L1) (Q): 0.79 Jarque-Bera (JB): 0.64
Prob(Q): 0.37 Prob(JB): 0.73
Heteroskedasticity (H): 9.74 Skew: -0.52
Prob(H) (two-sided): 0.05 Kurtosis: 3.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 151.9512876585711, Current Price: 152.97
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.071
Date: Wed, 09 Oct 2024 AIC 58.143
Time: 14:40:03 BIC 60.967
Sample: 0 HQIC 57.562
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0728 0.382 -2.811 0.005 -1.821 -0.325
ma.L1 1.0000 1.1e+04 9.12e-05 1.000 -2.15e+04 2.15e+04
ar.S.L7 -0.3459 0.613 -0.565 0.572 -1.547 0.855
ma.S.L7 0.0723 0.992 0.073 0.942 -1.871 2.016
sigma2 2.0183 2.21e+04 9.12e-05 1.000 -4.34e+04 4.34e+04
===================================================================================
Ljung-Box (L1) (Q): 0.39 Jarque-Bera (JB): 0.09
Prob(Q): 0.53 Prob(JB): 0.96
Heteroskedasticity (H): 5.26 Skew: -0.03
Prob(H) (two-sided): 0.14 Kurtosis: 2.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 154.09632758031597, Current Price: 154.34
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.767
Date: Wed, 09 Oct 2024 AIC 57.535
Time: 14:40:03 BIC 60.359
Sample: 0 HQIC 56.954
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0476 0.227 -4.616 0.000 -1.492 -0.603
ma.L1 1.0000 4.28e+04 2.33e-05 1.000 -8.4e+04 8.4e+04
ar.S.L7 -0.3626 0.545 -0.665 0.506 -1.431 0.706
ma.S.L7 0.2294 1.084 0.212 0.832 -1.895 2.353
sigma2 1.8624 7.98e+04 2.33e-05 1.000 -1.56e+05 1.56e+05
===================================================================================
Ljung-Box (L1) (Q): 0.86 Jarque-Bera (JB): 0.14
Prob(Q): 0.35 Prob(JB): 0.93
Heteroskedasticity (H): 3.85 Skew: 0.17
Prob(H) (two-sided): 0.22 Kurtosis: 2.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 152.05570934069146, Current Price: 156.22
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.426
Date: Wed, 09 Oct 2024 AIC 62.852
Time: 14:40:03 BIC 65.677
Sample: 0 HQIC 62.271
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5986 2.278 0.263 0.793 -3.866 5.064
ma.L1 -0.5037 2.560 -0.197 0.844 -5.521 4.514
ar.S.L7 -0.5322 1.211 -0.439 0.660 -2.907 1.842
ma.S.L7 -0.2295 2.072 -0.111 0.912 -4.291 3.832
sigma2 3.3121 2.064 1.605 0.109 -0.733 7.357
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 0.35
Prob(Q): 0.66 Prob(JB): 0.84
Heteroskedasticity (H): 3.10 Skew: -0.40
Prob(H) (two-sided): 0.30 Kurtosis: 3.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 156.0613999925048, Current Price: 154.57
BUY EXECUTED at 154.57
BUY ORDER COMPLETED at 154.09
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.868
Date: Wed, 09 Oct 2024 AIC 61.735
Time: 14:40:03 BIC 64.560
Sample: 0 HQIC 61.155
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8841 0.814 -1.086 0.277 -2.479 0.711
ma.L1 1.0000 1.22e+04 8.2e-05 1.000 -2.39e+04 2.39e+04
ar.S.L7 -0.5078 0.574 -0.885 0.376 -1.632 0.617
ma.S.L7 0.3135 1.277 0.246 0.806 -2.189 2.816
sigma2 2.5028 3.05e+04 8.2e-05 1.000 -5.98e+04 5.98e+04
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.03
Prob(Q): 0.82 Prob(JB): 0.99
Heteroskedasticity (H): 3.13 Skew: 0.03
Prob(H) (two-sided): 0.30 Kurtosis: 2.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 153.5294966880053, Current Price: 153.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.610
Date: Wed, 09 Oct 2024 AIC 61.220
Time: 14:40:03 BIC 64.045
Sample: 0 HQIC 60.640
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8956 0.753 -1.189 0.235 -2.372 0.581
ma.L1 1.0000 1.33e+05 7.52e-06 1.000 -2.6e+05 2.6e+05
ar.S.L7 -0.4639 0.786 -0.590 0.555 -2.004 1.076
ma.S.L7 0.2762 1.668 0.166 0.869 -2.994 3.546
sigma2 2.4372 3.24e+05 7.52e-06 1.000 -6.35e+05 6.35e+05
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.01
Prob(Q): 0.82 Prob(JB): 1.00
Heteroskedasticity (H): 5.46 Skew: -0.02
Prob(H) (two-sided): 0.13 Kurtosis: 2.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 150.13381094793777, Current Price: 152.44
SELL EXECUTED at 152.44
SELL ORDER COMPLETED at 152.45
OPERATION PROFIT, GROSS -1.6400000000000148, NET -1.9465400000000148
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.674
Date: Wed, 09 Oct 2024 AIC 61.349
Time: 14:40:03 BIC 64.174
Sample: 0 HQIC 60.768
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6139 0.791 -0.776 0.438 -2.164 0.936
ma.L1 0.4120 1.227 0.336 0.737 -1.993 2.817
ar.S.L7 -0.1984 0.687 -0.289 0.773 -1.544 1.147
ma.S.L7 -1.0004 3935.618 -0.000 1.000 -7714.671 7712.670
sigma2 1.7561 6912.310 0.000 1.000 -1.35e+04 1.35e+04
===================================================================================
Ljung-Box (L1) (Q): 0.33 Jarque-Bera (JB): 0.15
Prob(Q): 0.56 Prob(JB): 0.93
Heteroskedasticity (H): 1.39 Skew: -0.26
Prob(H) (two-sided): 0.76 Kurtosis: 2.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 151.81219876077245, Current Price: 152.3
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.244
Date: Wed, 09 Oct 2024 AIC 60.488
Time: 14:40:03 BIC 63.312
Sample: 0 HQIC 59.907
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4274 1.938 -0.221 0.825 -4.226 3.371
ma.L1 0.2938 2.008 0.146 0.884 -3.642 4.229
ar.S.L7 -0.2046 0.451 -0.454 0.650 -1.088 0.679
ma.S.L7 -1.0001 1.02e+04 -9.84e-05 1.000 -1.99e+04 1.99e+04
sigma2 1.7144 1.74e+04 9.84e-05 1.000 -3.41e+04 3.42e+04
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.42
Prob(Q): 0.78 Prob(JB): 0.81
Heteroskedasticity (H): 0.54 Skew: -0.27
Prob(H) (two-sided): 0.57 Kurtosis: 2.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 152.407258567438, Current Price: 152.38
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.049
Date: Wed, 09 Oct 2024 AIC 62.098
Time: 14:40:03 BIC 64.923
Sample: 0 HQIC 61.518
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2598 12.280 -0.021 0.983 -24.329 23.809
ma.L1 0.1908 12.338 0.015 0.988 -23.991 24.373
ar.S.L7 -0.9874 0.748 -1.320 0.187 -2.453 0.479
ma.S.L7 0.9998 5444.102 0.000 1.000 -1.07e+04 1.07e+04
sigma2 1.9402 1.06e+04 0.000 1.000 -2.07e+04 2.07e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 2.10
Prob(Q): 0.94 Prob(JB): 0.35
Heteroskedasticity (H): 0.25 Skew: -0.89
Prob(H) (two-sided): 0.20 Kurtosis: 3.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 151.81868909993636, Current Price: 153.23
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.847
Date: Wed, 09 Oct 2024 AIC 57.695
Time: 14:40:04 BIC 60.520
Sample: 0 HQIC 57.114
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9107 0.117 -7.807 0.000 -1.139 -0.682
ma.L1 1.0000 1.21e+04 8.3e-05 1.000 -2.36e+04 2.36e+04
ar.S.L7 -0.0362 0.501 -0.072 0.942 -1.019 0.946
ma.S.L7 -1.0001 1.56e+04 -6.4e-05 1.000 -3.06e+04 3.06e+04
sigma2 1.2203 2.84e+04 4.29e-05 1.000 -5.57e+04 5.57e+04
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 0.87
Prob(Q): 0.65 Prob(JB): 0.65
Heteroskedasticity (H): 0.24 Skew: -0.33
Prob(H) (two-sided): 0.20 Kurtosis: 1.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 153.93059889401283, Current Price: 152.69
BUY EXECUTED at 152.69
BUY ORDER COMPLETED at 151.61
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.197
Date: Wed, 09 Oct 2024 AIC 54.395
Time: 14:40:04 BIC 57.219
Sample: 0 HQIC 53.814
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8369 0.136 -6.176 0.000 -1.102 -0.571
ma.L1 1.0000 3.35e+04 2.98e-05 1.000 -6.57e+04 6.57e+04
ar.S.L7 -0.2075 0.428 -0.485 0.628 -1.046 0.631
ma.S.L7 -1.0000 4.16e+04 -2.4e-05 1.000 -8.16e+04 8.16e+04
sigma2 0.9477 5.76e+04 1.64e-05 1.000 -1.13e+05 1.13e+05
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.91
Prob(Q): 0.83 Prob(JB): 0.63
Heteroskedasticity (H): 0.13 Skew: -0.62
Prob(H) (two-sided): 0.08 Kurtosis: 2.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 151.08815466804634, Current Price: 152.71
SELL EXECUTED at 152.71
SELL ORDER COMPLETED at 152.82
OPERATION PROFIT, GROSS 1.2099999999999795, NET 0.9055699999999796
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.442
Date: Wed, 09 Oct 2024 AIC 58.883
Time: 14:40:04 BIC 61.708
Sample: 0 HQIC 58.302
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4956 0.336 -1.474 0.140 -1.154 0.163
ma.L1 0.3352 0.501 0.669 0.504 -0.647 1.318
ar.S.L7 -0.1670 0.340 -0.492 0.623 -0.833 0.499
ma.S.L7 -1.0000 2.01e+04 -4.97e-05 1.000 -3.94e+04 3.94e+04
sigma2 1.5122 3.04e+04 4.97e-05 1.000 -5.96e+04 5.96e+04
===================================================================================
Ljung-Box (L1) (Q): 0.36 Jarque-Bera (JB): 1.49
Prob(Q): 0.55 Prob(JB): 0.48
Heteroskedasticity (H): 0.15 Skew: -0.81
Prob(H) (two-sided): 0.09 Kurtosis: 3.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 151.92894473676657, Current Price: 152.99
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.385
Date: Wed, 09 Oct 2024 AIC 52.770
Time: 14:40:04 BIC 55.595
Sample: 0 HQIC 52.190
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2843 1.419 0.200 0.841 -2.497 3.066
ma.L1 -0.5241 1.511 -0.347 0.729 -3.486 2.438
ar.S.L7 -0.6429 0.433 -1.483 0.138 -1.492 0.207
ma.S.L7 -0.1308 0.856 -0.153 0.879 -1.809 1.547
sigma2 1.5606 0.849 1.837 0.066 -0.104 3.225
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.45
Prob(Q): 0.97 Prob(JB): 0.80
Heteroskedasticity (H): 0.86 Skew: 0.05
Prob(H) (two-sided): 0.89 Kurtosis: 2.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 149.72099652965844, Current Price: 154.19
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.599
Date: Wed, 09 Oct 2024 AIC 55.198
Time: 14:40:04 BIC 58.022
Sample: 0 HQIC 54.617
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3730 2.488 0.150 0.881 -4.503 5.249
ma.L1 -0.1706 2.834 -0.060 0.952 -5.726 5.385
ar.S.L7 -0.3055 0.870 -0.351 0.726 -2.012 1.401
ma.S.L7 -1.3496 9.058 -0.149 0.882 -19.103 16.404
sigma2 0.7971 7.417 0.107 0.914 -13.739 15.334
===================================================================================
Ljung-Box (L1) (Q): 0.26 Jarque-Bera (JB): 0.47
Prob(Q): 0.61 Prob(JB): 0.79
Heteroskedasticity (H): 2.35 Skew: 0.21
Prob(H) (two-sided): 0.43 Kurtosis: 2.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 154.50197489124264, Current Price: 153.66
BUY EXECUTED at 153.66
BUY ORDER COMPLETED at 153.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.154
Date: Wed, 09 Oct 2024 AIC 58.308
Time: 14:40:04 BIC 61.133
Sample: 0 HQIC 57.727
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4669 0.306 -1.527 0.127 -1.066 0.132
ma.L1 0.4986 0.569 0.877 0.380 -0.616 1.613
ar.S.L7 -0.4080 0.282 -1.446 0.148 -0.961 0.145
ma.S.L7 0.0612 0.615 0.100 0.921 -1.143 1.266
sigma2 2.3942 1.633 1.466 0.143 -0.806 5.594
===================================================================================
Ljung-Box (L1) (Q): 0.44 Jarque-Bera (JB): 1.02
Prob(Q): 0.51 Prob(JB): 0.60
Heteroskedasticity (H): 1.86 Skew: 0.12
Prob(H) (two-sided): 0.56 Kurtosis: 1.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 153.7587467739269, Current Price: 153.68
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.541
Date: Wed, 09 Oct 2024 AIC 57.081
Time: 14:40:04 BIC 59.906
Sample: 0 HQIC 56.500
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0849 6.544 -0.013 0.990 -12.910 12.740
ma.L1 0.1748 6.576 0.027 0.979 -12.714 13.064
ar.S.L7 -0.3709 0.288 -1.290 0.197 -0.935 0.193
ma.S.L7 0.1203 0.545 0.221 0.825 -0.947 1.188
sigma2 2.1773 1.514 1.438 0.150 -0.790 5.145
===================================================================================
Ljung-Box (L1) (Q): 0.72 Jarque-Bera (JB): 1.08
Prob(Q): 0.40 Prob(JB): 0.58
Heteroskedasticity (H): 0.99 Skew: 0.21
Prob(H) (two-sided): 0.99 Kurtosis: 1.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 154.74332597460997, Current Price: 154.001
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.322
Date: Wed, 09 Oct 2024 AIC 54.644
Time: 14:40:04 BIC 57.469
Sample: 0 HQIC 54.063
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5695 3.993 -0.143 0.887 -8.395 7.256
ma.L1 0.4997 3.978 0.126 0.900 -7.296 8.296
ar.S.L7 -0.3436 0.257 -1.336 0.181 -0.848 0.160
ma.S.L7 -0.0068 0.599 -0.011 0.991 -1.180 1.167
sigma2 1.8065 1.051 1.718 0.086 -0.254 3.867
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.20
Prob(Q): 0.88 Prob(JB): 0.55
Heteroskedasticity (H): 1.80 Skew: 0.61
Prob(H) (two-sided): 0.58 Kurtosis: 2.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 154.3867143480608, Current Price: 155.38
SELL EXECUTED at 155.38
SELL ORDER COMPLETED at 155.22
OPERATION PROFIT, GROSS 2.1999999999999886, NET 1.8917599999999886
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.613
Date: Wed, 09 Oct 2024 AIC 55.226
Time: 14:40:04 BIC 58.051
Sample: 0 HQIC 54.646
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3282 5.610 -0.059 0.953 -11.324 10.667
ma.L1 0.2632 5.669 0.046 0.963 -10.848 11.375
ar.S.L7 -0.3971 0.339 -1.172 0.241 -1.061 0.267
ma.S.L7 -0.0431 0.598 -0.072 0.943 -1.215 1.129
sigma2 1.8975 1.200 1.581 0.114 -0.454 4.250
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 1.03
Prob(Q): 0.68 Prob(JB): 0.60
Heteroskedasticity (H): 0.38 Skew: 0.60
Prob(H) (two-sided): 0.38 Kurtosis: 2.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 154.57699053591654, Current Price: 156.08
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.259
Date: Wed, 09 Oct 2024 AIC 54.519
Time: 14:40:04 BIC 57.344
Sample: 0 HQIC 53.938
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3623 6.966 -0.052 0.959 -14.016 13.291
ma.L1 0.3335 6.943 0.048 0.962 -13.274 13.941
ar.S.L7 -0.3506 0.168 -2.088 0.037 -0.680 -0.022
ma.S.L7 0.4407 0.841 0.524 0.600 -1.208 2.089
sigma2 1.6508 1.063 1.553 0.120 -0.433 3.734
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.14
Prob(Q): 1.00 Prob(JB): 0.57
Heteroskedasticity (H): 0.93 Skew: 0.08
Prob(H) (two-sided): 0.94 Kurtosis: 1.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 156.5108524965472, Current Price: 155.37
BUY EXECUTED at 155.37
BUY ORDER COMPLETED at 156.17
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.074
Date: Wed, 09 Oct 2024 AIC 52.148
Time: 14:40:04 BIC 54.973
Sample: 0 HQIC 51.567
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4754 0.367 -1.297 0.195 -1.194 0.243
ma.L1 0.4469 0.273 1.637 0.102 -0.088 0.982
ar.S.L7 -0.2799 0.245 -1.142 0.254 -0.760 0.201
ma.S.L7 0.2805 0.755 0.372 0.710 -1.199 1.760
sigma2 1.4381 0.855 1.683 0.092 -0.237 3.113
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.88
Prob(Q): 0.97 Prob(JB): 0.64
Heteroskedasticity (H): 1.58 Skew: 0.25
Prob(H) (two-sided): 0.67 Kurtosis: 1.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 156.71247359361394, Current Price: 156.246
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.519
Date: Wed, 09 Oct 2024 AIC 51.037
Time: 14:40:04 BIC 53.862
Sample: 0 HQIC 50.456
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0360 4.420 0.008 0.993 -8.628 8.700
ma.L1 0.0729 4.304 0.017 0.986 -8.363 8.509
ar.S.L7 -0.2719 0.293 -0.927 0.354 -0.847 0.303
ma.S.L7 0.4501 0.983 0.458 0.647 -1.476 2.376
sigma2 1.2576 1.113 1.129 0.259 -0.925 3.440
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 0.88
Prob(Q): 0.68 Prob(JB): 0.65
Heteroskedasticity (H): 0.84 Skew: 0.34
Prob(H) (two-sided): 0.87 Kurtosis: 1.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.51630544995393, Current Price: 155.55
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.814
Date: Wed, 09 Oct 2024 AIC 51.628
Time: 14:40:04 BIC 54.453
Sample: 0 HQIC 51.047
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6147 0.742 0.828 0.408 -0.840 2.069
ma.L1 -0.5757 0.889 -0.648 0.517 -2.317 1.166
ar.S.L7 -0.0449 0.273 -0.164 0.869 -0.581 0.491
ma.S.L7 -0.5200 0.875 -0.594 0.552 -2.235 1.195
sigma2 1.2460 0.940 1.326 0.185 -0.596 3.088
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.55
Prob(Q): 0.95 Prob(JB): 0.76
Heteroskedasticity (H): 0.29 Skew: -0.19
Prob(H) (two-sided): 0.25 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.5922659506258, Current Price: 155.24
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.695
Date: Wed, 09 Oct 2024 AIC 49.391
Time: 14:40:04 BIC 52.215
Sample: 0 HQIC 48.810
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1557 1.013 -0.154 0.878 -2.142 1.830
ma.L1 0.4268 1.047 0.407 0.684 -1.626 2.479
ar.S.L7 0.1671 0.370 0.451 0.652 -0.559 0.893
ma.S.L7 -1.0001 1.14e+04 -8.76e-05 1.000 -2.24e+04 2.24e+04
sigma2 0.7300 8338.491 8.75e-05 1.000 -1.63e+04 1.63e+04
===================================================================================
Ljung-Box (L1) (Q): 0.43 Jarque-Bera (JB): 0.37
Prob(Q): 0.51 Prob(JB): 0.83
Heteroskedasticity (H): 0.04 Skew: -0.41
Prob(H) (two-sided): 0.01 Kurtosis: 3.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.97979166874194, Current Price: 154.72
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.114
Date: Wed, 09 Oct 2024 AIC 44.228
Time: 14:40:04 BIC 47.052
Sample: 0 HQIC 43.647
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3568 0.577 0.619 0.536 -0.773 1.487
ma.L1 -0.6763 0.485 -1.393 0.164 -1.628 0.275
ar.S.L7 0.3672 0.202 1.819 0.069 -0.028 0.763
ma.S.L7 -0.8378 2.702 -0.310 0.757 -6.134 4.458
sigma2 0.5703 1.264 0.451 0.652 -1.907 3.047
===================================================================================
Ljung-Box (L1) (Q): 0.78 Jarque-Bera (JB): 0.31
Prob(Q): 0.38 Prob(JB): 0.86
Heteroskedasticity (H): 0.58 Skew: -0.21
Prob(H) (two-sided): 0.61 Kurtosis: 2.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 156.48930382249046, Current Price: 155.36
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.769
Date: Wed, 09 Oct 2024 AIC 37.538
Time: 14:40:04 BIC 40.362
Sample: 0 HQIC 36.957
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0659 1.006 -0.066 0.948 -2.038 1.906
ma.L1 0.4316 0.828 0.522 0.602 -1.190 2.053
ar.S.L7 0.2922 0.314 0.932 0.352 -0.323 0.907
ma.S.L7 -1.0001 6023.915 -0.000 1.000 -1.18e+04 1.18e+04
sigma2 0.2933 1766.943 0.000 1.000 -3462.852 3463.439
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.54
Prob(Q): 0.99 Prob(JB): 0.76
Heteroskedasticity (H): 0.96 Skew: 0.47
Prob(H) (two-sided): 0.97 Kurtosis: 2.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.59088971016737, Current Price: 154.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.468
Date: Wed, 09 Oct 2024 AIC 40.937
Time: 14:40:04 BIC 43.762
Sample: 0 HQIC 40.356
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7015 0.433 -1.619 0.106 -1.551 0.148
ma.L1 1.0000 2.47e+04 4.05e-05 1.000 -4.84e+04 4.84e+04
ar.S.L7 0.0967 0.260 0.371 0.710 -0.414 0.607
ma.S.L7 -1.0001 8277.325 -0.000 1.000 -1.62e+04 1.62e+04
sigma2 0.3357 8478.511 3.96e-05 1.000 -1.66e+04 1.66e+04
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 1.05
Prob(Q): 0.77 Prob(JB): 0.59
Heteroskedasticity (H): 2.45 Skew: 0.65
Prob(H) (two-sided): 0.41 Kurtosis: 3.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 153.24569162848064, Current Price: 154.67
SELL EXECUTED at 154.67
SELL ORDER COMPLETED at 153.09
OPERATION PROFIT, GROSS -3.079999999999984, NET -3.389259999999984
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.527
Date: Wed, 09 Oct 2024 AIC 39.055
Time: 14:40:04 BIC 41.880
Sample: 0 HQIC 38.474
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2921 1.694 0.172 0.863 -3.028 3.612
ma.L1 -2.2288 7.623 -0.292 0.770 -17.169 12.712
ar.S.L7 -0.3594 0.235 -1.530 0.126 -0.820 0.101
ma.S.L7 -0.0611 0.275 -0.222 0.824 -0.600 0.477
sigma2 0.1100 0.771 0.143 0.887 -1.401 1.621
===================================================================================
Ljung-Box (L1) (Q): 0.34 Jarque-Bera (JB): 0.19
Prob(Q): 0.56 Prob(JB): 0.91
Heteroskedasticity (H): 2.22 Skew: 0.22
Prob(H) (two-sided): 0.46 Kurtosis: 2.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.65445013450372, Current Price: 152.43
BUY EXECUTED at 152.43
BUY ORDER COMPLETED at 152.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.510
Date: Wed, 09 Oct 2024 AIC 49.021
Time: 14:40:04 BIC 51.845
Sample: 0 HQIC 48.440
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9171 0.357 -2.569 0.010 -1.617 -0.217
ma.L1 0.6578 0.440 1.496 0.135 -0.204 1.520
ar.S.L7 -0.2101 0.393 -0.534 0.593 -0.981 0.561
ma.S.L7 -1.0000 2.18e+04 -4.58e-05 1.000 -4.28e+04 4.28e+04
sigma2 0.6827 1.49e+04 4.58e-05 1.000 -2.92e+04 2.92e+04
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.06
Prob(Q): 0.81 Prob(JB): 0.97
Heteroskedasticity (H): 1.38 Skew: -0.17
Prob(H) (two-sided): 0.76 Kurtosis: 3.05
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 152.85791482041162, Current Price: 150.73
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.277
Date: Wed, 09 Oct 2024 AIC 50.554
Time: 14:40:04 BIC 53.378
Sample: 0 HQIC 49.973
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6632 1.062 0.624 0.532 -1.419 2.745
ma.L1 -0.4653 1.134 -0.410 0.682 -2.688 1.757
ar.S.L7 -0.3809 0.401 -0.950 0.342 -1.166 0.404
ma.S.L7 -0.2552 1.099 -0.232 0.816 -2.409 1.898
sigma2 1.2796 0.570 2.245 0.025 0.162 2.397
===================================================================================
Ljung-Box (L1) (Q): 0.46 Jarque-Bera (JB): 2.64
Prob(Q): 0.50 Prob(JB): 0.27
Heteroskedasticity (H): 3.29 Skew: -0.94
Prob(H) (two-sided): 0.28 Kurtosis: 4.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 150.0887413546826, Current Price: 150.29
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.171
Date: Wed, 09 Oct 2024 AIC 50.341
Time: 14:40:04 BIC 53.166
Sample: 0 HQIC 49.760
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6411 1.770 0.362 0.717 -2.827 4.110
ma.L1 -0.4629 1.841 -0.251 0.801 -4.071 3.146
ar.S.L7 -0.3896 0.389 -1.002 0.317 -1.152 0.373
ma.S.L7 -0.2463 1.074 -0.229 0.819 -2.352 1.860
sigma2 1.2620 0.599 2.107 0.035 0.088 2.436
===================================================================================
Ljung-Box (L1) (Q): 0.31 Jarque-Bera (JB): 3.30
Prob(Q): 0.58 Prob(JB): 0.19
Heteroskedasticity (H): 3.40 Skew: -1.06
Prob(H) (two-sided): 0.26 Kurtosis: 4.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 150.10898790052948, Current Price: 152.81
SELL EXECUTED at 152.81
SELL ORDER COMPLETED at 152.39
OPERATION PROFIT, GROSS 0.3699999999999761, NET 0.06558999999997611
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.469
Date: Wed, 09 Oct 2024 AIC 52.937
Time: 14:40:04 BIC 55.762
Sample: 0 HQIC 52.357
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2192 5.763 0.038 0.970 -11.077 11.515
ma.L1 -9.5140 515.545 -0.018 0.985 -1019.963 1000.935
ar.S.L7 -0.5157 0.625 -0.825 0.409 -1.741 0.709
ma.S.L7 -0.9854 70.218 -0.014 0.989 -138.610 136.640
sigma2 0.0106 0.723 0.015 0.988 -1.407 1.428
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.96
Prob(Q): 0.74 Prob(JB): 0.62
Heteroskedasticity (H): 6.49 Skew: -0.62
Prob(H) (two-sided): 0.10 Kurtosis: 3.48
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 153.6155525173516, Current Price: 152.16
BUY EXECUTED at 152.16
BUY ORDER COMPLETED at 152.32
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.419
Date: Wed, 09 Oct 2024 AIC 52.839
Time: 14:40:04 BIC 55.663
Sample: 0 HQIC 52.258
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2096 731.818 0.000 1.000 -1434.127 1434.547
ma.L1 -4.7604 1.66e+04 -0.000 1.000 -3.25e+04 3.25e+04
ar.S.L7 -0.7123 1.237 -0.576 0.565 -3.137 1.712
ma.S.L7 -1.0018 847.336 -0.001 0.999 -1661.749 1659.745
sigma2 0.0419 308.242 0.000 1.000 -604.102 604.185
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 0.25
Prob(Q): 0.70 Prob(JB): 0.88
Heteroskedasticity (H): 7.61 Skew: -0.34
Prob(H) (two-sided): 0.07 Kurtosis: 3.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 152.51695049997122, Current Price: 153.34
SELL EXECUTED at 153.34
SELL ORDER COMPLETED at 152.67
OPERATION PROFIT, GROSS 0.3499999999999943, NET 0.04500999999999433
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.813
Date: Wed, 09 Oct 2024 AIC 49.626
Time: 14:40:04 BIC 52.451
Sample: 0 HQIC 49.045
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0511 0.198 -5.308 0.000 -1.439 -0.663
ma.L1 1.0000 1.4e+04 7.12e-05 1.000 -2.75e+04 2.75e+04
ar.S.L7 -0.8345 1.164 -0.717 0.473 -3.116 1.447
ma.S.L7 -1.0005 2774.321 -0.000 1.000 -5438.569 5436.568
sigma2 0.6563 1e+04 6.54e-05 1.000 -1.97e+04 1.97e+04
===================================================================================
Ljung-Box (L1) (Q): 1.06 Jarque-Bera (JB): 1.38
Prob(Q): 0.30 Prob(JB): 0.50
Heteroskedasticity (H): 1.12 Skew: -0.79
Prob(H) (two-sided): 0.91 Kurtosis: 2.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 151.57756213767345, Current Price: 150.75
BUY EXECUTED at 150.75
BUY ORDER COMPLETED at 150.76
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.074
Date: Wed, 09 Oct 2024 AIC 50.148
Time: 14:40:04 BIC 52.972
Sample: 0 HQIC 49.567
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0648 0.261 -4.077 0.000 -1.577 -0.553
ma.L1 1.0000 2.64e+04 3.78e-05 1.000 -5.18e+04 5.18e+04
ar.S.L7 -1.0101 1.038 -0.973 0.330 -3.044 1.024
ma.S.L7 -1.0001 2.49e+04 -4.02e-05 1.000 -4.87e+04 4.87e+04
sigma2 0.6835 3.13e+04 2.18e-05 1.000 -6.14e+04 6.14e+04
===================================================================================
Ljung-Box (L1) (Q): 0.83 Jarque-Bera (JB): 0.68
Prob(Q): 0.36 Prob(JB): 0.71
Heteroskedasticity (H): 1.56 Skew: -0.55
Prob(H) (two-sided): 0.68 Kurtosis: 2.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 154.5637507989748, Current Price: 151.05
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.198
Date: Wed, 09 Oct 2024 AIC 52.396
Time: 14:40:04 BIC 55.221
Sample: 0 HQIC 51.816
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0719 0.231 -4.635 0.000 -1.525 -0.619
ma.L1 1.0000 5791.009 0.000 1.000 -1.13e+04 1.14e+04
ar.S.L7 -0.4873 0.888 -0.549 0.583 -2.227 1.252
ma.S.L7 -0.0396 0.887 -0.045 0.964 -1.778 1.699
sigma2 1.3113 7593.366 0.000 1.000 -1.49e+04 1.49e+04
===================================================================================
Ljung-Box (L1) (Q): 0.94 Jarque-Bera (JB): 0.18
Prob(Q): 0.33 Prob(JB): 0.92
Heteroskedasticity (H): 0.88 Skew: 0.13
Prob(H) (two-sided): 0.90 Kurtosis: 3.51
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 148.2216283576931, Current Price: 143.95
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.789
Date: Wed, 09 Oct 2024 AIC 55.578
Time: 14:40:05 BIC 58.403
Sample: 0 HQIC 54.998
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.2085 0.107 -11.280 0.000 -1.418 -0.999
ma.L1 1.0000 4.52e+04 2.21e-05 1.000 -8.86e+04 8.86e+04
ar.S.L7 -0.3468 0.963 -0.360 0.719 -2.234 1.541
ma.S.L7 1.0000 2.27e+04 4.41e-05 1.000 -4.45e+04 4.45e+04
sigma2 0.9448 4.11e+04 2.3e-05 1.000 -8.06e+04 8.06e+04
===================================================================================
Ljung-Box (L1) (Q): 1.92 Jarque-Bera (JB): 0.10
Prob(Q): 0.17 Prob(JB): 0.95
Heteroskedasticity (H): 0.66 Skew: 0.10
Prob(H) (two-sided): 0.70 Kurtosis: 3.38
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 148.90720943718463, Current Price: 131.31
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9357.849
Date: Wed, 09 Oct 2024 AIC 18725.699
Time: 14:40:05 BIC 18728.524
Sample: 0 HQIC 18725.118
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8789 0.000 2143.273 0.000 0.878 0.880
ma.L1 -0.4061 0.001 -518.600 0.000 -0.408 -0.405
ar.S.L7 93.8462 1.163 80.670 0.000 91.566 96.126
ma.S.L7 7.013e-13 0.001 1.22e-09 1.000 -0.001 0.001
sigma2 11.5166 0.284 40.612 0.000 10.961 12.072
===================================================================================
Ljung-Box (L1) (Q): 2.35 Jarque-Bera (JB): 0.28
Prob(Q): 0.13 Prob(JB): 0.87
Heteroskedasticity (H): 2.00 Skew: 0.35
Prob(H) (two-sided): 0.52 Kurtosis: 3.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 458.92586067011484, Current Price: 132.8
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -36.382
Date: Wed, 09 Oct 2024 AIC 82.764
Time: 14:40:05 BIC 85.589
Sample: 0 HQIC 82.183
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0580 3.239 0.018 0.986 -6.290 6.406
ma.L1 0.1868 2.861 0.065 0.948 -5.420 5.794
ar.S.L7 -0.5634 5.212 -0.108 0.914 -10.779 9.653
ma.S.L7 -0.0040 5.150 -0.001 0.999 -10.099 10.091
sigma2 15.7887 12.075 1.308 0.191 -7.877 39.454
===================================================================================
Ljung-Box (L1) (Q): 0.37 Jarque-Bera (JB): 2.80
Prob(Q): 0.54 Prob(JB): 0.25
Heteroskedasticity (H): 11.89 Skew: -1.08
Prob(H) (two-sided): 0.03 Kurtosis: 3.69
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 133.56158947060572, Current Price: 132.87
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -36.326
Date: Wed, 09 Oct 2024 AIC 82.652
Time: 14:40:05 BIC 85.477
Sample: 0 HQIC 82.072
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1461 3.191 0.046 0.963 -6.108 6.400
ma.L1 0.0906 2.932 0.031 0.975 -5.656 5.837
ar.S.L7 -0.5782 4.321 -0.134 0.894 -9.047 7.891
ma.S.L7 0.0592 5.432 0.011 0.991 -10.588 10.707
sigma2 15.6332 12.414 1.259 0.208 -8.698 39.964
===================================================================================
Ljung-Box (L1) (Q): 0.24 Jarque-Bera (JB): 3.33
Prob(Q): 0.63 Prob(JB): 0.19
Heteroskedasticity (H): 13.81 Skew: -1.17
Prob(H) (two-sided): 0.03 Kurtosis: 3.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 132.90845724927235, Current Price: 134.3
SELL EXECUTED at 134.3
SELL ORDER COMPLETED at 136.0
OPERATION PROFIT, GROSS -14.759999999999991, NET -15.04675999999999
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -36.355
Date: Wed, 09 Oct 2024 AIC 82.711
Time: 14:40:05 BIC 85.536
Sample: 0 HQIC 82.130
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1434 2.880 0.050 0.960 -5.500 5.787
ma.L1 0.0943 2.694 0.035 0.972 -5.185 5.374
ar.S.L7 -0.4737 5.509 -0.086 0.931 -11.271 10.324
ma.S.L7 0.0650 6.618 0.010 0.992 -12.905 13.035
sigma2 15.6996 10.802 1.453 0.146 -5.473 36.872
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 3.38
Prob(Q): 0.75 Prob(JB): 0.18
Heteroskedasticity (H): 6.77 Skew: -1.19
Prob(H) (two-sided): 0.09 Kurtosis: 3.78
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 133.14555403176286, Current Price: 135.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -36.093
Date: Wed, 09 Oct 2024 AIC 82.185
Time: 14:40:05 BIC 85.010
Sample: 0 HQIC 81.605
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1052 1.977 0.053 0.958 -3.771 3.981
ma.L1 0.1619 1.917 0.084 0.933 -3.595 3.918
ar.S.L7 -0.6699 2.823 -0.237 0.812 -6.202 4.862
ma.S.L7 0.1201 4.007 0.030 0.976 -7.733 7.973
sigma2 15.0178 10.475 1.434 0.152 -5.512 35.548
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 4.36
Prob(Q): 0.81 Prob(JB): 0.11
Heteroskedasticity (H): 1.59 Skew: -1.32
Prob(H) (two-sided): 0.66 Kurtosis: 4.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.6781353323651, Current Price: 137.9
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -35.850
Date: Wed, 09 Oct 2024 AIC 81.700
Time: 14:40:05 BIC 84.525
Sample: 0 HQIC 81.119
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5790 0.876 -0.661 0.509 -2.296 1.138
ma.L1 1.0000 2.64e+04 3.78e-05 1.000 -5.18e+04 5.18e+04
ar.S.L7 -0.3343 1.777 -0.188 0.851 -3.816 3.148
ma.S.L7 0.0895 2.802 0.032 0.975 -5.403 5.582
sigma2 12.4334 3.29e+05 3.78e-05 1.000 -6.44e+05 6.44e+05
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 3.18
Prob(Q): 0.73 Prob(JB): 0.20
Heteroskedasticity (H): 1.15 Skew: -1.21
Prob(H) (two-sided): 0.90 Kurtosis: 3.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 132.88513219057708, Current Price: 136.88
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -36.473
Date: Wed, 09 Oct 2024 AIC 82.945
Time: 14:40:05 BIC 85.770
Sample: 0 HQIC 82.365
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3271 2.277 0.144 0.886 -4.136 4.790
ma.L1 0.0161 2.694 0.006 0.995 -5.264 5.296
ar.S.L7 -0.6811 1.672 -0.407 0.684 -3.957 2.595
ma.S.L7 0.1521 2.838 0.054 0.957 -5.409 5.714
sigma2 15.8664 14.691 1.080 0.280 -12.927 44.660
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 3.43
Prob(Q): 0.97 Prob(JB): 0.18
Heteroskedasticity (H): 0.83 Skew: -1.21
Prob(H) (two-sided): 0.86 Kurtosis: 3.68
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 131.8010123603686, Current Price: 138.3699
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -36.763
Date: Wed, 09 Oct 2024 AIC 83.526
Time: 14:40:05 BIC 86.351
Sample: 0 HQIC 82.946
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5167 3.511 0.147 0.883 -6.364 7.398
ma.L1 -0.2676 3.986 -0.067 0.946 -8.079 7.544
ar.S.L7 -0.7891 1.410 -0.560 0.576 -3.554 1.975
ma.S.L7 -0.1562 1.589 -0.098 0.922 -3.271 2.958
sigma2 16.5363 6.706 2.466 0.014 3.393 29.679
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 3.23
Prob(Q): 0.98 Prob(JB): 0.20
Heteroskedasticity (H): 1.56 Skew: -1.13
Prob(H) (two-sided): 0.68 Kurtosis: 3.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 141.17800222584086, Current Price: 141.63
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -35.567
Date: Wed, 09 Oct 2024 AIC 81.133
Time: 14:40:05 BIC 83.958
Sample: 0 HQIC 80.553
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5185 1.979 0.262 0.793 -3.360 4.397
ma.L1 -0.2258 2.007 -0.112 0.910 -4.160 3.709
ar.S.L7 -0.4736 0.831 -0.570 0.569 -2.103 1.155
ma.S.L7 -1.0002 8858.747 -0.000 1.000 -1.74e+04 1.74e+04
sigma2 8.2720 7.33e+04 0.000 1.000 -1.44e+05 1.44e+05
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 3.95
Prob(Q): 0.83 Prob(JB): 0.14
Heteroskedasticity (H): 0.49 Skew: -1.26
Prob(H) (two-sided): 0.50 Kurtosis: 3.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 142.8003367580699, Current Price: 140.91
BUY EXECUTED at 140.91
BUY ORDER COMPLETED at 142.1353
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -35.262
Date: Wed, 09 Oct 2024 AIC 80.523
Time: 14:40:05 BIC 83.348
Sample: 0 HQIC 79.943
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3030 1.891 0.160 0.873 -3.404 4.010
ma.L1 0.0029 1.970 0.001 0.999 -3.859 3.864
ar.S.L7 -0.4923 0.809 -0.609 0.543 -2.078 1.093
ma.S.L7 -1.0000 3.92e+04 -2.55e-05 1.000 -7.69e+04 7.69e+04
sigma2 8.0041 3.14e+05 2.55e-05 1.000 -6.15e+05 6.15e+05
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 3.30
Prob(Q): 0.98 Prob(JB): 0.19
Heteroskedasticity (H): 0.05 Skew: -1.17
Prob(H) (two-sided): 0.01 Kurtosis: 3.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 140.65655743846926, Current Price: 142.3
SELL EXECUTED at 142.3
SELL ORDER COMPLETED at 142.27
OPERATION PROFIT, GROSS 0.13470000000000937, NET -0.1497052999999906
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -34.922
Date: Wed, 09 Oct 2024 AIC 79.844
Time: 14:40:05 BIC 82.669
Sample: 0 HQIC 79.264
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2089 0.801 -0.261 0.794 -1.778 1.360
ma.L1 0.5943 0.681 0.872 0.383 -0.741 1.930
ar.S.L7 -0.4390 0.602 -0.730 0.466 -1.618 0.740
ma.S.L7 -1.0000 3.6e+04 -2.77e-05 1.000 -7.06e+04 7.06e+04
sigma2 7.6066 2.74e+05 2.77e-05 1.000 -5.37e+05 5.37e+05
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 3.47
Prob(Q): 0.88 Prob(JB): 0.18
Heteroskedasticity (H): 0.11 Skew: -1.23
Prob(H) (two-sided): 0.05 Kurtosis: 3.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 141.3163743993321, Current Price: 142.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -34.613
Date: Wed, 09 Oct 2024 AIC 79.226
Time: 14:40:05 BIC 82.051
Sample: 0 HQIC 78.646
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0920 0.752 -0.122 0.903 -1.565 1.382
ma.L1 0.5550 0.808 0.687 0.492 -1.028 2.138
ar.S.L7 -0.3878 0.595 -0.652 0.514 -1.553 0.777
ma.S.L7 -1.0000 4.39e+04 -2.28e-05 1.000 -8.61e+04 8.61e+04
sigma2 7.2477 3.18e+05 2.28e-05 1.000 -6.24e+05 6.24e+05
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 2.54
Prob(Q): 0.75 Prob(JB): 0.28
Heteroskedasticity (H): 0.03 Skew: -1.07
Prob(H) (two-sided): 0.00 Kurtosis: 3.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 142.58868214497903, Current Price: 141.11
BUY EXECUTED at 141.11
BUY ORDER COMPLETED at 142.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -33.488
Date: Wed, 09 Oct 2024 AIC 76.976
Time: 14:40:05 BIC 79.801
Sample: 0 HQIC 76.396
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0026 0.603 -0.004 0.997 -1.185 1.180
ma.L1 0.4634 0.718 0.645 0.519 -0.944 1.871
ar.S.L7 -0.4269 0.434 -0.983 0.325 -1.278 0.424
ma.S.L7 -1.0000 3.62e+04 -2.76e-05 1.000 -7.09e+04 7.09e+04
sigma2 6.0941 2.2e+05 2.76e-05 1.000 -4.32e+05 4.32e+05
===================================================================================
Ljung-Box (L1) (Q): 2.25 Jarque-Bera (JB): 7.50
Prob(Q): 0.13 Prob(JB): 0.02
Heteroskedasticity (H): 0.10 Skew: -1.49
Prob(H) (two-sided): 0.05 Kurtosis: 5.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 136.205492797577, Current Price: 141.92
SELL EXECUTED at 141.92
SELL ORDER COMPLETED at 141.7
OPERATION PROFIT, GROSS -0.30000000000001137, NET -0.5837000000000114
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.734
Date: Wed, 09 Oct 2024 AIC 67.467
Time: 14:40:05 BIC 70.292
Sample: 0 HQIC 66.887
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3188 7.440 0.043 0.966 -14.264 14.902
ma.L1 -0.2605 7.794 -0.033 0.973 -15.537 15.016
ar.S.L7 -0.5152 0.449 -1.146 0.252 -1.396 0.366
ma.S.L7 -1.0000 2.25e+04 -4.45e-05 1.000 -4.4e+04 4.4e+04
sigma2 2.9360 6.59e+04 4.45e-05 1.000 -1.29e+05 1.29e+05
===================================================================================
Ljung-Box (L1) (Q): 3.12 Jarque-Bera (JB): 2.36
Prob(Q): 0.08 Prob(JB): 0.31
Heteroskedasticity (H): 6.23 Skew: 0.84
Prob(H) (two-sided): 0.10 Kurtosis: 4.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 135.28193379277644, Current Price: 142.09
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.055
Date: Wed, 09 Oct 2024 AIC 72.111
Time: 14:40:05 BIC 74.936
Sample: 0 HQIC 71.530
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3517 1.050 0.335 0.738 -1.707 2.410
ma.L1 0.1745 0.885 0.197 0.844 -1.559 1.908
ar.S.L7 -0.3952 0.645 -0.613 0.540 -1.660 0.869
ma.S.L7 -1.0002 6476.305 -0.000 1.000 -1.27e+04 1.27e+04
sigma2 4.1993 2.72e+04 0.000 1.000 -5.33e+04 5.33e+04
===================================================================================
Ljung-Box (L1) (Q): 0.35 Jarque-Bera (JB): 0.62
Prob(Q): 0.55 Prob(JB): 0.73
Heteroskedasticity (H): 15.27 Skew: 0.52
Prob(H) (two-sided): 0.02 Kurtosis: 3.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 146.58798224767978, Current Price: 142.15
BUY EXECUTED at 142.15
BUY ORDER COMPLETED at 140.38
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.969
Date: Wed, 09 Oct 2024 AIC 75.937
Time: 14:40:05 BIC 78.762
Sample: 0 HQIC 75.356
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1143 1.619 -0.071 0.944 -3.287 3.058
ma.L1 0.3753 1.442 0.260 0.795 -2.452 3.202
ar.S.L7 -0.5256 0.250 -2.098 0.036 -1.017 -0.035
ma.S.L7 1.0000 3.63e+04 2.75e-05 1.000 -7.12e+04 7.12e+04
sigma2 5.6231 2.04e+05 2.75e-05 1.000 -4e+05 4e+05
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 0.02
Prob(Q): 0.69 Prob(JB): 0.99
Heteroskedasticity (H): 3.52 Skew: -0.08
Prob(H) (two-sided): 0.25 Kurtosis: 2.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 140.7821886108059, Current Price: 140.38
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.712
Date: Wed, 09 Oct 2024 AIC 73.424
Time: 14:40:05 BIC 76.248
Sample: 0 HQIC 72.843
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8888 0.145 6.125 0.000 0.604 1.173
ma.L1 -1.0000 1.01e+04 -9.87e-05 1.000 -1.99e+04 1.99e+04
ar.S.L7 -0.5067 0.107 -4.722 0.000 -0.717 -0.296
ma.S.L7 1.0000 8.97e+04 1.11e-05 1.000 -1.76e+05 1.76e+05
sigma2 4.0949 3.58e+05 1.14e-05 1.000 -7.02e+05 7.02e+05
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.04
Prob(Q): 0.96 Prob(JB): 0.98
Heteroskedasticity (H): 0.67 Skew: -0.09
Prob(H) (two-sided): 0.71 Kurtosis: 2.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 142.21561916005996, Current Price: 142.46
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.416
Date: Wed, 09 Oct 2024 AIC 74.832
Time: 14:40:05 BIC 77.657
Sample: 0 HQIC 74.251
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6281 0.870 -0.722 0.470 -2.333 1.077
ma.L1 1.0000 2.01e+04 4.97e-05 1.000 -3.94e+04 3.94e+04
ar.S.L7 -0.5666 0.136 -4.151 0.000 -0.834 -0.299
ma.S.L7 1.0000 1.68e+05 5.94e-06 1.000 -3.3e+05 3.3e+05
sigma2 4.1565 7.04e+05 5.91e-06 1.000 -1.38e+06 1.38e+06
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.03
Prob(Q): 0.96 Prob(JB): 0.98
Heteroskedasticity (H): 0.20 Skew: 0.07
Prob(H) (two-sided): 0.15 Kurtosis: 2.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 143.13797455843584, Current Price: 140.81
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.142
Date: Wed, 09 Oct 2024 AIC 74.283
Time: 14:40:05 BIC 77.108
Sample: 0 HQIC 73.703
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6154 0.773 -0.796 0.426 -2.130 0.899
ma.L1 1.0000 1.79e+05 5.6e-06 1.000 -3.5e+05 3.5e+05
ar.S.L7 -0.5644 0.128 -4.414 0.000 -0.815 -0.314
ma.S.L7 1.0000 7.65e+04 1.31e-05 1.000 -1.5e+05 1.5e+05
sigma2 3.9824 7.96e+05 5e-06 1.000 -1.56e+06 1.56e+06
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.33
Prob(Q): 0.87 Prob(JB): 0.85
Heteroskedasticity (H): 0.31 Skew: 0.38
Prob(H) (two-sided): 0.28 Kurtosis: 2.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 138.29685067390486, Current Price: 139.6
SELL EXECUTED at 139.6
SELL ORDER COMPLETED at 138.46
OPERATION PROFIT, GROSS -1.9199999999999875, NET -2.1988399999999872
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.663
Date: Wed, 09 Oct 2024 AIC 71.326
Time: 14:40:05 BIC 74.151
Sample: 0 HQIC 70.746
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5957 0.492 -1.210 0.226 -1.560 0.369
ma.L1 1.0000 7.64e+04 1.31e-05 1.000 -1.5e+05 1.5e+05
ar.S.L7 -0.5163 0.137 -3.774 0.000 -0.784 -0.248
ma.S.L7 1.0000 8.38e+04 1.19e-05 1.000 -1.64e+05 1.64e+05
sigma2 3.1462 4.24e+05 7.42e-06 1.000 -8.31e+05 8.31e+05
===================================================================================
Ljung-Box (L1) (Q): 0.28 Jarque-Bera (JB): 0.24
Prob(Q): 0.59 Prob(JB): 0.89
Heteroskedasticity (H): 0.31 Skew: 0.34
Prob(H) (two-sided): 0.29 Kurtosis: 2.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 141.5504431928745, Current Price: 138.43
BUY EXECUTED at 138.43
BUY ORDER COMPLETED at 137.95
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.937
Date: Wed, 09 Oct 2024 AIC 61.874
Time: 14:40:05 BIC 64.698
Sample: 0 HQIC 61.293
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3751 2.839 -0.132 0.895 -5.939 5.189
ma.L1 0.4465 2.722 0.164 0.870 -4.889 5.782
ar.S.L7 -0.1968 0.413 -0.476 0.634 -1.007 0.613
ma.S.L7 0.1423 0.618 0.230 0.818 -1.069 1.353
sigma2 3.1407 1.923 1.633 0.102 -0.629 6.910
===================================================================================
Ljung-Box (L1) (Q): 3.19 Jarque-Bera (JB): 0.18
Prob(Q): 0.07 Prob(JB): 0.91
Heteroskedasticity (H): 10.28 Skew: -0.10
Prob(H) (two-sided): 0.04 Kurtosis: 2.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 138.65391204516604, Current Price: 137.81
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.562
Date: Wed, 09 Oct 2024 AIC 61.124
Time: 14:40:05 BIC 63.948
Sample: 0 HQIC 60.543
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0791 1.959 -0.040 0.968 -3.919 3.761
ma.L1 -0.1146 1.943 -0.059 0.953 -3.923 3.694
ar.S.L7 -0.0588 0.359 -0.164 0.870 -0.762 0.645
ma.S.L7 -0.1104 0.410 -0.269 0.788 -0.914 0.693
sigma2 2.9743 1.717 1.732 0.083 -0.392 6.340
===================================================================================
Ljung-Box (L1) (Q): 1.25 Jarque-Bera (JB): 0.46
Prob(Q): 0.26 Prob(JB): 0.79
Heteroskedasticity (H): 0.56 Skew: -0.39
Prob(H) (two-sided): 0.59 Kurtosis: 2.51
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 138.56472817440252, Current Price: 134.63
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.332
Date: Wed, 09 Oct 2024 AIC 62.665
Time: 14:40:05 BIC 65.490
Sample: 0 HQIC 62.084
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.0906 0.177 6.172 0.000 0.744 1.437
ma.L1 -1.0000 9050.143 -0.000 1.000 -1.77e+04 1.77e+04
ar.S.L7 -0.0256 0.189 -0.135 0.892 -0.397 0.345
ma.S.L7 -0.4144 0.869 -0.477 0.633 -2.117 1.288
sigma2 2.5481 2.31e+04 0.000 1.000 -4.52e+04 4.52e+04
===================================================================================
Ljung-Box (L1) (Q): 1.82 Jarque-Bera (JB): 0.03
Prob(Q): 0.18 Prob(JB): 0.99
Heteroskedasticity (H): 0.33 Skew: -0.00
Prob(H) (two-sided): 0.31 Kurtosis: 2.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 130.99475106156456, Current Price: 134.09
SELL EXECUTED at 134.09
SELL ORDER COMPLETED at 133.17
OPERATION PROFIT, GROSS -4.780000000000001, NET -5.051120000000001
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.870
Date: Wed, 09 Oct 2024 AIC 63.739
Time: 14:40:06 BIC 66.564
Sample: 0 HQIC 63.159
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4943 1.142 -0.433 0.665 -2.732 1.743
ma.L1 0.1762 1.532 0.115 0.908 -2.826 3.178
ar.S.L7 -0.0359 0.158 -0.227 0.821 -0.346 0.275
ma.S.L7 1.0000 2.7e+04 3.71e-05 1.000 -5.29e+04 5.29e+04
sigma2 2.2037 5.94e+04 3.71e-05 1.000 -1.16e+05 1.16e+05
===================================================================================
Ljung-Box (L1) (Q): 2.25 Jarque-Bera (JB): 0.59
Prob(Q): 0.13 Prob(JB): 0.75
Heteroskedasticity (H): 0.79 Skew: -0.05
Prob(H) (two-sided): 0.82 Kurtosis: 1.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 135.99565124703417, Current Price: 131.07
BUY EXECUTED at 131.07
BUY ORDER COMPLETED at 130.88
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.546
Date: Wed, 09 Oct 2024 AIC 67.091
Time: 14:40:06 BIC 69.916
Sample: 0 HQIC 66.511
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9902 0.169 5.876 0.000 0.660 1.320
ma.L1 -1.0000 1.32e+04 -7.59e-05 1.000 -2.58e+04 2.58e+04
ar.S.L7 0.0737 0.205 0.360 0.719 -0.328 0.475
ma.S.L7 -1.0010 470.343 -0.002 0.998 -922.856 920.854
sigma2 2.2862 2.98e+04 7.67e-05 1.000 -5.84e+04 5.84e+04
===================================================================================
Ljung-Box (L1) (Q): 4.11 Jarque-Bera (JB): 0.81
Prob(Q): 0.04 Prob(JB): 0.67
Heteroskedasticity (H): 1.28 Skew: 0.24
Prob(H) (two-sided): 0.82 Kurtosis: 1.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.3920410299917, Current Price: 135.12
SELL EXECUTED at 135.12
SELL ORDER COMPLETED at 132.17
OPERATION PROFIT, GROSS 1.289999999999992, NET 1.026949999999992
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.943
Date: Wed, 09 Oct 2024 AIC 65.885
Time: 14:40:06 BIC 68.710
Sample: 0 HQIC 65.305
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.1837 0.131 -9.008 0.000 -1.441 -0.926
ma.L1 1.0000 5353.352 0.000 1.000 -1.05e+04 1.05e+04
ar.S.L7 0.0300 0.416 0.072 0.943 -0.786 0.846
ma.S.L7 0.3370 3.225 0.105 0.917 -5.983 6.657
sigma2 3.4105 1.83e+04 0.000 1.000 -3.58e+04 3.58e+04
===================================================================================
Ljung-Box (L1) (Q): 2.25 Jarque-Bera (JB): 2.17
Prob(Q): 0.13 Prob(JB): 0.34
Heteroskedasticity (H): 0.47 Skew: -0.86
Prob(H) (two-sided): 0.48 Kurtosis: 4.02
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.1065873486205, Current Price: 132.88
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.792
Date: Wed, 09 Oct 2024 AIC 67.584
Time: 14:40:06 BIC 70.409
Sample: 0 HQIC 67.004
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0585 0.423 -2.503 0.012 -1.887 -0.230
ma.L1 1.0000 5566.794 0.000 1.000 -1.09e+04 1.09e+04
ar.S.L7 -7.054e-05 0.426 -0.000 1.000 -0.835 0.834
ma.S.L7 -0.0445 0.497 -0.089 0.929 -1.019 0.930
sigma2 4.5997 2.56e+04 0.000 1.000 -5.02e+04 5.02e+04
===================================================================================
Ljung-Box (L1) (Q): 0.70 Jarque-Bera (JB): 0.01
Prob(Q): 0.40 Prob(JB): 0.99
Heteroskedasticity (H): 1.08 Skew: 0.05
Prob(H) (two-sided): 0.95 Kurtosis: 2.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.40678096583346, Current Price: 131.94
BUY EXECUTED at 131.94
BUY ORDER COMPLETED at 134.51
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.566
Date: Wed, 09 Oct 2024 AIC 69.132
Time: 14:40:06 BIC 71.957
Sample: 0 HQIC 68.551
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5092 1.269 -0.401 0.688 -2.996 1.978
ma.L1 0.1739 1.289 0.135 0.893 -2.352 2.700
ar.S.L7 -0.2441 0.520 -0.469 0.639 -1.263 0.775
ma.S.L7 -0.1740 1.070 -0.163 0.871 -2.271 1.923
sigma2 5.4817 5.235 1.047 0.295 -4.778 15.741
===================================================================================
Ljung-Box (L1) (Q): 0.60 Jarque-Bera (JB): 0.19
Prob(Q): 0.44 Prob(JB): 0.91
Heteroskedasticity (H): 2.17 Skew: 0.28
Prob(H) (two-sided): 0.47 Kurtosis: 3.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 131.66450490719612, Current Price: 134.61
SELL EXECUTED at 134.61
SELL ORDER COMPLETED at 134.11
OPERATION PROFIT, GROSS -0.39999999999997726, NET -0.6686199999999772
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.513
Date: Wed, 09 Oct 2024 AIC 69.027
Time: 14:40:06 BIC 71.851
Sample: 0 HQIC 68.446
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7013 0.578 -1.214 0.225 -1.834 0.431
ma.L1 0.2389 0.906 0.264 0.792 -1.538 2.016
ar.S.L7 0.1743 1.701 0.103 0.918 -3.159 3.508
ma.S.L7 0.0641 1.266 0.051 0.960 -2.418 2.546
sigma2 5.4752 3.276 1.671 0.095 -0.946 11.897
===================================================================================
Ljung-Box (L1) (Q): 0.35 Jarque-Bera (JB): 0.54
Prob(Q): 0.55 Prob(JB): 0.76
Heteroskedasticity (H): 5.12 Skew: 0.40
Prob(H) (two-sided): 0.14 Kurtosis: 2.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.2740799153463, Current Price: 133.76
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.183
Date: Wed, 09 Oct 2024 AIC 68.366
Time: 14:40:06 BIC 71.190
Sample: 0 HQIC 67.785
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6862 0.470 -1.459 0.145 -1.608 0.236
ma.L1 0.3301 0.576 0.573 0.567 -0.799 1.460
ar.S.L7 -0.1421 0.622 -0.228 0.819 -1.362 1.077
ma.S.L7 -0.7420 4.056 -0.183 0.855 -8.692 7.208
sigma2 3.8274 12.731 0.301 0.764 -21.125 28.779
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.50
Prob(Q): 0.85 Prob(JB): 0.78
Heteroskedasticity (H): 2.21 Skew: 0.14
Prob(H) (two-sided): 0.46 Kurtosis: 2.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 133.80249913992262, Current Price: 133.49
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.459
Date: Wed, 09 Oct 2024 AIC 66.918
Time: 14:40:06 BIC 69.742
Sample: 0 HQIC 66.337
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5001 0.906 -0.552 0.581 -2.276 1.276
ma.L1 0.1289 0.919 0.140 0.888 -1.673 1.931
ar.S.L7 -0.1371 0.342 -0.400 0.689 -0.808 0.534
ma.S.L7 -1.0001 1.65e+04 -6.04e-05 1.000 -3.24e+04 3.24e+04
sigma2 2.8121 4.65e+04 6.04e-05 1.000 -9.12e+04 9.12e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.29
Prob(Q): 0.90 Prob(JB): 0.87
Heteroskedasticity (H): 1.31 Skew: -0.12
Prob(H) (two-sided): 0.80 Kurtosis: 2.31
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 133.97722178933478, Current Price: 134.83
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.062
Date: Wed, 09 Oct 2024 AIC 66.123
Time: 14:40:06 BIC 68.948
Sample: 0 HQIC 65.543
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5480 0.542 -1.010 0.312 -1.611 0.515
ma.L1 0.1737 0.827 0.210 0.834 -1.448 1.795
ar.S.L7 -0.2262 0.413 -0.548 0.584 -1.036 0.584
ma.S.L7 -1.0000 2.44e+04 -4.09e-05 1.000 -4.79e+04 4.79e+04
sigma2 2.6046 6.37e+04 4.09e-05 1.000 -1.25e+05 1.25e+05
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.57
Prob(Q): 0.94 Prob(JB): 0.75
Heteroskedasticity (H): 0.39 Skew: -0.32
Prob(H) (two-sided): 0.38 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.94144332841583, Current Price: 136.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.257
Date: Wed, 09 Oct 2024 AIC 66.513
Time: 14:40:06 BIC 69.338
Sample: 0 HQIC 65.933
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4755 1.161 -0.409 0.682 -2.751 1.800
ma.L1 0.1205 1.021 0.118 0.906 -1.880 2.121
ar.S.L7 -0.2131 0.704 -0.303 0.762 -1.593 1.167
ma.S.L7 -1.0001 1.44e+04 -6.97e-05 1.000 -2.81e+04 2.81e+04
sigma2 2.7299 3.92e+04 6.97e-05 1.000 -7.68e+04 7.68e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.75
Prob(Q): 0.88 Prob(JB): 0.69
Heteroskedasticity (H): 0.38 Skew: -0.35
Prob(H) (two-sided): 0.37 Kurtosis: 2.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.82649804507088, Current Price: 133.92
BUY EXECUTED at 133.92
BUY ORDER COMPLETED at 134.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.506
Date: Wed, 09 Oct 2024 AIC 67.012
Time: 14:40:06 BIC 69.837
Sample: 0 HQIC 66.432
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5328 0.647 -0.823 0.410 -1.802 0.736
ma.L1 0.1589 0.766 0.208 0.836 -1.342 1.659
ar.S.L7 -0.1602 0.460 -0.348 0.728 -1.062 0.742
ma.S.L7 -1.0000 2.58e+04 -3.87e-05 1.000 -5.06e+04 5.06e+04
sigma2 2.8204 7.28e+04 3.87e-05 1.000 -1.43e+05 1.43e+05
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.79
Prob(Q): 0.86 Prob(JB): 0.67
Heteroskedasticity (H): 0.24 Skew: -0.44
Prob(H) (two-sided): 0.19 Kurtosis: 2.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.1752498118142, Current Price: 136.51
SELL EXECUTED at 136.51
SELL ORDER COMPLETED at 135.21
OPERATION PROFIT, GROSS 0.4399999999999977, NET 0.17001999999999773
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.572
Date: Wed, 09 Oct 2024 AIC 67.143
Time: 14:40:06 BIC 69.968
Sample: 0 HQIC 66.563
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8471 0.430 -1.971 0.049 -1.690 -0.005
ma.L1 0.4620 0.831 0.556 0.578 -1.166 2.090
ar.S.L7 -0.3347 0.411 -0.814 0.416 -1.140 0.471
ma.S.L7 -1.0001 9972.547 -0.000 1.000 -1.95e+04 1.95e+04
sigma2 2.7681 2.76e+04 0.000 1.000 -5.41e+04 5.41e+04
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 1.26
Prob(Q): 0.66 Prob(JB): 0.53
Heteroskedasticity (H): 0.37 Skew: -0.65
Prob(H) (two-sided): 0.36 Kurtosis: 2.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 135.09239600613896, Current Price: 135.23
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.944
Date: Wed, 09 Oct 2024 AIC 61.888
Time: 14:40:06 BIC 64.713
Sample: 0 HQIC 61.307
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8454 0.264 -3.205 0.001 -1.362 -0.328
ma.L1 0.4445 0.501 0.888 0.375 -0.537 1.426
ar.S.L7 -0.5368 0.611 -0.878 0.380 -1.734 0.661
ma.S.L7 -1.0000 1.63e+05 -6.12e-06 1.000 -3.2e+05 3.2e+05
sigma2 1.8483 3.02e+05 6.12e-06 1.000 -5.92e+05 5.92e+05
===================================================================================
Ljung-Box (L1) (Q): 0.72 Jarque-Bera (JB): 0.94
Prob(Q): 0.40 Prob(JB): 0.62
Heteroskedasticity (H): 0.55 Skew: -0.57
Prob(H) (two-sided): 0.57 Kurtosis: 2.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 135.2538832667473, Current Price: 135.52
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.185
Date: Wed, 09 Oct 2024 AIC 62.371
Time: 14:40:06 BIC 65.196
Sample: 0 HQIC 61.790
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8341 0.134 -6.222 0.000 -1.097 -0.571
ma.L1 0.5457 0.416 1.311 0.190 -0.270 1.362
ar.S.L7 -0.6353 0.477 -1.332 0.183 -1.570 0.299
ma.S.L7 -1.0020 593.458 -0.002 0.999 -1164.158 1162.154
sigma2 1.9103 1134.776 0.002 0.999 -2222.210 2226.030
===================================================================================
Ljung-Box (L1) (Q): 2.54 Jarque-Bera (JB): 0.95
Prob(Q): 0.11 Prob(JB): 0.62
Heteroskedasticity (H): 0.45 Skew: -0.59
Prob(H) (two-sided): 0.45 Kurtosis: 2.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.04275699915254, Current Price: 136.53
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.356
Date: Wed, 09 Oct 2024 AIC 62.712
Time: 14:40:06 BIC 65.537
Sample: 0 HQIC 62.132
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4532 0.615 -0.736 0.462 -1.659 0.753
ma.L1 0.0028 0.750 0.004 0.997 -1.468 1.473
ar.S.L7 -0.6848 0.395 -1.732 0.083 -1.460 0.090
ma.S.L7 -0.0149 0.554 -0.027 0.979 -1.101 1.071
sigma2 3.3761 2.456 1.374 0.169 -1.438 8.191
===================================================================================
Ljung-Box (L1) (Q): 3.29 Jarque-Bera (JB): 1.35
Prob(Q): 0.07 Prob(JB): 0.51
Heteroskedasticity (H): 1.58 Skew: -0.78
Prob(H) (two-sided): 0.67 Kurtosis: 2.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.20827677699015, Current Price: 133.28
BUY EXECUTED at 133.28
BUY ORDER COMPLETED at 133.3
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.562
Date: Wed, 09 Oct 2024 AIC 61.124
Time: 14:40:06 BIC 63.949
Sample: 0 HQIC 60.544
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3151 0.928 -0.340 0.734 -2.133 1.503
ma.L1 0.0178 1.075 0.017 0.987 -2.090 2.125
ar.S.L7 -0.6720 0.407 -1.652 0.099 -1.469 0.125
ma.S.L7 -0.0282 0.568 -0.050 0.960 -1.142 1.085
sigma2 2.9876 1.945 1.536 0.124 -0.824 6.799
===================================================================================
Ljung-Box (L1) (Q): 4.60 Jarque-Bera (JB): 0.88
Prob(Q): 0.03 Prob(JB): 0.64
Heteroskedasticity (H): 1.33 Skew: -0.20
Prob(H) (two-sided): 0.79 Kurtosis: 1.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 137.05952504540255, Current Price: 133.94
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.855
Date: Wed, 09 Oct 2024 AIC 63.709
Time: 14:40:06 BIC 66.534
Sample: 0 HQIC 63.129
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2377 1.671 -0.142 0.887 -3.513 3.037
ma.L1 0.0567 1.929 0.029 0.977 -3.724 3.837
ar.S.L7 -0.5815 0.376 -1.546 0.122 -1.319 0.156
ma.S.L7 -0.2803 0.403 -0.696 0.487 -1.070 0.509
sigma2 3.5304 2.844 1.241 0.214 -2.043 9.104
===================================================================================
Ljung-Box (L1) (Q): 0.84 Jarque-Bera (JB): 1.21
Prob(Q): 0.36 Prob(JB): 0.55
Heteroskedasticity (H): 1.76 Skew: -0.25
Prob(H) (two-sided): 0.60 Kurtosis: 1.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 132.16082902108857, Current Price: 133.25
SELL EXECUTED at 133.25
SELL ORDER COMPLETED at 132.95
OPERATION PROFIT, GROSS -0.35000000000002274, NET -0.6162500000000227
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.120
Date: Wed, 09 Oct 2024 AIC 60.239
Time: 14:40:06 BIC 63.064
Sample: 0 HQIC 59.659
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9947 0.112 -8.895 0.000 -1.214 -0.775
ma.L1 1.0000 4263.905 0.000 1.000 -8356.101 8358.101
ar.S.L7 -0.8958 0.307 -2.914 0.004 -1.498 -0.293
ma.S.L7 -0.3333 1.010 -0.330 0.741 -2.313 1.647
sigma2 2.3306 9936.613 0.000 1.000 -1.95e+04 1.95e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.59
Prob(Q): 0.99 Prob(JB): 0.74
Heteroskedasticity (H): 3.61 Skew: -0.21
Prob(H) (two-sided): 0.24 Kurtosis: 2.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 130.6102771669455, Current Price: 134.25
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.894
Date: Wed, 09 Oct 2024 AIC 61.788
Time: 14:40:06 BIC 64.613
Sample: 0 HQIC 61.207
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0917 3.071 -0.030 0.976 -6.111 5.928
ma.L1 -0.0064 3.264 -0.002 0.998 -6.404 6.392
ar.S.L7 -0.5777 0.296 -1.952 0.051 -1.158 0.002
ma.S.L7 -0.2774 0.616 -0.451 0.652 -1.484 0.929
sigma2 3.0475 2.130 1.431 0.153 -1.128 7.223
===================================================================================
Ljung-Box (L1) (Q): 0.72 Jarque-Bera (JB): 0.72
Prob(Q): 0.40 Prob(JB): 0.70
Heteroskedasticity (H): 2.34 Skew: -0.41
Prob(H) (two-sided): 0.43 Kurtosis: 2.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 135.47813256257456, Current Price: 133.74
BUY EXECUTED at 133.74
BUY ORDER COMPLETED at 134.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.938
Date: Wed, 09 Oct 2024 AIC 61.875
Time: 14:40:06 BIC 64.700
Sample: 0 HQIC 61.294
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0333 0.985 -0.034 0.973 -1.964 1.897
ma.L1 -0.2392 1.111 -0.215 0.829 -2.416 1.937
ar.S.L7 -0.4270 0.313 -1.363 0.173 -1.041 0.187
ma.S.L7 -0.4402 1.101 -0.400 0.689 -2.599 1.718
sigma2 2.9076 2.645 1.099 0.272 -2.277 8.092
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 0.94
Prob(Q): 0.66 Prob(JB): 0.62
Heteroskedasticity (H): 1.26 Skew: -0.30
Prob(H) (two-sided): 0.83 Kurtosis: 1.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 132.81451736877162, Current Price: 134.43
SELL EXECUTED at 134.43
SELL ORDER COMPLETED at 133.89
OPERATION PROFIT, GROSS -0.11000000000001364, NET -0.3778900000000136
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.018
Date: Wed, 09 Oct 2024 AIC 62.037
Time: 14:40:06 BIC 64.861
Sample: 0 HQIC 61.456
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1074 0.981 -0.109 0.913 -2.030 1.815
ma.L1 -0.2645 1.264 -0.209 0.834 -2.742 2.213
ar.S.L7 -0.5105 0.218 -2.345 0.019 -0.937 -0.084
ma.S.L7 -0.0182 0.768 -0.024 0.981 -1.524 1.488
sigma2 3.2051 2.585 1.240 0.215 -1.862 8.272
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 0.46
Prob(Q): 0.66 Prob(JB): 0.79
Heteroskedasticity (H): 0.14 Skew: -0.26
Prob(H) (two-sided): 0.08 Kurtosis: 2.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.49158725113605, Current Price: 133.77
BUY EXECUTED at 133.77
BUY ORDER COMPLETED at 132.72
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.187
Date: Wed, 09 Oct 2024 AIC 56.375
Time: 14:40:06 BIC 59.200
Sample: 0 HQIC 55.794
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0987 0.428 -0.231 0.818 -0.938 0.740
ma.L1 -0.6158 0.564 -1.091 0.275 -1.722 0.491
ar.S.L7 -0.2234 0.207 -1.081 0.280 -0.628 0.182
ma.S.L7 -1.0000 3.53e+04 -2.84e-05 1.000 -6.91e+04 6.91e+04
sigma2 1.2404 4.37e+04 2.84e-05 1.000 -8.57e+04 8.57e+04
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.12
Prob(Q): 0.81 Prob(JB): 0.94
Heteroskedasticity (H): 0.19 Skew: 0.03
Prob(H) (two-sided): 0.13 Kurtosis: 3.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 132.94010863887559, Current Price: 132.13
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.423
Date: Wed, 09 Oct 2024 AIC 56.846
Time: 14:40:06 BIC 59.670
Sample: 0 HQIC 56.265
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0860 0.584 0.147 0.883 -1.059 1.231
ma.L1 -1.0003 398.036 -0.003 0.998 -781.137 779.137
ar.S.L7 -0.3095 0.151 -2.052 0.040 -0.605 -0.014
ma.S.L7 -1.0002 4476.442 -0.000 1.000 -8774.665 8772.664
sigma2 1.0969 5122.900 0.000 1.000 -1e+04 1e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.26
Prob(Q): 0.98 Prob(JB): 0.88
Heteroskedasticity (H): 0.41 Skew: 0.33
Prob(H) (two-sided): 0.40 Kurtosis: 2.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 135.5921904996219, Current Price: 130.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.603
Date: Wed, 09 Oct 2024 AIC 59.207
Time: 14:40:06 BIC 62.031
Sample: 0 HQIC 58.626
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2972 0.542 -0.548 0.584 -1.360 0.765
ma.L1 -0.4956 0.712 -0.697 0.486 -1.890 0.899
ar.S.L7 -0.3279 0.270 -1.214 0.225 -0.857 0.201
ma.S.L7 1.0000 1.86e+04 5.39e-05 1.000 -3.64e+04 3.64e+04
sigma2 1.5524 2.88e+04 5.39e-05 1.000 -5.65e+04 5.65e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.16
Prob(Q): 0.91 Prob(JB): 0.93
Heteroskedasticity (H): 0.47 Skew: 0.17
Prob(H) (two-sided): 0.48 Kurtosis: 2.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 131.67093534840805, Current Price: 123.6
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.184
Date: Wed, 09 Oct 2024 AIC 64.368
Time: 14:40:06 BIC 67.193
Sample: 0 HQIC 63.787
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5457 0.174 -3.141 0.002 -0.886 -0.205
ma.L1 1.0000 1.83e+04 5.46e-05 1.000 -3.59e+04 3.59e+04
ar.S.L7 -0.6373 0.309 -2.066 0.039 -1.242 -0.033
ma.S.L7 0.2875 0.995 0.289 0.773 -1.662 2.237
sigma2 3.0673 5.62e+04 5.46e-05 1.000 -1.1e+05 1.1e+05
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 0.15
Prob(Q): 0.66 Prob(JB): 0.93
Heteroskedasticity (H): 2.64 Skew: -0.09
Prob(H) (two-sided): 0.37 Kurtosis: 2.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.78936230431108, Current Price: 125.05
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.522
Date: Wed, 09 Oct 2024 AIC 63.044
Time: 14:40:06 BIC 65.869
Sample: 0 HQIC 62.463
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4981 0.066 -7.527 0.000 -0.628 -0.368
ma.L1 1.0000 7894.290 0.000 1.000 -1.55e+04 1.55e+04
ar.S.L7 -0.4343 0.535 -0.811 0.417 -1.483 0.615
ma.S.L7 -0.2672 1.386 -0.193 0.847 -2.985 2.450
sigma2 2.9291 2.31e+04 0.000 1.000 -4.53e+04 4.53e+04
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 0.67
Prob(Q): 0.70 Prob(JB): 0.72
Heteroskedasticity (H): 2.02 Skew: -0.27
Prob(H) (two-sided): 0.51 Kurtosis: 2.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.0404811872153, Current Price: 123.93
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.449
Date: Wed, 09 Oct 2024 AIC 60.899
Time: 14:40:06 BIC 63.723
Sample: 0 HQIC 60.318
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2604 0.637 -0.409 0.683 -1.510 0.989
ma.L1 1.0000 9425.402 0.000 1.000 -1.85e+04 1.85e+04
ar.S.L7 -0.5730 0.220 -2.607 0.009 -1.004 -0.142
ma.S.L7 0.0692 0.722 0.096 0.924 -1.347 1.485
sigma2 2.5949 2.45e+04 0.000 1.000 -4.79e+04 4.79e+04
===================================================================================
Ljung-Box (L1) (Q): 0.78 Jarque-Bera (JB): 0.22
Prob(Q): 0.38 Prob(JB): 0.89
Heteroskedasticity (H): 1.91 Skew: 0.28
Prob(H) (two-sided): 0.55 Kurtosis: 2.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.38173510265585, Current Price: 123.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.942
Date: Wed, 09 Oct 2024 AIC 59.884
Time: 14:40:06 BIC 62.709
Sample: 0 HQIC 59.304
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1315 0.586 -0.224 0.822 -1.280 1.017
ma.L1 1.0000 6870.441 0.000 1.000 -1.35e+04 1.35e+04
ar.S.L7 -0.4583 0.226 -2.025 0.043 -0.902 -0.015
ma.S.L7 -0.5375 1.653 -0.325 0.745 -3.777 2.702
sigma2 2.2034 1.51e+04 0.000 1.000 -2.97e+04 2.97e+04
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 0.50
Prob(Q): 0.69 Prob(JB): 0.78
Heteroskedasticity (H): 0.57 Skew: -0.37
Prob(H) (two-sided): 0.60 Kurtosis: 2.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.76340827528179, Current Price: 118.28
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.830
Date: Wed, 09 Oct 2024 AIC 67.661
Time: 14:40:06 BIC 70.485
Sample: 0 HQIC 67.080
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1262 1.315 -0.096 0.924 -2.703 2.451
ma.L1 0.6029 1.413 0.427 0.670 -2.166 3.372
ar.S.L7 -0.3801 0.973 -0.390 0.696 -2.288 1.528
ma.S.L7 -0.0971 2.071 -0.047 0.963 -4.157 3.963
sigma2 4.9116 2.969 1.654 0.098 -0.907 10.730
===================================================================================
Ljung-Box (L1) (Q): 0.31 Jarque-Bera (JB): 1.02
Prob(Q): 0.58 Prob(JB): 0.60
Heteroskedasticity (H): 6.21 Skew: -0.66
Prob(H) (two-sided): 0.10 Kurtosis: 2.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.55561462604035, Current Price: 115.94
SELL EXECUTED at 115.94
SELL ORDER COMPLETED at 115.22
OPERATION PROFIT, GROSS -17.5, NET -17.74794
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.130
Date: Wed, 09 Oct 2024 AIC 68.259
Time: 14:40:07 BIC 71.084
Sample: 0 HQIC 67.679
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2856 3.475 -0.082 0.934 -7.096 6.525
ma.L1 1.8751 12.020 0.156 0.876 -21.685 25.435
ar.S.L7 -0.3917 0.865 -0.453 0.651 -2.086 1.303
ma.S.L7 0.0235 1.614 0.015 0.988 -3.140 3.187
sigma2 1.4703 19.422 0.076 0.940 -36.596 39.537
===================================================================================
Ljung-Box (L1) (Q): 0.58 Jarque-Bera (JB): 1.41
Prob(Q): 0.45 Prob(JB): 0.49
Heteroskedasticity (H): 4.99 Skew: -0.79
Prob(H) (two-sided): 0.15 Kurtosis: 2.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.84277780299693, Current Price: 119.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.262
Date: Wed, 09 Oct 2024 AIC 68.523
Time: 14:40:07 BIC 71.348
Sample: 0 HQIC 67.943
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3738 1.806 -0.207 0.836 -3.913 3.166
ma.L1 0.7379 1.560 0.473 0.636 -2.320 3.796
ar.S.L7 -0.4475 1.040 -0.430 0.667 -2.486 1.591
ma.S.L7 -0.2180 0.976 -0.223 0.823 -2.130 1.694
sigma2 5.1717 3.056 1.692 0.091 -0.819 11.162
===================================================================================
Ljung-Box (L1) (Q): 0.43 Jarque-Bera (JB): 1.44
Prob(Q): 0.51 Prob(JB): 0.49
Heteroskedasticity (H): 13.17 Skew: -0.81
Prob(H) (two-sided): 0.03 Kurtosis: 2.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.01358209131634, Current Price: 121.13
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.936
Date: Wed, 09 Oct 2024 AIC 69.872
Time: 14:40:07 BIC 72.697
Sample: 0 HQIC 69.291
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2644 1.530 0.173 0.863 -2.735 3.263
ma.L1 0.0371 1.540 0.024 0.981 -2.981 3.055
ar.S.L7 -0.6278 0.667 -0.942 0.346 -1.934 0.679
ma.S.L7 -1.0001 1.11e+04 -8.99e-05 1.000 -2.18e+04 2.18e+04
sigma2 3.5271 3.92e+04 8.99e-05 1.000 -7.69e+04 7.69e+04
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 1.59
Prob(Q): 0.68 Prob(JB): 0.45
Heteroskedasticity (H): 6.91 Skew: -0.85
Prob(H) (two-sided): 0.09 Kurtosis: 3.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.13309482740564, Current Price: 120.05
BUY EXECUTED at 120.05
BUY ORDER COMPLETED at 120.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.408
Date: Wed, 09 Oct 2024 AIC 70.817
Time: 14:40:07 BIC 73.642
Sample: 0 HQIC 70.236
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3605 3.108 0.116 0.908 -5.731 6.452
ma.L1 -0.1357 3.199 -0.042 0.966 -6.406 6.135
ar.S.L7 -0.8991 0.581 -1.547 0.122 -2.039 0.240
ma.S.L7 -1.0007 3251.372 -0.000 1.000 -6373.573 6371.572
sigma2 3.7919 1.23e+04 0.000 1.000 -2.42e+04 2.42e+04
===================================================================================
Ljung-Box (L1) (Q): 0.37 Jarque-Bera (JB): 1.54
Prob(Q): 0.54 Prob(JB): 0.46
Heteroskedasticity (H): 0.83 Skew: -0.84
Prob(H) (two-sided): 0.86 Kurtosis: 3.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.8786085634738, Current Price: 120.74
SELL EXECUTED at 120.74
SELL ORDER COMPLETED at 118.08
OPERATION PROFIT, GROSS -2.6200000000000045, NET -2.8587800000000048
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.656
Date: Wed, 09 Oct 2024 AIC 71.312
Time: 14:40:07 BIC 74.137
Sample: 0 HQIC 70.732
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4702 0.370 -1.271 0.204 -1.195 0.255
ma.L1 1.7362 1.754 0.990 0.322 -1.702 5.174
ar.S.L7 -0.8897 0.606 -1.467 0.142 -2.078 0.299
ma.S.L7 -1.0004 4119.969 -0.000 1.000 -8075.991 8073.990
sigma2 1.2776 5265.411 0.000 1.000 -1.03e+04 1.03e+04
===================================================================================
Ljung-Box (L1) (Q): 0.30 Jarque-Bera (JB): 1.39
Prob(Q): 0.58 Prob(JB): 0.50
Heteroskedasticity (H): 0.49 Skew: -0.80
Prob(H) (two-sided): 0.51 Kurtosis: 2.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.93898488512298, Current Price: 118.09
BUY EXECUTED at 118.09
BUY ORDER COMPLETED at 119.09
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.520
Date: Wed, 09 Oct 2024 AIC 73.040
Time: 14:40:07 BIC 75.865
Sample: 0 HQIC 72.460
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3458 2.608 0.133 0.895 -4.766 5.457
ma.L1 -0.1658 2.691 -0.062 0.951 -5.441 5.109
ar.S.L7 -0.8793 0.652 -1.348 0.178 -2.158 0.399
ma.S.L7 -0.5736 2.614 -0.219 0.826 -5.698 4.550
sigma2 6.4113 8.239 0.778 0.436 -9.737 22.559
===================================================================================
Ljung-Box (L1) (Q): 0.54 Jarque-Bera (JB): 0.89
Prob(Q): 0.46 Prob(JB): 0.64
Heteroskedasticity (H): 1.13 Skew: -0.51
Prob(H) (two-sided): 0.91 Kurtosis: 2.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.62052519097645, Current Price: 119.51
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.183
Date: Wed, 09 Oct 2024 AIC 66.366
Time: 14:40:07 BIC 69.190
Sample: 0 HQIC 65.785
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8224 0.116 7.096 0.000 0.595 1.050
ma.L1 -1.0000 1.24e+05 -8.09e-06 1.000 -2.42e+05 2.42e+05
ar.S.L7 -1.2661 0.506 -2.503 0.012 -2.258 -0.275
ma.S.L7 -0.7123 2.037 -0.350 0.727 -4.705 3.281
sigma2 2.8220 3.49e+05 8.09e-06 1.000 -6.84e+05 6.84e+05
===================================================================================
Ljung-Box (L1) (Q): 0.33 Jarque-Bera (JB): 0.80
Prob(Q): 0.57 Prob(JB): 0.67
Heteroskedasticity (H): 2.25 Skew: -0.25
Prob(H) (two-sided): 0.45 Kurtosis: 1.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.02674548366184, Current Price: 120.62
SELL EXECUTED at 120.62
SELL ORDER COMPLETED at 121.15
OPERATION PROFIT, GROSS 2.0600000000000023, NET 1.8197600000000023
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.951
Date: Wed, 09 Oct 2024 AIC 67.902
Time: 14:40:07 BIC 70.727
Sample: 0 HQIC 67.321
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6966 0.242 2.880 0.004 0.223 1.171
ma.L1 -1.0000 9767.777 -0.000 1.000 -1.91e+04 1.91e+04
ar.S.L7 -1.3696 0.580 -2.360 0.018 -2.507 -0.232
ma.S.L7 0.2039 0.950 0.215 0.830 -1.657 2.065
sigma2 4.3010 4.2e+04 0.000 1.000 -8.23e+04 8.23e+04
===================================================================================
Ljung-Box (L1) (Q): 0.57 Jarque-Bera (JB): 4.78
Prob(Q): 0.45 Prob(JB): 0.09
Heteroskedasticity (H): 5.96 Skew: -1.41
Prob(H) (two-sided): 0.11 Kurtosis: 3.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.65450494071453, Current Price: 120.95
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.588
Date: Wed, 09 Oct 2024 AIC 69.176
Time: 14:40:07 BIC 72.001
Sample: 0 HQIC 68.595
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5890 0.478 1.232 0.218 -0.348 1.526
ma.L1 -1.0000 1.48e+05 -6.75e-06 1.000 -2.9e+05 2.9e+05
ar.S.L7 -1.2110 0.563 -2.151 0.031 -2.315 -0.107
ma.S.L7 0.1546 0.956 0.162 0.871 -1.719 2.028
sigma2 4.7607 7.05e+05 6.75e-06 1.000 -1.38e+06 1.38e+06
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 3.52
Prob(Q): 0.98 Prob(JB): 0.17
Heteroskedasticity (H): 0.77 Skew: -1.21
Prob(H) (two-sided): 0.80 Kurtosis: 3.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.00737211481022, Current Price: 124.24
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -34.131
Date: Wed, 09 Oct 2024 AIC 78.262
Time: 14:40:07 BIC 81.087
Sample: 0 HQIC 77.681
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2836 4.251 0.067 0.947 -8.048 8.616
ma.L1 -0.1839 4.165 -0.044 0.965 -8.348 7.980
ar.S.L7 -0.3341 0.921 -0.363 0.717 -2.139 1.471
ma.S.L7 -0.4408 1.598 -0.276 0.783 -3.572 2.690
sigma2 10.2539 10.906 0.940 0.347 -11.122 31.630
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.51
Prob(Q): 0.76 Prob(JB): 0.77
Heteroskedasticity (H): 2.70 Skew: -0.04
Prob(H) (two-sided): 0.36 Kurtosis: 2.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.68265394416213, Current Price: 124.13
BUY EXECUTED at 124.13
BUY ORDER COMPLETED at 124.08
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -34.307
Date: Wed, 09 Oct 2024 AIC 78.615
Time: 14:40:07 BIC 81.440
Sample: 0 HQIC 78.034
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2852 21.559 0.013 0.989 -41.970 42.540
ma.L1 -0.3110 21.435 -0.015 0.988 -42.324 41.701
ar.S.L7 -0.6232 0.537 -1.161 0.246 -1.676 0.429
ma.S.L7 0.3630 1.021 0.355 0.722 -1.639 2.365
sigma2 10.8504 6.643 1.633 0.102 -2.169 23.870
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 0.47
Prob(Q): 0.70 Prob(JB): 0.79
Heteroskedasticity (H): 0.98 Skew: -0.15
Prob(H) (two-sided): 0.98 Kurtosis: 2.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.17204127802017, Current Price: 124.18
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -34.284
Date: Wed, 09 Oct 2024 AIC 78.568
Time: 14:40:07 BIC 81.393
Sample: 0 HQIC 77.988
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3090 22.581 0.014 0.989 -43.950 44.568
ma.L1 -0.3340 22.389 -0.015 0.988 -44.215 43.547
ar.S.L7 -0.6165 0.589 -1.047 0.295 -1.771 0.538
ma.S.L7 0.3625 1.150 0.315 0.753 -1.891 2.617
sigma2 10.8137 6.446 1.677 0.093 -1.821 23.448
===================================================================================
Ljung-Box (L1) (Q): 0.56 Jarque-Bera (JB): 0.45
Prob(Q): 0.46 Prob(JB): 0.80
Heteroskedasticity (H): 0.45 Skew: -0.20
Prob(H) (two-sided): 0.46 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.93379106885976, Current Price: 124.89
SELL EXECUTED at 124.89
SELL ORDER COMPLETED at 125.04
OPERATION PROFIT, GROSS 0.960000000000008, NET 0.710880000000008
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.851
Date: Wed, 09 Oct 2024 AIC 75.702
Time: 14:40:07 BIC 78.527
Sample: 0 HQIC 75.122
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6865 0.456 -1.505 0.132 -1.580 0.207
ma.L1 1.0000 2.52e+04 3.97e-05 1.000 -4.94e+04 4.94e+04
ar.S.L7 -0.6379 0.221 -2.880 0.004 -1.072 -0.204
ma.S.L7 0.3259 0.831 0.392 0.695 -1.303 1.955
sigma2 7.2973 1.84e+05 3.97e-05 1.000 -3.6e+05 3.6e+05
===================================================================================
Ljung-Box (L1) (Q): 3.91 Jarque-Bera (JB): 0.72
Prob(Q): 0.05 Prob(JB): 0.70
Heteroskedasticity (H): 1.09 Skew: 0.14
Prob(H) (two-sided): 0.93 Kurtosis: 1.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.41286857196886, Current Price: 123.32
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.853
Date: Wed, 09 Oct 2024 AIC 75.705
Time: 14:40:07 BIC 78.530
Sample: 0 HQIC 75.125
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5434 0.332 1.636 0.102 -0.108 1.194
ma.L1 -0.4553 0.653 -0.697 0.486 -1.735 0.824
ar.S.L7 -0.7628 0.312 -2.442 0.015 -1.375 -0.151
ma.S.L7 1.0000 5.83e+04 1.72e-05 1.000 -1.14e+05 1.14e+05
sigma2 5.2919 3.09e+05 1.72e-05 1.000 -6.05e+05 6.05e+05
===================================================================================
Ljung-Box (L1) (Q): 3.34 Jarque-Bera (JB): 0.93
Prob(Q): 0.07 Prob(JB): 0.63
Heteroskedasticity (H): 0.32 Skew: 0.18
Prob(H) (two-sided): 0.30 Kurtosis: 1.74
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.79918077232617, Current Price: 124.01
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.070
Date: Wed, 09 Oct 2024 AIC 72.141
Time: 14:40:07 BIC 74.966
Sample: 0 HQIC 71.560
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9830 0.245 4.015 0.000 0.503 1.463
ma.L1 -1.0000 7163.161 -0.000 1.000 -1.4e+04 1.4e+04
ar.S.L7 -0.6671 0.286 -2.336 0.019 -1.227 -0.107
ma.S.L7 0.8730 10.488 0.083 0.934 -19.684 21.430
sigma2 4.1935 3.01e+04 0.000 1.000 -5.89e+04 5.89e+04
===================================================================================
Ljung-Box (L1) (Q): 2.24 Jarque-Bera (JB): 0.50
Prob(Q): 0.13 Prob(JB): 0.78
Heteroskedasticity (H): 0.32 Skew: 0.00
Prob(H) (two-sided): 0.29 Kurtosis: 2.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.20161627540344, Current Price: 125.11
BUY EXECUTED at 125.11
BUY ORDER COMPLETED at 127.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.053
Date: Wed, 09 Oct 2024 AIC 66.106
Time: 14:40:07 BIC 68.930
Sample: 0 HQIC 65.525
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5275 0.960 -0.549 0.583 -2.409 1.354
ma.L1 0.1783 0.989 0.180 0.857 -1.760 2.116
ar.S.L7 -0.5232 0.170 -3.083 0.002 -0.856 -0.191
ma.S.L7 1.0000 2.78e+04 3.6e-05 1.000 -5.44e+04 5.44e+04
sigma2 2.5618 7.12e+04 3.6e-05 1.000 -1.39e+05 1.39e+05
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 1.15
Prob(Q): 0.61 Prob(JB): 0.56
Heteroskedasticity (H): 1.21 Skew: 0.50
Prob(H) (two-sided): 0.86 Kurtosis: 1.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.447408133303, Current Price: 128.84
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.170
Date: Wed, 09 Oct 2024 AIC 66.340
Time: 14:40:07 BIC 69.165
Sample: 0 HQIC 65.760
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3429 2.370 -0.145 0.885 -4.988 4.302
ma.L1 0.1531 2.439 0.063 0.950 -4.627 4.934
ar.S.L7 -0.4640 0.165 -2.804 0.005 -0.788 -0.140
ma.S.L7 1.0000 3.06e+04 3.27e-05 1.000 -6e+04 6e+04
sigma2 2.6919 8.24e+04 3.27e-05 1.000 -1.61e+05 1.61e+05
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 1.09
Prob(Q): 0.67 Prob(JB): 0.58
Heteroskedasticity (H): 0.13 Skew: 0.30
Prob(H) (two-sided): 0.07 Kurtosis: 1.72
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.0142351106204, Current Price: 129.71
SELL EXECUTED at 129.71
SELL ORDER COMPLETED at 129.17
OPERATION PROFIT, GROSS 1.5199999999999818, NET 1.2631799999999818
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.166
Date: Wed, 09 Oct 2024 AIC 68.331
Time: 14:40:07 BIC 71.156
Sample: 0 HQIC 67.751
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8620 0.591 1.458 0.145 -0.297 2.021
ma.L1 -1.0000 2.18e+04 -4.58e-05 1.000 -4.28e+04 4.28e+04
ar.S.L7 -0.1077 0.346 -0.312 0.755 -0.786 0.570
ma.S.L7 -1.0002 7950.070 -0.000 1.000 -1.56e+04 1.56e+04
sigma2 2.5235 5.14e+04 4.91e-05 1.000 -1.01e+05 1.01e+05
===================================================================================
Ljung-Box (L1) (Q): 1.28 Jarque-Bera (JB): 1.42
Prob(Q): 0.26 Prob(JB): 0.49
Heteroskedasticity (H): 0.11 Skew: 0.78
Prob(H) (two-sided): 0.05 Kurtosis: 3.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 130.0938753903228, Current Price: 127.48
BUY EXECUTED at 127.48
BUY ORDER COMPLETED at 127.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.043
Date: Wed, 09 Oct 2024 AIC 68.087
Time: 14:40:07 BIC 70.911
Sample: 0 HQIC 67.506
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7522 0.712 1.057 0.290 -0.642 2.147
ma.L1 -1.0000 5096.302 -0.000 1.000 -9989.569 9987.569
ar.S.L7 0.0307 0.308 0.100 0.921 -0.572 0.633
ma.S.L7 -1.0002 4669.968 -0.000 1.000 -9153.970 9151.969
sigma2 2.5090 1.14e+04 0.000 1.000 -2.23e+04 2.23e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.55
Prob(Q): 0.85 Prob(JB): 0.76
Heteroskedasticity (H): 0.26 Skew: 0.46
Prob(H) (two-sided): 0.22 Kurtosis: 3.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.42435602470421, Current Price: 128.67
SELL EXECUTED at 128.67
SELL ORDER COMPLETED at 128.11
OPERATION PROFIT, GROSS 0.4100000000000108, NET 0.15419000000001076
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.683
Date: Wed, 09 Oct 2024 AIC 57.367
Time: 14:40:07 BIC 60.191
Sample: 0 HQIC 56.786
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5876 0.523 -1.123 0.261 -1.613 0.438
ma.L1 0.8229 0.231 3.564 0.000 0.370 1.275
ar.S.L7 4.718e-05 0.059 0.001 0.999 -0.116 0.117
ma.S.L7 -0.3162 0.286 -1.106 0.269 -0.877 0.244
sigma2 2.2291 1.443 1.544 0.122 -0.600 5.058
===================================================================================
Ljung-Box (L1) (Q): 3.95 Jarque-Bera (JB): 0.40
Prob(Q): 0.05 Prob(JB): 0.82
Heteroskedasticity (H): 1.37 Skew: -0.12
Prob(H) (two-sided): 0.77 Kurtosis: 2.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.92037343692705, Current Price: 128.78
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.376
Date: Wed, 09 Oct 2024 AIC 42.752
Time: 14:40:07 BIC 45.576
Sample: 0 HQIC 42.171
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2273 0.196 -1.158 0.247 -0.612 0.157
ma.L1 -0.5980 0.179 -3.349 0.001 -0.948 -0.248
ar.S.L7 0.2038 0.054 3.790 0.000 0.098 0.309
ma.S.L7 -0.6556 0.456 -1.439 0.150 -1.548 0.237
sigma2 0.5875 0.394 1.492 0.136 -0.184 1.359
===================================================================================
Ljung-Box (L1) (Q): 1.42 Jarque-Bera (JB): 0.83
Prob(Q): 0.23 Prob(JB): 0.66
Heteroskedasticity (H): 2.83 Skew: -0.23
Prob(H) (two-sided): 0.34 Kurtosis: 1.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.99387531163757, Current Price: 128.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.312
Date: Wed, 09 Oct 2024 AIC 50.624
Time: 14:40:07 BIC 53.449
Sample: 0 HQIC 50.044
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2186 0.561 -0.390 0.696 -1.317 0.880
ma.L1 -1.0000 1.17e+04 -8.56e-05 1.000 -2.29e+04 2.29e+04
ar.S.L7 0.0990 0.057 1.726 0.084 -0.013 0.211
ma.S.L7 -0.6415 1.541 -0.416 0.677 -3.661 2.378
sigma2 0.9232 1.08e+04 8.56e-05 1.000 -2.11e+04 2.11e+04
===================================================================================
Ljung-Box (L1) (Q): 1.37 Jarque-Bera (JB): 5.95
Prob(Q): 0.24 Prob(JB): 0.05
Heteroskedasticity (H): 0.16 Skew: 1.43
Prob(H) (two-sided): 0.11 Kurtosis: 4.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 130.06809942187994, Current Price: 128.12
BUY EXECUTED at 128.12
BUY ORDER COMPLETED at 127.76
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.055
Date: Wed, 09 Oct 2024 AIC 52.110
Time: 14:40:07 BIC 54.935
Sample: 0 HQIC 51.530
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1505 2.696 -0.056 0.955 -5.434 5.133
ma.L1 -0.0316 2.719 -0.012 0.991 -5.361 5.297
ar.S.L7 -0.3639 0.267 -1.365 0.172 -0.886 0.159
ma.S.L7 0.2691 0.744 0.362 0.718 -1.189 1.727
sigma2 1.4504 0.816 1.778 0.075 -0.148 3.049
===================================================================================
Ljung-Box (L1) (Q): 0.69 Jarque-Bera (JB): 0.12
Prob(Q): 0.41 Prob(JB): 0.94
Heteroskedasticity (H): 0.68 Skew: -0.21
Prob(H) (two-sided): 0.72 Kurtosis: 2.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 131.84743361078066, Current Price: 127.96
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.258
Date: Wed, 09 Oct 2024 AIC 60.516
Time: 14:40:07 BIC 63.341
Sample: 0 HQIC 59.935
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1455 5.137 -0.028 0.977 -10.213 9.922
ma.L1 0.0371 4.937 0.008 0.994 -9.639 9.713
ar.S.L7 -0.3324 0.421 -0.790 0.429 -1.157 0.492
ma.S.L7 -8.1821 34.655 -0.236 0.813 -76.104 59.740
sigma2 0.0422 0.345 0.122 0.903 -0.634 0.719
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.71
Prob(Q): 0.96 Prob(JB): 0.70
Heteroskedasticity (H): 2.30 Skew: -0.55
Prob(H) (two-sided): 0.44 Kurtosis: 2.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.72615431984596, Current Price: 126.61
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.496
Date: Wed, 09 Oct 2024 AIC 60.993
Time: 14:40:07 BIC 63.817
Sample: 0 HQIC 60.412
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7366 1.574 0.468 0.640 -2.348 3.821
ma.L1 -0.5622 1.972 -0.285 0.776 -4.426 3.302
ar.S.L7 -0.3896 0.308 -1.263 0.206 -0.994 0.215
ma.S.L7 0.0074 1.061 0.007 0.994 -2.072 2.087
sigma2 2.9344 1.417 2.072 0.038 0.158 5.711
===================================================================================
Ljung-Box (L1) (Q): 0.28 Jarque-Bera (JB): 0.40
Prob(Q): 0.60 Prob(JB): 0.82
Heteroskedasticity (H): 2.13 Skew: -0.21
Prob(H) (two-sided): 0.48 Kurtosis: 2.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.4814966477418, Current Price: 126.36
SELL EXECUTED at 126.36
SELL ORDER COMPLETED at 126.51
OPERATION PROFIT, GROSS -1.25, NET -1.50427
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.431
Date: Wed, 09 Oct 2024 AIC 56.861
Time: 14:40:08 BIC 59.686
Sample: 0 HQIC 56.280
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5658 0.462 -1.224 0.221 -1.472 0.340
ma.L1 0.8280 0.527 1.572 0.116 -0.204 1.860
ar.S.L7 -0.2554 0.413 -0.618 0.536 -1.065 0.554
ma.S.L7 -0.9259 11.883 -0.078 0.938 -24.215 22.364
sigma2 1.3186 14.831 0.089 0.929 -27.750 30.387
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.15
Prob(Q): 0.87 Prob(JB): 0.93
Heteroskedasticity (H): 7.28 Skew: 0.21
Prob(H) (two-sided): 0.08 Kurtosis: 3.31
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.04315352646425, Current Price: 125.7
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.410
Date: Wed, 09 Oct 2024 AIC 54.821
Time: 14:40:08 BIC 57.645
Sample: 0 HQIC 54.240
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5251 0.298 -1.763 0.078 -1.109 0.059
ma.L1 1.0000 4318.505 0.000 1.000 -8463.113 8465.113
ar.S.L7 0.0506 0.285 0.178 0.859 -0.508 0.609
ma.S.L7 -1.0001 6631.518 -0.000 1.000 -1.3e+04 1.3e+04
sigma2 1.0520 6659.101 0.000 1.000 -1.31e+04 1.31e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.04
Prob(Q): 0.87 Prob(JB): 0.98
Heteroskedasticity (H): 7.64 Skew: -0.14
Prob(H) (two-sided): 0.07 Kurtosis: 2.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.00819638595023, Current Price: 123.97
BUY EXECUTED at 123.97
BUY ORDER COMPLETED at 124.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.407
Date: Wed, 09 Oct 2024 AIC 54.814
Time: 14:40:08 BIC 57.639
Sample: 0 HQIC 54.234
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4011 0.701 -0.572 0.567 -1.775 0.972
ma.L1 0.8767 0.400 2.189 0.029 0.092 1.662
ar.S.L7 -0.1326 0.323 -0.410 0.682 -0.766 0.501
ma.S.L7 -1.0001 1.35e+04 -7.39e-05 1.000 -2.65e+04 2.65e+04
sigma2 1.1200 1.51e+04 7.39e-05 1.000 -2.97e+04 2.97e+04
===================================================================================
Ljung-Box (L1) (Q): 0.52 Jarque-Bera (JB): 0.19
Prob(Q): 0.47 Prob(JB): 0.91
Heteroskedasticity (H): 0.69 Skew: 0.05
Prob(H) (two-sided): 0.73 Kurtosis: 2.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.4151952195276, Current Price: 124.15
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.397
Date: Wed, 09 Oct 2024 AIC 54.794
Time: 14:40:08 BIC 57.619
Sample: 0 HQIC 54.213
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5592 0.445 -1.255 0.209 -1.432 0.314
ma.L1 1.0000 4328.231 0.000 1.000 -8482.178 8484.178
ar.S.L7 -0.1746 0.580 -0.301 0.764 -1.312 0.963
ma.S.L7 -1.0000 2.78e+04 -3.59e-05 1.000 -5.46e+04 5.46e+04
sigma2 0.9916 2.86e+04 3.47e-05 1.000 -5.6e+04 5.6e+04
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.50
Prob(Q): 0.79 Prob(JB): 0.78
Heteroskedasticity (H): 0.32 Skew: -0.23
Prob(H) (two-sided): 0.30 Kurtosis: 2.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.77162904912682, Current Price: 126.86
SELL EXECUTED at 126.86
SELL ORDER COMPLETED at 126.51
OPERATION PROFIT, GROSS 2.510000000000005, NET 2.259490000000005
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.307
Date: Wed, 09 Oct 2024 AIC 56.614
Time: 14:40:08 BIC 59.438
Sample: 0 HQIC 56.033
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5484 0.489 -1.122 0.262 -1.506 0.409
ma.L1 0.9254 0.529 1.748 0.080 -0.112 1.963
ar.S.L7 -0.2995 0.488 -0.614 0.540 -1.256 0.657
ma.S.L7 -1.0000 3.54e+04 -2.82e-05 1.000 -6.94e+04 6.94e+04
sigma2 1.1953 4.23e+04 2.82e-05 1.000 -8.3e+04 8.3e+04
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 0.54
Prob(Q): 0.66 Prob(JB): 0.76
Heteroskedasticity (H): 0.60 Skew: 0.26
Prob(H) (two-sided): 0.63 Kurtosis: 2.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 130.66900401580753, Current Price: 126.86
BUY EXECUTED at 126.86
BUY ORDER COMPLETED at 129.57
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.703
Date: Wed, 09 Oct 2024 AIC 61.405
Time: 14:40:08 BIC 64.230
Sample: 0 HQIC 60.824
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0340 48.585 0.001 0.999 -95.192 95.260
ma.L1 -0.0472 48.193 -0.001 0.999 -94.504 94.410
ar.S.L7 -0.3061 0.821 -0.373 0.709 -1.915 1.303
ma.S.L7 -0.3453 0.771 -0.448 0.654 -1.857 1.166
sigma2 2.9040 1.621 1.791 0.073 -0.274 6.082
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.34
Prob(Q): 0.85 Prob(JB): 0.84
Heteroskedasticity (H): 1.22 Skew: 0.23
Prob(H) (two-sided): 0.85 Kurtosis: 2.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.7377560260819, Current Price: 129.13
SELL EXECUTED at 129.13
SELL ORDER COMPLETED at 128.49
OPERATION PROFIT, GROSS -1.079999999999984, NET -1.338059999999984
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.621
Date: Wed, 09 Oct 2024 AIC 61.242
Time: 14:40:08 BIC 64.067
Sample: 0 HQIC 60.661
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0697 6.061 0.012 0.991 -11.810 11.949
ma.L1 -6.4365 255.811 -0.025 0.980 -507.818 494.945
ar.S.L7 -0.2789 0.663 -0.421 0.674 -1.578 1.020
ma.S.L7 -0.9487 23.182 -0.041 0.967 -46.385 44.487
sigma2 0.0458 3.414 0.013 0.989 -6.645 6.737
===================================================================================
Ljung-Box (L1) (Q): 0.28 Jarque-Bera (JB): 0.29
Prob(Q): 0.59 Prob(JB): 0.87
Heteroskedasticity (H): 3.94 Skew: 0.01
Prob(H) (two-sided): 0.21 Kurtosis: 2.27
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.09851135095496, Current Price: 127.74
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.231
Date: Wed, 09 Oct 2024 AIC 58.461
Time: 14:40:08 BIC 61.286
Sample: 0 HQIC 57.881
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8575 0.496 1.728 0.084 -0.115 1.830
ma.L1 -1.0000 4.55e+04 -2.2e-05 1.000 -8.91e+04 8.91e+04
ar.S.L7 -0.7711 0.430 -1.791 0.073 -1.615 0.073
ma.S.L7 0.0385 0.474 0.081 0.935 -0.890 0.967
sigma2 2.0906 9.51e+04 2.2e-05 1.000 -1.86e+05 1.86e+05
===================================================================================
Ljung-Box (L1) (Q): 0.98 Jarque-Bera (JB): 0.11
Prob(Q): 0.32 Prob(JB): 0.95
Heteroskedasticity (H): 1.30 Skew: 0.02
Prob(H) (two-sided): 0.81 Kurtosis: 2.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.29407280937107, Current Price: 129.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.851
Date: Wed, 09 Oct 2024 AIC 59.701
Time: 14:40:08 BIC 62.526
Sample: 0 HQIC 59.121
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4854 0.394 1.233 0.217 -0.286 1.257
ma.L1 -0.2889 0.467 -0.618 0.536 -1.205 0.627
ar.S.L7 -0.8811 0.601 -1.466 0.143 -2.059 0.297
ma.S.L7 0.3405 1.165 0.292 0.770 -1.942 2.623
sigma2 2.5100 2.416 1.039 0.299 -2.225 7.245
===================================================================================
Ljung-Box (L1) (Q): 1.03 Jarque-Bera (JB): 0.34
Prob(Q): 0.31 Prob(JB): 0.85
Heteroskedasticity (H): 1.02 Skew: -0.16
Prob(H) (two-sided): 0.99 Kurtosis: 2.28
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.2249251951967, Current Price: 131.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.519
Date: Wed, 09 Oct 2024 AIC 59.039
Time: 14:40:08 BIC 61.864
Sample: 0 HQIC 58.458
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2970 9.733 -0.031 0.976 -19.373 18.779
ma.L1 0.2690 9.958 0.027 0.978 -19.248 19.786
ar.S.L7 -1.1410 0.184 -6.208 0.000 -1.501 -0.781
ma.S.L7 1.0000 4.28e+04 2.34e-05 1.000 -8.38e+04 8.38e+04
sigma2 1.5332 6.55e+04 2.34e-05 1.000 -1.28e+05 1.28e+05
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.92
Prob(Q): 0.93 Prob(JB): 0.63
Heteroskedasticity (H): 0.79 Skew: -0.48
Prob(H) (two-sided): 0.83 Kurtosis: 2.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 131.32496967024792, Current Price: 132.58
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.641
Date: Wed, 09 Oct 2024 AIC 57.282
Time: 14:40:08 BIC 60.107
Sample: 0 HQIC 56.701
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8737 0.328 2.664 0.008 0.231 1.516
ma.L1 -0.7268 0.553 -1.314 0.189 -1.811 0.358
ar.S.L7 -0.9993 0.332 -3.013 0.003 -1.649 -0.349
ma.S.L7 1.0000 3.57e+04 2.8e-05 1.000 -6.99e+04 6.99e+04
sigma2 1.2841 4.58e+04 2.8e-05 1.000 -8.98e+04 8.98e+04
===================================================================================
Ljung-Box (L1) (Q): 1.62 Jarque-Bera (JB): 1.10
Prob(Q): 0.20 Prob(JB): 0.58
Heteroskedasticity (H): 1.33 Skew: -0.71
Prob(H) (two-sided): 0.79 Kurtosis: 2.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 133.8036906768485, Current Price: 132.01
BUY EXECUTED at 132.01
BUY ORDER COMPLETED at 132.0345
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.481
Date: Wed, 09 Oct 2024 AIC 56.961
Time: 14:40:08 BIC 59.786
Sample: 0 HQIC 56.380
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3535 3.672 -0.096 0.923 -7.550 6.843
ma.L1 0.3163 3.817 0.083 0.934 -7.166 7.798
ar.S.L7 -1.0996 0.335 -3.281 0.001 -1.757 -0.443
ma.S.L7 0.4486 1.327 0.338 0.735 -2.153 3.050
sigma2 1.9823 2.697 0.735 0.462 -3.303 7.268
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 0.43
Prob(Q): 0.68 Prob(JB): 0.81
Heteroskedasticity (H): 2.77 Skew: -0.25
Prob(H) (two-sided): 0.35 Kurtosis: 2.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 130.6352022688462, Current Price: 132.45
SELL EXECUTED at 132.45
SELL ORDER COMPLETED at 131.74
OPERATION PROFIT, GROSS -0.2944999999999993, NET -0.5582744999999993
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.064
Date: Wed, 09 Oct 2024 AIC 56.127
Time: 14:40:08 BIC 58.952
Sample: 0 HQIC 55.547
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5156 0.742 -0.695 0.487 -1.970 0.939
ma.L1 5.1305 22.949 0.224 0.823 -39.848 50.109
ar.S.L7 -0.7965 0.304 -2.617 0.009 -1.393 -0.200
ma.S.L7 -0.2878 1.804 -0.160 0.873 -3.824 3.249
sigma2 0.0732 0.638 0.115 0.909 -1.177 1.324
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.21
Prob(Q): 0.79 Prob(JB): 0.90
Heteroskedasticity (H): 4.22 Skew: 0.20
Prob(H) (two-sided): 0.19 Kurtosis: 2.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 131.61450297340474, Current Price: 132.07
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.649
Date: Wed, 09 Oct 2024 AIC 53.298
Time: 14:40:08 BIC 56.123
Sample: 0 HQIC 52.718
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8678 0.167 -5.194 0.000 -1.195 -0.540
ma.L1 1.0000 2.07e+04 4.83e-05 1.000 -4.06e+04 4.06e+04
ar.S.L7 -0.6679 0.195 -3.433 0.001 -1.049 -0.287
ma.S.L7 -1.2407 4.872 -0.255 0.799 -10.790 8.308
sigma2 0.6786 1.4e+04 4.83e-05 1.000 -2.75e+04 2.75e+04
===================================================================================
Ljung-Box (L1) (Q): 0.44 Jarque-Bera (JB): 0.29
Prob(Q): 0.51 Prob(JB): 0.86
Heteroskedasticity (H): 0.65 Skew: 0.18
Prob(H) (two-sided): 0.69 Kurtosis: 2.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 131.52019942819197, Current Price: 132.81
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.626
Date: Wed, 09 Oct 2024 AIC 53.252
Time: 14:40:08 BIC 56.077
Sample: 0 HQIC 52.671
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8203 0.210 -3.899 0.000 -1.233 -0.408
ma.L1 1.0000 2.46e+04 4.07e-05 1.000 -4.82e+04 4.82e+04
ar.S.L7 -0.7362 0.193 -3.807 0.000 -1.115 -0.357
ma.S.L7 -1.0001 1.35e+04 -7.4e-05 1.000 -2.65e+04 2.65e+04
sigma2 0.8679 2.79e+04 3.11e-05 1.000 -5.47e+04 5.47e+04
===================================================================================
Ljung-Box (L1) (Q): 1.11 Jarque-Bera (JB): 0.41
Prob(Q): 0.29 Prob(JB): 0.82
Heteroskedasticity (H): 0.38 Skew: -0.36
Prob(H) (two-sided): 0.37 Kurtosis: 2.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 132.51087783687717, Current Price: 134.9
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.063
Date: Wed, 09 Oct 2024 AIC 58.127
Time: 14:40:08 BIC 60.952
Sample: 0 HQIC 57.546
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2941 16.923 -0.017 0.986 -33.464 32.875
ma.L1 0.2587 17.269 0.015 0.988 -33.588 34.106
ar.S.L7 -0.5846 0.296 -1.973 0.048 -1.165 -0.004
ma.S.L7 -1.0003 7265.029 -0.000 1.000 -1.42e+04 1.42e+04
sigma2 1.4289 1.04e+04 0.000 1.000 -2.03e+04 2.04e+04
===================================================================================
Ljung-Box (L1) (Q): 1.25 Jarque-Bera (JB): 0.35
Prob(Q): 0.26 Prob(JB): 0.84
Heteroskedasticity (H): 0.72 Skew: -0.10
Prob(H) (two-sided): 0.76 Kurtosis: 2.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 133.00278429663163, Current Price: 135.45
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.038
Date: Wed, 09 Oct 2024 AIC 58.076
Time: 14:40:08 BIC 60.901
Sample: 0 HQIC 57.495
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7580 0.270 -2.808 0.005 -1.287 -0.229
ma.L1 1.0000 2.11e+04 4.73e-05 1.000 -4.14e+04 4.14e+04
ar.S.L7 -0.6730 0.253 -2.665 0.008 -1.168 -0.178
ma.S.L7 -0.3244 0.657 -0.493 0.622 -1.613 0.964
sigma2 1.9778 4.18e+04 4.73e-05 1.000 -8.19e+04 8.19e+04
===================================================================================
Ljung-Box (L1) (Q): 0.68 Jarque-Bera (JB): 1.43
Prob(Q): 0.41 Prob(JB): 0.49
Heteroskedasticity (H): 0.79 Skew: -0.81
Prob(H) (two-sided): 0.82 Kurtosis: 2.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 135.67403032223035, Current Price: 136.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.408
Date: Wed, 09 Oct 2024 AIC 54.817
Time: 14:40:08 BIC 57.642
Sample: 0 HQIC 54.236
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6462 0.215 -3.010 0.003 -1.067 -0.225
ma.L1 1.0000 3.75e+04 2.66e-05 1.000 -7.36e+04 7.36e+04
ar.S.L7 -0.7448 0.175 -4.244 0.000 -1.089 -0.401
ma.S.L7 0.2344 1.007 0.233 0.816 -1.739 2.208
sigma2 1.5079 5.66e+04 2.66e-05 1.000 -1.11e+05 1.11e+05
===================================================================================
Ljung-Box (L1) (Q): 1.00 Jarque-Bera (JB): 0.13
Prob(Q): 0.32 Prob(JB): 0.94
Heteroskedasticity (H): 0.82 Skew: -0.24
Prob(H) (two-sided): 0.85 Kurtosis: 3.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 138.61115028216318, Current Price: 136.71
BUY EXECUTED at 136.71
BUY ORDER COMPLETED at 136.12
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.639
Date: Wed, 09 Oct 2024 AIC 53.277
Time: 14:40:08 BIC 56.102
Sample: 0 HQIC 52.697
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5114 0.182 -2.812 0.005 -0.868 -0.155
ma.L1 1.0000 4.09e+05 2.44e-06 1.000 -8.02e+05 8.02e+05
ar.S.L7 -0.6927 0.131 -5.280 0.000 -0.950 -0.436
ma.S.L7 0.2664 1.604 0.166 0.868 -2.877 3.410
sigma2 1.3196 5.4e+05 2.44e-06 1.000 -1.06e+06 1.06e+06
===================================================================================
Ljung-Box (L1) (Q): 0.42 Jarque-Bera (JB): 0.00
Prob(Q): 0.52 Prob(JB): 1.00
Heteroskedasticity (H): 0.54 Skew: -0.02
Prob(H) (two-sided): 0.56 Kurtosis: 3.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 136.18161953497471, Current Price: 135.87
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.588
Date: Wed, 09 Oct 2024 AIC 51.176
Time: 14:40:08 BIC 54.001
Sample: 0 HQIC 50.596
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4097 0.134 -3.053 0.002 -0.673 -0.147
ma.L1 1.0000 4.98e+05 2.01e-06 1.000 -9.77e+05 9.77e+05
ar.S.L7 -0.7287 0.116 -6.286 0.000 -0.956 -0.501
ma.S.L7 0.1724 0.751 0.230 0.818 -1.299 1.644
sigma2 1.1817 5.89e+05 2.01e-06 1.000 -1.15e+06 1.15e+06
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.04
Prob(Q): 0.85 Prob(JB): 0.98
Heteroskedasticity (H): 0.63 Skew: -0.13
Prob(H) (two-sided): 0.66 Kurtosis: 2.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 137.80006184067187, Current Price: 134.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.212
Date: Wed, 09 Oct 2024 AIC 54.424
Time: 14:40:08 BIC 57.248
Sample: 0 HQIC 53.843
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3726 0.614 -0.606 0.544 -1.577 0.832
ma.L1 1.0000 8.25e+04 1.21e-05 1.000 -1.62e+05 1.62e+05
ar.S.L7 -0.6186 0.182 -3.404 0.001 -0.975 -0.262
ma.S.L7 1.0001 2.17e+04 4.6e-05 1.000 -4.26e+04 4.26e+04
sigma2 0.9182 9.21e+04 9.97e-06 1.000 -1.81e+05 1.81e+05
===================================================================================
Ljung-Box (L1) (Q): 0.31 Jarque-Bera (JB): 0.52
Prob(Q): 0.58 Prob(JB): 0.77
Heteroskedasticity (H): 0.85 Skew: 0.28
Prob(H) (two-sided): 0.88 Kurtosis: 2.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.00253099511363, Current Price: 136.42
SELL EXECUTED at 136.42
SELL ORDER COMPLETED at 134.61
OPERATION PROFIT, GROSS -1.509999999999991, NET -1.7807299999999908
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.208
Date: Wed, 09 Oct 2024 AIC 56.416
Time: 14:40:08 BIC 59.241
Sample: 0 HQIC 55.836
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3879 1.040 -0.373 0.709 -2.425 1.650
ma.L1 1.0000 7771.517 0.000 1.000 -1.52e+04 1.52e+04
ar.S.L7 -0.4689 0.199 -2.352 0.019 -0.860 -0.078
ma.S.L7 1.0000 1.98e+04 5.04e-05 1.000 -3.89e+04 3.89e+04
sigma2 1.0745 2.75e+04 3.9e-05 1.000 -5.4e+04 5.4e+04
===================================================================================
Ljung-Box (L1) (Q): 1.45 Jarque-Bera (JB): 1.29
Prob(Q): 0.23 Prob(JB): 0.52
Heteroskedasticity (H): 0.63 Skew: 0.60
Prob(H) (two-sided): 0.67 Kurtosis: 2.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 139.8454257089149, Current Price: 134.66
BUY EXECUTED at 134.66
BUY ORDER COMPLETED at 134.13
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.269
Date: Wed, 09 Oct 2024 AIC 58.538
Time: 14:40:08 BIC 61.363
Sample: 0 HQIC 57.957
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5695 2.256 -0.252 0.801 -4.991 3.852
ma.L1 0.3156 2.434 0.130 0.897 -4.455 5.087
ar.S.L7 -0.4569 0.598 -0.764 0.445 -1.629 0.715
ma.S.L7 0.1041 1.010 0.103 0.918 -1.876 2.084
sigma2 2.4357 1.639 1.486 0.137 -0.777 5.648
===================================================================================
Ljung-Box (L1) (Q): 0.73 Jarque-Bera (JB): 0.65
Prob(Q): 0.39 Prob(JB): 0.72
Heteroskedasticity (H): 2.50 Skew: -0.14
Prob(H) (two-sided): 0.40 Kurtosis: 1.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 137.2539138641264, Current Price: 132.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.976
Date: Wed, 09 Oct 2024 AIC 63.952
Time: 14:40:08 BIC 66.777
Sample: 0 HQIC 63.372
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1169 20.365 -0.006 0.995 -40.031 39.797
ma.L1 7.3393 1082.478 0.007 0.995 -2114.279 2128.958
ar.S.L7 -0.3151 0.446 -0.706 0.480 -1.190 0.560
ma.S.L7 -9.8818 82.713 -0.119 0.905 -171.997 152.233
sigma2 0.0007 0.215 0.003 0.997 -0.421 0.422
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.73
Prob(Q): 0.95 Prob(JB): 0.70
Heteroskedasticity (H): 2.93 Skew: -0.13
Prob(H) (two-sided): 0.32 Kurtosis: 1.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
Predicted Price: 133.2358111145068, Current Price: 134.15
SELL EXECUTED at 134.15
SELL ORDER COMPLETED at 134.13
OPERATION PROFIT, GROSS 0.0, NET -0.26826
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.905
Date: Wed, 09 Oct 2024 AIC 61.810
Time: 14:40:09 BIC 64.634
Sample: 0 HQIC 61.229
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1019 18.141 -0.006 0.996 -35.657 35.453
ma.L1 7.5911 1037.932 0.007 0.994 -2026.718 2041.900
ar.S.L7 -0.2000 0.416 -0.480 0.631 -1.016 0.616
ma.S.L7 3.6925 13.794 0.268 0.789 -23.343 30.728
sigma2 0.0039 1.074 0.004 0.997 -2.100 2.108
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 1.08
Prob(Q): 0.78 Prob(JB): 0.58
Heteroskedasticity (H): 3.07 Skew: -0.64
Prob(H) (two-sided): 0.30 Kurtosis: 2.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.1805581061552, Current Price: 133.91
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.874
Date: Wed, 09 Oct 2024 AIC 61.748
Time: 14:40:09 BIC 64.573
Sample: 0 HQIC 61.167
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1419 7.468 -0.019 0.985 -14.779 14.495
ma.L1 4.7877 167.885 0.029 0.977 -324.260 333.835
ar.S.L7 -0.2104 0.387 -0.544 0.586 -0.968 0.547
ma.S.L7 3.9022 14.246 0.274 0.784 -24.019 31.824
sigma2 0.0086 0.626 0.014 0.989 -1.218 1.236
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.85
Prob(Q): 0.87 Prob(JB): 0.66
Heteroskedasticity (H): 2.51 Skew: -0.56
Prob(H) (two-sided): 0.39 Kurtosis: 2.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 132.97835618655586, Current Price: 131.74
BUY EXECUTED at 131.74
BUY ORDER COMPLETED at 131.58
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.892
Date: Wed, 09 Oct 2024 AIC 57.784
Time: 14:40:09 BIC 60.608
Sample: 0 HQIC 57.203
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4975 0.975 -0.511 0.610 -2.408 1.412
ma.L1 1.0000 1.35e+04 7.38e-05 1.000 -2.65e+04 2.65e+04
ar.S.L7 0.0118 0.115 0.102 0.919 -0.214 0.238
ma.S.L7 0.6294 1.726 0.365 0.715 -2.754 4.013
sigma2 1.6675 2.26e+04 7.38e-05 1.000 -4.43e+04 4.43e+04
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 1.81
Prob(Q): 0.80 Prob(JB): 0.41
Heteroskedasticity (H): 0.08 Skew: -0.42
Prob(H) (two-sided): 0.03 Kurtosis: 4.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 130.42738071600198, Current Price: 131.7
SELL EXECUTED at 131.7
SELL ORDER COMPLETED at 128.62
OPERATION PROFIT, GROSS -2.960000000000008, NET -3.220200000000008
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.245
Date: Wed, 09 Oct 2024 AIC 54.489
Time: 14:40:09 BIC 57.314
Sample: 0 HQIC 53.908
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3365 0.923 -0.364 0.716 -2.146 1.473
ma.L1 1.0000 1.93e+04 5.19e-05 1.000 -3.78e+04 3.78e+04
ar.S.L7 0.1475 0.220 0.671 0.502 -0.283 0.578
ma.S.L7 0.9175 7.938 0.116 0.908 -14.641 16.476
sigma2 1.0023 1.93e+04 5.19e-05 1.000 -3.78e+04 3.78e+04
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 2.95
Prob(Q): 0.68 Prob(JB): 0.23
Heteroskedasticity (H): 0.61 Skew: -1.02
Prob(H) (two-sided): 0.64 Kurtosis: 4.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.0990098478609, Current Price: 127.67
BUY EXECUTED at 127.67
BUY ORDER COMPLETED at 127.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.776
Date: Wed, 09 Oct 2024 AIC 67.552
Time: 14:40:09 BIC 70.377
Sample: 0 HQIC 66.971
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0318 21.099 -0.002 0.999 -41.386 41.322
ma.L1 -0.0004 21.293 -2.04e-05 1.000 -41.735 41.734
ar.S.L7 -0.4088 0.766 -0.534 0.594 -1.910 1.092
ma.S.L7 -1.0002 7302.749 -0.000 1.000 -1.43e+04 1.43e+04
sigma2 2.9504 2.15e+04 0.000 1.000 -4.22e+04 4.22e+04
===================================================================================
Ljung-Box (L1) (Q): 1.02 Jarque-Bera (JB): 0.16
Prob(Q): 0.31 Prob(JB): 0.92
Heteroskedasticity (H): 11.06 Skew: 0.04
Prob(H) (two-sided): 0.04 Kurtosis: 2.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.40085781389067, Current Price: 127.82
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.851
Date: Wed, 09 Oct 2024 AIC 67.702
Time: 14:40:09 BIC 70.527
Sample: 0 HQIC 67.122
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4521 2.553 0.177 0.859 -4.551 5.455
ma.L1 -0.3749 2.745 -0.137 0.891 -5.754 5.005
ar.S.L7 -0.2957 0.967 -0.306 0.760 -2.190 1.599
ma.S.L7 -0.4447 2.329 -0.191 0.849 -5.009 4.120
sigma2 4.5437 5.367 0.847 0.397 -5.976 15.063
===================================================================================
Ljung-Box (L1) (Q): 1.90 Jarque-Bera (JB): 0.87
Prob(Q): 0.17 Prob(JB): 0.65
Heteroskedasticity (H): 7.64 Skew: -0.51
Prob(H) (two-sided): 0.07 Kurtosis: 2.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.76046239700366, Current Price: 126.45
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.982
Date: Wed, 09 Oct 2024 AIC 67.964
Time: 14:40:09 BIC 70.788
Sample: 0 HQIC 67.383
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1716 20.535 -0.008 0.993 -40.419 40.076
ma.L1 0.0797 20.841 0.004 0.997 -40.768 40.927
ar.S.L7 -0.1420 1.358 -0.105 0.917 -2.803 2.519
ma.S.L7 -0.1895 2.646 -0.072 0.943 -5.376 4.997
sigma2 4.9855 3.366 1.481 0.139 -1.612 11.583
===================================================================================
Ljung-Box (L1) (Q): 1.64 Jarque-Bera (JB): 1.78
Prob(Q): 0.20 Prob(JB): 0.41
Heteroskedasticity (H): 6.12 Skew: -0.88
Prob(H) (two-sided): 0.11 Kurtosis: 2.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.1657911398476, Current Price: 126.5
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.375
Date: Wed, 09 Oct 2024 AIC 66.750
Time: 14:40:09 BIC 69.575
Sample: 0 HQIC 66.169
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4828 2.596 0.186 0.852 -4.606 5.572
ma.L1 -0.3371 2.794 -0.121 0.904 -5.812 5.138
ar.S.L7 -0.1880 0.592 -0.317 0.751 -1.349 0.973
ma.S.L7 -1.0001 1.78e+04 -5.63e-05 1.000 -3.48e+04 3.48e+04
sigma2 2.7735 4.93e+04 5.63e-05 1.000 -9.66e+04 9.66e+04
===================================================================================
Ljung-Box (L1) (Q): 2.92 Jarque-Bera (JB): 0.61
Prob(Q): 0.09 Prob(JB): 0.74
Heteroskedasticity (H): 1.63 Skew: -0.50
Prob(H) (two-sided): 0.65 Kurtosis: 2.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.14672289764927, Current Price: 132.01
SELL EXECUTED at 132.01
SELL ORDER COMPLETED at 132.0
OPERATION PROFIT, GROSS 4.840000000000003, NET 4.580840000000004
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.593
Date: Wed, 09 Oct 2024 AIC 73.186
Time: 14:40:09 BIC 76.011
Sample: 0 HQIC 72.606
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3007 2.651 -0.113 0.910 -5.497 4.895
ma.L1 -0.0772 3.193 -0.024 0.981 -6.335 6.181
ar.S.L7 -0.0001 0.618 -0.000 1.000 -1.211 1.211
ma.S.L7 6.2892 80.394 0.078 0.938 -151.279 163.858
sigma2 0.1915 4.982 0.038 0.969 -9.573 9.956
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 0.05
Prob(Q): 0.66 Prob(JB): 0.98
Heteroskedasticity (H): 1.03 Skew: 0.14
Prob(H) (two-sided): 0.98 Kurtosis: 2.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.52297394882513, Current Price: 131.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.276
Date: Wed, 09 Oct 2024 AIC 72.551
Time: 14:40:09 BIC 75.376
Sample: 0 HQIC 71.970
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7410 1.036 -0.715 0.474 -2.771 1.289
ma.L1 1.0000 7170.049 0.000 1.000 -1.41e+04 1.41e+04
ar.S.L7 -0.3540 1.702 -0.208 0.835 -3.690 2.982
ma.S.L7 -0.3237 2.349 -0.138 0.890 -4.927 4.280
sigma2 6.0266 4.32e+04 0.000 1.000 -8.47e+04 8.47e+04
===================================================================================
Ljung-Box (L1) (Q): 0.39 Jarque-Bera (JB): 0.02
Prob(Q): 0.53 Prob(JB): 0.99
Heteroskedasticity (H): 1.21 Skew: 0.09
Prob(H) (two-sided): 0.86 Kurtosis: 2.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
Predicted Price: 130.93870499800238, Current Price: 127.96
BUY EXECUTED at 127.96
BUY ORDER COMPLETED at 127.52
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.287
Date: Wed, 09 Oct 2024 AIC 72.574
Time: 14:40:09 BIC 75.399
Sample: 0 HQIC 71.993
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5206 0.349 -1.490 0.136 -1.205 0.164
ma.L1 1.0000 2.21e+04 4.52e-05 1.000 -4.33e+04 4.33e+04
ar.S.L7 -0.7942 1.399 -0.568 0.570 -3.536 1.947
ma.S.L7 -0.1074 1.113 -0.097 0.923 -2.289 2.074
sigma2 6.2615 1.38e+05 4.52e-05 1.000 -2.71e+05 2.71e+05
===================================================================================
Ljung-Box (L1) (Q): 0.56 Jarque-Bera (JB): 0.20
Prob(Q): 0.45 Prob(JB): 0.91
Heteroskedasticity (H): 0.90 Skew: 0.23
Prob(H) (two-sided): 0.92 Kurtosis: 2.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.6199174232933, Current Price: 127.55
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.554
Date: Wed, 09 Oct 2024 AIC 71.108
Time: 14:40:09 BIC 73.933
Sample: 0 HQIC 70.528
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4018 0.991 -0.405 0.685 -2.344 1.541
ma.L1 0.7125 0.542 1.314 0.189 -0.350 1.775
ar.S.L7 -0.4353 1.671 -0.261 0.794 -3.710 2.839
ma.S.L7 -0.4160 2.808 -0.148 0.882 -5.920 5.088
sigma2 6.0132 6.326 0.950 0.342 -6.386 18.413
===================================================================================
Ljung-Box (L1) (Q): 1.56 Jarque-Bera (JB): 0.81
Prob(Q): 0.21 Prob(JB): 0.67
Heteroskedasticity (H): 3.27 Skew: 0.46
Prob(H) (two-sided): 0.28 Kurtosis: 3.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.22969272126123, Current Price: 127.66
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.622
Date: Wed, 09 Oct 2024 AIC 69.244
Time: 14:40:09 BIC 72.068
Sample: 0 HQIC 68.663
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6083 0.796 -0.765 0.445 -2.168 0.951
ma.L1 1.0000 2.03e+04 4.91e-05 1.000 -3.99e+04 3.99e+04
ar.S.L7 -0.6765 1.054 -0.642 0.521 -2.742 1.389
ma.S.L7 -0.0329 1.136 -0.029 0.977 -2.260 2.194
sigma2 4.7980 9.76e+04 4.91e-05 1.000 -1.91e+05 1.91e+05
===================================================================================
Ljung-Box (L1) (Q): 0.58 Jarque-Bera (JB): 0.37
Prob(Q): 0.45 Prob(JB): 0.83
Heteroskedasticity (H): 1.20 Skew: -0.03
Prob(H) (two-sided): 0.86 Kurtosis: 3.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.82719289636098, Current Price: 128.79
SELL EXECUTED at 128.79
SELL ORDER COMPLETED at 128.6097
OPERATION PROFIT, GROSS 1.0897000000000077, NET 0.8335703000000076
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.852
Date: Wed, 09 Oct 2024 AIC 69.704
Time: 14:40:09 BIC 72.529
Sample: 0 HQIC 69.124
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4822 0.230 2.093 0.036 0.031 0.934
ma.L1 -1.0000 5971.558 -0.000 1.000 -1.17e+04 1.17e+04
ar.S.L7 -0.3112 0.769 -0.405 0.686 -1.818 1.196
ma.S.L7 -1.0001 1.83e+04 -5.47e-05 1.000 -3.58e+04 3.58e+04
sigma2 2.9378 6.43e+04 4.57e-05 1.000 -1.26e+05 1.26e+05
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.16
Prob(Q): 0.85 Prob(JB): 0.92
Heteroskedasticity (H): 0.39 Skew: 0.27
Prob(H) (two-sided): 0.39 Kurtosis: 2.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.28855491178916, Current Price: 127.79
BUY EXECUTED at 127.79
BUY ORDER COMPLETED at 128.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.030
Date: Wed, 09 Oct 2024 AIC 70.060
Time: 14:40:09 BIC 72.885
Sample: 0 HQIC 69.479
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4062 0.733 0.554 0.579 -1.031 1.843
ma.L1 -1.0000 1.75e+04 -5.72e-05 1.000 -3.43e+04 3.43e+04
ar.S.L7 -0.3168 0.432 -0.734 0.463 -1.163 0.530
ma.S.L7 -0.6197 2.403 -0.258 0.797 -5.330 4.090
sigma2 4.2697 7.47e+04 5.72e-05 1.000 -1.46e+05 1.46e+05
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.15
Prob(Q): 0.82 Prob(JB): 0.93
Heteroskedasticity (H): 0.40 Skew: 0.25
Prob(H) (two-sided): 0.40 Kurtosis: 2.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.1977037710738, Current Price: 128.97
SELL EXECUTED at 128.97
SELL ORDER COMPLETED at 127.95
OPERATION PROFIT, GROSS -0.9100000000000108, NET -1.1668100000000108
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.863
Date: Wed, 09 Oct 2024 AIC 69.725
Time: 14:40:09 BIC 72.550
Sample: 0 HQIC 69.145
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4163 0.615 0.676 0.499 -0.790 1.623
ma.L1 -1.0000 8825.462 -0.000 1.000 -1.73e+04 1.73e+04
ar.S.L7 -0.3501 0.502 -0.698 0.485 -1.333 0.633
ma.S.L7 -0.4564 1.546 -0.295 0.768 -3.486 2.574
sigma2 4.5877 4.05e+04 0.000 1.000 -7.94e+04 7.94e+04
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 0.01
Prob(Q): 0.72 Prob(JB): 1.00
Heteroskedasticity (H): 0.35 Skew: 0.03
Prob(H) (two-sided): 0.34 Kurtosis: 2.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.38262915792659, Current Price: 128.18
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.811
Date: Wed, 09 Oct 2024 AIC 69.622
Time: 14:40:09 BIC 72.447
Sample: 0 HQIC 69.041
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5617 0.277 -2.029 0.042 -1.104 -0.019
ma.L1 1.0000 5.23e+04 1.91e-05 1.000 -1.03e+05 1.03e+05
ar.S.L7 -0.7082 0.811 -0.873 0.383 -2.298 0.882
ma.S.L7 0.1757 1.365 0.129 0.898 -2.500 2.851
sigma2 4.7764 2.5e+05 1.91e-05 1.000 -4.9e+05 4.9e+05
===================================================================================
Ljung-Box (L1) (Q): 0.27 Jarque-Bera (JB): 2.07
Prob(Q): 0.61 Prob(JB): 0.35
Heteroskedasticity (H): 0.87 Skew: 0.90
Prob(H) (two-sided): 0.90 Kurtosis: 3.78
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.14977031486833, Current Price: 124.59
BUY EXECUTED at 124.59
BUY ORDER COMPLETED at 125.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.521
Date: Wed, 09 Oct 2024 AIC 65.042
Time: 14:40:09 BIC 67.867
Sample: 0 HQIC 64.461
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4302 0.223 1.930 0.054 -0.007 0.867
ma.L1 -1.0000 1.09e+04 -9.14e-05 1.000 -2.14e+04 2.14e+04
ar.S.L7 -0.4695 0.547 -0.858 0.391 -1.542 0.603
ma.S.L7 -0.1854 0.759 -0.244 0.807 -1.673 1.302
sigma2 3.5056 3.84e+04 9.14e-05 1.000 -7.52e+04 7.52e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.12
Prob(Q): 0.96 Prob(JB): 0.57
Heteroskedasticity (H): 0.13 Skew: 0.61
Prob(H) (two-sided): 0.08 Kurtosis: 2.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.03358012851635, Current Price: 127.06
SELL EXECUTED at 127.06
SELL ORDER COMPLETED at 126.77
OPERATION PROFIT, GROSS 1.3999999999999915, NET 1.1478599999999914
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.206
Date: Wed, 09 Oct 2024 AIC 66.412
Time: 14:40:09 BIC 69.237
Sample: 0 HQIC 65.831
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0288 0.939 -0.031 0.975 -1.868 1.811
ma.L1 -0.6009 0.706 -0.851 0.395 -1.985 0.783
ar.S.L7 -0.3763 0.549 -0.686 0.493 -1.451 0.699
ma.S.L7 -1.0001 1.39e+04 -7.19e-05 1.000 -2.73e+04 2.73e+04
sigma2 2.6879 3.74e+04 7.19e-05 1.000 -7.33e+04 7.33e+04
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 1.11
Prob(Q): 0.79 Prob(JB): 0.57
Heteroskedasticity (H): 0.33 Skew: 0.33
Prob(H) (two-sided): 0.31 Kurtosis: 1.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.01392459826823, Current Price: 127.18
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.819
Date: Wed, 09 Oct 2024 AIC 69.638
Time: 14:40:09 BIC 72.463
Sample: 0 HQIC 69.057
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2739 0.956 0.287 0.774 -1.599 2.147
ma.L1 -0.6924 0.906 -0.764 0.445 -2.468 1.083
ar.S.L7 -0.5049 0.484 -1.042 0.297 -1.454 0.444
ma.S.L7 -0.0110 1.086 -0.010 0.992 -2.140 2.118
sigma2 5.7238 2.746 2.085 0.037 0.343 11.105
===================================================================================
Ljung-Box (L1) (Q): 0.35 Jarque-Bera (JB): 1.09
Prob(Q): 0.55 Prob(JB): 0.58
Heteroskedasticity (H): 0.55 Skew: 0.37
Prob(H) (two-sided): 0.58 Kurtosis: 1.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.01782694899478, Current Price: 126.53
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.562
Date: Wed, 09 Oct 2024 AIC 69.125
Time: 14:40:09 BIC 71.949
Sample: 0 HQIC 68.544
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3091 0.825 0.374 0.708 -1.309 1.927
ma.L1 -0.7076 0.785 -0.901 0.368 -2.247 0.832
ar.S.L7 -0.4582 0.515 -0.890 0.374 -1.468 0.551
ma.S.L7 -0.0051 0.963 -0.005 0.996 -1.893 1.883
sigma2 5.5010 2.439 2.255 0.024 0.720 10.282
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.91
Prob(Q): 0.90 Prob(JB): 0.64
Heteroskedasticity (H): 0.53 Skew: 0.38
Prob(H) (two-sided): 0.55 Kurtosis: 1.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.61694465066628, Current Price: 127.64
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.718
Date: Wed, 09 Oct 2024 AIC 63.437
Time: 14:40:09 BIC 66.262
Sample: 0 HQIC 62.856
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5594 0.175 3.196 0.001 0.216 0.902
ma.L1 -1.0000 5380.417 -0.000 1.000 -1.05e+04 1.05e+04
ar.S.L7 -0.3542 0.364 -0.974 0.330 -1.067 0.358
ma.S.L7 0.0933 0.734 0.127 0.899 -1.345 1.532
sigma2 3.0663 1.65e+04 0.000 1.000 -3.23e+04 3.23e+04
===================================================================================
Ljung-Box (L1) (Q): 0.38 Jarque-Bera (JB): 0.41
Prob(Q): 0.54 Prob(JB): 0.81
Heteroskedasticity (H): 1.55 Skew: -0.04
Prob(H) (two-sided): 0.68 Kurtosis: 2.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.109981648334, Current Price: 127.4
BUY EXECUTED at 127.4
BUY ORDER COMPLETED at 126.21
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.413
Date: Wed, 09 Oct 2024 AIC 62.826
Time: 14:40:09 BIC 65.651
Sample: 0 HQIC 62.246
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1436 0.654 0.219 0.826 -1.139 1.426
ma.L1 -0.6974 0.456 -1.531 0.126 -1.590 0.196
ar.S.L7 -0.3074 0.444 -0.693 0.488 -1.177 0.562
ma.S.L7 -0.0398 0.796 -0.050 0.960 -1.599 1.519
sigma2 3.3782 2.434 1.388 0.165 -1.392 8.148
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.86
Prob(Q): 0.96 Prob(JB): 0.65
Heteroskedasticity (H): 0.51 Skew: 0.19
Prob(H) (two-sided): 0.53 Kurtosis: 1.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.55431830195658, Current Price: 126.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.238
Date: Wed, 09 Oct 2024 AIC 56.475
Time: 14:40:09 BIC 59.300
Sample: 0 HQIC 55.894
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1988 0.453 0.439 0.661 -0.690 1.087
ma.L1 -1.0000 6034.111 -0.000 1.000 -1.18e+04 1.18e+04
ar.S.L7 -0.2535 0.116 -2.179 0.029 -0.481 -0.025
ma.S.L7 1.0002 3270.552 0.000 1.000 -6409.165 6411.165
sigma2 1.1888 8448.545 0.000 1.000 -1.66e+04 1.66e+04
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 0.48
Prob(Q): 0.68 Prob(JB): 0.79
Heteroskedasticity (H): 0.64 Skew: -0.07
Prob(H) (two-sided): 0.68 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.91632144689467, Current Price: 124.27
SELL EXECUTED at 124.27
SELL ORDER COMPLETED at 122.37
OPERATION PROFIT, GROSS -3.839999999999989, NET -4.088579999999989
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.613
Date: Wed, 09 Oct 2024 AIC 57.225
Time: 14:40:09 BIC 60.050
Sample: 0 HQIC 56.645
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2713 0.460 0.589 0.556 -0.631 1.174
ma.L1 -1.0000 6590.179 -0.000 1.000 -1.29e+04 1.29e+04
ar.S.L7 -0.2246 0.160 -1.407 0.160 -0.538 0.088
ma.S.L7 0.7110 1.865 0.381 0.703 -2.944 4.366
sigma2 1.6302 1.07e+04 0.000 1.000 -2.11e+04 2.11e+04
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.63
Prob(Q): 0.73 Prob(JB): 0.73
Heteroskedasticity (H): 0.44 Skew: -0.21
Prob(H) (two-sided): 0.44 Kurtosis: 2.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.76056825157404, Current Price: 122.6
BUY EXECUTED at 122.6
BUY ORDER COMPLETED at 123.9
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.158
Date: Wed, 09 Oct 2024 AIC 62.315
Time: 14:40:09 BIC 65.140
Sample: 0 HQIC 61.735
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1392 0.635 0.219 0.826 -1.105 1.384
ma.L1 -1.0000 1.57e+04 -6.37e-05 1.000 -3.08e+04 3.08e+04
ar.S.L7 -0.2083 0.241 -0.865 0.387 -0.680 0.264
ma.S.L7 0.2515 0.697 0.361 0.718 -1.115 1.618
sigma2 2.8890 4.54e+04 6.37e-05 1.000 -8.89e+04 8.89e+04
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.35
Prob(Q): 0.79 Prob(JB): 0.84
Heteroskedasticity (H): 0.79 Skew: -0.09
Prob(H) (two-sided): 0.82 Kurtosis: 2.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.20496249784055, Current Price: 122.83
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.978
Date: Wed, 09 Oct 2024 AIC 59.956
Time: 14:40:10 BIC 62.781
Sample: 0 HQIC 59.375
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3523 0.782 0.451 0.652 -1.180 1.885
ma.L1 -1.0000 1.03e+04 -9.73e-05 1.000 -2.01e+04 2.01e+04
ar.S.L7 -0.3534 0.166 -2.131 0.033 -0.679 -0.028
ma.S.L7 -0.3350 0.659 -0.508 0.611 -1.627 0.957
sigma2 2.2744 2.34e+04 9.73e-05 1.000 -4.58e+04 4.58e+04
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 1.08
Prob(Q): 0.75 Prob(JB): 0.58
Heteroskedasticity (H): 1.08 Skew: 0.51
Prob(H) (two-sided): 0.94 Kurtosis: 2.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.81936124928724, Current Price: 123.73
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.166
Date: Wed, 09 Oct 2024 AIC 60.332
Time: 14:40:10 BIC 63.157
Sample: 0 HQIC 59.752
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3823 1.119 0.342 0.733 -1.811 2.576
ma.L1 -1.0000 5218.806 -0.000 1.000 -1.02e+04 1.02e+04
ar.S.L7 -0.3568 0.193 -1.849 0.064 -0.735 0.021
ma.S.L7 -0.3677 0.625 -0.589 0.556 -1.592 0.857
sigma2 2.3180 1.21e+04 0.000 1.000 -2.37e+04 2.37e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.86
Prob(Q): 0.88 Prob(JB): 0.65
Heteroskedasticity (H): 0.34 Skew: 0.47
Prob(H) (two-sided): 0.32 Kurtosis: 2.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.04141149334595, Current Price: 123.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.808
Date: Wed, 09 Oct 2024 AIC 57.616
Time: 14:40:10 BIC 60.440
Sample: 0 HQIC 57.035
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5090 0.182 2.797 0.005 0.152 0.866
ma.L1 -1.0000 8668.777 -0.000 1.000 -1.7e+04 1.7e+04
ar.S.L7 -0.1810 0.278 -0.651 0.515 -0.726 0.364
ma.S.L7 -0.5151 0.662 -0.779 0.436 -1.812 0.782
sigma2 1.6930 1.47e+04 0.000 1.000 -2.88e+04 2.88e+04
===================================================================================
Ljung-Box (L1) (Q): 0.53 Jarque-Bera (JB): 0.23
Prob(Q): 0.47 Prob(JB): 0.89
Heteroskedasticity (H): 0.54 Skew: 0.28
Prob(H) (two-sided): 0.57 Kurtosis: 2.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.37902765677707, Current Price: 127.42
SELL EXECUTED at 127.42
SELL ORDER COMPLETED at 126.87
OPERATION PROFIT, GROSS 2.969999999999999, NET 2.7192299999999987
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.369
Date: Wed, 09 Oct 2024 AIC 58.738
Time: 14:40:10 BIC 61.563
Sample: 0 HQIC 58.157
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4800 0.207 2.319 0.020 0.074 0.886
ma.L1 -1.0000 8408.346 -0.000 1.000 -1.65e+04 1.65e+04
ar.S.L7 -0.2134 0.340 -0.627 0.530 -0.880 0.453
ma.S.L7 -1.0001 9350.237 -0.000 1.000 -1.83e+04 1.83e+04
sigma2 1.2445 1.83e+04 6.8e-05 1.000 -3.59e+04 3.59e+04
===================================================================================
Ljung-Box (L1) (Q): 0.50 Jarque-Bera (JB): 0.17
Prob(Q): 0.48 Prob(JB): 0.92
Heteroskedasticity (H): 0.34 Skew: -0.09
Prob(H) (two-sided): 0.32 Kurtosis: 2.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.9339746163265, Current Price: 126.85
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.702
Date: Wed, 09 Oct 2024 AIC 57.404
Time: 14:40:10 BIC 60.229
Sample: 0 HQIC 56.824
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4158 0.589 0.706 0.480 -0.738 1.569
ma.L1 -1.0000 5766.176 -0.000 1.000 -1.13e+04 1.13e+04
ar.S.L7 -0.2793 0.211 -1.323 0.186 -0.693 0.135
ma.S.L7 -1.0000 2.59e+04 -3.86e-05 1.000 -5.07e+04 5.07e+04
sigma2 1.1555 3.05e+04 3.79e-05 1.000 -5.98e+04 5.98e+04
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.53
Prob(Q): 0.74 Prob(JB): 0.77
Heteroskedasticity (H): 0.49 Skew: 0.25
Prob(H) (two-sided): 0.51 Kurtosis: 2.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.7380101256698, Current Price: 126.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.071
Date: Wed, 09 Oct 2024 AIC 58.141
Time: 14:40:10 BIC 60.966
Sample: 0 HQIC 57.561
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5643 0.944 0.597 0.550 -1.287 2.415
ma.L1 -0.5693 1.158 -0.492 0.623 -2.839 1.701
ar.S.L7 -0.4455 0.347 -1.284 0.199 -1.125 0.234
ma.S.L7 -1.0001 1.44e+04 -6.94e-05 1.000 -2.83e+04 2.83e+04
sigma2 1.3753 1.98e+04 6.94e-05 1.000 -3.89e+04 3.89e+04
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 0.26
Prob(Q): 0.72 Prob(JB): 0.88
Heteroskedasticity (H): 1.30 Skew: 0.03
Prob(H) (two-sided): 0.80 Kurtosis: 3.69
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.83551217443747, Current Price: 129.34
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.439
Date: Wed, 09 Oct 2024 AIC 60.878
Time: 14:40:10 BIC 63.703
Sample: 0 HQIC 60.297
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4018 0.639 0.628 0.530 -0.851 1.655
ma.L1 -2.5459 6.052 -0.421 0.674 -14.408 9.317
ar.S.L7 -0.3766 0.258 -1.458 0.145 -0.883 0.130
ma.S.L7 -1.0004 1416.999 -0.001 0.999 -2778.267 2776.267
sigma2 0.2718 385.342 0.001 0.999 -754.985 755.528
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.03
Prob(Q): 0.92 Prob(JB): 0.98
Heteroskedasticity (H): 1.99 Skew: -0.04
Prob(H) (two-sided): 0.52 Kurtosis: 2.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.51270311455716, Current Price: 128.69
BUY EXECUTED at 128.69
BUY ORDER COMPLETED at 129.41
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.826
Date: Wed, 09 Oct 2024 AIC 61.652
Time: 14:40:10 BIC 64.477
Sample: 0 HQIC 61.071
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6885 0.628 -1.097 0.273 -1.919 0.542
ma.L1 1.0000 9.97e+04 1e-05 1.000 -1.95e+05 1.95e+05
ar.S.L7 -0.3821 0.369 -1.037 0.300 -1.105 0.340
ma.S.L7 -1.0000 7.18e+04 -1.39e-05 1.000 -1.41e+05 1.41e+05
sigma2 1.6574 2.77e+05 5.98e-06 1.000 -5.43e+05 5.43e+05
===================================================================================
Ljung-Box (L1) (Q): 1.01 Jarque-Bera (JB): 0.06
Prob(Q): 0.32 Prob(JB): 0.97
Heteroskedasticity (H): 1.60 Skew: 0.10
Prob(H) (two-sided): 0.66 Kurtosis: 3.28
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.12700248327033, Current Price: 129.9
SELL EXECUTED at 129.9
SELL ORDER COMPLETED at 129.53
OPERATION PROFIT, GROSS 0.12000000000000455, NET -0.13893999999999546
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.604
Date: Wed, 09 Oct 2024 AIC 61.208
Time: 14:40:10 BIC 64.033
Sample: 0 HQIC 60.628
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4707 0.169 -2.783 0.005 -0.802 -0.139
ma.L1 1.0000 3.2e+04 3.12e-05 1.000 -6.27e+04 6.27e+04
ar.S.L7 -0.2024 0.548 -0.370 0.712 -1.276 0.871
ma.S.L7 -1.0001 2.23e+04 -4.49e-05 1.000 -4.37e+04 4.37e+04
sigma2 1.7489 3e+04 5.84e-05 1.000 -5.87e+04 5.87e+04
===================================================================================
Ljung-Box (L1) (Q): 1.69 Jarque-Bera (JB): 0.05
Prob(Q): 0.19 Prob(JB): 0.97
Heteroskedasticity (H): 1.06 Skew: 0.11
Prob(H) (two-sided): 0.95 Kurtosis: 3.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.7475557139517, Current Price: 130.46
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.813
Date: Wed, 09 Oct 2024 AIC 57.626
Time: 14:40:10 BIC 60.451
Sample: 0 HQIC 57.046
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3333 11.080 0.030 0.976 -21.382 22.049
ma.L1 -0.3142 11.312 -0.028 0.978 -22.485 21.857
ar.S.L7 -0.7867 0.518 -1.519 0.129 -1.802 0.228
ma.S.L7 -0.2668 0.514 -0.519 0.604 -1.275 0.741
sigma2 2.2182 1.063 2.087 0.037 0.135 4.301
===================================================================================
Ljung-Box (L1) (Q): 1.85 Jarque-Bera (JB): 0.94
Prob(Q): 0.17 Prob(JB): 0.62
Heteroskedasticity (H): 0.42 Skew: 0.65
Prob(H) (two-sided): 0.42 Kurtosis: 3.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 130.62771547672162, Current Price: 130.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.399
Date: Wed, 09 Oct 2024 AIC 56.798
Time: 14:40:10 BIC 59.623
Sample: 0 HQIC 56.218
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0740 2.100 -0.035 0.972 -4.189 4.041
ma.L1 -0.0686 1.820 -0.038 0.970 -3.636 3.499
ar.S.L7 -0.8261 0.494 -1.671 0.095 -1.795 0.143
ma.S.L7 -0.3255 0.537 -0.606 0.545 -1.379 0.728
sigma2 2.0498 0.933 2.198 0.028 0.222 3.878
===================================================================================
Ljung-Box (L1) (Q): 0.33 Jarque-Bera (JB): 3.03
Prob(Q): 0.56 Prob(JB): 0.22
Heteroskedasticity (H): 0.58 Skew: 1.01
Prob(H) (two-sided): 0.61 Kurtosis: 4.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.3714103220831, Current Price: 129.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.534
Date: Wed, 09 Oct 2024 AIC 55.068
Time: 14:40:10 BIC 57.893
Sample: 0 HQIC 54.487
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2797 10.133 -0.028 0.978 -20.140 19.580
ma.L1 0.2417 10.104 0.024 0.981 -19.562 20.045
ar.S.L7 -1.0104 0.214 -4.730 0.000 -1.429 -0.592
ma.S.L7 1.0008 1246.218 0.001 0.999 -2441.541 2443.543
sigma2 1.1285 1406.535 0.001 0.999 -2755.630 2757.887
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 1.16
Prob(Q): 0.77 Prob(JB): 0.56
Heteroskedasticity (H): 3.71 Skew: 0.58
Prob(H) (two-sided): 0.23 Kurtosis: 2.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.74587978113868, Current Price: 129.6
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.589
Date: Wed, 09 Oct 2024 AIC 53.178
Time: 14:40:10 BIC 56.003
Sample: 0 HQIC 52.597
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9582 0.416 2.304 0.021 0.143 1.773
ma.L1 -1.0000 1.18e+04 -8.48e-05 1.000 -2.31e+04 2.31e+04
ar.S.L7 -0.9254 0.218 -4.247 0.000 -1.352 -0.498
ma.S.L7 0.3521 0.777 0.453 0.650 -1.171 1.875
sigma2 1.3469 1.59e+04 8.48e-05 1.000 -3.11e+04 3.11e+04
===================================================================================
Ljung-Box (L1) (Q): 0.46 Jarque-Bera (JB): 1.37
Prob(Q): 0.50 Prob(JB): 0.51
Heteroskedasticity (H): 0.40 Skew: 0.77
Prob(H) (two-sided): 0.39 Kurtosis: 2.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.76423684614372, Current Price: 127.74
BUY EXECUTED at 127.74
BUY ORDER COMPLETED at 126.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.923
Date: Wed, 09 Oct 2024 AIC 55.847
Time: 14:40:10 BIC 58.672
Sample: 0 HQIC 55.266
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4564 0.890 0.513 0.608 -1.288 2.200
ma.L1 -0.3332 1.339 -0.249 0.803 -2.957 2.291
ar.S.L7 -0.9011 0.271 -3.325 0.001 -1.432 -0.370
ma.S.L7 0.3011 0.893 0.337 0.736 -1.449 2.051
sigma2 1.9075 1.265 1.508 0.132 -0.572 4.387
===================================================================================
Ljung-Box (L1) (Q): 0.78 Jarque-Bera (JB): 1.73
Prob(Q): 0.38 Prob(JB): 0.42
Heteroskedasticity (H): 0.24 Skew: 0.88
Prob(H) (two-sided): 0.19 Kurtosis: 2.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.5345230721062, Current Price: 126.95
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.684
Date: Wed, 09 Oct 2024 AIC 53.369
Time: 14:40:10 BIC 56.193
Sample: 0 HQIC 52.788
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8779 0.304 2.890 0.004 0.283 1.473
ma.L1 -1.0000 2275.782 -0.000 1.000 -4461.451 4459.451
ar.S.L7 -0.9133 0.271 -3.372 0.001 -1.444 -0.382
ma.S.L7 0.7737 2.211 0.350 0.726 -3.560 5.107
sigma2 1.0794 2456.575 0.000 1.000 -4813.719 4815.878
===================================================================================
Ljung-Box (L1) (Q): 0.44 Jarque-Bera (JB): 1.88
Prob(Q): 0.51 Prob(JB): 0.39
Heteroskedasticity (H): 0.10 Skew: 0.89
Prob(H) (two-sided): 0.04 Kurtosis: 2.43
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.30735907368083, Current Price: 126.81
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.145
Date: Wed, 09 Oct 2024 AIC 54.290
Time: 14:40:10 BIC 57.115
Sample: 0 HQIC 53.709
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8097 0.250 3.236 0.001 0.319 1.300
ma.L1 -1.0000 3.53e+04 -2.83e-05 1.000 -6.92e+04 6.92e+04
ar.S.L7 -0.8505 0.321 -2.653 0.008 -1.479 -0.222
ma.S.L7 0.0641 0.424 0.151 0.880 -0.767 0.895
sigma2 1.5181 5.36e+04 2.83e-05 1.000 -1.05e+05 1.05e+05
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 1.52
Prob(Q): 0.69 Prob(JB): 0.47
Heteroskedasticity (H): 0.32 Skew: 0.78
Prob(H) (two-sided): 0.29 Kurtosis: 2.40
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.9852301222636, Current Price: 126.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.128
Date: Wed, 09 Oct 2024 AIC 48.257
Time: 14:40:10 BIC 51.081
Sample: 0 HQIC 47.676
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7417 0.180 4.124 0.000 0.389 1.094
ma.L1 -1.0000 9789.002 -0.000 1.000 -1.92e+04 1.92e+04
ar.S.L7 -0.9251 0.326 -2.836 0.005 -1.564 -0.286
ma.S.L7 0.5046 0.918 0.550 0.582 -1.294 2.303
sigma2 0.8704 8520.497 0.000 1.000 -1.67e+04 1.67e+04
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 1.64
Prob(Q): 0.69 Prob(JB): 0.44
Heteroskedasticity (H): 0.44 Skew: 0.81
Prob(H) (two-sided): 0.44 Kurtosis: 3.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 130.22839106661743, Current Price: 127.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.054
Date: Wed, 09 Oct 2024 AIC 50.108
Time: 14:40:10 BIC 52.933
Sample: 0 HQIC 49.527
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7474 0.164 4.552 0.000 0.426 1.069
ma.L1 -1.4677 0.749 -1.960 0.050 -2.936 0.000
ar.S.L7 -0.6952 0.123 -5.658 0.000 -0.936 -0.454
ma.S.L7 0.5885 1.043 0.564 0.572 -1.455 2.632
sigma2 0.4893 0.625 0.782 0.434 -0.736 1.715
===================================================================================
Ljung-Box (L1) (Q): 1.39 Jarque-Bera (JB): 0.80
Prob(Q): 0.24 Prob(JB): 0.67
Heteroskedasticity (H): 0.67 Skew: 0.30
Prob(H) (two-sided): 0.71 Kurtosis: 1.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.83913486704608, Current Price: 126.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.278
Date: Wed, 09 Oct 2024 AIC 46.557
Time: 14:40:10 BIC 49.382
Sample: 0 HQIC 45.976
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6981 0.275 2.539 0.011 0.159 1.237
ma.L1 -1.8177 1.703 -1.067 0.286 -5.155 1.520
ar.S.L7 -0.7059 0.108 -6.517 0.000 -0.918 -0.494
ma.S.L7 0.3119 0.574 0.543 0.587 -0.813 1.437
sigma2 0.2795 0.548 0.510 0.610 -0.794 1.353
===================================================================================
Ljung-Box (L1) (Q): 3.77 Jarque-Bera (JB): 0.80
Prob(Q): 0.05 Prob(JB): 0.67
Heteroskedasticity (H): 1.25 Skew: 0.03
Prob(H) (two-sided): 0.83 Kurtosis: 1.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.03577718751896, Current Price: 124.279
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.894
Date: Wed, 09 Oct 2024 AIC 49.787
Time: 14:40:10 BIC 52.612
Sample: 0 HQIC 49.207
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3567 0.807 0.442 0.659 -1.226 1.939
ma.L1 -4.4079 19.118 -0.231 0.818 -41.878 33.062
ar.S.L7 -0.6796 0.149 -4.549 0.000 -0.972 -0.387
ma.S.L7 0.2292 0.684 0.335 0.738 -1.112 1.570
sigma2 0.0632 0.538 0.117 0.907 -0.992 1.119
===================================================================================
Ljung-Box (L1) (Q): 1.58 Jarque-Bera (JB): 0.48
Prob(Q): 0.21 Prob(JB): 0.79
Heteroskedasticity (H): 1.62 Skew: 0.31
Prob(H) (two-sided): 0.65 Kurtosis: 2.28
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.60524117509016, Current Price: 123.87
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.019
Date: Wed, 09 Oct 2024 AIC 46.037
Time: 14:40:10 BIC 48.862
Sample: 0 HQIC 45.457
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.1413 0.412 2.773 0.006 0.335 1.948
ma.L1 -1.0000 4824.599 -0.000 1.000 -9457.040 9455.040
ar.S.L7 -0.5670 0.176 -3.226 0.001 -0.911 -0.222
ma.S.L7 -1.8882 2.699 -0.700 0.484 -7.177 3.401
sigma2 0.1888 910.669 0.000 1.000 -1784.690 1785.067
===================================================================================
Ljung-Box (L1) (Q): 1.74 Jarque-Bera (JB): 0.85
Prob(Q): 0.19 Prob(JB): 0.65
Heteroskedasticity (H): 0.79 Skew: -0.34
Prob(H) (two-sided): 0.82 Kurtosis: 1.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.93748504632111, Current Price: 122.45
SELL EXECUTED at 122.45
SELL ORDER COMPLETED at 122.97
OPERATION PROFIT, GROSS -3.8900000000000006, NET -4.139830000000001
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.021
Date: Wed, 09 Oct 2024 AIC 44.041
Time: 14:40:10 BIC 46.866
Sample: 0 HQIC 43.461
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.0897 0.401 2.716 0.007 0.303 1.876
ma.L1 -1.0000 1.88e+04 -5.31e-05 1.000 -3.69e+04 3.69e+04
ar.S.L7 -0.6031 0.160 -3.760 0.000 -0.917 -0.289
ma.S.L7 -0.0894 0.519 -0.172 0.863 -1.107 0.928
sigma2 0.6804 1.28e+04 5.31e-05 1.000 -2.51e+04 2.51e+04
===================================================================================
Ljung-Box (L1) (Q): 2.77 Jarque-Bera (JB): 0.67
Prob(Q): 0.10 Prob(JB): 0.71
Heteroskedasticity (H): 0.45 Skew: -0.25
Prob(H) (two-sided): 0.45 Kurtosis: 2.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.90101834735442, Current Price: 122.85
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.053
Date: Wed, 09 Oct 2024 AIC 46.106
Time: 14:40:10 BIC 48.931
Sample: 0 HQIC 45.526
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9050 0.541 1.674 0.094 -0.154 1.964
ma.L1 -1.7144 2.191 -0.783 0.434 -6.008 2.579
ar.S.L7 -0.6714 0.203 -3.308 0.001 -1.069 -0.274
ma.S.L7 0.0523 0.582 0.090 0.928 -1.089 1.193
sigma2 0.3169 0.722 0.439 0.661 -1.098 1.732
===================================================================================
Ljung-Box (L1) (Q): 2.25 Jarque-Bera (JB): 1.13
Prob(Q): 0.13 Prob(JB): 0.57
Heteroskedasticity (H): 0.33 Skew: -0.25
Prob(H) (two-sided): 0.30 Kurtosis: 1.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.5585033632649, Current Price: 124.27
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.009
Date: Wed, 09 Oct 2024 AIC 46.018
Time: 14:40:10 BIC 48.843
Sample: 0 HQIC 45.438
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9336 0.252 3.708 0.000 0.440 1.427
ma.L1 -1.0000 7387.647 -0.000 1.000 -1.45e+04 1.45e+04
ar.S.L7 -0.4876 0.217 -2.242 0.025 -0.914 -0.061
ma.S.L7 -0.0283 0.560 -0.051 0.960 -1.126 1.070
sigma2 0.7986 5899.822 0.000 1.000 -1.16e+04 1.16e+04
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 0.07
Prob(Q): 0.68 Prob(JB): 0.97
Heteroskedasticity (H): 0.56 Skew: -0.04
Prob(H) (two-sided): 0.59 Kurtosis: 2.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.34182953821235, Current Price: 124.32
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.201
Date: Wed, 09 Oct 2024 AIC 44.402
Time: 14:40:11 BIC 47.227
Sample: 0 HQIC 43.822
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8863 0.148 5.998 0.000 0.597 1.176
ma.L1 -1.0000 2.93e+04 -3.42e-05 1.000 -5.74e+04 5.74e+04
ar.S.L7 -0.4395 0.237 -1.851 0.064 -0.905 0.026
ma.S.L7 -0.1770 0.568 -0.312 0.755 -1.290 0.936
sigma2 0.6875 2.01e+04 3.42e-05 1.000 -3.94e+04 3.94e+04
===================================================================================
Ljung-Box (L1) (Q): 1.78 Jarque-Bera (JB): 0.07
Prob(Q): 0.18 Prob(JB): 0.96
Heteroskedasticity (H): 0.54 Skew: 0.18
Prob(H) (two-sided): 0.56 Kurtosis: 2.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.09685404733193, Current Price: 122.9
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.736
Date: Wed, 09 Oct 2024 AIC 45.473
Time: 14:40:11 BIC 48.297
Sample: 0 HQIC 44.892
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9189 0.200 4.601 0.000 0.527 1.310
ma.L1 -1.0000 3.89e+04 -2.57e-05 1.000 -7.62e+04 7.62e+04
ar.S.L7 -0.4670 0.240 -1.948 0.051 -0.937 0.003
ma.S.L7 -0.3020 0.828 -0.365 0.715 -1.925 1.321
sigma2 0.7195 2.8e+04 2.57e-05 1.000 -5.48e+04 5.48e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.98
Prob(Q): 0.94 Prob(JB): 0.61
Heteroskedasticity (H): 0.54 Skew: 0.09
Prob(H) (two-sided): 0.56 Kurtosis: 4.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.86901240019705, Current Price: 122.95
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.232
Date: Wed, 09 Oct 2024 AIC 36.464
Time: 14:40:11 BIC 39.288
Sample: 0 HQIC 35.883
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7663 0.300 2.555 0.011 0.179 1.354
ma.L1 -1.0001 1913.954 -0.001 1.000 -3752.281 3750.281
ar.S.L7 -0.2878 0.302 -0.955 0.340 -0.879 0.303
ma.S.L7 -0.5605 0.875 -0.641 0.522 -2.275 1.154
sigma2 0.3160 605.078 0.001 1.000 -1185.615 1186.247
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 4.06
Prob(Q): 0.79 Prob(JB): 0.13
Heteroskedasticity (H): 6.82 Skew: 1.32
Prob(H) (two-sided): 0.09 Kurtosis: 3.72
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.15231930014477, Current Price: 120.12
BUY EXECUTED at 120.12
BUY ORDER COMPLETED at 119.81
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.006
Date: Wed, 09 Oct 2024 AIC 42.011
Time: 14:40:11 BIC 44.836
Sample: 0 HQIC 41.431
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8336 0.094 8.886 0.000 0.650 1.018
ma.L1 -1.0000 7360.825 -0.000 1.000 -1.44e+04 1.44e+04
ar.S.L7 -0.5313 0.224 -2.370 0.018 -0.971 -0.092
ma.S.L7 0.0041 0.540 0.008 0.994 -1.054 1.062
sigma2 0.5885 4332.012 0.000 1.000 -8489.999 8491.176
===================================================================================
Ljung-Box (L1) (Q): 1.13 Jarque-Bera (JB): 0.20
Prob(Q): 0.29 Prob(JB): 0.90
Heteroskedasticity (H): 4.58 Skew: 0.24
Prob(H) (two-sided): 0.17 Kurtosis: 2.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.95958863228124, Current Price: 119.94
SELL EXECUTED at 119.94
SELL ORDER COMPLETED at 120.24
OPERATION PROFIT, GROSS 0.4299999999999926, NET 0.18994999999999262
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.482
Date: Wed, 09 Oct 2024 AIC 42.965
Time: 14:40:11 BIC 45.789
Sample: 0 HQIC 42.384
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5470 0.249 2.197 0.028 0.059 1.035
ma.L1 -1.0000 1.3e+04 -7.66e-05 1.000 -2.56e+04 2.56e+04
ar.S.L7 -0.1367 0.256 -0.533 0.594 -0.639 0.366
ma.S.L7 -1.0001 1.11e+04 -9.04e-05 1.000 -2.17e+04 2.17e+04
sigma2 0.3607 5379.640 6.7e-05 1.000 -1.05e+04 1.05e+04
===================================================================================
Ljung-Box (L1) (Q): 2.91 Jarque-Bera (JB): 0.18
Prob(Q): 0.09 Prob(JB): 0.91
Heteroskedasticity (H): 1.25 Skew: -0.23
Prob(H) (two-sided): 0.84 Kurtosis: 2.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.30757093650882, Current Price: 119.92
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.299
Date: Wed, 09 Oct 2024 AIC 42.598
Time: 14:40:11 BIC 45.423
Sample: 0 HQIC 42.017
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7841 0.124 6.309 0.000 0.540 1.028
ma.L1 -1.0000 8944.165 -0.000 1.000 -1.75e+04 1.75e+04
ar.S.L7 -0.5860 0.167 -3.519 0.000 -0.912 -0.260
ma.S.L7 0.1455 0.431 0.338 0.736 -0.699 0.990
sigma2 0.6170 5518.748 0.000 1.000 -1.08e+04 1.08e+04
===================================================================================
Ljung-Box (L1) (Q): 1.54 Jarque-Bera (JB): 0.65
Prob(Q): 0.21 Prob(JB): 0.72
Heteroskedasticity (H): 1.24 Skew: 0.26
Prob(H) (two-sided): 0.84 Kurtosis: 2.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.4434969050699, Current Price: 120.46
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.533
Date: Wed, 09 Oct 2024 AIC 39.066
Time: 14:40:11 BIC 41.891
Sample: 0 HQIC 38.485
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7722 0.119 6.470 0.000 0.538 1.006
ma.L1 -1.0000 7010.382 -0.000 1.000 -1.37e+04 1.37e+04
ar.S.L7 -0.7655 0.150 -5.107 0.000 -1.059 -0.472
ma.S.L7 0.4448 0.577 0.771 0.441 -0.686 1.575
sigma2 0.4407 3089.733 0.000 1.000 -6055.325 6056.207
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.67
Prob(Q): 0.79 Prob(JB): 0.72
Heteroskedasticity (H): 0.48 Skew: -0.14
Prob(H) (two-sided): 0.50 Kurtosis: 1.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.93227083146161, Current Price: 119.82
BUY EXECUTED at 119.82
BUY ORDER COMPLETED at 120.49
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.505
Date: Wed, 09 Oct 2024 AIC 39.010
Time: 14:40:11 BIC 41.835
Sample: 0 HQIC 38.429
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7079 0.093 7.605 0.000 0.525 0.890
ma.L1 -1.0000 7396.521 -0.000 1.000 -1.45e+04 1.45e+04
ar.S.L7 -0.8085 0.165 -4.893 0.000 -1.132 -0.485
ma.S.L7 0.1959 0.458 0.428 0.669 -0.702 1.094
sigma2 0.4664 3449.540 0.000 1.000 -6760.508 6761.441
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 0.87
Prob(Q): 0.64 Prob(JB): 0.65
Heteroskedasticity (H): 0.88 Skew: 0.19
Prob(H) (two-sided): 0.90 Kurtosis: 1.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.6840332645015, Current Price: 119.46
SELL EXECUTED at 119.46
SELL ORDER COMPLETED at 120.67
OPERATION PROFIT, GROSS 0.18000000000000682, NET -0.061159999999993164
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.379
Date: Wed, 09 Oct 2024 AIC 36.757
Time: 14:40:11 BIC 39.582
Sample: 0 HQIC 36.177
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0899 0.656 0.137 0.891 -1.197 1.376
ma.L1 -1.0000 4690.681 -0.000 1.000 -9194.567 9192.567
ar.S.L7 -0.1343 0.090 -1.489 0.136 -0.311 0.042
ma.S.L7 -1.0001 4942.627 -0.000 1.000 -9688.372 9686.372
sigma2 0.2340 2082.286 0.000 1.000 -4080.972 4081.440
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.38
Prob(Q): 0.95 Prob(JB): 0.83
Heteroskedasticity (H): 0.36 Skew: 0.22
Prob(H) (two-sided): 0.34 Kurtosis: 2.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.70477789471312, Current Price: 120.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.107
Date: Wed, 09 Oct 2024 AIC 42.213
Time: 14:40:11 BIC 45.038
Sample: 0 HQIC 41.632
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1077 0.517 -0.208 0.835 -1.120 0.905
ma.L1 -1.0000 7762.140 -0.000 1.000 -1.52e+04 1.52e+04
ar.S.L7 -0.2999 0.093 -3.224 0.001 -0.482 -0.118
ma.S.L7 0.2178 0.656 0.332 0.740 -1.068 1.503
sigma2 0.6110 4742.654 0.000 1.000 -9294.819 9296.041
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.69
Prob(Q): 0.75 Prob(JB): 0.71
Heteroskedasticity (H): 1.69 Skew: 0.24
Prob(H) (two-sided): 0.63 Kurtosis: 1.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.80975387556015, Current Price: 117.58
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.145
Date: Wed, 09 Oct 2024 AIC 40.290
Time: 14:40:11 BIC 43.115
Sample: 0 HQIC 39.710
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0945 0.495 0.191 0.849 -0.876 1.065
ma.L1 -1.0000 5708.089 -0.000 1.000 -1.12e+04 1.12e+04
ar.S.L7 -0.4473 0.125 -3.579 0.000 -0.692 -0.202
ma.S.L7 0.3396 1.057 0.321 0.748 -1.732 2.412
sigma2 0.5217 2978.264 0.000 1.000 -5836.769 5837.813
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.14
Prob(Q): 0.81 Prob(JB): 0.93
Heteroskedasticity (H): 4.67 Skew: 0.17
Prob(H) (two-sided): 0.16 Kurtosis: 2.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.63811011264669, Current Price: 117.96
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.212
Date: Wed, 09 Oct 2024 AIC 42.423
Time: 14:40:11 BIC 45.248
Sample: 0 HQIC 41.843
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2899 0.707 0.410 0.682 -1.096 1.676
ma.L1 -1.0000 2331.881 -0.000 1.000 -4571.402 4569.402
ar.S.L7 -0.3630 0.210 -1.725 0.085 -0.776 0.049
ma.S.L7 1.0001 4881.034 0.000 1.000 -9565.650 9567.650
sigma2 0.4054 2618.050 0.000 1.000 -5130.879 5131.690
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.21
Prob(Q): 0.93 Prob(JB): 0.55
Heteroskedasticity (H): 1.21 Skew: -0.55
Prob(H) (two-sided): 0.86 Kurtosis: 1.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.2694964133782, Current Price: 119.96
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.132
Date: Wed, 09 Oct 2024 AIC 48.264
Time: 14:40:11 BIC 51.089
Sample: 0 HQIC 47.683
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0091 2.105 0.004 0.997 -4.117 4.136
ma.L1 -0.3161 1.826 -0.173 0.863 -3.896 3.263
ar.S.L7 -0.4568 0.632 -0.723 0.469 -1.695 0.781
ma.S.L7 0.4504 2.221 0.203 0.839 -3.903 4.804
sigma2 1.0159 1.300 0.782 0.434 -1.531 3.563
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.45
Prob(Q): 0.90 Prob(JB): 0.80
Heteroskedasticity (H): 2.98 Skew: 0.31
Prob(H) (two-sided): 0.32 Kurtosis: 2.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.99314822285326, Current Price: 118.3
BUY EXECUTED at 118.3
BUY ORDER COMPLETED at 118.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.393
Date: Wed, 09 Oct 2024 AIC 48.787
Time: 14:40:11 BIC 51.612
Sample: 0 HQIC 48.206
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1898 1.350 -0.141 0.888 -2.836 2.456
ma.L1 -0.3389 1.133 -0.299 0.765 -2.559 1.881
ar.S.L7 -0.2832 0.616 -0.460 0.646 -1.490 0.923
ma.S.L7 1.0000 5.06e+04 1.98e-05 1.000 -9.91e+04 9.91e+04
sigma2 0.6968 3.52e+04 1.98e-05 1.000 -6.91e+04 6.91e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.60
Prob(Q): 0.97 Prob(JB): 0.74
Heteroskedasticity (H): 2.33 Skew: 0.15
Prob(H) (two-sided): 0.43 Kurtosis: 1.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.99966599961171, Current Price: 118.55
SELL EXECUTED at 118.55
SELL ORDER COMPLETED at 118.99
OPERATION PROFIT, GROSS 0.12999999999999545, NET -0.10785000000000455
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.270
Date: Wed, 09 Oct 2024 AIC 48.539
Time: 14:40:11 BIC 51.364
Sample: 0 HQIC 47.959
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4287 1.173 -0.365 0.715 -2.728 1.871
ma.L1 -0.1493 1.143 -0.131 0.896 -2.390 2.091
ar.S.L7 -0.1876 0.338 -0.555 0.579 -0.850 0.475
ma.S.L7 0.8927 12.258 0.073 0.942 -23.133 24.919
sigma2 0.7590 8.774 0.087 0.931 -16.437 17.955
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.46
Prob(Q): 0.87 Prob(JB): 0.79
Heteroskedasticity (H): 2.43 Skew: 0.26
Prob(H) (two-sided): 0.41 Kurtosis: 2.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.26979825841103, Current Price: 119.72
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.585
Date: Wed, 09 Oct 2024 AIC 49.170
Time: 14:40:11 BIC 51.995
Sample: 0 HQIC 48.590
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4882 1.610 -0.303 0.762 -3.645 2.668
ma.L1 -0.0263 1.683 -0.016 0.988 -3.326 3.273
ar.S.L7 0.0228 0.575 0.040 0.968 -1.104 1.150
ma.S.L7 1.0001 1.52e+04 6.6e-05 1.000 -2.97e+04 2.97e+04
sigma2 0.7173 1.09e+04 6.6e-05 1.000 -2.13e+04 2.13e+04
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.36
Prob(Q): 0.81 Prob(JB): 0.83
Heteroskedasticity (H): 3.00 Skew: 0.09
Prob(H) (two-sided): 0.31 Kurtosis: 2.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.73043679752077, Current Price: 121.82
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.035
Date: Wed, 09 Oct 2024 AIC 46.070
Time: 14:40:11 BIC 48.894
Sample: 0 HQIC 45.489
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8698 0.078 -11.083 0.000 -1.024 -0.716
ma.L1 1.0000 2743.354 0.000 1.000 -5375.875 5377.875
ar.S.L7 0.0020 0.003 0.589 0.556 -0.005 0.009
ma.S.L7 1.0001 5571.435 0.000 1.000 -1.09e+04 1.09e+04
sigma2 0.5224 3713.403 0.000 1.000 -7277.614 7278.659
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 1.05
Prob(Q): 0.72 Prob(JB): 0.59
Heteroskedasticity (H): 1.15 Skew: -0.68
Prob(H) (two-sided): 0.90 Kurtosis: 3.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.86659383640081, Current Price: 120.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.595
Date: Wed, 09 Oct 2024 AIC 49.190
Time: 14:40:11 BIC 52.014
Sample: 0 HQIC 48.609
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8107 0.329 -2.465 0.014 -1.455 -0.166
ma.L1 1.0003 414.374 0.002 0.998 -811.158 813.158
ar.S.L7 -1.018e-05 0.057 -0.000 1.000 -0.112 0.112
ma.S.L7 1.0178 16.248 0.063 0.950 -30.828 32.864
sigma2 0.7508 309.789 0.002 0.998 -606.424 607.926
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 1.65
Prob(Q): 0.75 Prob(JB): 0.44
Heteroskedasticity (H): 0.83 Skew: -0.82
Prob(H) (two-sided): 0.86 Kurtosis: 3.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.40798830945194, Current Price: 118.29
BUY EXECUTED at 118.29
BUY ORDER COMPLETED at 118.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.261
Date: Wed, 09 Oct 2024 AIC 54.523
Time: 14:40:11 BIC 57.348
Sample: 0 HQIC 53.942
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3907 1.148 -0.340 0.734 -2.640 1.859
ma.L1 -0.0685 0.840 -0.082 0.935 -1.714 1.577
ar.S.L7 0.3067 0.544 0.564 0.573 -0.759 1.372
ma.S.L7 1.0001 2.35e+04 4.26e-05 1.000 -4.6e+04 4.6e+04
sigma2 1.0848 2.54e+04 4.26e-05 1.000 -4.99e+04 4.99e+04
===================================================================================
Ljung-Box (L1) (Q): 0.46 Jarque-Bera (JB): 0.66
Prob(Q): 0.50 Prob(JB): 0.72
Heteroskedasticity (H): 2.29 Skew: -0.45
Prob(H) (two-sided): 0.44 Kurtosis: 2.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.7505963709466, Current Price: 119.38
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.527
Date: Wed, 09 Oct 2024 AIC 57.053
Time: 14:40:11 BIC 59.878
Sample: 0 HQIC 56.473
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4344 1.620 0.268 0.789 -2.741 3.609
ma.L1 -0.6624 1.309 -0.506 0.613 -3.229 1.904
ar.S.L7 0.1119 1.059 0.106 0.916 -1.964 2.188
ma.S.L7 -0.0578 1.327 -0.044 0.965 -2.659 2.543
sigma2 2.1788 1.413 1.542 0.123 -0.591 4.948
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 0.66
Prob(Q): 0.65 Prob(JB): 0.72
Heteroskedasticity (H): 5.89 Skew: -0.31
Prob(H) (two-sided): 0.11 Kurtosis: 2.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.9273338689832, Current Price: 119.69
SELL EXECUTED at 119.69
SELL ORDER COMPLETED at 118.96
OPERATION PROFIT, GROSS 0.06999999999999318, NET -0.16785000000000683
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.918
Date: Wed, 09 Oct 2024 AIC 57.837
Time: 14:40:11 BIC 60.661
Sample: 0 HQIC 57.256
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2694 1.546 0.174 0.862 -2.760 3.299
ma.L1 -0.5456 1.268 -0.430 0.667 -3.030 1.939
ar.S.L7 0.0054 0.081 0.067 0.946 -0.153 0.164
ma.S.L7 -0.1883 0.597 -0.315 0.753 -1.359 0.983
sigma2 2.2893 1.647 1.390 0.165 -0.939 5.518
===================================================================================
Ljung-Box (L1) (Q): 0.26 Jarque-Bera (JB): 0.91
Prob(Q): 0.61 Prob(JB): 0.64
Heteroskedasticity (H): 4.50 Skew: -0.54
Prob(H) (two-sided): 0.17 Kurtosis: 2.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.54701836157032, Current Price: 118.65
BUY EXECUTED at 118.65
BUY ORDER COMPLETED at 119.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.824
Date: Wed, 09 Oct 2024 AIC 57.647
Time: 14:40:11 BIC 60.472
Sample: 0 HQIC 57.067
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2408 2.532 0.095 0.924 -4.722 5.203
ma.L1 -0.4387 2.202 -0.199 0.842 -4.754 3.877
ar.S.L7 0.0198 0.442 0.045 0.964 -0.847 0.887
ma.S.L7 -0.4240 1.405 -0.302 0.763 -3.178 2.330
sigma2 2.1158 1.416 1.494 0.135 -0.660 4.891
===================================================================================
Ljung-Box (L1) (Q): 0.30 Jarque-Bera (JB): 0.82
Prob(Q): 0.59 Prob(JB): 0.66
Heteroskedasticity (H): 1.15 Skew: -0.41
Prob(H) (two-sided): 0.90 Kurtosis: 2.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.20329985350271, Current Price: 117.61
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.427
Date: Wed, 09 Oct 2024 AIC 54.854
Time: 14:40:11 BIC 57.679
Sample: 0 HQIC 54.273
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5776 0.286 2.021 0.043 0.017 1.138
ma.L1 -1.0000 1.07e+04 -9.35e-05 1.000 -2.1e+04 2.1e+04
ar.S.L7 -0.2563 0.369 -0.695 0.487 -0.979 0.466
ma.S.L7 -1.0001 1.26e+04 -7.91e-05 1.000 -2.48e+04 2.48e+04
sigma2 0.8903 1.85e+04 4.82e-05 1.000 -3.62e+04 3.62e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.98
Prob(Q): 0.90 Prob(JB): 0.61
Heteroskedasticity (H): 0.32 Skew: -0.13
Prob(H) (two-sided): 0.30 Kurtosis: 1.68
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.94254740476288, Current Price: 114.82
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.517
Date: Wed, 09 Oct 2024 AIC 59.034
Time: 14:40:11 BIC 61.859
Sample: 0 HQIC 58.453
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4088 0.459 -0.890 0.373 -1.309 0.491
ma.L1 1.0000 5760.381 0.000 1.000 -1.13e+04 1.13e+04
ar.S.L7 -0.3234 0.516 -0.627 0.531 -1.335 0.688
ma.S.L7 -1.0000 2.73e+04 -3.67e-05 1.000 -5.34e+04 5.34e+04
sigma2 1.4736 4.68e+04 3.15e-05 1.000 -9.16e+04 9.16e+04
===================================================================================
Ljung-Box (L1) (Q): 0.36 Jarque-Bera (JB): 1.35
Prob(Q): 0.55 Prob(JB): 0.51
Heteroskedasticity (H): 1.13 Skew: -0.26
Prob(H) (two-sided): 0.91 Kurtosis: 1.51
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.40552074171664, Current Price: 115.94
SELL EXECUTED at 115.94
SELL ORDER COMPLETED at 115.61
OPERATION PROFIT, GROSS -3.3900000000000006, NET -3.6246100000000006
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.593
Date: Wed, 09 Oct 2024 AIC 63.187
Time: 14:40:11 BIC 66.012
Sample: 0 HQIC 62.606
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3637 0.916 0.397 0.691 -1.431 2.158
ma.L1 -1.0000 7224.008 -0.000 1.000 -1.42e+04 1.42e+04
ar.S.L7 -0.5603 0.596 -0.940 0.347 -1.729 0.608
ma.S.L7 -0.6397 3.051 -0.210 0.834 -6.619 5.340
sigma2 2.4729 1.79e+04 0.000 1.000 -3.5e+04 3.5e+04
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 2.48
Prob(Q): 0.77 Prob(JB): 0.29
Heteroskedasticity (H): 2.50 Skew: -1.03
Prob(H) (two-sided): 0.40 Kurtosis: 3.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.87849503936214, Current Price: 115.57
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.030
Date: Wed, 09 Oct 2024 AIC 62.059
Time: 14:40:11 BIC 64.884
Sample: 0 HQIC 61.478
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3109 1.192 0.261 0.794 -2.025 2.647
ma.L1 -1.0000 1.84e+04 -5.43e-05 1.000 -3.61e+04 3.61e+04
ar.S.L7 -0.4998 0.403 -1.241 0.215 -1.289 0.290
ma.S.L7 -1.0001 2.01e+04 -4.98e-05 1.000 -3.94e+04 3.94e+04
sigma2 1.6524 4.32e+04 3.82e-05 1.000 -8.47e+04 8.47e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 2.17
Prob(Q): 0.96 Prob(JB): 0.34
Heteroskedasticity (H): 2.33 Skew: -0.90
Prob(H) (two-sided): 0.43 Kurtosis: 3.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.65614319349031, Current Price: 116.1
BUY EXECUTED at 116.1
BUY ORDER COMPLETED at 117.23
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.969
Date: Wed, 09 Oct 2024 AIC 61.938
Time: 14:40:12 BIC 64.763
Sample: 0 HQIC 61.358
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3594 1.129 0.318 0.750 -1.853 2.571
ma.L1 -1.0001 4617.106 -0.000 1.000 -9050.362 9048.362
ar.S.L7 -0.5032 0.448 -1.123 0.261 -1.381 0.375
ma.S.L7 -1.0002 6860.004 -0.000 1.000 -1.34e+04 1.34e+04
sigma2 1.6385 1.34e+04 0.000 1.000 -2.62e+04 2.62e+04
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 1.81
Prob(Q): 0.78 Prob(JB): 0.41
Heteroskedasticity (H): 1.55 Skew: -0.80
Prob(H) (two-sided): 0.68 Kurtosis: 3.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.08674978613712, Current Price: 116.74
SELL EXECUTED at 116.74
SELL ORDER COMPLETED at 117.31
OPERATION PROFIT, GROSS 0.0799999999999983, NET -0.15454000000000173
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.853
Date: Wed, 09 Oct 2024 AIC 61.707
Time: 14:40:12 BIC 64.532
Sample: 0 HQIC 61.126
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3203 0.929 0.345 0.730 -1.501 2.142
ma.L1 -1.0000 6093.970 -0.000 1.000 -1.19e+04 1.19e+04
ar.S.L7 -0.5566 0.484 -1.151 0.250 -1.505 0.392
ma.S.L7 -1.0001 1.11e+04 -8.98e-05 1.000 -2.18e+04 2.18e+04
sigma2 1.6090 1.96e+04 8.19e-05 1.000 -3.85e+04 3.85e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.80
Prob(Q): 0.99 Prob(JB): 0.41
Heteroskedasticity (H): 0.38 Skew: -0.77
Prob(H) (two-sided): 0.37 Kurtosis: 3.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.64286039176807, Current Price: 117.12
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.828
Date: Wed, 09 Oct 2024 AIC 61.656
Time: 14:40:12 BIC 64.480
Sample: 0 HQIC 61.075
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3459 1.503 0.230 0.818 -2.599 3.291
ma.L1 -1.0000 1.85e+04 -5.4e-05 1.000 -3.63e+04 3.63e+04
ar.S.L7 -0.5425 1.099 -0.494 0.622 -2.697 1.612
ma.S.L7 -1.0002 1.56e+04 -6.42e-05 1.000 -3.05e+04 3.05e+04
sigma2 1.6026 2.05e+04 7.83e-05 1.000 -4.01e+04 4.01e+04
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 1.30
Prob(Q): 0.74 Prob(JB): 0.52
Heteroskedasticity (H): 0.21 Skew: -0.66
Prob(H) (two-sided): 0.16 Kurtosis: 3.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.09958864636567, Current Price: 115.39
BUY EXECUTED at 115.39
BUY ORDER COMPLETED at 114.61
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.818
Date: Wed, 09 Oct 2024 AIC 61.636
Time: 14:40:12 BIC 64.461
Sample: 0 HQIC 61.055
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3030 0.608 0.498 0.618 -0.890 1.496
ma.L1 -1.0000 2.34e+05 -4.27e-06 1.000 -4.59e+05 4.59e+05
ar.S.L7 -0.6829 0.541 -1.263 0.206 -1.742 0.377
ma.S.L7 -0.4141 1.534 -0.270 0.787 -3.421 2.593
sigma2 2.4966 5.84e+05 4.27e-06 1.000 -1.15e+06 1.15e+06
===================================================================================
Ljung-Box (L1) (Q): 0.89 Jarque-Bera (JB): 0.52
Prob(Q): 0.35 Prob(JB): 0.77
Heteroskedasticity (H): 0.71 Skew: -0.45
Prob(H) (two-sided): 0.75 Kurtosis: 3.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.4988779787771, Current Price: 116.12
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.044
Date: Wed, 09 Oct 2024 AIC 60.089
Time: 14:40:12 BIC 62.914
Sample: 0 HQIC 59.508
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0667 1.068 0.062 0.950 -2.027 2.161
ma.L1 -0.6954 0.648 -1.074 0.283 -1.965 0.574
ar.S.L7 -0.8116 0.600 -1.352 0.176 -1.988 0.365
ma.S.L7 0.1850 1.101 0.168 0.866 -1.972 2.342
sigma2 2.7062 1.238 2.186 0.029 0.280 5.132
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 11.40
Prob(Q): 0.82 Prob(JB): 0.00
Heteroskedasticity (H): 4.74 Skew: -1.74
Prob(H) (two-sided): 0.16 Kurtosis: 6.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.63113681031057, Current Price: 118.0
SELL EXECUTED at 118.0
SELL ORDER COMPLETED at 118.64
OPERATION PROFIT, GROSS 4.030000000000001, NET 3.796750000000001
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.252
Date: Wed, 09 Oct 2024 AIC 58.504
Time: 14:40:12 BIC 61.329
Sample: 0 HQIC 57.924
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0438 0.864 -0.051 0.960 -1.737 1.649
ma.L1 -0.6102 0.502 -1.215 0.224 -1.595 0.374
ar.S.L7 -0.9773 0.393 -2.486 0.013 -1.748 -0.207
ma.S.L7 1.0000 2.14e+04 4.66e-05 1.000 -4.2e+04 4.2e+04
sigma2 1.4712 3.15e+04 4.66e-05 1.000 -6.18e+04 6.18e+04
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 4.14
Prob(Q): 0.70 Prob(JB): 0.13
Heteroskedasticity (H): 5.24 Skew: -1.23
Prob(H) (two-sided): 0.14 Kurtosis: 4.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.43167825694012, Current Price: 119.29
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.034
Date: Wed, 09 Oct 2024 AIC 64.069
Time: 14:40:12 BIC 66.893
Sample: 0 HQIC 63.488
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6867 1.264 0.543 0.587 -1.791 3.165
ma.L1 -1.0001 1761.202 -0.001 1.000 -3452.893 3450.892
ar.S.L7 -7.075e-05 0.082 -0.001 0.999 -0.160 0.160
ma.S.L7 -1.4102 2.904 -0.486 0.627 -7.101 4.281
sigma2 1.4957 2635.614 0.001 1.000 -5164.213 5167.205
===================================================================================
Ljung-Box (L1) (Q): 0.30 Jarque-Bera (JB): 1.68
Prob(Q): 0.59 Prob(JB): 0.43
Heteroskedasticity (H): 0.66 Skew: -0.82
Prob(H) (two-sided): 0.70 Kurtosis: 3.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.23967121391233, Current Price: 119.5
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.036
Date: Wed, 09 Oct 2024 AIC 64.072
Time: 14:40:12 BIC 66.897
Sample: 0 HQIC 63.492
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2050 3.112 -0.066 0.947 -6.305 5.895
ma.L1 -0.0075 2.794 -0.003 0.998 -5.483 5.468
ar.S.L7 -0.5981 0.499 -1.199 0.230 -1.575 0.379
ma.S.L7 1.0001 2.15e+04 4.66e-05 1.000 -4.2e+04 4.2e+04
sigma2 2.2579 4.84e+04 4.66e-05 1.000 -9.49e+04 9.49e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.32
Prob(Q): 0.97 Prob(JB): 0.52
Heteroskedasticity (H): 0.68 Skew: -0.78
Prob(H) (two-sided): 0.72 Kurtosis: 3.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.68778965090502, Current Price: 118.82
BUY EXECUTED at 118.82
BUY ORDER COMPLETED at 117.99
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.741
Date: Wed, 09 Oct 2024 AIC 63.483
Time: 14:40:12 BIC 66.308
Sample: 0 HQIC 62.902
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3050 1.972 -0.155 0.877 -4.170 3.560
ma.L1 0.5331 1.931 0.276 0.782 -3.251 4.317
ar.S.L7 0.0040 0.013 0.309 0.757 -0.021 0.029
ma.S.L7 -1.0022 305.786 -0.003 0.997 -600.332 598.328
sigma2 2.2817 698.250 0.003 0.997 -1366.263 1370.827
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 0.70
Prob(Q): 0.62 Prob(JB): 0.71
Heteroskedasticity (H): 0.36 Skew: -0.56
Prob(H) (two-sided): 0.35 Kurtosis: 2.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.75455056244374, Current Price: 118.12
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.388
Date: Wed, 09 Oct 2024 AIC 62.776
Time: 14:40:12 BIC 65.601
Sample: 0 HQIC 62.196
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3474 2.216 -0.157 0.875 -4.691 3.996
ma.L1 0.5423 2.022 0.268 0.789 -3.421 4.506
ar.S.L7 0.0043 0.014 0.302 0.762 -0.023 0.032
ma.S.L7 -1.0017 325.575 -0.003 0.998 -639.117 637.113
sigma2 2.1491 699.706 0.003 0.998 -1369.249 1373.547
===================================================================================
Ljung-Box (L1) (Q): 0.81 Jarque-Bera (JB): 0.75
Prob(Q): 0.37 Prob(JB): 0.69
Heteroskedasticity (H): 0.34 Skew: -0.59
Prob(H) (two-sided): 0.32 Kurtosis: 2.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.50499820450112, Current Price: 118.46
SELL EXECUTED at 118.46
SELL ORDER COMPLETED at 119.72
OPERATION PROFIT, GROSS 1.730000000000004, NET 1.492290000000004
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.406
Date: Wed, 09 Oct 2024 AIC 54.813
Time: 14:40:12 BIC 57.638
Sample: 0 HQIC 54.232
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4341 0.694 0.625 0.532 -0.926 1.794
ma.L1 -0.6974 0.661 -1.055 0.292 -1.994 0.599
ar.S.L7 -3.591e-05 0.088 -0.000 1.000 -0.172 0.172
ma.S.L7 -0.4434 0.259 -1.710 0.087 -0.951 0.065
sigma2 1.7986 1.208 1.489 0.136 -0.569 4.166
===================================================================================
Ljung-Box (L1) (Q): 0.36 Jarque-Bera (JB): 0.36
Prob(Q): 0.55 Prob(JB): 0.84
Heteroskedasticity (H): 0.66 Skew: 0.07
Prob(H) (two-sided): 0.69 Kurtosis: 2.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.19366218999154, Current Price: 120.26
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.141
Date: Wed, 09 Oct 2024 AIC 54.281
Time: 14:40:12 BIC 57.106
Sample: 0 HQIC 53.701
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1332 1.241 -0.107 0.915 -2.566 2.300
ma.L1 0.4330 1.269 0.341 0.733 -2.053 2.920
ar.S.L7 -0.1620 0.522 -0.310 0.756 -1.185 0.861
ma.S.L7 -0.3766 0.733 -0.514 0.608 -1.814 1.060
sigma2 1.6614 2.114 0.786 0.432 -2.482 5.805
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.95
Prob(Q): 0.76 Prob(JB): 0.62
Heteroskedasticity (H): 2.52 Skew: -0.35
Prob(H) (two-sided): 0.39 Kurtosis: 1.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.73437878851567, Current Price: 121.02
BUY EXECUTED at 121.02
BUY ORDER COMPLETED at 120.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.100
Date: Wed, 09 Oct 2024 AIC 54.199
Time: 14:40:12 BIC 57.024
Sample: 0 HQIC 53.619
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2492 2.033 0.123 0.902 -3.735 4.234
ma.L1 -0.3958 1.858 -0.213 0.831 -4.038 3.247
ar.S.L7 -0.2176 0.194 -1.119 0.263 -0.599 0.164
ma.S.L7 1.0000 3.24e+04 3.09e-05 1.000 -6.35e+04 6.35e+04
sigma2 1.0565 3.42e+04 3.09e-05 1.000 -6.71e+04 6.71e+04
===================================================================================
Ljung-Box (L1) (Q): 0.35 Jarque-Bera (JB): 0.61
Prob(Q): 0.56 Prob(JB): 0.74
Heteroskedasticity (H): 3.50 Skew: 0.06
Prob(H) (two-sided): 0.25 Kurtosis: 1.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.92692778730326, Current Price: 119.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.414
Date: Wed, 09 Oct 2024 AIC 56.829
Time: 14:40:12 BIC 59.654
Sample: 0 HQIC 56.248
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4213 0.618 -0.682 0.495 -1.632 0.789
ma.L1 0.6460 0.685 0.943 0.346 -0.696 1.988
ar.S.L7 -0.3528 0.253 -1.393 0.164 -0.849 0.144
ma.S.L7 -0.1497 0.551 -0.272 0.786 -1.230 0.930
sigma2 2.1208 1.636 1.296 0.195 -1.086 5.328
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 1.30
Prob(Q): 0.80 Prob(JB): 0.52
Heteroskedasticity (H): 1.19 Skew: 0.11
Prob(H) (two-sided): 0.87 Kurtosis: 1.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.18729148924017, Current Price: 119.66
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.767
Date: Wed, 09 Oct 2024 AIC 55.534
Time: 14:40:12 BIC 58.359
Sample: 0 HQIC 54.953
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0632 0.959 -0.066 0.947 -1.942 1.816
ma.L1 0.3748 1.002 0.374 0.708 -1.588 2.338
ar.S.L7 -0.3694 0.239 -1.547 0.122 -0.837 0.099
ma.S.L7 -0.2971 0.583 -0.510 0.610 -1.439 0.845
sigma2 1.8743 1.247 1.503 0.133 -0.569 4.318
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 1.17
Prob(Q): 0.70 Prob(JB): 0.56
Heteroskedasticity (H): 0.99 Skew: 0.29
Prob(H) (two-sided): 0.99 Kurtosis: 1.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.57015869099901, Current Price: 119.79
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.553
Date: Wed, 09 Oct 2024 AIC 55.105
Time: 14:40:12 BIC 57.930
Sample: 0 HQIC 54.525
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0127 1.744 0.007 0.994 -3.405 3.430
ma.L1 0.2246 1.730 0.130 0.897 -3.165 3.615
ar.S.L7 -0.3405 0.271 -1.256 0.209 -0.872 0.191
ma.S.L7 -1.7098 3.796 -0.450 0.652 -9.150 5.730
sigma2 0.5482 2.400 0.228 0.819 -4.156 5.252
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.19
Prob(Q): 0.90 Prob(JB): 0.55
Heteroskedasticity (H): 0.14 Skew: 0.55
Prob(H) (two-sided): 0.09 Kurtosis: 2.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.56706114953586, Current Price: 120.93
SELL EXECUTED at 120.93
SELL ORDER COMPLETED at 119.23
OPERATION PROFIT, GROSS -1.3100000000000023, NET -1.5497700000000023
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.429
Date: Wed, 09 Oct 2024 AIC 54.857
Time: 14:40:12 BIC 57.682
Sample: 0 HQIC 54.277
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0522 1.093 0.048 0.962 -2.089 2.194
ma.L1 0.2853 1.089 0.262 0.793 -1.849 2.420
ar.S.L7 -0.4074 0.265 -1.535 0.125 -0.927 0.113
ma.S.L7 -0.3183 0.656 -0.485 0.628 -1.605 0.968
sigma2 1.7690 1.312 1.348 0.178 -0.803 4.341
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 1.09
Prob(Q): 0.72 Prob(JB): 0.58
Heteroskedasticity (H): 0.21 Skew: 0.18
Prob(H) (two-sided): 0.16 Kurtosis: 1.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.44267523625624, Current Price: 119.7
BUY EXECUTED at 119.7
BUY ORDER COMPLETED at 119.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.496
Date: Wed, 09 Oct 2024 AIC 50.992
Time: 14:40:12 BIC 53.817
Sample: 0 HQIC 50.412
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6164 0.543 1.134 0.257 -0.449 1.682
ma.L1 -1.0000 9530.258 -0.000 1.000 -1.87e+04 1.87e+04
ar.S.L7 -0.1449 0.605 -0.240 0.811 -1.330 1.040
ma.S.L7 -0.5108 1.032 -0.495 0.621 -2.534 1.512
sigma2 0.9897 9431.834 0.000 1.000 -1.85e+04 1.85e+04
===================================================================================
Ljung-Box (L1) (Q): 0.78 Jarque-Bera (JB): 1.20
Prob(Q): 0.38 Prob(JB): 0.55
Heteroskedasticity (H): 0.54 Skew: 0.59
Prob(H) (two-sided): 0.56 Kurtosis: 2.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.38176212615946, Current Price: 119.19
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.306
Date: Wed, 09 Oct 2024 AIC 50.611
Time: 14:40:12 BIC 53.436
Sample: 0 HQIC 50.031
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1755 0.440 -0.399 0.690 -1.038 0.687
ma.L1 1.0000 1.16e+04 8.65e-05 1.000 -2.27e+04 2.27e+04
ar.S.L7 -0.5250 0.330 -1.590 0.112 -1.172 0.122
ma.S.L7 -0.3645 0.798 -0.457 0.648 -1.928 1.199
sigma2 1.1520 1.33e+04 8.65e-05 1.000 -2.61e+04 2.61e+04
===================================================================================
Ljung-Box (L1) (Q): 0.58 Jarque-Bera (JB): 0.92
Prob(Q): 0.45 Prob(JB): 0.63
Heteroskedasticity (H): 0.13 Skew: 0.64
Prob(H) (two-sided): 0.08 Kurtosis: 2.74
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.34693923129556, Current Price: 121.79
SELL EXECUTED at 121.79
SELL ORDER COMPLETED at 122.06
OPERATION PROFIT, GROSS 2.4099999999999966, NET 2.1682899999999967
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.903
Date: Wed, 09 Oct 2024 AIC 43.805
Time: 14:40:12 BIC 46.630
Sample: 0 HQIC 43.224
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3196 0.579 0.552 0.581 -0.815 1.454
ma.L1 -1.0000 3.84e+04 -2.61e-05 1.000 -7.52e+04 7.52e+04
ar.S.L7 -0.2354 0.105 -2.246 0.025 -0.441 -0.030
ma.S.L7 -1.0001 1.09e+04 -9.18e-05 1.000 -2.13e+04 2.13e+04
sigma2 0.4058 1.63e+04 2.49e-05 1.000 -3.2e+04 3.2e+04
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 0.72
Prob(Q): 0.66 Prob(JB): 0.70
Heteroskedasticity (H): 1.20 Skew: 0.14
Prob(H) (two-sided): 0.87 Kurtosis: 1.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.60531199546458, Current Price: 122.29
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.381
Date: Wed, 09 Oct 2024 AIC 44.761
Time: 14:40:12 BIC 47.586
Sample: 0 HQIC 44.181
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3332 0.579 0.576 0.565 -0.801 1.468
ma.L1 -1.0000 2.65e+04 -3.77e-05 1.000 -5.2e+04 5.2e+04
ar.S.L7 -0.2785 0.170 -1.634 0.102 -0.613 0.056
ma.S.L7 -1.0000 1.9e+04 -5.26e-05 1.000 -3.73e+04 3.73e+04
sigma2 0.4376 1.14e+04 3.85e-05 1.000 -2.23e+04 2.23e+04
===================================================================================
Ljung-Box (L1) (Q): 0.85 Jarque-Bera (JB): 1.19
Prob(Q): 0.36 Prob(JB): 0.55
Heteroskedasticity (H): 0.22 Skew: 0.72
Prob(H) (two-sided): 0.17 Kurtosis: 2.69
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.35961284220353, Current Price: 120.96
BUY EXECUTED at 120.96
BUY ORDER COMPLETED at 121.32
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.246
Date: Wed, 09 Oct 2024 AIC 48.493
Time: 14:40:12 BIC 51.317
Sample: 0 HQIC 47.912
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3038 0.599 0.507 0.612 -0.870 1.478
ma.L1 -1.0000 1.77e+04 -5.66e-05 1.000 -3.47e+04 3.46e+04
ar.S.L7 -0.2873 0.175 -1.642 0.101 -0.630 0.056
ma.S.L7 -0.6987 1.091 -0.640 0.522 -2.838 1.440
sigma2 0.7632 1.35e+04 5.66e-05 1.000 -2.64e+04 2.64e+04
===================================================================================
Ljung-Box (L1) (Q): 0.35 Jarque-Bera (JB): 0.68
Prob(Q): 0.55 Prob(JB): 0.71
Heteroskedasticity (H): 0.56 Skew: 0.46
Prob(H) (two-sided): 0.59 Kurtosis: 2.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.69733196062666, Current Price: 120.95
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.493
Date: Wed, 09 Oct 2024 AIC 46.985
Time: 14:40:12 BIC 49.810
Sample: 0 HQIC 46.405
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3318 0.682 0.486 0.627 -1.006 1.669
ma.L1 -1.0000 1.08e+04 -9.28e-05 1.000 -2.11e+04 2.11e+04
ar.S.L7 -0.2207 0.173 -1.278 0.201 -0.559 0.118
ma.S.L7 -1.0001 5507.358 -0.000 1.000 -1.08e+04 1.08e+04
sigma2 0.5189 5422.669 9.57e-05 1.000 -1.06e+04 1.06e+04
===================================================================================
Ljung-Box (L1) (Q): 1.35 Jarque-Bera (JB): 0.72
Prob(Q): 0.25 Prob(JB): 0.70
Heteroskedasticity (H): 0.38 Skew: 0.44
Prob(H) (two-sided): 0.37 Kurtosis: 2.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.38782747576195, Current Price: 122.47
SELL EXECUTED at 122.47
SELL ORDER COMPLETED at 119.67
OPERATION PROFIT, GROSS -1.6499999999999915, NET -1.8909899999999915
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.905
Date: Wed, 09 Oct 2024 AIC 47.811
Time: 14:40:12 BIC 50.636
Sample: 0 HQIC 47.230
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3737 0.650 0.575 0.566 -0.901 1.648
ma.L1 -1.0000 7995.870 -0.000 1.000 -1.57e+04 1.57e+04
ar.S.L7 -0.1946 0.216 -0.900 0.368 -0.618 0.229
ma.S.L7 -1.4690 2.723 -0.540 0.590 -6.805 3.868
sigma2 0.3408 2725.058 0.000 1.000 -5340.674 5341.356
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.54
Prob(Q): 0.87 Prob(JB): 0.76
Heteroskedasticity (H): 0.47 Skew: 0.32
Prob(H) (two-sided): 0.48 Kurtosis: 2.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.30838642289426, Current Price: 119.77
BUY EXECUTED at 119.77
BUY ORDER COMPLETED at 120.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.512
Date: Wed, 09 Oct 2024 AIC 43.025
Time: 14:40:12 BIC 45.849
Sample: 0 HQIC 42.444
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1964 0.338 0.581 0.562 -0.467 0.860
ma.L1 -1.0004 158.136 -0.006 0.995 -310.941 308.940
ar.S.L7 -0.4711 0.248 -1.899 0.058 -0.957 0.015
ma.S.L7 -0.4530 0.621 -0.729 0.466 -1.671 0.765
sigma2 0.5824 92.494 0.006 0.995 -180.703 181.867
===================================================================================
Ljung-Box (L1) (Q): 1.40 Jarque-Bera (JB): 0.45
Prob(Q): 0.24 Prob(JB): 0.80
Heteroskedasticity (H): 3.02 Skew: -0.13
Prob(H) (two-sided): 0.31 Kurtosis: 2.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.75613964379771, Current Price: 120.09
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.963
Date: Wed, 09 Oct 2024 AIC 47.926
Time: 14:40:13 BIC 50.751
Sample: 0 HQIC 47.345
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1891 0.579 0.327 0.744 -0.946 1.324
ma.L1 -0.7352 0.646 -1.139 0.255 -2.001 0.530
ar.S.L7 -0.5622 0.337 -1.666 0.096 -1.223 0.099
ma.S.L7 0.0390 0.414 0.094 0.925 -0.773 0.851
sigma2 1.0725 0.820 1.308 0.191 -0.534 2.679
===================================================================================
Ljung-Box (L1) (Q): 0.32 Jarque-Bera (JB): 0.81
Prob(Q): 0.57 Prob(JB): 0.67
Heteroskedasticity (H): 1.93 Skew: 0.21
Prob(H) (two-sided): 0.54 Kurtosis: 1.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.56529767411722, Current Price: 121.32
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.199
Date: Wed, 09 Oct 2024 AIC 46.398
Time: 14:40:13 BIC 49.223
Sample: 0 HQIC 45.817
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4694 0.177 2.646 0.008 0.122 0.817
ma.L1 -0.8116 0.541 -1.499 0.134 -1.872 0.249
ar.S.L7 -0.5426 0.218 -2.492 0.013 -0.969 -0.116
ma.S.L7 0.5638 1.946 0.290 0.772 -3.250 4.378
sigma2 0.7896 0.795 0.994 0.320 -0.768 2.347
===================================================================================
Ljung-Box (L1) (Q): 0.80 Jarque-Bera (JB): 0.74
Prob(Q): 0.37 Prob(JB): 0.69
Heteroskedasticity (H): 4.42 Skew: -0.33
Prob(H) (two-sided): 0.18 Kurtosis: 2.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.8745032653642, Current Price: 120.99
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.388
Date: Wed, 09 Oct 2024 AIC 44.776
Time: 14:40:13 BIC 47.601
Sample: 0 HQIC 44.196
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0981 0.673 -0.146 0.884 -1.417 1.221
ma.L1 -0.4493 0.583 -0.770 0.441 -1.593 0.694
ar.S.L7 -0.6159 0.147 -4.185 0.000 -0.904 -0.327
ma.S.L7 1.0009 735.280 0.001 0.999 -1440.122 1442.124
sigma2 0.5113 376.131 0.001 0.999 -736.692 737.714
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.53
Prob(Q): 0.74 Prob(JB): 0.77
Heteroskedasticity (H): 1.97 Skew: 0.07
Prob(H) (two-sided): 0.53 Kurtosis: 2.02
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.02601586294682, Current Price: 121.29
SELL EXECUTED at 121.29
SELL ORDER COMPLETED at 121.38
OPERATION PROFIT, GROSS 0.7299999999999898, NET 0.48796999999998975
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.260
Date: Wed, 09 Oct 2024 AIC 46.519
Time: 14:40:13 BIC 49.344
Sample: 0 HQIC 45.939
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0828 0.948 0.087 0.930 -1.776 1.942
ma.L1 -0.6241 0.552 -1.131 0.258 -1.706 0.458
ar.S.L7 -0.5344 0.203 -2.633 0.008 -0.932 -0.137
ma.S.L7 0.3829 0.800 0.479 0.632 -1.185 1.951
sigma2 0.9110 0.705 1.293 0.196 -0.470 2.292
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 0.98
Prob(Q): 0.65 Prob(JB): 0.61
Heteroskedasticity (H): 1.04 Skew: -0.05
Prob(H) (two-sided): 0.97 Kurtosis: 1.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.96546405210918, Current Price: 121.24
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.552
Date: Wed, 09 Oct 2024 AIC 45.104
Time: 14:40:13 BIC 47.929
Sample: 0 HQIC 44.523
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0970 1.081 0.090 0.929 -2.022 2.216
ma.L1 -0.6474 0.594 -1.091 0.275 -1.811 0.516
ar.S.L7 -0.4671 0.255 -1.829 0.067 -0.968 0.033
ma.S.L7 0.3717 0.945 0.393 0.694 -1.480 2.224
sigma2 0.8200 0.593 1.382 0.167 -0.343 1.983
===================================================================================
Ljung-Box (L1) (Q): 0.35 Jarque-Bera (JB): 1.09
Prob(Q): 0.55 Prob(JB): 0.58
Heteroskedasticity (H): 1.18 Skew: -0.20
Prob(H) (two-sided): 0.88 Kurtosis: 1.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.69614363436925, Current Price: 122.17
BUY EXECUTED at 122.17
BUY ORDER COMPLETED at 122.8
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.852
Date: Wed, 09 Oct 2024 AIC 45.704
Time: 14:40:13 BIC 48.529
Sample: 0 HQIC 45.123
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1081 0.983 0.110 0.912 -1.819 2.035
ma.L1 -0.6325 0.569 -1.113 0.266 -1.747 0.482
ar.S.L7 -0.4647 0.272 -1.706 0.088 -0.998 0.069
ma.S.L7 0.2521 0.783 0.322 0.748 -1.283 1.787
sigma2 0.8873 0.610 1.455 0.146 -0.308 2.082
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 0.92
Prob(Q): 0.64 Prob(JB): 0.63
Heteroskedasticity (H): 0.43 Skew: -0.05
Prob(H) (two-sided): 0.43 Kurtosis: 1.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.87285051320994, Current Price: 122.92
SELL EXECUTED at 122.92
SELL ORDER COMPLETED at 123.38
OPERATION PROFIT, GROSS 0.5799999999999983, NET 0.3338199999999983
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.179
Date: Wed, 09 Oct 2024 AIC 46.357
Time: 14:40:13 BIC 49.182
Sample: 0 HQIC 45.777
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4695 0.166 2.825 0.005 0.144 0.795
ma.L1 -1.0000 6341.024 -0.000 1.000 -1.24e+04 1.24e+04
ar.S.L7 -0.4842 0.443 -1.093 0.274 -1.352 0.384
ma.S.L7 -1.0001 8526.135 -0.000 1.000 -1.67e+04 1.67e+04
sigma2 0.4675 5439.241 8.59e-05 1.000 -1.07e+04 1.07e+04
===================================================================================
Ljung-Box (L1) (Q): 0.27 Jarque-Bera (JB): 0.15
Prob(Q): 0.60 Prob(JB): 0.93
Heteroskedasticity (H): 1.73 Skew: -0.15
Prob(H) (two-sided): 0.61 Kurtosis: 2.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.72526422404333, Current Price: 124.36
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.446
Date: Wed, 09 Oct 2024 AIC 44.893
Time: 14:40:13 BIC 47.717
Sample: 0 HQIC 44.312
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3647 0.723 -0.504 0.614 -1.782 1.053
ma.L1 0.6328 0.840 0.754 0.451 -1.013 2.278
ar.S.L7 -0.3248 0.389 -0.835 0.404 -1.087 0.437
ma.S.L7 -1.0000 1.37e+04 -7.28e-05 1.000 -2.69e+04 2.69e+04
sigma2 0.5175 7107.216 7.28e-05 1.000 -1.39e+04 1.39e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 2.39
Prob(Q): 0.91 Prob(JB): 0.30
Heteroskedasticity (H): 2.00 Skew: -0.79
Prob(H) (two-sided): 0.52 Kurtosis: 4.40
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.04074685811095, Current Price: 124.43
BUY EXECUTED at 124.43
BUY ORDER COMPLETED at 124.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.082
Date: Wed, 09 Oct 2024 AIC 48.165
Time: 14:40:13 BIC 50.989
Sample: 0 HQIC 47.584
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3416 1.478 0.231 0.817 -2.554 3.238
ma.L1 -0.6545 1.407 -0.465 0.642 -3.412 2.103
ar.S.L7 -0.3694 0.440 -0.839 0.401 -1.232 0.493
ma.S.L7 -1.0001 2.42e+04 -4.14e-05 1.000 -4.74e+04 4.74e+04
sigma2 0.6609 1.6e+04 4.14e-05 1.000 -3.13e+04 3.13e+04
===================================================================================
Ljung-Box (L1) (Q): 0.26 Jarque-Bera (JB): 0.51
Prob(Q): 0.61 Prob(JB): 0.77
Heteroskedasticity (H): 2.22 Skew: 0.44
Prob(H) (two-sided): 0.46 Kurtosis: 2.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.35167214147161, Current Price: 125.49
SELL EXECUTED at 125.49
SELL ORDER COMPLETED at 126.99
OPERATION PROFIT, GROSS 2.289999999999992, NET 2.038309999999992
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.713
Date: Wed, 09 Oct 2024 AIC 49.426
Time: 14:40:13 BIC 52.251
Sample: 0 HQIC 48.845
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1845 0.966 0.191 0.849 -1.709 2.078
ma.L1 -0.5050 0.897 -0.563 0.574 -2.264 1.254
ar.S.L7 -0.5532 0.312 -1.774 0.076 -1.165 0.058
ma.S.L7 -1.0001 1.18e+04 -8.47e-05 1.000 -2.32e+04 2.31e+04
sigma2 0.7309 8632.933 8.47e-05 1.000 -1.69e+04 1.69e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.38
Prob(Q): 0.95 Prob(JB): 0.83
Heteroskedasticity (H): 1.82 Skew: -0.04
Prob(H) (two-sided): 0.58 Kurtosis: 2.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.45876210024946, Current Price: 127.15
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.722
Date: Wed, 09 Oct 2024 AIC 53.443
Time: 14:40:13 BIC 56.268
Sample: 0 HQIC 52.863
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4191 0.598 -0.701 0.483 -1.590 0.752
ma.L1 0.7797 0.604 1.291 0.197 -0.404 1.964
ar.S.L7 -0.2942 0.341 -0.863 0.388 -0.962 0.374
ma.S.L7 -0.4606 1.270 -0.363 0.717 -2.949 2.028
sigma2 1.5118 1.461 1.035 0.301 -1.351 4.375
===================================================================================
Ljung-Box (L1) (Q): 1.14 Jarque-Bera (JB): 0.47
Prob(Q): 0.29 Prob(JB): 0.79
Heteroskedasticity (H): 1.21 Skew: -0.31
Prob(H) (two-sided): 0.86 Kurtosis: 2.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.30086275174754, Current Price: 127.4
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.887
Date: Wed, 09 Oct 2024 AIC 51.774
Time: 14:40:13 BIC 54.599
Sample: 0 HQIC 51.194
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5400 0.417 -1.294 0.196 -1.358 0.278
ma.L1 1.0000 4677.726 0.000 1.000 -9167.174 9169.174
ar.S.L7 -0.4221 0.423 -0.997 0.319 -1.252 0.407
ma.S.L7 -2.8925 9.227 -0.313 0.754 -20.977 15.192
sigma2 0.1447 677.105 0.000 1.000 -1326.957 1327.247
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.13
Prob(Q): 0.77 Prob(JB): 0.94
Heteroskedasticity (H): 1.94 Skew: -0.00
Prob(H) (two-sided): 0.54 Kurtosis: 2.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.60483222043328, Current Price: 126.27
BUY EXECUTED at 126.27
BUY ORDER COMPLETED at 126.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.313
Date: Wed, 09 Oct 2024 AIC 52.627
Time: 14:40:13 BIC 55.451
Sample: 0 HQIC 52.046
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4288 0.231 -1.859 0.063 -0.881 0.023
ma.L1 1.0000 6023.672 0.000 1.000 -1.18e+04 1.18e+04
ar.S.L7 -0.4959 0.766 -0.647 0.517 -1.997 1.005
ma.S.L7 -5.0484 27.589 -0.183 0.855 -59.121 49.025
sigma2 0.0536 322.965 0.000 1.000 -632.947 633.054
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.07
Prob(Q): 0.73 Prob(JB): 0.97
Heteroskedasticity (H): 7.85 Skew: -0.17
Prob(H) (two-sided): 0.07 Kurtosis: 2.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.68808233223271, Current Price: 127.6
SELL EXECUTED at 127.6
SELL ORDER COMPLETED at 127.57
OPERATION PROFIT, GROSS 0.8199999999999932, NET 0.5656799999999932
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.531
Date: Wed, 09 Oct 2024 AIC 55.062
Time: 14:40:13 BIC 57.887
Sample: 0 HQIC 54.481
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5109 0.586 -0.872 0.383 -1.659 0.637
ma.L1 1.0000 6.92e+04 1.44e-05 1.000 -1.36e+05 1.36e+05
ar.S.L7 -0.1055 0.600 -0.176 0.860 -1.281 1.070
ma.S.L7 0.2162 0.900 0.240 0.810 -1.547 1.980
sigma2 1.6071 1.11e+05 1.44e-05 1.000 -2.18e+05 2.18e+05
===================================================================================
Ljung-Box (L1) (Q): 0.61 Jarque-Bera (JB): 0.69
Prob(Q): 0.43 Prob(JB): 0.71
Heteroskedasticity (H): 1.83 Skew: 0.49
Prob(H) (two-sided): 0.57 Kurtosis: 3.55
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 130.0729965614823, Current Price: 127.58
BUY EXECUTED at 127.58
BUY ORDER COMPLETED at 128.51
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.607
Date: Wed, 09 Oct 2024 AIC 55.214
Time: 14:40:13 BIC 58.039
Sample: 0 HQIC 54.634
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5517 1.252 -0.441 0.660 -3.006 1.903
ma.L1 0.6344 1.697 0.374 0.709 -2.692 3.961
ar.S.L7 -0.3009 0.344 -0.874 0.382 -0.976 0.374
ma.S.L7 1.0001 1.02e+04 9.8e-05 1.000 -2e+04 2e+04
sigma2 1.0947 1.12e+04 9.79e-05 1.000 -2.19e+04 2.19e+04
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.21
Prob(Q): 0.75 Prob(JB): 0.90
Heteroskedasticity (H): 4.93 Skew: -0.09
Prob(H) (two-sided): 0.15 Kurtosis: 2.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.20096443984646, Current Price: 128.99
SELL EXECUTED at 128.99
SELL ORDER COMPLETED at 128.62
OPERATION PROFIT, GROSS 0.11000000000001364, NET -0.14712999999998633
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.918
Date: Wed, 09 Oct 2024 AIC 55.837
Time: 14:40:13 BIC 58.661
Sample: 0 HQIC 55.256
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0700 2.375 0.029 0.976 -4.584 4.724
ma.L1 -0.3330 2.058 -0.162 0.871 -4.366 3.700
ar.S.L7 -0.3712 0.631 -0.588 0.556 -1.608 0.866
ma.S.L7 0.4581 0.986 0.464 0.642 -1.475 2.391
sigma2 1.8128 2.004 0.905 0.366 -2.115 5.741
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.55
Prob(Q): 0.78 Prob(JB): 0.76
Heteroskedasticity (H): 0.91 Skew: -0.29
Prob(H) (two-sided): 0.93 Kurtosis: 2.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.7775309329188, Current Price: 129.21
BUY EXECUTED at 129.21
BUY ORDER COMPLETED at 128.49
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.752
Date: Wed, 09 Oct 2024 AIC 55.505
Time: 14:40:13 BIC 58.329
Sample: 0 HQIC 54.924
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0123 1.472 -0.008 0.993 -2.898 2.873
ma.L1 -0.3430 1.238 -0.277 0.782 -2.770 2.084
ar.S.L7 -0.5231 0.477 -1.096 0.273 -1.458 0.412
ma.S.L7 0.6966 2.071 0.336 0.737 -3.363 4.757
sigma2 1.5313 2.978 0.514 0.607 -4.305 7.368
===================================================================================
Ljung-Box (L1) (Q): 0.24 Jarque-Bera (JB): 0.58
Prob(Q): 0.62 Prob(JB): 0.75
Heteroskedasticity (H): 0.37 Skew: -0.13
Prob(H) (two-sided): 0.35 Kurtosis: 2.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 131.30125519486654, Current Price: 128.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.179
Date: Wed, 09 Oct 2024 AIC 58.358
Time: 14:40:13 BIC 61.183
Sample: 0 HQIC 57.777
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4332 6.920 -0.063 0.950 -13.997 13.130
ma.L1 0.4234 6.727 0.063 0.950 -12.762 13.609
ar.S.L7 -7.174e-05 0.053 -0.001 0.999 -0.104 0.104
ma.S.L7 -0.6195 0.568 -1.090 0.276 -1.733 0.494
sigma2 2.2604 1.340 1.686 0.092 -0.367 4.888
===================================================================================
Ljung-Box (L1) (Q): 0.82 Jarque-Bera (JB): 0.65
Prob(Q): 0.37 Prob(JB): 0.72
Heteroskedasticity (H): 0.24 Skew: -0.02
Prob(H) (two-sided): 0.20 Kurtosis: 1.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.23377985681444, Current Price: 128.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.243
Date: Wed, 09 Oct 2024 AIC 58.485
Time: 14:40:13 BIC 61.310
Sample: 0 HQIC 57.905
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6797 0.581 -1.171 0.242 -1.818 0.458
ma.L1 0.6692 0.889 0.752 0.452 -1.074 2.412
ar.S.L7 -0.0860 0.787 -0.109 0.913 -1.628 1.456
ma.S.L7 -0.6466 3.747 -0.173 0.863 -7.990 6.697
sigma2 1.9320 3.839 0.503 0.615 -5.593 9.457
===================================================================================
Ljung-Box (L1) (Q): 0.38 Jarque-Bera (JB): 0.49
Prob(Q): 0.54 Prob(JB): 0.78
Heteroskedasticity (H): 0.36 Skew: -0.07
Prob(H) (two-sided): 0.35 Kurtosis: 2.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.43311633387316, Current Price: 127.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.300
Date: Wed, 09 Oct 2024 AIC 52.600
Time: 14:40:13 BIC 55.425
Sample: 0 HQIC 52.020
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5712 0.282 -2.028 0.043 -1.123 -0.019
ma.L1 0.5160 0.588 0.877 0.380 -0.637 1.669
ar.S.L7 0.1655 0.311 0.532 0.595 -0.444 0.775
ma.S.L7 -1.0000 2.33e+05 -4.3e-06 1.000 -4.56e+05 4.56e+05
sigma2 0.8909 2.07e+05 4.3e-06 1.000 -4.06e+05 4.06e+05
===================================================================================
Ljung-Box (L1) (Q): 1.11 Jarque-Bera (JB): 1.05
Prob(Q): 0.29 Prob(JB): 0.59
Heteroskedasticity (H): 1.15 Skew: -0.66
Prob(H) (two-sided): 0.90 Kurtosis: 2.58
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.19573296399966, Current Price: 130.29
SELL EXECUTED at 130.29
SELL ORDER COMPLETED at 128.54
OPERATION PROFIT, GROSS 0.04999999999998295, NET -0.20703000000001703
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.337
Date: Wed, 09 Oct 2024 AIC 52.674
Time: 14:40:13 BIC 55.499
Sample: 0 HQIC 52.093
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6112 0.412 -1.484 0.138 -1.418 0.196
ma.L1 0.2599 0.499 0.521 0.602 -0.718 1.237
ar.S.L7 0.1514 0.339 0.446 0.655 -0.514 0.817
ma.S.L7 -1.0000 5.56e+04 -1.8e-05 1.000 -1.09e+05 1.09e+05
sigma2 0.8898 4.95e+04 1.8e-05 1.000 -9.7e+04 9.7e+04
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 0.95
Prob(Q): 0.68 Prob(JB): 0.62
Heteroskedasticity (H): 2.26 Skew: -0.66
Prob(H) (two-sided): 0.45 Kurtosis: 2.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.6239394155999, Current Price: 128.68
BUY EXECUTED at 128.68
BUY ORDER COMPLETED at 128.71
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.437
Date: Wed, 09 Oct 2024 AIC 50.874
Time: 14:40:13 BIC 53.699
Sample: 0 HQIC 50.294
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3365 1.121 -0.300 0.764 -2.534 1.861
ma.L1 -0.4032 0.729 -0.553 0.580 -1.833 1.026
ar.S.L7 -0.3204 0.770 -0.416 0.677 -1.830 1.189
ma.S.L7 -1.0001 1.47e+04 -6.78e-05 1.000 -2.89e+04 2.89e+04
sigma2 0.8177 1.21e+04 6.78e-05 1.000 -2.36e+04 2.36e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.84
Prob(Q): 0.88 Prob(JB): 0.66
Heteroskedasticity (H): 0.76 Skew: 0.41
Prob(H) (two-sided): 0.80 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 130.78694762553582, Current Price: 128.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.544
Date: Wed, 09 Oct 2024 AIC 53.089
Time: 14:40:13 BIC 55.914
Sample: 0 HQIC 52.508
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0355 2.157 -0.016 0.987 -4.262 4.191
ma.L1 -0.3392 1.948 -0.174 0.862 -4.157 3.478
ar.S.L7 -0.1121 0.802 -0.140 0.889 -1.685 1.460
ma.S.L7 -1.0005 4589.503 -0.000 1.000 -8996.260 8994.259
sigma2 0.9692 4449.318 0.000 1.000 -8719.534 8721.473
===================================================================================
Ljung-Box (L1) (Q): 0.37 Jarque-Bera (JB): 1.00
Prob(Q): 0.55 Prob(JB): 0.61
Heteroskedasticity (H): 1.45 Skew: 0.36
Prob(H) (two-sided): 0.73 Kurtosis: 1.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.68887498268683, Current Price: 130.17
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.268
Date: Wed, 09 Oct 2024 AIC 50.536
Time: 14:40:13 BIC 53.361
Sample: 0 HQIC 49.956
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2959 0.463 -0.639 0.523 -1.203 0.612
ma.L1 -0.3436 0.439 -0.783 0.434 -1.204 0.517
ar.S.L7 -0.3267 0.431 -0.758 0.448 -1.171 0.518
ma.S.L7 -0.6902 2.106 -0.328 0.743 -4.819 3.438
sigma2 1.0497 1.695 0.619 0.536 -2.272 4.371
===================================================================================
Ljung-Box (L1) (Q): 2.08 Jarque-Bera (JB): 0.91
Prob(Q): 0.15 Prob(JB): 0.63
Heteroskedasticity (H): 1.60 Skew: 0.37
Prob(H) (two-sided): 0.66 Kurtosis: 1.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 130.51707204027267, Current Price: 129.09
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.749
Date: Wed, 09 Oct 2024 AIC 51.497
Time: 14:40:13 BIC 54.322
Sample: 0 HQIC 50.917
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2183 0.739 -0.295 0.768 -1.667 1.230
ma.L1 -0.3571 0.648 -0.551 0.582 -1.627 0.913
ar.S.L7 -0.3594 0.455 -0.790 0.430 -1.251 0.532
ma.S.L7 -0.1037 0.712 -0.146 0.884 -1.499 1.292
sigma2 1.4186 1.134 1.251 0.211 -0.803 3.640
===================================================================================
Ljung-Box (L1) (Q): 0.42 Jarque-Bera (JB): 0.75
Prob(Q): 0.52 Prob(JB): 0.69
Heteroskedasticity (H): 1.34 Skew: 0.31
Prob(H) (two-sided): 0.79 Kurtosis: 2.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.86610013200573, Current Price: 129.13
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.363
Date: Wed, 09 Oct 2024 AIC 46.726
Time: 14:40:13 BIC 49.551
Sample: 0 HQIC 46.146
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0803 1.465 0.055 0.956 -2.791 2.952
ma.L1 -0.4616 1.549 -0.298 0.766 -3.498 2.574
ar.S.L7 -0.4639 0.185 -2.511 0.012 -0.826 -0.102
ma.S.L7 1.0002 3424.993 0.000 1.000 -6711.862 6713.863
sigma2 0.5946 2036.692 0.000 1.000 -3991.249 3992.438
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.80
Prob(Q): 0.84 Prob(JB): 0.67
Heteroskedasticity (H): 1.30 Skew: -0.42
Prob(H) (two-sided): 0.81 Kurtosis: 2.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.8319855013296, Current Price: 129.86
SELL EXECUTED at 129.86
SELL ORDER COMPLETED at 131.56
OPERATION PROFIT, GROSS 2.8499999999999943, NET 2.589729999999994
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.940
Date: Wed, 09 Oct 2024 AIC 45.880
Time: 14:40:13 BIC 48.705
Sample: 0 HQIC 45.299
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3116 2.015 0.155 0.877 -3.638 4.261
ma.L1 -0.5183 2.015 -0.257 0.797 -4.467 3.431
ar.S.L7 -0.5229 0.219 -2.389 0.017 -0.952 -0.094
ma.S.L7 1.0000 9.26e+04 1.08e-05 1.000 -1.81e+05 1.81e+05
sigma2 0.5577 5.16e+04 1.08e-05 1.000 -1.01e+05 1.01e+05
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.67
Prob(Q): 0.96 Prob(JB): 0.71
Heteroskedasticity (H): 0.44 Skew: -0.41
Prob(H) (two-sided): 0.45 Kurtosis: 2.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 131.92061077928855, Current Price: 131.76
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.447
Date: Wed, 09 Oct 2024 AIC 46.895
Time: 14:40:13 BIC 49.720
Sample: 0 HQIC 46.314
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3363 3.172 0.106 0.916 -5.881 6.554
ma.L1 -0.5811 2.844 -0.204 0.838 -6.156 4.994
ar.S.L7 -0.4533 0.289 -1.566 0.117 -1.021 0.114
ma.S.L7 1.0001 1.69e+04 5.91e-05 1.000 -3.32e+04 3.32e+04
sigma2 0.6030 1.02e+04 5.91e-05 1.000 -2e+04 2e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.09
Prob(Q): 0.96 Prob(JB): 0.95
Heteroskedasticity (H): 0.67 Skew: -0.06
Prob(H) (two-sided): 0.71 Kurtosis: 2.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.6372905999134, Current Price: 132.21
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.591
Date: Wed, 09 Oct 2024 AIC 49.182
Time: 14:40:13 BIC 52.007
Sample: 0 HQIC 48.602
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5879 0.518 1.135 0.256 -0.427 1.603
ma.L1 -1.0000 1.62e+04 -6.18e-05 1.000 -3.17e+04 3.17e+04
ar.S.L7 -0.2458 0.364 -0.675 0.500 -0.959 0.468
ma.S.L7 -0.3579 0.826 -0.433 0.665 -1.977 1.261
sigma2 0.9322 1.51e+04 6.18e-05 1.000 -2.96e+04 2.96e+04
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 0.57
Prob(Q): 0.65 Prob(JB): 0.75
Heteroskedasticity (H): 0.65 Skew: -0.20
Prob(H) (two-sided): 0.68 Kurtosis: 2.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 132.39306792133064, Current Price: 133.1
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.085
Date: Wed, 09 Oct 2024 AIC 50.171
Time: 14:40:13 BIC 52.996
Sample: 0 HQIC 49.590
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5641 0.871 0.647 0.517 -1.144 2.272
ma.L1 -1.0000 1.71e+04 -5.84e-05 1.000 -3.36e+04 3.36e+04
ar.S.L7 -0.2645 0.327 -0.809 0.418 -0.905 0.376
ma.S.L7 -0.4346 0.876 -0.496 0.620 -2.152 1.282
sigma2 0.9820 1.68e+04 5.84e-05 1.000 -3.3e+04 3.3e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.89
Prob(Q): 0.96 Prob(JB): 0.64
Heteroskedasticity (H): 0.42 Skew: -0.36
Prob(H) (two-sided): 0.42 Kurtosis: 1.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 133.3261680022955, Current Price: 131.64
BUY EXECUTED at 131.64
BUY ORDER COMPLETED at 130.39
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.841
Date: Wed, 09 Oct 2024 AIC 47.682
Time: 14:40:13 BIC 50.507
Sample: 0 HQIC 47.102
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4920 0.095 5.198 0.000 0.306 0.678
ma.L1 -1.0000 4519.366 -0.000 1.000 -8858.794 8856.794
ar.S.L7 -0.2084 0.355 -0.587 0.557 -0.904 0.488
ma.S.L7 -0.5540 1.073 -0.516 0.606 -2.658 1.550
sigma2 0.7620 3443.610 0.000 1.000 -6748.590 6750.114
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 1.16
Prob(Q): 0.81 Prob(JB): 0.56
Heteroskedasticity (H): 1.32 Skew: -0.10
Prob(H) (two-sided): 0.80 Kurtosis: 1.55
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 131.5720712456834, Current Price: 130.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.802
Date: Wed, 09 Oct 2024 AIC 47.603
Time: 14:40:13 BIC 50.428
Sample: 0 HQIC 47.023
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3406 0.704 0.484 0.629 -1.039 1.720
ma.L1 -1.0000 7475.547 -0.000 1.000 -1.47e+04 1.47e+04
ar.S.L7 -0.0722 0.324 -0.223 0.824 -0.708 0.563
ma.S.L7 -0.3947 0.710 -0.556 0.578 -1.786 0.997
sigma2 0.8571 6407.952 0.000 1.000 -1.26e+04 1.26e+04
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 1.22
Prob(Q): 0.81 Prob(JB): 0.54
Heteroskedasticity (H): 1.38 Skew: 0.25
Prob(H) (two-sided): 0.76 Kurtosis: 1.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 131.20978627767133, Current Price: 128.09
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12173.440
Date: Wed, 09 Oct 2024 AIC 24356.880
Time: 14:40:14 BIC 24359.705
Sample: 0 HQIC 24356.299
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1904 0.001 177.612 0.000 0.188 0.193
ma.L1 -0.3657 0.001 -341.233 0.000 -0.368 -0.364
ar.S.L7 51.3996 0.607 84.614 0.000 50.209 52.590
ma.S.L7 -4.064e-05 0.000 -0.112 0.911 -0.001 0.001
sigma2 2.0760 0.049 42.424 0.000 1.980 2.172
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.58
Prob(Q): 0.76 Prob(JB): 0.75
Heteroskedasticity (H): 0.69 Skew: 0.45
Prob(H) (two-sided): 0.73 Kurtosis: 2.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 196.8408657151818, Current Price: 127.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.308
Date: Wed, 09 Oct 2024 AIC 52.616
Time: 14:40:14 BIC 55.441
Sample: 0 HQIC 52.036
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4642 1.077 0.431 0.666 -1.646 2.575
ma.L1 -0.4177 1.179 -0.354 0.723 -2.728 1.893
ar.S.L7 -0.2476 0.526 -0.471 0.638 -1.278 0.783
ma.S.L7 -1.0003 4238.578 -0.000 1.000 -8308.460 8306.460
sigma2 0.9237 3915.685 0.000 1.000 -7673.678 7675.526
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.88
Prob(Q): 0.85 Prob(JB): 0.64
Heteroskedasticity (H): 2.42 Skew: -0.56
Prob(H) (two-sided): 0.41 Kurtosis: 2.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.7532138476207, Current Price: 128.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.647
Date: Wed, 09 Oct 2024 AIC 51.294
Time: 14:40:14 BIC 54.119
Sample: 0 HQIC 50.714
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3273 8.070 -0.041 0.968 -16.144 15.489
ma.L1 3.4477 97.033 0.036 0.972 -186.733 193.628
ar.S.L7 -0.3149 0.657 -0.479 0.632 -1.603 0.974
ma.S.L7 -1.0005 2312.985 -0.000 1.000 -4534.367 4532.366
sigma2 0.0711 166.091 0.000 1.000 -325.462 325.604
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.84
Prob(Q): 0.94 Prob(JB): 0.66
Heteroskedasticity (H): 5.60 Skew: -0.60
Prob(H) (two-sided): 0.12 Kurtosis: 2.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.97040697786238, Current Price: 126.18
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.288
Date: Wed, 09 Oct 2024 AIC 52.575
Time: 14:40:14 BIC 55.400
Sample: 0 HQIC 51.995
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8364 0.347 2.413 0.016 0.157 1.516
ma.L1 -0.6570 0.638 -1.030 0.303 -1.906 0.593
ar.S.L7 -0.4679 0.499 -0.937 0.349 -1.446 0.511
ma.S.L7 -1.0002 6465.359 -0.000 1.000 -1.27e+04 1.27e+04
sigma2 0.8885 5744.942 0.000 1.000 -1.13e+04 1.13e+04
===================================================================================
Ljung-Box (L1) (Q): 1.07 Jarque-Bera (JB): 0.51
Prob(Q): 0.30 Prob(JB): 0.77
Heteroskedasticity (H): 1.55 Skew: -0.17
Prob(H) (two-sided): 0.68 Kurtosis: 2.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.87790836565179, Current Price: 126.41
SELL EXECUTED at 126.41
SELL ORDER COMPLETED at 126.27
OPERATION PROFIT, GROSS -4.11999999999999, NET -4.3766599999999904
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.159
Date: Wed, 09 Oct 2024 AIC 52.318
Time: 14:40:14 BIC 55.143
Sample: 0 HQIC 51.737
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8245 1.128 0.731 0.465 -1.386 3.036
ma.L1 -0.6440 1.805 -0.357 0.721 -4.183 2.895
ar.S.L7 -0.3586 0.432 -0.829 0.407 -1.206 0.489
ma.S.L7 -1.0012 1089.349 -0.001 0.999 -2136.085 2134.083
sigma2 0.8719 950.157 0.001 0.999 -1861.403 1863.146
===================================================================================
Ljung-Box (L1) (Q): 1.32 Jarque-Bera (JB): 0.43
Prob(Q): 0.25 Prob(JB): 0.81
Heteroskedasticity (H): 1.12 Skew: -0.19
Prob(H) (two-sided): 0.91 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.63759651670954, Current Price: 125.41
BUY EXECUTED at 125.41
BUY ORDER COMPLETED at 125.06
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.050
Date: Wed, 09 Oct 2024 AIC 52.099
Time: 14:40:14 BIC 54.924
Sample: 0 HQIC 51.519
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8465 1.197 0.707 0.479 -1.499 3.192
ma.L1 -1.6614 5.084 -0.327 0.744 -11.627 8.304
ar.S.L7 -0.5534 0.384 -1.443 0.149 -1.305 0.198
ma.S.L7 -0.1057 1.042 -0.101 0.919 -2.147 1.936
sigma2 0.5319 3.390 0.157 0.875 -6.113 7.177
===================================================================================
Ljung-Box (L1) (Q): 1.05 Jarque-Bera (JB): 0.35
Prob(Q): 0.31 Prob(JB): 0.84
Heteroskedasticity (H): 0.64 Skew: -0.28
Prob(H) (two-sided): 0.67 Kurtosis: 2.42
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.72331225420362, Current Price: 124.59
SELL EXECUTED at 124.59
SELL ORDER COMPLETED at 124.23
OPERATION PROFIT, GROSS -0.8299999999999983, NET -1.0792899999999983
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.413
Date: Wed, 09 Oct 2024 AIC 52.825
Time: 14:40:14 BIC 55.650
Sample: 0 HQIC 52.244
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3876 0.895 0.433 0.665 -1.366 2.141
ma.L1 -5.0185 31.142 -0.161 0.872 -66.055 56.018
ar.S.L7 -0.6717 0.408 -1.645 0.100 -1.472 0.129
ma.S.L7 0.2146 0.934 0.230 0.818 -1.616 2.045
sigma2 0.0617 0.775 0.080 0.937 -1.458 1.581
===================================================================================
Ljung-Box (L1) (Q): 1.23 Jarque-Bera (JB): 0.39
Prob(Q): 0.27 Prob(JB): 0.82
Heteroskedasticity (H): 0.58 Skew: -0.21
Prob(H) (two-sided): 0.61 Kurtosis: 2.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.21949613463113, Current Price: 124.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.499
Date: Wed, 09 Oct 2024 AIC 48.999
Time: 14:40:14 BIC 51.823
Sample: 0 HQIC 48.418
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6832 0.809 0.844 0.399 -0.903 2.270
ma.L1 -2.2066 8.495 -0.260 0.795 -18.856 14.443
ar.S.L7 -0.8930 0.413 -2.160 0.031 -1.703 -0.083
ma.S.L7 1.0010 631.343 0.002 0.999 -1236.408 1238.410
sigma2 0.1406 88.947 0.002 0.999 -174.192 174.473
===================================================================================
Ljung-Box (L1) (Q): 0.73 Jarque-Bera (JB): 0.53
Prob(Q): 0.39 Prob(JB): 0.77
Heteroskedasticity (H): 1.32 Skew: -0.16
Prob(H) (two-sided): 0.80 Kurtosis: 2.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.40041603464216, Current Price: 123.61
BUY EXECUTED at 123.61
BUY ORDER COMPLETED at 123.71
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.100
Date: Wed, 09 Oct 2024 AIC 52.201
Time: 14:40:14 BIC 55.026
Sample: 0 HQIC 51.620
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6647 0.753 0.883 0.377 -0.810 2.140
ma.L1 -2.1724 5.167 -0.420 0.674 -12.299 7.954
ar.S.L7 -0.7390 0.561 -1.318 0.188 -1.838 0.360
ma.S.L7 0.1330 0.745 0.178 0.858 -1.328 1.594
sigma2 0.3150 1.562 0.202 0.840 -2.747 3.377
===================================================================================
Ljung-Box (L1) (Q): 3.23 Jarque-Bera (JB): 1.06
Prob(Q): 0.07 Prob(JB): 0.59
Heteroskedasticity (H): 1.00 Skew: -0.27
Prob(H) (two-sided): 1.00 Kurtosis: 1.71
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.70742316809711, Current Price: 123.39
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.036
Date: Wed, 09 Oct 2024 AIC 52.073
Time: 14:40:14 BIC 54.898
Sample: 0 HQIC 51.492
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9001 0.333 2.707 0.007 0.248 1.552
ma.L1 -1.3836 1.169 -1.184 0.236 -3.674 0.907
ar.S.L7 -2.201e-05 0.073 -0.000 1.000 -0.143 0.143
ma.S.L7 -0.9994 668.063 -0.001 0.999 -1310.379 1308.380
sigma2 0.5459 364.222 0.001 0.999 -713.316 714.408
===================================================================================
Ljung-Box (L1) (Q): 0.41 Jarque-Bera (JB): 0.52
Prob(Q): 0.52 Prob(JB): 0.77
Heteroskedasticity (H): 0.46 Skew: -0.23
Prob(H) (two-sided): 0.47 Kurtosis: 2.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.84024997437814, Current Price: 124.32
SELL EXECUTED at 124.32
SELL ORDER COMPLETED at 123.75
OPERATION PROFIT, GROSS 0.04000000000000625, NET -0.20745999999999376
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.196
Date: Wed, 09 Oct 2024 AIC 54.392
Time: 14:40:14 BIC 57.217
Sample: 0 HQIC 53.812
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0211 5.424 0.004 0.997 -10.609 10.651
ma.L1 -11.8703 797.170 -0.015 0.988 -1574.294 1550.553
ar.S.L7 -1.0359 0.304 -3.410 0.001 -1.631 -0.440
ma.S.L7 0.9644 32.889 0.029 0.977 -63.497 65.426
sigma2 0.0078 0.983 0.008 0.994 -1.919 1.934
===================================================================================
Ljung-Box (L1) (Q): 2.70 Jarque-Bera (JB): 1.07
Prob(Q): 0.10 Prob(JB): 0.59
Heteroskedasticity (H): 0.97 Skew: 0.16
Prob(H) (two-sided): 0.98 Kurtosis: 1.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.39845363386024, Current Price: 123.92
BUY EXECUTED at 123.92
BUY ORDER COMPLETED at 125.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.839
Date: Wed, 09 Oct 2024 AIC 49.678
Time: 14:40:14 BIC 52.503
Sample: 0 HQIC 49.098
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9094 0.151 6.027 0.000 0.614 1.205
ma.L1 -1.0000 5943.703 -0.000 1.000 -1.17e+04 1.16e+04
ar.S.L7 -0.7581 0.386 -1.963 0.050 -1.515 -0.001
ma.S.L7 0.0976 0.522 0.187 0.852 -0.926 1.121
sigma2 1.0651 6330.775 0.000 1.000 -1.24e+04 1.24e+04
===================================================================================
Ljung-Box (L1) (Q): 4.04 Jarque-Bera (JB): 1.16
Prob(Q): 0.04 Prob(JB): 0.56
Heteroskedasticity (H): 0.99 Skew: 0.10
Prob(H) (two-sided): 1.00 Kurtosis: 1.55
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.18509660224952, Current Price: 125.57
SELL EXECUTED at 125.57
SELL ORDER COMPLETED at 125.07
OPERATION PROFIT, GROSS -0.13000000000000966, NET -0.38027000000000966
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.798
Date: Wed, 09 Oct 2024 AIC 53.595
Time: 14:40:14 BIC 56.420
Sample: 0 HQIC 53.015
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7616 0.242 3.146 0.002 0.287 1.236
ma.L1 -1.0000 1.49e+04 -6.72e-05 1.000 -2.92e+04 2.92e+04
ar.S.L7 -0.5724 0.418 -1.368 0.171 -1.393 0.248
ma.S.L7 -0.3699 0.912 -0.406 0.685 -2.158 1.418
sigma2 1.3081 1.95e+04 6.72e-05 1.000 -3.82e+04 3.82e+04
===================================================================================
Ljung-Box (L1) (Q): 1.39 Jarque-Bera (JB): 1.07
Prob(Q): 0.24 Prob(JB): 0.58
Heteroskedasticity (H): 2.62 Skew: 0.68
Prob(H) (two-sided): 0.37 Kurtosis: 2.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.01560316007397, Current Price: 124.91
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.262
Date: Wed, 09 Oct 2024 AIC 52.524
Time: 14:40:14 BIC 55.348
Sample: 0 HQIC 51.943
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7477 0.300 2.494 0.013 0.160 1.335
ma.L1 -1.0000 1.04e+04 -9.6e-05 1.000 -2.04e+04 2.04e+04
ar.S.L7 -0.6065 0.374 -1.620 0.105 -1.341 0.127
ma.S.L7 -0.2305 0.788 -0.293 0.770 -1.775 1.314
sigma2 1.2662 1.32e+04 9.6e-05 1.000 -2.58e+04 2.59e+04
===================================================================================
Ljung-Box (L1) (Q): 0.23 Jarque-Bera (JB): 0.69
Prob(Q): 0.63 Prob(JB): 0.71
Heteroskedasticity (H): 3.39 Skew: 0.52
Prob(H) (two-sided): 0.26 Kurtosis: 2.58
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.86080343593395, Current Price: 126.09
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.060
Date: Wed, 09 Oct 2024 AIC 56.120
Time: 14:40:14 BIC 58.944
Sample: 0 HQIC 55.539
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6925 0.550 1.259 0.208 -0.386 1.771
ma.L1 -0.6499 1.283 -0.507 0.612 -3.164 1.864
ar.S.L7 -0.4288 0.390 -1.098 0.272 -1.194 0.336
ma.S.L7 -0.0678 1.861 -0.036 0.971 -3.716 3.580
sigma2 1.9975 1.195 1.672 0.095 -0.344 4.339
===================================================================================
Ljung-Box (L1) (Q): 1.15 Jarque-Bera (JB): 1.29
Prob(Q): 0.28 Prob(JB): 0.52
Heteroskedasticity (H): 7.81 Skew: 0.52
Prob(H) (two-sided): 0.07 Kurtosis: 1.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.66386257847424, Current Price: 126.32
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.113
Date: Wed, 09 Oct 2024 AIC 56.226
Time: 14:40:14 BIC 59.050
Sample: 0 HQIC 55.645
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6711 0.854 0.786 0.432 -1.002 2.345
ma.L1 -1.6987 3.264 -0.520 0.603 -8.097 4.699
ar.S.L7 -0.4596 0.370 -1.242 0.214 -1.185 0.265
ma.S.L7 -0.0923 1.053 -0.088 0.930 -2.155 1.971
sigma2 0.7005 2.836 0.247 0.805 -4.857 6.258
===================================================================================
Ljung-Box (L1) (Q): 1.70 Jarque-Bera (JB): 1.01
Prob(Q): 0.19 Prob(JB): 0.60
Heteroskedasticity (H): 6.84 Skew: 0.40
Prob(H) (two-sided): 0.09 Kurtosis: 1.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.84798516502923, Current Price: 127.01
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.621
Date: Wed, 09 Oct 2024 AIC 55.242
Time: 14:40:14 BIC 58.066
Sample: 0 HQIC 54.661
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4806 0.696 0.691 0.490 -0.883 1.845
ma.L1 -2.2448 4.189 -0.536 0.592 -10.455 5.965
ar.S.L7 -0.3789 0.494 -0.767 0.443 -1.347 0.589
ma.S.L7 -0.1407 0.862 -0.163 0.870 -1.831 1.549
sigma2 0.3728 1.477 0.252 0.801 -2.523 3.268
===================================================================================
Ljung-Box (L1) (Q): 2.05 Jarque-Bera (JB): 0.84
Prob(Q): 0.15 Prob(JB): 0.66
Heteroskedasticity (H): 2.25 Skew: 0.34
Prob(H) (two-sided): 0.45 Kurtosis: 1.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.48660337953702, Current Price: 126.93
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.214
Date: Wed, 09 Oct 2024 AIC 54.429
Time: 14:40:14 BIC 57.253
Sample: 0 HQIC 53.848
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3807 1.736 -0.219 0.826 -3.783 3.022
ma.L1 0.2228 1.882 0.118 0.906 -3.465 3.911
ar.S.L7 -0.3065 0.380 -0.807 0.420 -1.051 0.438
ma.S.L7 -0.2310 0.796 -0.290 0.772 -1.792 1.329
sigma2 1.7510 1.106 1.583 0.113 -0.417 3.919
===================================================================================
Ljung-Box (L1) (Q): 0.72 Jarque-Bera (JB): 0.68
Prob(Q): 0.40 Prob(JB): 0.71
Heteroskedasticity (H): 1.86 Skew: 0.04
Prob(H) (two-sided): 0.56 Kurtosis: 1.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.88457975707558, Current Price: 127.85
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.892
Date: Wed, 09 Oct 2024 AIC 55.784
Time: 14:40:14 BIC 58.609
Sample: 0 HQIC 55.203
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7525 1.457 0.516 0.606 -2.103 3.609
ma.L1 -0.6260 1.547 -0.405 0.686 -3.658 2.406
ar.S.L7 -0.4222 0.335 -1.260 0.208 -1.079 0.235
ma.S.L7 0.0258 0.641 0.040 0.968 -1.230 1.282
sigma2 1.9562 1.002 1.953 0.051 -0.007 3.919
===================================================================================
Ljung-Box (L1) (Q): 3.95 Jarque-Bera (JB): 0.61
Prob(Q): 0.05 Prob(JB): 0.74
Heteroskedasticity (H): 0.17 Skew: 0.22
Prob(H) (two-sided): 0.11 Kurtosis: 2.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.73891292462892, Current Price: 125.49
BUY EXECUTED at 125.49
BUY ORDER COMPLETED at 125.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.598
Date: Wed, 09 Oct 2024 AIC 57.196
Time: 14:40:14 BIC 60.021
Sample: 0 HQIC 56.615
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3350 3.905 -0.086 0.932 -7.989 7.319
ma.L1 0.2202 3.801 0.058 0.954 -7.229 7.670
ar.S.L7 -0.5571 0.444 -1.254 0.210 -1.428 0.314
ma.S.L7 -1.6103 3.538 -0.455 0.649 -8.544 5.323
sigma2 0.7096 2.523 0.281 0.779 -4.236 5.655
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 0.49
Prob(Q): 0.66 Prob(JB): 0.78
Heteroskedasticity (H): 0.69 Skew: 0.18
Prob(H) (two-sided): 0.73 Kurtosis: 2.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.66877559598572, Current Price: 125.54
SELL EXECUTED at 125.54
SELL ORDER COMPLETED at 125.38
OPERATION PROFIT, GROSS 0.009999999999990905, NET -0.24075000000000912
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.468
Date: Wed, 09 Oct 2024 AIC 56.935
Time: 14:40:14 BIC 59.760
Sample: 0 HQIC 56.355
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4265 1.464 -0.291 0.771 -3.295 2.442
ma.L1 0.2201 1.713 0.128 0.898 -3.137 3.578
ar.S.L7 -0.3742 0.471 -0.794 0.427 -1.298 0.550
ma.S.L7 -0.4183 0.773 -0.541 0.588 -1.933 1.096
sigma2 2.0058 1.620 1.238 0.216 -1.170 5.182
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.47
Prob(Q): 0.79 Prob(JB): 0.79
Heteroskedasticity (H): 0.91 Skew: -0.24
Prob(H) (two-sided): 0.93 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.88934276629732, Current Price: 124.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.622
Date: Wed, 09 Oct 2024 AIC 55.243
Time: 14:40:14 BIC 58.068
Sample: 0 HQIC 54.663
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5220 0.244 -2.138 0.033 -1.001 -0.043
ma.L1 0.2495 0.548 0.455 0.649 -0.824 1.323
ar.S.L7 -0.4045 0.379 -1.066 0.286 -1.148 0.339
ma.S.L7 -1.0002 4355.796 -0.000 1.000 -8538.204 8536.203
sigma2 1.1002 4792.604 0.000 1.000 -9392.231 9394.432
===================================================================================
Ljung-Box (L1) (Q): 0.71 Jarque-Bera (JB): 0.94
Prob(Q): 0.40 Prob(JB): 0.63
Heteroskedasticity (H): 0.33 Skew: -0.52
Prob(H) (two-sided): 0.31 Kurtosis: 2.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.06910335953305, Current Price: 124.24
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.072
Date: Wed, 09 Oct 2024 AIC 52.143
Time: 14:40:14 BIC 54.968
Sample: 0 HQIC 51.563
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3969 0.943 -0.421 0.674 -2.246 1.452
ma.L1 0.1763 1.181 0.149 0.881 -2.139 2.492
ar.S.L7 -0.4203 0.408 -1.030 0.303 -1.220 0.380
ma.S.L7 -1.0000 1.58e+04 -6.33e-05 1.000 -3.09e+04 3.09e+04
sigma2 0.9029 1.43e+04 6.33e-05 1.000 -2.79e+04 2.79e+04
===================================================================================
Ljung-Box (L1) (Q): 0.50 Jarque-Bera (JB): 0.26
Prob(Q): 0.48 Prob(JB): 0.88
Heteroskedasticity (H): 0.28 Skew: -0.19
Prob(H) (two-sided): 0.24 Kurtosis: 2.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.62349980525433, Current Price: 123.78
BUY EXECUTED at 123.78
BUY ORDER COMPLETED at 123.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.262
Date: Wed, 09 Oct 2024 AIC 48.523
Time: 14:40:14 BIC 51.348
Sample: 0 HQIC 47.943
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9141 0.089 -10.316 0.000 -1.088 -0.740
ma.L1 1.0000 1.78e+04 5.63e-05 1.000 -3.48e+04 3.48e+04
ar.S.L7 -0.4525 0.315 -1.436 0.151 -1.070 0.165
ma.S.L7 -1.0001 8146.173 -0.000 1.000 -1.6e+04 1.6e+04
sigma2 0.6032 9864.244 6.12e-05 1.000 -1.93e+04 1.93e+04
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.78
Prob(Q): 0.83 Prob(JB): 0.68
Heteroskedasticity (H): 0.25 Skew: -0.47
Prob(H) (two-sided): 0.21 Kurtosis: 2.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.5320886270202, Current Price: 123.76
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.206
Date: Wed, 09 Oct 2024 AIC 48.412
Time: 14:40:14 BIC 51.237
Sample: 0 HQIC 47.831
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9297 0.130 -7.130 0.000 -1.185 -0.674
ma.L1 1.0000 3.04e+05 3.29e-06 1.000 -5.96e+05 5.96e+05
ar.S.L7 -0.4274 0.359 -1.191 0.234 -1.131 0.276
ma.S.L7 -1.0001 2.66e+04 -3.76e-05 1.000 -5.21e+04 5.21e+04
sigma2 0.5981 1.74e+05 3.43e-06 1.000 -3.42e+05 3.42e+05
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.47
Prob(Q): 0.90 Prob(JB): 0.79
Heteroskedasticity (H): 0.04 Skew: -0.26
Prob(H) (two-sided): 0.01 Kurtosis: 2.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.36207013564257, Current Price: 124.56
SELL EXECUTED at 124.56
SELL ORDER COMPLETED at 125.18
OPERATION PROFIT, GROSS 1.480000000000004, NET 1.231120000000004
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.905
Date: Wed, 09 Oct 2024 AIC 43.810
Time: 14:40:15 BIC 46.635
Sample: 0 HQIC 43.229
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3106 3.026 -0.103 0.918 -6.242 5.621
ma.L1 0.2590 3.125 0.083 0.934 -5.867 6.385
ar.S.L7 -0.4184 0.259 -1.615 0.106 -0.926 0.089
ma.S.L7 -1.0000 1.51e+04 -6.64e-05 1.000 -2.95e+04 2.95e+04
sigma2 0.4757 7160.686 6.64e-05 1.000 -1.4e+04 1.4e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.29
Prob(Q): 0.87 Prob(JB): 0.87
Heteroskedasticity (H): 0.22 Skew: -0.25
Prob(H) (two-sided): 0.17 Kurtosis: 3.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.82117105105476, Current Price: 125.43
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.304
Date: Wed, 09 Oct 2024 AIC 44.607
Time: 14:40:15 BIC 47.432
Sample: 0 HQIC 44.027
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3249 1.186 -0.274 0.784 -2.650 2.000
ma.L1 0.2014 1.148 0.176 0.861 -2.048 2.451
ar.S.L7 -0.4299 0.323 -1.332 0.183 -1.063 0.203
ma.S.L7 -1.0000 1.78e+04 -5.62e-05 1.000 -3.49e+04 3.49e+04
sigma2 0.5067 9014.621 5.62e-05 1.000 -1.77e+04 1.77e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.28
Prob(Q): 0.89 Prob(JB): 0.87
Heteroskedasticity (H): 0.30 Skew: -0.32
Prob(H) (two-sided): 0.27 Kurtosis: 3.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.52541042512902, Current Price: 124.88
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.433
Date: Wed, 09 Oct 2024 AIC 42.866
Time: 14:40:15 BIC 45.691
Sample: 0 HQIC 42.285
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2893 11.818 -0.024 0.980 -23.451 22.873
ma.L1 0.2302 11.727 0.020 0.984 -22.754 23.214
ar.S.L7 -0.7219 0.187 -3.853 0.000 -1.089 -0.355
ma.S.L7 -0.3181 0.697 -0.457 0.648 -1.684 1.048
sigma2 0.7034 0.568 1.239 0.215 -0.409 1.816
===================================================================================
Ljung-Box (L1) (Q): 1.50 Jarque-Bera (JB): 3.45
Prob(Q): 0.22 Prob(JB): 0.18
Heteroskedasticity (H): 0.42 Skew: -1.11
Prob(H) (two-sided): 0.42 Kurtosis: 4.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.56421707924547, Current Price: 124.86
BUY EXECUTED at 124.86
BUY ORDER COMPLETED at 124.19
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.052
Date: Wed, 09 Oct 2024 AIC 40.104
Time: 14:40:15 BIC 42.929
Sample: 0 HQIC 39.523
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3336 1.223 -0.273 0.785 -2.730 2.063
ma.L1 0.0367 0.914 0.040 0.968 -1.754 1.828
ar.S.L7 -0.5947 0.241 -2.467 0.014 -1.067 -0.122
ma.S.L7 -1.0001 4894.283 -0.000 1.000 -9593.619 9591.619
sigma2 0.3582 1753.358 0.000 1.000 -3436.160 3436.876
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 2.08
Prob(Q): 0.85 Prob(JB): 0.35
Heteroskedasticity (H): 0.26 Skew: -0.85
Prob(H) (two-sided): 0.22 Kurtosis: 3.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.66380262203083, Current Price: 124.22
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.902
Date: Wed, 09 Oct 2024 AIC 43.805
Time: 14:40:15 BIC 46.630
Sample: 0 HQIC 43.224
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4865 0.948 -0.513 0.608 -2.345 1.372
ma.L1 0.2195 1.258 0.174 0.862 -2.247 2.686
ar.S.L7 -0.6609 0.295 -2.238 0.025 -1.240 -0.082
ma.S.L7 -0.3038 0.787 -0.386 0.699 -1.846 1.238
sigma2 0.7546 0.443 1.705 0.088 -0.113 1.622
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 0.16
Prob(Q): 0.70 Prob(JB): 0.92
Heteroskedasticity (H): 0.22 Skew: -0.23
Prob(H) (two-sided): 0.17 Kurtosis: 2.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.73986076686865, Current Price: 123.8
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.137
Date: Wed, 09 Oct 2024 AIC 42.274
Time: 14:40:15 BIC 45.099
Sample: 0 HQIC 41.694
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1412 1.987 -0.071 0.943 -4.035 3.752
ma.L1 -0.0256 1.899 -0.013 0.989 -3.747 3.696
ar.S.L7 -0.8335 0.207 -4.017 0.000 -1.240 -0.427
ma.S.L7 0.0494 0.371 0.133 0.894 -0.677 0.776
sigma2 0.7004 0.564 1.241 0.215 -0.406 1.807
===================================================================================
Ljung-Box (L1) (Q): 2.58 Jarque-Bera (JB): 0.58
Prob(Q): 0.11 Prob(JB): 0.75
Heteroskedasticity (H): 0.52 Skew: 0.18
Prob(H) (two-sided): 0.55 Kurtosis: 2.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.84045839827893, Current Price: 125.06
SELL EXECUTED at 125.06
SELL ORDER COMPLETED at 126.47
OPERATION PROFIT, GROSS 2.280000000000001, NET 2.0293400000000013
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.506
Date: Wed, 09 Oct 2024 AIC 41.012
Time: 14:40:15 BIC 43.837
Sample: 0 HQIC 40.431
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4551 0.744 -0.612 0.541 -1.913 1.003
ma.L1 -0.1185 0.580 -0.204 0.838 -1.256 1.019
ar.S.L7 -0.8388 0.200 -4.193 0.000 -1.231 -0.447
ma.S.L7 0.1249 0.562 0.222 0.824 -0.977 1.227
sigma2 0.6288 0.379 1.657 0.097 -0.115 1.372
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.71
Prob(Q): 0.99 Prob(JB): 0.70
Heteroskedasticity (H): 2.50 Skew: 0.21
Prob(H) (two-sided): 0.40 Kurtosis: 1.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.30725525565458, Current Price: 126.22
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.806
Date: Wed, 09 Oct 2024 AIC 31.611
Time: 14:40:15 BIC 34.436
Sample: 0 HQIC 31.030
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6679 0.128 -5.209 0.000 -0.919 -0.417
ma.L1 1.0000 2369.601 0.000 1.000 -4643.333 4645.333
ar.S.L7 -0.4924 0.144 -3.412 0.001 -0.775 -0.210
ma.S.L7 -0.9995 1362.187 -0.001 0.999 -2670.837 2668.837
sigma2 0.1643 420.873 0.000 1.000 -824.731 825.059
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 2.96
Prob(Q): 0.66 Prob(JB): 0.23
Heteroskedasticity (H): 2.82 Skew: 1.13
Prob(H) (two-sided): 0.34 Kurtosis: 3.58
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.9506744400748, Current Price: 125.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.459
Date: Wed, 09 Oct 2024 AIC 34.917
Time: 14:40:15 BIC 37.742
Sample: 0 HQIC 34.337
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5249 0.143 -3.659 0.000 -0.806 -0.244
ma.L1 1.0000 7313.781 0.000 1.000 -1.43e+04 1.43e+04
ar.S.L7 -0.4780 0.072 -6.657 0.000 -0.619 -0.337
ma.S.L7 0.0712 0.996 0.071 0.943 -1.880 2.022
sigma2 0.3368 2463.544 0.000 1.000 -4828.121 4828.794
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.61
Prob(Q): 0.99 Prob(JB): 0.45
Heteroskedasticity (H): 2.23 Skew: 0.73
Prob(H) (two-sided): 0.46 Kurtosis: 2.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.09724917121194, Current Price: 124.17
BUY EXECUTED at 124.17
BUY ORDER COMPLETED at 124.19
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.746
Date: Wed, 09 Oct 2024 AIC 35.493
Time: 14:40:15 BIC 38.318
Sample: 0 HQIC 34.912
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4095 0.147 2.792 0.005 0.122 0.697
ma.L1 -1.0000 3614.086 -0.000 1.000 -7084.478 7082.478
ar.S.L7 -0.5738 0.139 -4.123 0.000 -0.847 -0.301
ma.S.L7 1.0002 3391.487 0.000 1.000 -6646.193 6648.193
sigma2 0.2276 944.159 0.000 1.000 -1850.290 1850.746
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.24
Prob(Q): 0.88 Prob(JB): 0.54
Heteroskedasticity (H): 2.03 Skew: 0.57
Prob(H) (two-sided): 0.51 Kurtosis: 2.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.00359975181277, Current Price: 124.17
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.478
Date: Wed, 09 Oct 2024 AIC 34.956
Time: 14:40:15 BIC 37.780
Sample: 0 HQIC 34.375
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3802 0.083 4.554 0.000 0.217 0.544
ma.L1 -1.0000 3548.486 -0.000 1.000 -6955.905 6953.905
ar.S.L7 -0.5663 0.106 -5.334 0.000 -0.774 -0.358
ma.S.L7 1.0002 4735.686 0.000 1.000 -9280.774 9282.774
sigma2 0.2215 1361.117 0.000 1.000 -2667.518 2667.961
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.84
Prob(Q): 0.95 Prob(JB): 0.66
Heteroskedasticity (H): 1.14 Skew: 0.29
Prob(H) (two-sided): 0.90 Kurtosis: 1.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.20130139109699, Current Price: 124.1
SELL EXECUTED at 124.1
SELL ORDER COMPLETED at 125.4
OPERATION PROFIT, GROSS 1.210000000000008, NET 0.960410000000008
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.777
Date: Wed, 09 Oct 2024 AIC 39.555
Time: 14:40:15 BIC 42.380
Sample: 0 HQIC 38.974
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3082 14.636 -0.021 0.983 -28.994 28.377
ma.L1 0.3555 14.282 0.025 0.980 -27.637 28.348
ar.S.L7 -0.4757 0.140 -3.408 0.001 -0.749 -0.202
ma.S.L7 0.2323 1.616 0.144 0.886 -2.935 3.399
sigma2 0.5565 0.239 2.327 0.020 0.088 1.025
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 0.04
Prob(Q): 0.65 Prob(JB): 0.98
Heteroskedasticity (H): 1.36 Skew: -0.13
Prob(H) (two-sided): 0.77 Kurtosis: 3.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.59247503260575, Current Price: 124.94
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.910
Date: Wed, 09 Oct 2024 AIC 41.819
Time: 14:40:15 BIC 44.644
Sample: 0 HQIC 41.238
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0493 0.302 -3.471 0.001 -1.642 -0.457
ma.L1 0.9834 8.264 0.119 0.905 -15.213 17.180
ar.S.L7 -0.6648 0.179 -3.709 0.000 -1.016 -0.313
ma.S.L7 9.4246 63.764 0.148 0.882 -115.551 134.401
sigma2 0.0064 0.071 0.090 0.928 -0.133 0.146
===================================================================================
Ljung-Box (L1) (Q): 0.57 Jarque-Bera (JB): 1.00
Prob(Q): 0.45 Prob(JB): 0.61
Heteroskedasticity (H): 2.86 Skew: -0.34
Prob(H) (two-sided): 0.33 Kurtosis: 1.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.84911061601834, Current Price: 124.6
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.703
Date: Wed, 09 Oct 2024 AIC 41.406
Time: 14:40:15 BIC 44.231
Sample: 0 HQIC 40.825
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0400 0.245 -4.249 0.000 -1.520 -0.560
ma.L1 1.0000 1.52e+04 6.59e-05 1.000 -2.98e+04 2.98e+04
ar.S.L7 -0.6744 0.168 -4.011 0.000 -1.004 -0.345
ma.S.L7 -0.1351 0.617 -0.219 0.827 -1.345 1.075
sigma2 0.5632 8551.565 6.59e-05 1.000 -1.68e+04 1.68e+04
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 1.04
Prob(Q): 0.68 Prob(JB): 0.59
Heteroskedasticity (H): 0.68 Skew: -0.30
Prob(H) (two-sided): 0.72 Kurtosis: 1.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.07257531683723, Current Price: 125.81
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.963
Date: Wed, 09 Oct 2024 AIC 35.926
Time: 14:40:15 BIC 38.750
Sample: 0 HQIC 35.345
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4630 0.208 2.222 0.026 0.055 0.871
ma.L1 -1.0000 5894.677 -0.000 1.000 -1.16e+04 1.16e+04
ar.S.L7 -0.2967 0.377 -0.788 0.431 -1.035 0.442
ma.S.L7 -0.2956 0.674 -0.439 0.661 -1.616 1.025
sigma2 0.3470 2045.442 0.000 1.000 -4008.646 4009.340
===================================================================================
Ljung-Box (L1) (Q): 0.34 Jarque-Bera (JB): 0.06
Prob(Q): 0.56 Prob(JB): 0.97
Heteroskedasticity (H): 7.58 Skew: -0.17
Prob(H) (two-sided): 0.08 Kurtosis: 2.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.62236438055834, Current Price: 124.77
BUY EXECUTED at 124.77
BUY ORDER COMPLETED at 124.35
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.919
Date: Wed, 09 Oct 2024 AIC 37.839
Time: 14:40:15 BIC 40.663
Sample: 0 HQIC 37.258
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6881 0.272 -2.534 0.011 -1.220 -0.156
ma.L1 0.4758 0.415 1.146 0.252 -0.338 1.289
ar.S.L7 -0.3580 0.454 -0.788 0.431 -1.249 0.533
ma.S.L7 -1.0001 9197.215 -0.000 1.000 -1.8e+04 1.8e+04
sigma2 0.2905 2671.691 0.000 1.000 -5236.129 5236.710
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.53
Prob(Q): 0.75 Prob(JB): 0.77
Heteroskedasticity (H): 1.06 Skew: 0.16
Prob(H) (two-sided): 0.96 Kurtosis: 2.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.50121232574463, Current Price: 124.5
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.286
Date: Wed, 09 Oct 2024 AIC 38.572
Time: 14:40:15 BIC 41.397
Sample: 0 HQIC 37.991
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6472 0.620 -1.044 0.296 -1.862 0.567
ma.L1 2.1861 3.814 0.573 0.567 -5.290 9.662
ar.S.L7 -0.4193 0.669 -0.627 0.531 -1.730 0.892
ma.S.L7 -1.0003 6360.529 -0.000 1.000 -1.25e+04 1.25e+04
sigma2 0.0643 409.053 0.000 1.000 -801.664 801.793
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 0.24
Prob(Q): 0.72 Prob(JB): 0.89
Heteroskedasticity (H): 0.59 Skew: -0.17
Prob(H) (two-sided): 0.62 Kurtosis: 2.42
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.29579403403996, Current Price: 124.58
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.823
Date: Wed, 09 Oct 2024 AIC 35.647
Time: 14:40:15 BIC 38.471
Sample: 0 HQIC 35.066
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0046 0.141 -7.116 0.000 -1.281 -0.728
ma.L1 1.0000 1.69e+05 5.93e-06 1.000 -3.31e+05 3.31e+05
ar.S.L7 -0.5800 0.377 -1.539 0.124 -1.319 0.159
ma.S.L7 -1.0002 6494.579 -0.000 1.000 -1.27e+04 1.27e+04
sigma2 0.2240 3.78e+04 5.93e-06 1.000 -7.4e+04 7.4e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.00
Prob(Q): 0.90 Prob(JB): 0.61
Heteroskedasticity (H): 0.80 Skew: -0.47
Prob(H) (two-sided): 0.83 Kurtosis: 2.02
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.40878680621987, Current Price: 124.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.382
Date: Wed, 09 Oct 2024 AIC 34.763
Time: 14:40:15 BIC 37.588
Sample: 0 HQIC 34.183
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0133 0.131 -7.757 0.000 -1.269 -0.757
ma.L1 1.0000 7717.884 0.000 1.000 -1.51e+04 1.51e+04
ar.S.L7 -0.5263 0.447 -1.176 0.239 -1.403 0.351
ma.S.L7 -1.0001 1.08e+04 -9.26e-05 1.000 -2.12e+04 2.12e+04
sigma2 0.2093 2982.749 7.02e-05 1.000 -5845.871 5846.290
===================================================================================
Ljung-Box (L1) (Q): 0.91 Jarque-Bera (JB): 0.97
Prob(Q): 0.34 Prob(JB): 0.62
Heteroskedasticity (H): 0.52 Skew: -0.62
Prob(H) (two-sided): 0.54 Kurtosis: 2.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.76434298859174, Current Price: 124.39
SELL EXECUTED at 124.39
SELL ORDER COMPLETED at 125.14
OPERATION PROFIT, GROSS 0.7900000000000063, NET 0.5405100000000063
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.321
Date: Wed, 09 Oct 2024 AIC 36.642
Time: 14:40:15 BIC 39.467
Sample: 0 HQIC 36.061
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3168 5.638 -0.056 0.955 -11.367 10.733
ma.L1 0.2230 6.530 0.034 0.973 -12.576 13.022
ar.S.L7 -0.4178 0.453 -0.923 0.356 -1.305 0.469
ma.S.L7 -1.0002 8064.646 -0.000 1.000 -1.58e+04 1.58e+04
sigma2 0.2740 2209.580 0.000 1.000 -4330.424 4330.972
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 1.96
Prob(Q): 0.78 Prob(JB): 0.38
Heteroskedasticity (H): 0.33 Skew: -0.94
Prob(H) (two-sided): 0.31 Kurtosis: 3.27
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.99687227993883, Current Price: 124.67
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.095
Date: Wed, 09 Oct 2024 AIC 30.189
Time: 14:40:15 BIC 33.014
Sample: 0 HQIC 29.609
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1432 0.768 0.186 0.852 -1.362 1.648
ma.L1 -1.0000 2.01e+04 -4.98e-05 1.000 -3.94e+04 3.93e+04
ar.S.L7 -0.3321 0.155 -2.142 0.032 -0.636 -0.028
ma.S.L7 -1.0002 4516.313 -0.000 1.000 -8852.812 8850.811
sigma2 0.1414 2699.045 5.24e-05 1.000 -5289.890 5290.173
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.48
Prob(Q): 0.92 Prob(JB): 0.79
Heteroskedasticity (H): 0.38 Skew: -0.41
Prob(H) (two-sided): 0.37 Kurtosis: 2.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.65057175085039, Current Price: 124.51
BUY EXECUTED at 124.51
BUY ORDER COMPLETED at 122.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.572
Date: Wed, 09 Oct 2024 AIC 37.144
Time: 14:40:15 BIC 39.969
Sample: 0 HQIC 36.563
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0041 0.147 -6.828 0.000 -1.292 -0.716
ma.L1 0.7665 0.203 3.777 0.000 0.369 1.164
ar.S.L7 0.0002 0.002 0.102 0.919 -0.003 0.004
ma.S.L7 -1.5773 2.761 -0.571 0.568 -6.989 3.834
sigma2 0.1284 0.369 0.348 0.728 -0.595 0.851
===================================================================================
Ljung-Box (L1) (Q): 0.71 Jarque-Bera (JB): 0.16
Prob(Q): 0.40 Prob(JB): 0.93
Heteroskedasticity (H): 0.24 Skew: -0.07
Prob(H) (two-sided): 0.19 Kurtosis: 2.48
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.43689801440622, Current Price: 121.85
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.064
Date: Wed, 09 Oct 2024 AIC 44.128
Time: 14:40:16 BIC 46.953
Sample: 0 HQIC 43.547
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8801 0.431 -2.040 0.041 -1.726 -0.035
ma.L1 0.9634 3.513 0.274 0.784 -5.921 7.848
ar.S.L7 -0.3866 0.543 -0.713 0.476 -1.450 0.677
ma.S.L7 -21.7151 490.259 -0.044 0.965 -982.604 939.174
sigma2 0.0015 0.066 0.023 0.982 -0.127 0.130
===================================================================================
Ljung-Box (L1) (Q): 0.99 Jarque-Bera (JB): 0.56
Prob(Q): 0.32 Prob(JB): 0.75
Heteroskedasticity (H): 2.62 Skew: -0.46
Prob(H) (two-sided): 0.37 Kurtosis: 2.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.80650788493331, Current Price: 121.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.873
Date: Wed, 09 Oct 2024 AIC 45.745
Time: 14:40:16 BIC 48.570
Sample: 0 HQIC 45.164
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1043 0.622 0.168 0.867 -1.115 1.324
ma.L1 -9.7563 0.005 -1859.080 0.000 -9.767 -9.746
ar.S.L7 -0.5366 0.498 -1.077 0.281 -1.513 0.440
ma.S.L7 4.9621 15.321 0.324 0.746 -25.067 34.991
sigma2 0.0004 0.002 0.160 0.873 -0.004 0.005
===================================================================================
Ljung-Box (L1) (Q): 0.23 Jarque-Bera (JB): 0.67
Prob(Q): 0.63 Prob(JB): 0.71
Heteroskedasticity (H): 1.92 Skew: -0.16
Prob(H) (two-sided): 0.54 Kurtosis: 1.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 2.59e+19. Standard errors may be unstable.
Predicted Price: 121.23847279333592, Current Price: 120.94
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.093
Date: Wed, 09 Oct 2024 AIC 46.187
Time: 14:40:16 BIC 49.012
Sample: 0 HQIC 45.606
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0292 15.331 0.002 0.998 -30.019 30.077
ma.L1 -15.2593 3662.221 -0.004 0.997 -7193.080 7162.562
ar.S.L7 -8.304e-05 0.029 -0.003 0.998 -0.057 0.056
ma.S.L7 -0.3504 0.800 -0.438 0.661 -1.919 1.218
sigma2 0.0037 1.770 0.002 0.998 -3.466 3.473
===================================================================================
Ljung-Box (L1) (Q): 0.46 Jarque-Bera (JB): 0.31
Prob(Q): 0.50 Prob(JB): 0.86
Heteroskedasticity (H): 1.42 Skew: -0.13
Prob(H) (two-sided): 0.74 Kurtosis: 2.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.93539571277773, Current Price: 120.43
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.139
Date: Wed, 09 Oct 2024 AIC 44.278
Time: 14:40:16 BIC 47.102
Sample: 0 HQIC 43.697
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2357 42.003 0.006 0.996 -82.088 82.559
ma.L1 -3.9516 652.462 -0.006 0.995 -1282.753 1274.850
ar.S.L7 -0.4497 0.440 -1.022 0.307 -1.313 0.413
ma.S.L7 -26.4752 381.354 -0.069 0.945 -773.915 720.964
sigma2 7.68e-05 0.026 0.003 0.998 -0.051 0.051
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 0.51
Prob(Q): 0.66 Prob(JB): 0.78
Heteroskedasticity (H): 1.29 Skew: -0.37
Prob(H) (two-sided): 0.81 Kurtosis: 2.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.67315689906086, Current Price: 119.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.714
Date: Wed, 09 Oct 2024 AIC 37.429
Time: 14:40:16 BIC 40.254
Sample: 0 HQIC 36.848
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6827 0.192 -3.551 0.000 -1.059 -0.306
ma.L1 1.0000 7290.539 0.000 1.000 -1.43e+04 1.43e+04
ar.S.L7 -0.3007 0.300 -1.003 0.316 -0.888 0.287
ma.S.L7 0.9997 6070.380 0.000 1.000 -1.19e+04 1.19e+04
sigma2 0.2339 2609.097 8.97e-05 1.000 -5113.503 5113.971
===================================================================================
Ljung-Box (L1) (Q): 0.43 Jarque-Bera (JB): 0.05
Prob(Q): 0.51 Prob(JB): 0.98
Heteroskedasticity (H): 0.84 Skew: 0.09
Prob(H) (two-sided): 0.87 Kurtosis: 2.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.77092609310029, Current Price: 120.01
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.526
Date: Wed, 09 Oct 2024 AIC 41.053
Time: 14:40:16 BIC 43.877
Sample: 0 HQIC 40.472
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0378 6.488 0.006 0.995 -12.678 12.753
ma.L1 14.8161 1345.605 0.011 0.991 -2622.521 2652.153
ar.S.L7 -0.4385 0.369 -1.190 0.234 -1.161 0.284
ma.S.L7 0.9980 419.727 0.002 0.998 -821.652 823.648
sigma2 0.0018 0.791 0.002 0.998 -1.549 1.553
===================================================================================
Ljung-Box (L1) (Q): 0.34 Jarque-Bera (JB): 0.35
Prob(Q): 0.56 Prob(JB): 0.84
Heteroskedasticity (H): 0.42 Skew: 0.05
Prob(H) (two-sided): 0.42 Kurtosis: 2.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.48780849169795, Current Price: 119.76
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.926
Date: Wed, 09 Oct 2024 AIC 35.853
Time: 14:40:16 BIC 38.678
Sample: 0 HQIC 35.272
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5798 0.548 -1.058 0.290 -1.654 0.495
ma.L1 1.0000 4.08e+04 2.45e-05 1.000 -7.99e+04 8e+04
ar.S.L7 -0.3195 0.456 -0.700 0.484 -1.214 0.575
ma.S.L7 1.0001 1.22e+04 8.21e-05 1.000 -2.39e+04 2.39e+04
sigma2 0.2069 9029.478 2.29e-05 1.000 -1.77e+04 1.77e+04
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.31
Prob(Q): 0.74 Prob(JB): 0.85
Heteroskedasticity (H): 0.46 Skew: -0.19
Prob(H) (two-sided): 0.47 Kurtosis: 2.35
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.43810562665966, Current Price: 120.66
SELL EXECUTED at 120.66
SELL ORDER COMPLETED at 120.68
OPERATION PROFIT, GROSS -2.299999999999997, NET -2.5436599999999974
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.336
Date: Wed, 09 Oct 2024 AIC 46.672
Time: 14:40:16 BIC 49.497
Sample: 0 HQIC 46.091
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6604 0.511 -1.291 0.197 -1.663 0.342
ma.L1 1.9674 3.852 0.511 0.610 -5.583 9.518
ar.S.L7 -0.4201 0.860 -0.488 0.625 -2.106 1.266
ma.S.L7 -1.0002 9135.898 -0.000 1.000 -1.79e+04 1.79e+04
sigma2 0.1479 1351.344 0.000 1.000 -2648.437 2648.733
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.03
Prob(Q): 0.74 Prob(JB): 0.98
Heteroskedasticity (H): 9.63 Skew: 0.12
Prob(H) (two-sided): 0.05 Kurtosis: 2.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.60168122363922, Current Price: 120.61
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.629
Date: Wed, 09 Oct 2024 AIC 47.257
Time: 14:40:16 BIC 50.082
Sample: 0 HQIC 46.676
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6913 1.074 -0.644 0.520 -2.796 1.414
ma.L1 1.5399 3.201 0.481 0.630 -4.734 7.814
ar.S.L7 -0.4066 0.642 -0.633 0.527 -1.666 0.853
ma.S.L7 -1.0003 5055.119 -0.000 1.000 -9908.851 9906.850
sigma2 0.2514 1271.021 0.000 1.000 -2490.903 2491.406
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.32
Prob(Q): 0.98 Prob(JB): 0.85
Heteroskedasticity (H): 4.23 Skew: 0.38
Prob(H) (two-sided): 0.19 Kurtosis: 2.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.49411356025188, Current Price: 120.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.558
Date: Wed, 09 Oct 2024 AIC 47.116
Time: 14:40:16 BIC 49.941
Sample: 0 HQIC 46.536
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7748 1.130 -0.686 0.493 -2.989 1.440
ma.L1 1.4376 2.842 0.506 0.613 -4.132 7.007
ar.S.L7 -0.4517 0.602 -0.751 0.453 -1.631 0.728
ma.S.L7 -1.0002 5492.364 -0.000 1.000 -1.08e+04 1.08e+04
sigma2 0.2847 1563.863 0.000 1.000 -3064.831 3065.401
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.20
Prob(Q): 0.85 Prob(JB): 0.90
Heteroskedasticity (H): 1.03 Skew: 0.29
Prob(H) (two-sided): 0.98 Kurtosis: 2.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.62522155340335, Current Price: 121.39
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.785
Date: Wed, 09 Oct 2024 AIC 47.570
Time: 14:40:16 BIC 50.395
Sample: 0 HQIC 46.990
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3331 12.955 0.026 0.979 -25.058 25.724
ma.L1 -0.2821 12.984 -0.022 0.983 -25.729 25.165
ar.S.L7 -0.4285 0.871 -0.492 0.623 -2.136 1.279
ma.S.L7 -1.0002 1.04e+04 -9.6e-05 1.000 -2.04e+04 2.04e+04
sigma2 0.6344 6612.980 9.59e-05 1.000 -1.3e+04 1.3e+04
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 0.28
Prob(Q): 0.66 Prob(JB): 0.87
Heteroskedasticity (H): 1.14 Skew: 0.33
Prob(H) (two-sided): 0.90 Kurtosis: 2.69
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.69946965117566, Current Price: 121.41
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.975
Date: Wed, 09 Oct 2024 AIC 45.950
Time: 14:40:16 BIC 48.775
Sample: 0 HQIC 45.370
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6532 0.412 1.584 0.113 -0.155 1.462
ma.L1 -1.0000 1.59e+04 -6.31e-05 1.000 -3.11e+04 3.11e+04
ar.S.L7 -0.7429 0.512 -1.451 0.147 -1.746 0.260
ma.S.L7 -1.0001 7151.518 -0.000 1.000 -1.4e+04 1.4e+04
sigma2 0.4504 7093.996 6.35e-05 1.000 -1.39e+04 1.39e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.92
Prob(Q): 0.92 Prob(JB): 0.63
Heteroskedasticity (H): 0.38 Skew: -0.41
Prob(H) (two-sided): 0.37 Kurtosis: 1.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.00603593647189, Current Price: 122.64
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.744
Date: Wed, 09 Oct 2024 AIC 47.488
Time: 14:40:16 BIC 50.313
Sample: 0 HQIC 46.907
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6529 0.744 0.877 0.380 -0.806 2.112
ma.L1 -1.8475 4.847 -0.381 0.703 -11.348 7.653
ar.S.L7 -0.4502 0.632 -0.713 0.476 -1.688 0.788
ma.S.L7 -4.3563 18.392 -0.237 0.813 -40.405 31.692
sigma2 0.0156 0.135 0.116 0.908 -0.248 0.279
===================================================================================
Ljung-Box (L1) (Q): 1.32 Jarque-Bera (JB): 0.93
Prob(Q): 0.25 Prob(JB): 0.63
Heteroskedasticity (H): 0.48 Skew: 0.57
Prob(H) (two-sided): 0.49 Kurtosis: 3.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.81353995551686, Current Price: 122.96
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.371
Date: Wed, 09 Oct 2024 AIC 38.742
Time: 14:40:16 BIC 41.567
Sample: 0 HQIC 38.162
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4896 0.443 -1.106 0.269 -1.358 0.378
ma.L1 0.1354 0.594 0.228 0.820 -1.029 1.300
ar.S.L7 -0.7418 0.312 -2.376 0.017 -1.354 -0.130
ma.S.L7 -0.9999 1.43e+04 -6.97e-05 1.000 -2.81e+04 2.81e+04
sigma2 0.3087 4427.309 6.97e-05 1.000 -8677.057 8677.675
===================================================================================
Ljung-Box (L1) (Q): 0.45 Jarque-Bera (JB): 0.19
Prob(Q): 0.50 Prob(JB): 0.91
Heteroskedasticity (H): 0.82 Skew: -0.24
Prob(H) (two-sided): 0.85 Kurtosis: 2.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.74941763044194, Current Price: 122.42
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.028
Date: Wed, 09 Oct 2024 AIC 44.055
Time: 14:40:16 BIC 46.880
Sample: 0 HQIC 43.475
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9425 0.539 1.749 0.080 -0.114 1.999
ma.L1 -0.6737 1.022 -0.659 0.510 -2.677 1.329
ar.S.L7 -0.3316 0.900 -0.368 0.713 -2.096 1.432
ma.S.L7 -1.0007 2500.390 -0.000 1.000 -4901.675 4899.674
sigma2 0.4599 1150.251 0.000 1.000 -2253.990 2254.910
===================================================================================
Ljung-Box (L1) (Q): 1.91 Jarque-Bera (JB): 12.71
Prob(Q): 0.17 Prob(JB): 0.00
Heteroskedasticity (H): 1.71 Skew: 1.84
Prob(H) (two-sided): 0.62 Kurtosis: 6.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.42353689311187, Current Price: 122.28
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.610
Date: Wed, 09 Oct 2024 AIC 45.220
Time: 14:40:16 BIC 48.045
Sample: 0 HQIC 44.639
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8460 1.475 0.574 0.566 -2.045 3.737
ma.L1 -0.6909 1.930 -0.358 0.720 -4.474 3.092
ar.S.L7 -0.7138 0.357 -2.002 0.045 -1.413 -0.015
ma.S.L7 0.4034 1.354 0.298 0.766 -2.250 3.057
sigma2 0.7983 0.723 1.103 0.270 -0.620 2.216
===================================================================================
Ljung-Box (L1) (Q): 1.48 Jarque-Bera (JB): 2.15
Prob(Q): 0.22 Prob(JB): 0.34
Heteroskedasticity (H): 0.18 Skew: 0.85
Prob(H) (two-sided): 0.13 Kurtosis: 4.05
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.40670457612995, Current Price: 122.67
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.913
Date: Wed, 09 Oct 2024 AIC 45.825
Time: 14:40:16 BIC 48.650
Sample: 0 HQIC 45.245
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7788 1.361 0.572 0.567 -1.889 3.446
ma.L1 -0.5431 3.083 -0.176 0.860 -6.585 5.499
ar.S.L7 -0.2223 1.805 -0.123 0.902 -3.760 3.316
ma.S.L7 -1.0004 7366.234 -0.000 1.000 -1.44e+04 1.44e+04
sigma2 0.5345 3938.223 0.000 1.000 -7718.241 7719.310
===================================================================================
Ljung-Box (L1) (Q): 2.33 Jarque-Bera (JB): 21.05
Prob(Q): 0.13 Prob(JB): 0.00
Heteroskedasticity (H): 0.06 Skew: 2.21
Prob(H) (two-sided): 0.02 Kurtosis: 7.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.84347313622139, Current Price: 126.94
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.249
Date: Wed, 09 Oct 2024 AIC 56.499
Time: 14:40:16 BIC 59.324
Sample: 0 HQIC 55.918
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6408 4.063 0.158 0.875 -7.322 8.603
ma.L1 -0.4117 6.490 -0.063 0.949 -13.132 12.309
ar.S.L7 1.667e-05 0.426 3.92e-05 1.000 -0.835 0.835
ma.S.L7 -0.3722 1.363 -0.273 0.785 -3.044 2.300
sigma2 2.0747 0.943 2.200 0.028 0.226 3.923
===================================================================================
Ljung-Box (L1) (Q): 0.48 Jarque-Bera (JB): 5.85
Prob(Q): 0.49 Prob(JB): 0.05
Heteroskedasticity (H): 1.44 Skew: 1.55
Prob(H) (two-sided): 0.73 Kurtosis: 4.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.72939322494297, Current Price: 126.5
BUY EXECUTED at 126.5
BUY ORDER COMPLETED at 126.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.030
Date: Wed, 09 Oct 2024 AIC 56.059
Time: 14:40:16 BIC 58.884
Sample: 0 HQIC 55.479
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5130 4.319 0.119 0.905 -7.952 8.978
ma.L1 -0.4147 4.357 -0.095 0.924 -8.955 8.125
ar.S.L7 -0.5918 1.144 -0.517 0.605 -2.834 1.650
ma.S.L7 0.4346 2.095 0.207 0.836 -3.672 4.541
sigma2 1.8375 2.536 0.725 0.469 -3.133 6.808
===================================================================================
Ljung-Box (L1) (Q): 2.22 Jarque-Bera (JB): 6.08
Prob(Q): 0.14 Prob(JB): 0.05
Heteroskedasticity (H): 2.23 Skew: 1.49
Prob(H) (two-sided): 0.46 Kurtosis: 4.51
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.58997435732017, Current Price: 126.85
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.510
Date: Wed, 09 Oct 2024 AIC 55.020
Time: 14:40:17 BIC 57.844
Sample: 0 HQIC 54.439
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6872 0.680 -1.010 0.313 -2.021 0.646
ma.L1 1.0000 1.18e+04 8.51e-05 1.000 -2.3e+04 2.3e+04
ar.S.L7 -0.5916 0.509 -1.162 0.245 -1.589 0.406
ma.S.L7 0.3572 2.288 0.156 0.876 -4.127 4.842
sigma2 1.4677 1.72e+04 8.51e-05 1.000 -3.38e+04 3.38e+04
===================================================================================
Ljung-Box (L1) (Q): 0.82 Jarque-Bera (JB): 7.29
Prob(Q): 0.37 Prob(JB): 0.03
Heteroskedasticity (H): 3.19 Skew: 1.52
Prob(H) (two-sided): 0.29 Kurtosis: 5.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.38934123707915, Current Price: 126.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.591
Date: Wed, 09 Oct 2024 AIC 51.181
Time: 14:40:17 BIC 54.006
Sample: 0 HQIC 50.601
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1805 4.334 -0.042 0.967 -8.674 8.313
ma.L1 0.3259 4.208 0.077 0.938 -7.921 8.573
ar.S.L7 -0.2389 2.367 -0.101 0.920 -4.878 4.400
ma.S.L7 0.0487 2.631 0.019 0.985 -5.108 5.206
sigma2 1.3895 0.560 2.480 0.013 0.291 2.488
===================================================================================
Ljung-Box (L1) (Q): 0.37 Jarque-Bera (JB): 14.17
Prob(Q): 0.54 Prob(JB): 0.00
Heteroskedasticity (H): 10.38 Skew: 1.85
Prob(H) (two-sided): 0.04 Kurtosis: 6.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.74613356337932, Current Price: 126.99
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.563
Date: Wed, 09 Oct 2024 AIC 51.125
Time: 14:40:17 BIC 53.950
Sample: 0 HQIC 50.545
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1490 4.374 -0.034 0.973 -8.721 8.423
ma.L1 0.3026 4.275 0.071 0.944 -8.076 8.681
ar.S.L7 -0.3319 2.690 -0.123 0.902 -5.604 4.940
ma.S.L7 0.1501 3.661 0.041 0.967 -7.024 7.325
sigma2 1.3726 0.631 2.177 0.029 0.137 2.608
===================================================================================
Ljung-Box (L1) (Q): 0.38 Jarque-Bera (JB): 15.60
Prob(Q): 0.54 Prob(JB): 0.00
Heteroskedasticity (H): 0.51 Skew: 1.91
Prob(H) (two-sided): 0.53 Kurtosis: 6.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.91233623272501, Current Price: 126.73
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.001
Date: Wed, 09 Oct 2024 AIC 50.002
Time: 14:40:17 BIC 52.827
Sample: 0 HQIC 49.422
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2940 3.721 -0.079 0.937 -7.587 6.999
ma.L1 0.4305 3.560 0.121 0.904 -6.546 7.407
ar.S.L7 -0.2783 0.718 -0.387 0.698 -1.686 1.130
ma.S.L7 1.0003 6592.074 0.000 1.000 -1.29e+04 1.29e+04
sigma2 0.7646 5041.197 0.000 1.000 -9879.800 9881.329
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 10.28
Prob(Q): 0.68 Prob(JB): 0.01
Heteroskedasticity (H): 0.52 Skew: 1.63
Prob(H) (two-sided): 0.54 Kurtosis: 5.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.21411906655203, Current Price: 126.66
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.750
Date: Wed, 09 Oct 2024 AIC 49.500
Time: 14:40:17 BIC 52.324
Sample: 0 HQIC 48.919
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2562 4.601 -0.056 0.956 -9.273 8.761
ma.L1 0.3812 4.400 0.087 0.931 -8.242 9.004
ar.S.L7 -0.2389 0.596 -0.401 0.689 -1.407 0.929
ma.S.L7 0.5045 3.298 0.153 0.878 -5.960 6.969
sigma2 1.0889 2.238 0.487 0.627 -3.297 5.475
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 13.99
Prob(Q): 0.68 Prob(JB): 0.00
Heteroskedasticity (H): 0.41 Skew: 1.86
Prob(H) (two-sided): 0.41 Kurtosis: 6.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 131.65960299838397, Current Price: 128.04
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.066
Date: Wed, 09 Oct 2024 AIC 52.132
Time: 14:40:17 BIC 54.957
Sample: 0 HQIC 51.552
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0187 6.678 -0.003 0.998 -13.108 13.070
ma.L1 0.1777 6.763 0.026 0.979 -13.077 13.433
ar.S.L7 -0.3778 2.273 -0.166 0.868 -4.833 4.077
ma.S.L7 -0.1314 1.963 -0.067 0.947 -3.980 3.717
sigma2 1.4863 0.744 1.997 0.046 0.028 2.945
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 26.03
Prob(Q): 0.75 Prob(JB): 0.00
Heteroskedasticity (H): 1.09 Skew: 2.35
Prob(H) (two-sided): 0.94 Kurtosis: 8.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.63269112815324, Current Price: 127.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.397
Date: Wed, 09 Oct 2024 AIC 46.794
Time: 14:40:17 BIC 49.619
Sample: 0 HQIC 46.214
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2436 20.505 -0.012 0.991 -40.432 39.945
ma.L1 0.3076 20.435 0.015 0.988 -39.745 40.360
ar.S.L7 -0.1984 0.418 -0.474 0.635 -1.018 0.622
ma.S.L7 -1.0001 1.06e+04 -9.44e-05 1.000 -2.08e+04 2.08e+04
sigma2 0.5978 6333.391 9.44e-05 1.000 -1.24e+04 1.24e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 37.67
Prob(Q): 0.95 Prob(JB): 0.00
Heteroskedasticity (H): 0.17 Skew: 2.70
Prob(H) (two-sided): 0.12 Kurtosis: 9.35
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.3866016364043, Current Price: 127.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.613
Date: Wed, 09 Oct 2024 AIC 47.225
Time: 14:40:17 BIC 50.050
Sample: 0 HQIC 46.644
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2759 26.927 -0.010 0.992 -53.052 52.500
ma.L1 0.3366 26.420 0.013 0.990 -51.445 52.118
ar.S.L7 -0.1973 0.502 -0.393 0.694 -1.181 0.787
ma.S.L7 -1.0000 1.85e+04 -5.41e-05 1.000 -3.63e+04 3.63e+04
sigma2 0.6179 1.14e+04 5.41e-05 1.000 -2.24e+04 2.24e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 36.65
Prob(Q): 0.91 Prob(JB): 0.00
Heteroskedasticity (H): 0.06 Skew: 2.68
Prob(H) (two-sided): 0.02 Kurtosis: 9.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.69486331243003, Current Price: 127.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.702
Date: Wed, 09 Oct 2024 AIC 47.404
Time: 14:40:17 BIC 50.229
Sample: 0 HQIC 46.823
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1360 5.233 -0.026 0.979 -10.392 10.120
ma.L1 0.2614 4.967 0.053 0.958 -9.474 9.996
ar.S.L7 -0.1047 0.507 -0.206 0.836 -1.099 0.890
ma.S.L7 -1.0000 1.88e+04 -5.32e-05 1.000 -3.68e+04 3.68e+04
sigma2 0.6263 1.18e+04 5.32e-05 1.000 -2.31e+04 2.31e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 30.41
Prob(Q): 0.91 Prob(JB): 0.00
Heteroskedasticity (H): 0.13 Skew: 2.50
Prob(H) (two-sided): 0.07 Kurtosis: 8.58
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.15179648477032, Current Price: 127.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.111
Date: Wed, 09 Oct 2024 AIC 46.222
Time: 14:40:17 BIC 49.046
Sample: 0 HQIC 45.641
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8447 0.313 -2.698 0.007 -1.458 -0.231
ma.L1 1.0000 2.97e+04 3.37e-05 1.000 -5.81e+04 5.81e+04
ar.S.L7 -0.1271 0.377 -0.337 0.736 -0.866 0.612
ma.S.L7 -1.0001 2.22e+04 -4.51e-05 1.000 -4.34e+04 4.34e+04
sigma2 0.5053 2.52e+04 2.01e-05 1.000 -4.94e+04 4.94e+04
===================================================================================
Ljung-Box (L1) (Q): 0.66 Jarque-Bera (JB): 13.84
Prob(Q): 0.42 Prob(JB): 0.00
Heteroskedasticity (H): 0.15 Skew: 1.83
Prob(H) (two-sided): 0.09 Kurtosis: 6.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.96407069662789, Current Price: 127.07
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.793
Date: Wed, 09 Oct 2024 AIC 47.585
Time: 14:40:17 BIC 50.410
Sample: 0 HQIC 47.005
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2773 4.250 -0.065 0.948 -8.607 8.052
ma.L1 0.4124 4.174 0.099 0.921 -7.769 8.593
ar.S.L7 -0.1367 0.539 -0.254 0.800 -1.193 0.919
ma.S.L7 -1.0000 1.74e+04 -5.75e-05 1.000 -3.41e+04 3.41e+04
sigma2 0.6353 1.1e+04 5.75e-05 1.000 -2.17e+04 2.17e+04
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 29.08
Prob(Q): 0.67 Prob(JB): 0.00
Heteroskedasticity (H): 0.11 Skew: 2.46
Prob(H) (two-sided): 0.06 Kurtosis: 8.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.22080529825934, Current Price: 127.84
SELL EXECUTED at 127.84
SELL ORDER COMPLETED at 129.11
OPERATION PROFIT, GROSS 2.460000000000008, NET 2.204240000000008
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -4.985
Date: Wed, 09 Oct 2024 AIC 19.970
Time: 14:40:17 BIC 22.795
Sample: 0 HQIC 19.389
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4598 0.118 -3.881 0.000 -0.692 -0.228
ma.L1 1.0000 5730.408 0.000 1.000 -1.12e+04 1.12e+04
ar.S.L7 -0.6491 0.199 -3.260 0.001 -1.039 -0.259
ma.S.L7 -0.1433 0.512 -0.280 0.780 -1.147 0.861
sigma2 0.1083 620.563 0.000 1.000 -1216.173 1216.389
===================================================================================
Ljung-Box (L1) (Q): 0.86 Jarque-Bera (JB): 2.90
Prob(Q): 0.35 Prob(JB): 0.23
Heteroskedasticity (H): 1.89 Skew: -0.90
Prob(H) (two-sided): 0.55 Kurtosis: 4.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 131.30897238495825, Current Price: 128.54
BUY EXECUTED at 128.54
BUY ORDER COMPLETED at 128.41
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.261
Date: Wed, 09 Oct 2024 AIC 34.522
Time: 14:40:17 BIC 37.347
Sample: 0 HQIC 33.942
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2590 7.435 0.035 0.972 -14.313 14.831
ma.L1 -0.3113 7.200 -0.043 0.966 -14.422 13.800
ar.S.L7 -0.2965 0.801 -0.370 0.711 -1.866 1.273
ma.S.L7 -1.0001 6449.509 -0.000 1.000 -1.26e+04 1.26e+04
sigma2 0.2326 1500.433 0.000 1.000 -2940.562 2941.027
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 1.88
Prob(Q): 0.73 Prob(JB): 0.39
Heteroskedasticity (H): 9.83 Skew: -0.92
Prob(H) (two-sided): 0.05 Kurtosis: 3.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.34313559013853, Current Price: 128.78
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.240
Date: Wed, 09 Oct 2024 AIC 40.481
Time: 14:40:17 BIC 43.305
Sample: 0 HQIC 39.900
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1878 0.531 -0.354 0.724 -1.229 0.853
ma.L1 14.2876 2.469 5.788 0.000 9.449 19.126
ar.S.L7 -0.3875 0.176 -2.196 0.028 -0.733 -0.042
ma.S.L7 -12.5762 101.794 -0.124 0.902 -212.089 186.937
sigma2 1.809e-05 0.000 0.061 0.952 -0.001 0.001
===================================================================================
Ljung-Box (L1) (Q): 1.17 Jarque-Bera (JB): 1.43
Prob(Q): 0.28 Prob(JB): 0.49
Heteroskedasticity (H): 28.68 Skew: -0.81
Prob(H) (two-sided): 0.01 Kurtosis: 2.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 2.16e+19. Standard errors may be unstable.
Predicted Price: 128.8856488869828, Current Price: 125.72
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.113
Date: Wed, 09 Oct 2024 AIC 48.226
Time: 14:40:17 BIC 51.050
Sample: 0 HQIC 47.645
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4647 0.615 -0.756 0.450 -1.669 0.740
ma.L1 -12.1512 113.465 -0.107 0.915 -234.539 210.236
ar.S.L7 -0.4368 0.199 -2.197 0.028 -0.826 -0.047
ma.S.L7 0.6767 2.802 0.241 0.809 -4.816 6.169
sigma2 0.0057 0.113 0.050 0.960 -0.216 0.228
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.34
Prob(Q): 0.98 Prob(JB): 0.51
Heteroskedasticity (H): 4.40 Skew: -0.67
Prob(H) (two-sided): 0.18 Kurtosis: 3.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.56423594895958, Current Price: 124.53
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.276
Date: Wed, 09 Oct 2024 AIC 48.552
Time: 14:40:17 BIC 51.377
Sample: 0 HQIC 47.971
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3079 38.105 0.008 0.994 -74.376 74.992
ma.L1 -3.4588 452.803 -0.008 0.994 -890.937 884.019
ar.S.L7 -0.3497 0.260 -1.343 0.179 -0.860 0.161
ma.S.L7 1.0015 749.895 0.001 0.999 -1468.767 1470.770
sigma2 0.0571 50.268 0.001 0.999 -98.466 98.580
===================================================================================
Ljung-Box (L1) (Q): 1.31 Jarque-Bera (JB): 3.91
Prob(Q): 0.25 Prob(JB): 0.14
Heteroskedasticity (H): 4.45 Skew: -1.17
Prob(H) (two-sided): 0.18 Kurtosis: 4.33
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.43484428424999, Current Price: 124.97
SELL EXECUTED at 124.97
SELL ORDER COMPLETED at 125.52
OPERATION PROFIT, GROSS -2.8900000000000006, NET -3.1439300000000006
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.373
Date: Wed, 09 Oct 2024 AIC 48.747
Time: 14:40:17 BIC 51.571
Sample: 0 HQIC 48.166
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1515 16.824 0.009 0.993 -32.823 33.126
ma.L1 -5.2546 463.313 -0.011 0.991 -913.332 902.823
ar.S.L7 -0.3745 0.208 -1.801 0.072 -0.782 0.033
ma.S.L7 1.0018 754.440 0.001 0.999 -1477.674 1479.677
sigma2 0.0249 16.937 0.001 0.999 -33.170 33.220
===================================================================================
Ljung-Box (L1) (Q): 0.84 Jarque-Bera (JB): 2.95
Prob(Q): 0.36 Prob(JB): 0.23
Heteroskedasticity (H): 3.87 Skew: -1.06
Prob(H) (two-sided): 0.22 Kurtosis: 3.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.11974779112973, Current Price: 127.0899
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.221
Date: Wed, 09 Oct 2024 AIC 54.443
Time: 14:40:17 BIC 57.267
Sample: 0 HQIC 53.862
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3771 7.005 0.054 0.957 -13.353 14.107
ma.L1 -2.9906 63.502 -0.047 0.962 -127.452 121.471
ar.S.L7 -3.781e-06 0.574 -6.59e-06 1.000 -1.125 1.125
ma.S.L7 -3.6893 8.270 -0.446 0.656 -19.897 12.519
sigma2 0.0146 0.654 0.022 0.982 -1.266 1.296
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.50
Prob(Q): 0.80 Prob(JB): 0.78
Heteroskedasticity (H): 3.39 Skew: -0.47
Prob(H) (two-sided): 0.26 Kurtosis: 3.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.75186478967939, Current Price: 126.13
BUY EXECUTED at 126.13
BUY ORDER COMPLETED at 126.53
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.347
Date: Wed, 09 Oct 2024 AIC 48.694
Time: 14:40:17 BIC 51.519
Sample: 0 HQIC 48.113
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4622 0.256 1.802 0.072 -0.041 0.965
ma.L1 -1.0000 5484.168 -0.000 1.000 -1.07e+04 1.07e+04
ar.S.L7 0.5897 0.610 0.966 0.334 -0.606 1.786
ma.S.L7 -0.2050 0.395 -0.519 0.604 -0.980 0.570
sigma2 0.9560 5242.898 0.000 1.000 -1.03e+04 1.03e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.27
Prob(Q): 0.84 Prob(JB): 0.87
Heteroskedasticity (H): 6.34 Skew: -0.07
Prob(H) (two-sided): 0.10 Kurtosis: 2.31
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.71423808312701, Current Price: 126.34
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.985
Date: Wed, 09 Oct 2024 AIC 47.970
Time: 14:40:17 BIC 50.795
Sample: 0 HQIC 47.390
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4179 0.161 2.603 0.009 0.103 0.732
ma.L1 -1.0000 1.14e+04 -8.79e-05 1.000 -2.23e+04 2.23e+04
ar.S.L7 0.6177 0.587 1.053 0.292 -0.532 1.768
ma.S.L7 -0.3228 0.505 -0.639 0.523 -1.313 0.668
sigma2 0.8803 1e+04 8.79e-05 1.000 -1.96e+04 1.96e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.29
Prob(Q): 0.86 Prob(JB): 0.87
Heteroskedasticity (H): 7.83 Skew: 0.05
Prob(H) (two-sided): 0.07 Kurtosis: 2.28
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.89977998333701, Current Price: 125.74
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.128
Date: Wed, 09 Oct 2024 AIC 52.256
Time: 14:40:17 BIC 55.081
Sample: 0 HQIC 51.676
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0105 4.016 0.003 0.998 -7.860 7.881
ma.L1 -7.6579 232.250 -0.033 0.974 -462.859 447.543
ar.S.L7 0.3216 0.979 0.329 0.743 -1.597 2.240
ma.S.L7 -4.5693 28.908 -0.158 0.874 -61.227 52.089
sigma2 0.0012 0.077 0.016 0.988 -0.150 0.153
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.21
Prob(Q): 0.96 Prob(JB): 0.90
Heteroskedasticity (H): 4.89 Skew: -0.29
Prob(H) (two-sided): 0.15 Kurtosis: 3.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.45661973416838, Current Price: 125.62
SELL EXECUTED at 125.62
SELL ORDER COMPLETED at 124.85
OPERATION PROFIT, GROSS -1.6800000000000068, NET -1.9313800000000068
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.893
Date: Wed, 09 Oct 2024 AIC 51.785
Time: 14:40:17 BIC 54.610
Sample: 0 HQIC 51.205
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2739 0.469 0.584 0.559 -0.645 1.192
ma.L1 -1.0000 1.04e+04 -9.63e-05 1.000 -2.04e+04 2.04e+04
ar.S.L7 0.3011 0.312 0.964 0.335 -0.311 0.913
ma.S.L7 -1.0001 8880.655 -0.000 1.000 -1.74e+04 1.74e+04
sigma2 0.7484 1.19e+04 6.3e-05 1.000 -2.33e+04 2.33e+04
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.59
Prob(Q): 0.81 Prob(JB): 0.74
Heteroskedasticity (H): 3.37 Skew: -0.17
Prob(H) (two-sided): 0.27 Kurtosis: 2.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.11666589170932, Current Price: 124.35
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.817
Date: Wed, 09 Oct 2024 AIC 51.635
Time: 14:40:17 BIC 54.460
Sample: 0 HQIC 51.054
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3803 0.664 0.573 0.567 -0.920 1.681
ma.L1 -1.2467 1.265 -0.986 0.324 -3.726 1.232
ar.S.L7 -0.0145 0.603 -0.024 0.981 -1.197 1.168
ma.S.L7 -1.0001 6976.060 -0.000 1.000 -1.37e+04 1.37e+04
sigma2 0.5395 3764.403 0.000 1.000 -7377.556 7378.635
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.13
Prob(Q): 0.97 Prob(JB): 0.94
Heteroskedasticity (H): 3.56 Skew: -0.01
Prob(H) (two-sided): 0.25 Kurtosis: 2.51
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.64311803959319, Current Price: 125.791
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.679
Date: Wed, 09 Oct 2024 AIC 51.359
Time: 14:40:17 BIC 54.183
Sample: 0 HQIC 50.778
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0590 0.192 -5.519 0.000 -1.435 -0.683
ma.L1 1.0000 1.09e+04 9.15e-05 1.000 -2.14e+04 2.14e+04
ar.S.L7 0.0841 0.561 0.150 0.881 -1.016 1.184
ma.S.L7 -1.0001 1.39e+04 -7.18e-05 1.000 -2.73e+04 2.73e+04
sigma2 0.7502 1.52e+04 4.94e-05 1.000 -2.97e+04 2.97e+04
===================================================================================
Ljung-Box (L1) (Q): 0.57 Jarque-Bera (JB): 0.60
Prob(Q): 0.45 Prob(JB): 0.74
Heteroskedasticity (H): 0.27 Skew: -0.41
Prob(H) (two-sided): 0.23 Kurtosis: 2.33
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.65830881274195, Current Price: 125.58
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.574
Date: Wed, 09 Oct 2024 AIC 51.147
Time: 14:40:18 BIC 53.972
Sample: 0 HQIC 50.567
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0467 0.193 -5.435 0.000 -1.424 -0.669
ma.L1 1.0000 1.24e+04 8.04e-05 1.000 -2.44e+04 2.44e+04
ar.S.L7 -0.0180 0.631 -0.029 0.977 -1.255 1.219
ma.S.L7 -1.0001 8175.909 -0.000 1.000 -1.6e+04 1.6e+04
sigma2 0.7379 1.09e+04 6.76e-05 1.000 -2.14e+04 2.14e+04
===================================================================================
Ljung-Box (L1) (Q): 0.77 Jarque-Bera (JB): 0.33
Prob(Q): 0.38 Prob(JB): 0.85
Heteroskedasticity (H): 0.16 Skew: -0.16
Prob(H) (two-sided): 0.10 Kurtosis: 2.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.40430033912862, Current Price: 125.2
BUY EXECUTED at 125.2
BUY ORDER COMPLETED at 124.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.627
Date: Wed, 09 Oct 2024 AIC 51.254
Time: 14:40:18 BIC 54.079
Sample: 0 HQIC 50.673
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3764 0.562 0.670 0.503 -0.724 1.477
ma.L1 -1.0000 5431.299 -0.000 1.000 -1.06e+04 1.06e+04
ar.S.L7 0.1127 0.327 0.344 0.731 -0.529 0.755
ma.S.L7 -1.0000 2.03e+04 -4.92e-05 1.000 -3.99e+04 3.99e+04
sigma2 0.7213 1.49e+04 4.82e-05 1.000 -2.93e+04 2.93e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.43
Prob(Q): 0.86 Prob(JB): 0.81
Heteroskedasticity (H): 0.29 Skew: 0.07
Prob(H) (two-sided): 0.26 Kurtosis: 2.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.86802319442793, Current Price: 124.83
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.024
Date: Wed, 09 Oct 2024 AIC 50.047
Time: 14:40:18 BIC 52.872
Sample: 0 HQIC 49.467
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0108 0.151 -6.705 0.000 -1.306 -0.715
ma.L1 1.0000 1.17e+04 8.52e-05 1.000 -2.3e+04 2.3e+04
ar.S.L7 0.0386 0.363 0.106 0.915 -0.674 0.751
ma.S.L7 -1.0001 1.59e+04 -6.28e-05 1.000 -3.12e+04 3.12e+04
sigma2 0.6786 1.46e+04 4.64e-05 1.000 -2.87e+04 2.87e+04
===================================================================================
Ljung-Box (L1) (Q): 0.78 Jarque-Bera (JB): 0.94
Prob(Q): 0.38 Prob(JB): 0.63
Heteroskedasticity (H): 0.24 Skew: 0.09
Prob(H) (two-sided): 0.19 Kurtosis: 1.69
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.35981165518523, Current Price: 123.39
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.452
Date: Wed, 09 Oct 2024 AIC 46.903
Time: 14:40:18 BIC 49.728
Sample: 0 HQIC 46.323
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4951 0.169 2.931 0.003 0.164 0.826
ma.L1 -1.0000 4253.177 -0.000 1.000 -8337.073 8335.073
ar.S.L7 -0.1891 0.538 -0.352 0.725 -1.243 0.864
ma.S.L7 -1.0002 8275.043 -0.000 1.000 -1.62e+04 1.62e+04
sigma2 0.4981 4190.156 0.000 1.000 -8212.057 8213.054
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.14
Prob(Q): 0.97 Prob(JB): 0.57
Heteroskedasticity (H): 0.91 Skew: 0.70
Prob(H) (two-sided): 0.93 Kurtosis: 2.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.82806802028914, Current Price: 124.38
SELL EXECUTED at 124.38
SELL ORDER COMPLETED at 124.36
OPERATION PROFIT, GROSS -0.5300000000000011, NET -0.7792500000000011
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.889
Date: Wed, 09 Oct 2024 AIC 45.777
Time: 14:40:18 BIC 48.602
Sample: 0 HQIC 45.197
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2042 0.648 0.315 0.753 -1.066 1.474
ma.L1 -1.0000 7061.525 -0.000 1.000 -1.38e+04 1.38e+04
ar.S.L7 -0.1367 0.405 -0.338 0.735 -0.930 0.656
ma.S.L7 -0.7318 3.479 -0.210 0.833 -7.550 6.086
sigma2 0.6011 4244.523 0.000 1.000 -8318.511 8319.713
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 0.41
Prob(Q): 0.64 Prob(JB): 0.81
Heteroskedasticity (H): 1.90 Skew: 0.17
Prob(H) (two-sided): 0.55 Kurtosis: 2.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.110007212778, Current Price: 123.99
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.757
Date: Wed, 09 Oct 2024 AIC 47.514
Time: 14:40:18 BIC 50.339
Sample: 0 HQIC 46.934
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1926 0.864 0.223 0.824 -1.502 1.887
ma.L1 -1.0000 5807.227 -0.000 1.000 -1.14e+04 1.14e+04
ar.S.L7 -0.4159 0.234 -1.780 0.075 -0.874 0.042
ma.S.L7 1.0001 7958.227 0.000 1.000 -1.56e+04 1.56e+04
sigma2 0.5965 5673.982 0.000 1.000 -1.11e+04 1.11e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.61
Prob(Q): 0.89 Prob(JB): 0.74
Heteroskedasticity (H): 0.80 Skew: 0.18
Prob(H) (two-sided): 0.83 Kurtosis: 2.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.1606044923592, Current Price: 123.87
BUY EXECUTED at 123.87
BUY ORDER COMPLETED at 125.71
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.272
Date: Wed, 09 Oct 2024 AIC 44.544
Time: 14:40:18 BIC 47.368
Sample: 0 HQIC 43.963
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1585 0.544 0.291 0.771 -0.908 1.225
ma.L1 -1.0000 2.48e+04 -4.03e-05 1.000 -4.86e+04 4.86e+04
ar.S.L7 -0.4093 0.236 -1.737 0.082 -0.871 0.052
ma.S.L7 0.2351 0.624 0.377 0.707 -0.989 1.459
sigma2 0.7384 1.83e+04 4.03e-05 1.000 -3.59e+04 3.59e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.37
Prob(Q): 0.90 Prob(JB): 0.83
Heteroskedasticity (H): 2.36 Skew: 0.13
Prob(H) (two-sided): 0.43 Kurtosis: 2.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.46779880159696, Current Price: 125.67
SELL EXECUTED at 125.67
SELL ORDER COMPLETED at 125.47
OPERATION PROFIT, GROSS -0.23999999999999488, NET -0.49117999999999484
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.250
Date: Wed, 09 Oct 2024 AIC 46.499
Time: 14:40:18 BIC 49.324
Sample: 0 HQIC 45.918
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2126 0.545 0.390 0.697 -0.856 1.282
ma.L1 -1.0000 6051.726 -0.000 1.000 -1.19e+04 1.19e+04
ar.S.L7 -0.4066 0.357 -1.139 0.255 -1.106 0.293
ma.S.L7 0.1010 0.699 0.144 0.885 -1.270 1.472
sigma2 0.8661 5241.656 0.000 1.000 -1.03e+04 1.03e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.72
Prob(Q): 0.89 Prob(JB): 0.70
Heteroskedasticity (H): 1.21 Skew: -0.04
Prob(H) (two-sided): 0.86 Kurtosis: 1.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.32361104780966, Current Price: 126.18
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.238
Date: Wed, 09 Oct 2024 AIC 48.476
Time: 14:40:18 BIC 51.301
Sample: 0 HQIC 47.896
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3890 0.218 1.783 0.075 -0.039 0.817
ma.L1 -1.0000 9245.359 -0.000 1.000 -1.81e+04 1.81e+04
ar.S.L7 -0.4072 0.398 -1.024 0.306 -1.187 0.372
ma.S.L7 0.2985 1.004 0.297 0.766 -1.669 2.266
sigma2 0.9960 9209.275 0.000 1.000 -1.8e+04 1.81e+04
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 1.23
Prob(Q): 0.69 Prob(JB): 0.54
Heteroskedasticity (H): 1.98 Skew: -0.04
Prob(H) (two-sided): 0.52 Kurtosis: 1.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.73354949644212, Current Price: 126.19
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.854
Date: Wed, 09 Oct 2024 AIC 49.708
Time: 14:40:18 BIC 52.533
Sample: 0 HQIC 49.127
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3548 1.011 0.351 0.726 -1.626 2.336
ma.L1 -0.7515 0.955 -0.787 0.431 -2.624 1.121
ar.S.L7 -0.4428 0.367 -1.205 0.228 -1.163 0.277
ma.S.L7 0.1356 0.802 0.169 0.866 -1.436 1.708
sigma2 1.2293 1.255 0.980 0.327 -1.230 3.689
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 1.43
Prob(Q): 0.78 Prob(JB): 0.49
Heteroskedasticity (H): 1.30 Skew: -0.38
Prob(H) (two-sided): 0.80 Kurtosis: 1.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.30137858260045, Current Price: 125.96
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.582
Date: Wed, 09 Oct 2024 AIC 49.164
Time: 14:40:18 BIC 51.988
Sample: 0 HQIC 48.583
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1159 1.477 -0.078 0.937 -3.011 2.780
ma.L1 -0.0815 1.530 -0.053 0.958 -3.080 2.917
ar.S.L7 -0.2788 0.399 -0.699 0.485 -1.061 0.503
ma.S.L7 -0.0602 0.693 -0.087 0.931 -1.418 1.298
sigma2 1.1892 1.249 0.952 0.341 -1.259 3.637
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 1.11
Prob(Q): 0.81 Prob(JB): 0.58
Heteroskedasticity (H): 1.03 Skew: -0.30
Prob(H) (two-sided): 0.98 Kurtosis: 1.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.33310668752132, Current Price: 125.99
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.749
Date: Wed, 09 Oct 2024 AIC 47.498
Time: 14:40:18 BIC 50.323
Sample: 0 HQIC 46.918
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5374 0.468 1.149 0.250 -0.379 1.454
ma.L1 -0.6291 0.489 -1.285 0.199 -1.588 0.330
ar.S.L7 -0.2710 0.545 -0.497 0.619 -1.339 0.797
ma.S.L7 -0.6531 1.903 -0.343 0.731 -4.384 3.077
sigma2 0.8039 1.228 0.654 0.513 -1.604 3.211
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 0.07
Prob(Q): 0.62 Prob(JB): 0.96
Heteroskedasticity (H): 0.43 Skew: 0.00
Prob(H) (two-sided): 0.43 Kurtosis: 2.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.12419272510706, Current Price: 126.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.689
Date: Wed, 09 Oct 2024 AIC 45.377
Time: 14:40:18 BIC 48.202
Sample: 0 HQIC 44.797
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1580 1.635 -0.097 0.923 -3.362 3.046
ma.L1 -0.1307 1.722 -0.076 0.939 -3.506 3.244
ar.S.L7 -0.1336 0.261 -0.511 0.609 -0.646 0.379
ma.S.L7 -1.0007 992.965 -0.001 0.999 -1947.176 1945.175
sigma2 0.5357 532.396 0.001 0.999 -1042.942 1044.013
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 0.82
Prob(Q): 0.71 Prob(JB): 0.66
Heteroskedasticity (H): 0.64 Skew: -0.37
Prob(H) (two-sided): 0.67 Kurtosis: 2.02
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.5236810466296, Current Price: 126.31
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.287
Date: Wed, 09 Oct 2024 AIC 40.575
Time: 14:40:18 BIC 43.399
Sample: 0 HQIC 39.994
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2426 1.010 -0.240 0.810 -2.223 1.738
ma.L1 -0.0020 1.004 -0.002 0.998 -1.970 1.966
ar.S.L7 0.0239 0.211 0.113 0.910 -0.390 0.438
ma.S.L7 -1.0001 7780.770 -0.000 1.000 -1.53e+04 1.52e+04
sigma2 0.3702 2880.329 0.000 1.000 -5644.972 5645.712
===================================================================================
Ljung-Box (L1) (Q): 0.32 Jarque-Bera (JB): 0.79
Prob(Q): 0.57 Prob(JB): 0.67
Heteroskedasticity (H): 1.18 Skew: -0.20
Prob(H) (two-sided): 0.88 Kurtosis: 1.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.68527994812013, Current Price: 125.483
BUY EXECUTED at 125.483
BUY ORDER COMPLETED at 124.78
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.703
Date: Wed, 09 Oct 2024 AIC 47.406
Time: 14:40:18 BIC 50.231
Sample: 0 HQIC 46.826
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0053 1.891 -0.003 0.998 -3.711 3.701
ma.L1 -0.2457 1.685 -0.146 0.884 -3.548 3.057
ar.S.L7 -0.0960 0.307 -0.313 0.755 -0.698 0.506
ma.S.L7 -0.6321 1.991 -0.317 0.751 -4.535 3.270
sigma2 0.8597 0.808 1.064 0.287 -0.724 2.443
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 1.22
Prob(Q): 0.86 Prob(JB): 0.54
Heteroskedasticity (H): 1.67 Skew: -0.73
Prob(H) (two-sided): 0.63 Kurtosis: 2.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.77072080236422, Current Price: 124.96
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.738
Date: Wed, 09 Oct 2024 AIC 47.476
Time: 14:40:18 BIC 50.301
Sample: 0 HQIC 46.895
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3562 2.749 0.130 0.897 -5.032 5.744
ma.L1 -0.4486 2.779 -0.161 0.872 -5.895 4.998
ar.S.L7 -0.1878 0.222 -0.848 0.397 -0.622 0.247
ma.S.L7 -1.0001 8066.336 -0.000 1.000 -1.58e+04 1.58e+04
sigma2 0.6295 5078.322 0.000 1.000 -9952.699 9953.958
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 1.08
Prob(Q): 0.85 Prob(JB): 0.58
Heteroskedasticity (H): 0.94 Skew: -0.28
Prob(H) (two-sided): 0.95 Kurtosis: 1.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.00984167577153, Current Price: 124.68
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.890
Date: Wed, 09 Oct 2024 AIC 43.780
Time: 14:40:18 BIC 46.605
Sample: 0 HQIC 43.199
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4237 0.601 -0.705 0.481 -1.602 0.755
ma.L1 1.0000 1.28e+04 7.82e-05 1.000 -2.51e+04 2.51e+04
ar.S.L7 -0.1998 0.134 -1.492 0.136 -0.462 0.063
ma.S.L7 -1.0001 1.1e+04 -9.13e-05 1.000 -2.15e+04 2.15e+04
sigma2 0.4511 9756.289 4.62e-05 1.000 -1.91e+04 1.91e+04
===================================================================================
Ljung-Box (L1) (Q): 0.68 Jarque-Bera (JB): 0.40
Prob(Q): 0.41 Prob(JB): 0.82
Heteroskedasticity (H): 0.41 Skew: 0.29
Prob(H) (two-sided): 0.41 Kurtosis: 2.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.01889935445162, Current Price: 124.22
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.455
Date: Wed, 09 Oct 2024 AIC 38.910
Time: 14:40:18 BIC 41.735
Sample: 0 HQIC 38.330
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2826 2.087 -0.135 0.892 -4.374 3.809
ma.L1 0.5227 1.862 0.281 0.779 -3.126 4.172
ar.S.L7 -0.6321 0.592 -1.068 0.285 -1.791 0.527
ma.S.L7 -0.1478 1.199 -0.123 0.902 -2.498 2.203
sigma2 0.5370 0.331 1.620 0.105 -0.113 1.187
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 0.39
Prob(Q): 0.69 Prob(JB): 0.82
Heteroskedasticity (H): 0.59 Skew: -0.01
Prob(H) (two-sided): 0.62 Kurtosis: 2.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.98085330131673, Current Price: 122.88
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.925
Date: Wed, 09 Oct 2024 AIC 43.850
Time: 14:40:18 BIC 46.675
Sample: 0 HQIC 43.270
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3740 0.066 5.642 0.000 0.244 0.504
ma.L1 -0.5188 0.290 -1.788 0.074 -1.087 0.050
ar.S.L7 -0.8920 0.255 -3.499 0.000 -1.392 -0.392
ma.S.L7 1.0002 2813.181 0.000 1.000 -5512.733 5514.733
sigma2 0.4700 1322.101 0.000 1.000 -2590.801 2591.741
===================================================================================
Ljung-Box (L1) (Q): 0.64 Jarque-Bera (JB): 0.76
Prob(Q): 0.42 Prob(JB): 0.68
Heteroskedasticity (H): 1.94 Skew: 0.21
Prob(H) (two-sided): 0.54 Kurtosis: 1.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.5146288259829, Current Price: 123.19
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.922
Date: Wed, 09 Oct 2024 AIC 43.844
Time: 14:40:18 BIC 46.669
Sample: 0 HQIC 43.264
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2627 5.845 -0.045 0.964 -11.719 11.194
ma.L1 0.3260 5.612 0.058 0.954 -10.674 11.326
ar.S.L7 -0.6804 0.220 -3.093 0.002 -1.112 -0.249
ma.S.L7 0.4376 1.210 0.362 0.718 -1.934 2.810
sigma2 0.7272 0.439 1.656 0.098 -0.134 1.588
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.95
Prob(Q): 0.99 Prob(JB): 0.62
Heteroskedasticity (H): 2.10 Skew: -0.64
Prob(H) (two-sided): 0.49 Kurtosis: 2.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.97657360299974, Current Price: 122.74
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.018
Date: Wed, 09 Oct 2024 AIC 44.035
Time: 14:40:18 BIC 46.860
Sample: 0 HQIC 43.455
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2799 8.700 0.032 0.974 -16.771 17.331
ma.L1 -0.2444 8.493 -0.029 0.977 -16.890 16.401
ar.S.L7 -0.5517 0.459 -1.202 0.229 -1.451 0.348
ma.S.L7 0.1230 1.589 0.077 0.938 -2.991 3.237
sigma2 0.7980 0.346 2.308 0.021 0.120 1.476
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 0.51
Prob(Q): 0.64 Prob(JB): 0.77
Heteroskedasticity (H): 1.87 Skew: -0.41
Prob(H) (two-sided): 0.56 Kurtosis: 2.48
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.1503910920778, Current Price: 123.35
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.092
Date: Wed, 09 Oct 2024 AIC 40.185
Time: 14:40:18 BIC 43.009
Sample: 0 HQIC 39.604
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5703 0.762 0.749 0.454 -0.922 2.063
ma.L1 -1.6699 2.885 -0.579 0.563 -7.323 3.984
ar.S.L7 -0.6169 0.179 -3.453 0.001 -0.967 -0.267
ma.S.L7 1.0004 3907.066 0.000 1.000 -7656.709 7658.710
sigma2 0.1240 484.751 0.000 1.000 -949.970 950.218
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 0.69
Prob(Q): 0.67 Prob(JB): 0.71
Heteroskedasticity (H): 2.64 Skew: -0.56
Prob(H) (two-sided): 0.37 Kurtosis: 2.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.02830084934784, Current Price: 123.3199
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.528
Date: Wed, 09 Oct 2024 AIC 41.055
Time: 14:40:18 BIC 43.880
Sample: 0 HQIC 40.474
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5092 1.031 -0.494 0.621 -2.530 1.512
ma.L1 2.5675 7.892 0.325 0.745 -12.900 18.035
ar.S.L7 -0.6133 0.515 -1.191 0.234 -1.622 0.396
ma.S.L7 10.5342 180.215 0.058 0.953 -342.680 363.749
sigma2 0.0009 0.030 0.028 0.978 -0.059 0.060
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 1.00
Prob(Q): 0.61 Prob(JB): 0.61
Heteroskedasticity (H): 0.05 Skew: -0.68
Prob(H) (two-sided): 0.01 Kurtosis: 3.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.23097437040963, Current Price: 124.0
SELL EXECUTED at 124.0
SELL ORDER COMPLETED at 123.75
OPERATION PROFIT, GROSS -1.0300000000000011, NET -1.278530000000001
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.231
Date: Wed, 09 Oct 2024 AIC 42.463
Time: 14:40:18 BIC 45.287
Sample: 0 HQIC 41.882
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0636 2.626 -0.024 0.981 -5.210 5.083
ma.L1 -8.3336 168.676 -0.049 0.961 -338.932 322.265
ar.S.L7 -0.5627 0.430 -1.309 0.190 -1.405 0.280
ma.S.L7 -8.1143 66.461 -0.122 0.903 -138.376 122.147
sigma2 0.0001 0.007 0.022 0.983 -0.013 0.013
===================================================================================
Ljung-Box (L1) (Q): 0.35 Jarque-Bera (JB): 0.37
Prob(Q): 0.55 Prob(JB): 0.83
Heteroskedasticity (H): 0.24 Skew: -0.37
Prob(H) (two-sided): 0.19 Kurtosis: 2.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.46221848702909, Current Price: 123.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.262
Date: Wed, 09 Oct 2024 AIC 40.525
Time: 14:40:18 BIC 43.349
Sample: 0 HQIC 39.944
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4757 0.815 0.584 0.559 -1.121 2.072
ma.L1 -2.0075 4.431 -0.453 0.651 -10.693 6.678
ar.S.L7 -0.6193 0.193 -3.214 0.001 -0.997 -0.242
ma.S.L7 1.2134 9.513 0.128 0.899 -17.432 19.859
sigma2 0.0714 0.849 0.084 0.933 -1.592 1.735
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.96
Prob(Q): 1.00 Prob(JB): 0.62
Heteroskedasticity (H): 0.31 Skew: -0.66
Prob(H) (two-sided): 0.28 Kurtosis: 2.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.26170640173893, Current Price: 121.65
BUY EXECUTED at 121.65
BUY ORDER COMPLETED at 121.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.111
Date: Wed, 09 Oct 2024 AIC 40.221
Time: 14:40:19 BIC 43.046
Sample: 0 HQIC 39.641
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8825 0.428 2.063 0.039 0.044 1.721
ma.L1 -1.0000 1.63e+04 -6.14e-05 1.000 -3.19e+04 3.19e+04
ar.S.L7 -0.5747 0.190 -3.025 0.002 -0.947 -0.202
ma.S.L7 0.9999 3231.149 0.000 1.000 -6331.935 6333.935
sigma2 0.3186 5511.543 5.78e-05 1.000 -1.08e+04 1.08e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.21
Prob(Q): 0.88 Prob(JB): 0.55
Heteroskedasticity (H): 0.39 Skew: -0.74
Prob(H) (two-sided): 0.39 Kurtosis: 3.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.78110520396984, Current Price: 122.15
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.039
Date: Wed, 09 Oct 2024 AIC 38.078
Time: 14:40:19 BIC 40.902
Sample: 0 HQIC 37.497
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0056 3.450 -0.002 0.999 -6.767 6.756
ma.L1 -6.9054 184.517 -0.037 0.970 -368.551 354.740
ar.S.L7 -0.7536 0.328 -2.295 0.022 -1.397 -0.110
ma.S.L7 1.0307 33.434 0.031 0.975 -64.498 66.560
sigma2 0.0061 0.261 0.024 0.981 -0.505 0.517
===================================================================================
Ljung-Box (L1) (Q): 0.40 Jarque-Bera (JB): 0.94
Prob(Q): 0.53 Prob(JB): 0.63
Heteroskedasticity (H): 0.84 Skew: -0.66
Prob(H) (two-sided): 0.87 Kurtosis: 2.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.14940961914215, Current Price: 121.48
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.058
Date: Wed, 09 Oct 2024 AIC 28.116
Time: 14:40:19 BIC 30.941
Sample: 0 HQIC 27.535
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5759 0.298 1.934 0.053 -0.008 1.159
ma.L1 -0.1894 0.448 -0.423 0.672 -1.067 0.688
ar.S.L7 0.5671 0.187 3.034 0.002 0.201 0.933
ma.S.L7 -1.0001 3497.763 -0.000 1.000 -6856.489 6854.489
sigma2 0.1378 481.865 0.000 1.000 -944.300 944.576
===================================================================================
Ljung-Box (L1) (Q): 0.59 Jarque-Bera (JB): 1.86
Prob(Q): 0.44 Prob(JB): 0.39
Heteroskedasticity (H): 1.10 Skew: 0.92
Prob(H) (two-sided): 0.93 Kurtosis: 3.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.22309448721836, Current Price: 122.06
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -8.831
Date: Wed, 09 Oct 2024 AIC 27.662
Time: 14:40:19 BIC 30.487
Sample: 0 HQIC 27.082
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5120 0.141 3.637 0.000 0.236 0.788
ma.L1 -1.0000 1.84e+04 -5.44e-05 1.000 -3.6e+04 3.6e+04
ar.S.L7 -0.3577 0.127 -2.819 0.005 -0.606 -0.109
ma.S.L7 1.0000 4.05e+04 2.47e-05 1.000 -7.94e+04 7.94e+04
sigma2 0.1199 3303.273 3.63e-05 1.000 -6474.177 6474.417
===================================================================================
Ljung-Box (L1) (Q): 0.63 Jarque-Bera (JB): 3.30
Prob(Q): 0.43 Prob(JB): 0.19
Heteroskedasticity (H): 0.09 Skew: -1.09
Prob(H) (two-sided): 0.04 Kurtosis: 4.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.83928365196537, Current Price: 120.73
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.652
Date: Wed, 09 Oct 2024 AIC 33.304
Time: 14:40:19 BIC 36.129
Sample: 0 HQIC 32.723
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5000 0.277 1.803 0.071 -0.044 1.043
ma.L1 -1.0000 1.42e+04 -7.06e-05 1.000 -2.78e+04 2.77e+04
ar.S.L7 -0.3709 0.198 -1.870 0.061 -0.760 0.018
ma.S.L7 1.0001 2.44e+04 4.1e-05 1.000 -4.78e+04 4.78e+04
sigma2 0.1856 2411.611 7.7e-05 1.000 -4726.485 4726.856
===================================================================================
Ljung-Box (L1) (Q): 0.94 Jarque-Bera (JB): 1.52
Prob(Q): 0.33 Prob(JB): 0.47
Heteroskedasticity (H): 0.76 Skew: -0.84
Prob(H) (two-sided): 0.80 Kurtosis: 2.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.9889624865438, Current Price: 120.87
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.053
Date: Wed, 09 Oct 2024 AIC 36.107
Time: 14:40:19 BIC 38.932
Sample: 0 HQIC 35.526
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4636 0.446 1.038 0.299 -0.411 1.339
ma.L1 -0.7553 0.472 -1.601 0.109 -1.680 0.169
ar.S.L7 -0.4715 0.246 -1.917 0.055 -0.954 0.011
ma.S.L7 1.0001 8176.390 0.000 1.000 -1.6e+04 1.6e+04
sigma2 0.2518 2058.801 0.000 1.000 -4034.924 4035.428
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 0.56
Prob(Q): 0.70 Prob(JB): 0.75
Heteroskedasticity (H): 0.87 Skew: -0.44
Prob(H) (two-sided): 0.90 Kurtosis: 2.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.86242893307671, Current Price: 120.26
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.292
Date: Wed, 09 Oct 2024 AIC 28.583
Time: 14:40:19 BIC 31.408
Sample: 0 HQIC 28.002
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2474 0.807 0.306 0.759 -1.335 1.829
ma.L1 -0.4889 0.698 -0.700 0.484 -1.857 0.880
ar.S.L7 -0.5564 0.098 -5.707 0.000 -0.748 -0.365
ma.S.L7 1.0001 3393.112 0.000 1.000 -6649.377 6651.378
sigma2 0.1473 499.912 0.000 1.000 -979.663 979.957
===================================================================================
Ljung-Box (L1) (Q): 0.38 Jarque-Bera (JB): 0.90
Prob(Q): 0.54 Prob(JB): 0.64
Heteroskedasticity (H): 6.72 Skew: 0.61
Prob(H) (two-sided): 0.09 Kurtosis: 2.58
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.22327356813585, Current Price: 119.472
SELL EXECUTED at 119.472
SELL ORDER COMPLETED at 118.63
OPERATION PROFIT, GROSS -3.0700000000000074, NET -3.3103300000000075
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.985
Date: Wed, 09 Oct 2024 AIC 33.970
Time: 14:40:19 BIC 36.795
Sample: 0 HQIC 33.389
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2524 0.913 0.276 0.782 -1.538 2.043
ma.L1 -0.6441 0.580 -1.110 0.267 -1.781 0.493
ar.S.L7 -0.5407 0.158 -3.433 0.001 -0.849 -0.232
ma.S.L7 0.5666 0.745 0.760 0.447 -0.895 2.028
sigma2 0.3192 0.314 1.016 0.310 -0.297 0.935
===================================================================================
Ljung-Box (L1) (Q): 0.45 Jarque-Bera (JB): 1.75
Prob(Q): 0.50 Prob(JB): 0.42
Heteroskedasticity (H): 3.79 Skew: 0.89
Prob(H) (two-sided): 0.23 Kurtosis: 2.74
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.56746497491952, Current Price: 118.38
BUY EXECUTED at 118.38
BUY ORDER COMPLETED at 118.79
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.376
Date: Wed, 09 Oct 2024 AIC 34.752
Time: 14:40:19 BIC 37.577
Sample: 0 HQIC 34.172
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9812 0.245 -4.000 0.000 -1.462 -0.500
ma.L1 0.6503 0.530 1.226 0.220 -0.389 1.690
ar.S.L7 -0.3671 0.349 -1.051 0.293 -1.052 0.317
ma.S.L7 -1.0001 1.09e+04 -9.17e-05 1.000 -2.14e+04 2.14e+04
sigma2 0.2278 2485.769 9.17e-05 1.000 -4871.790 4872.246
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 1.33
Prob(Q): 0.84 Prob(JB): 0.51
Heteroskedasticity (H): 1.69 Skew: -0.76
Prob(H) (two-sided): 0.62 Kurtosis: 2.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.8571564306538, Current Price: 118.64
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.121
Date: Wed, 09 Oct 2024 AIC 34.242
Time: 14:40:19 BIC 37.067
Sample: 0 HQIC 33.662
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8858 0.269 -3.296 0.001 -1.413 -0.359
ma.L1 0.5503 0.694 0.792 0.428 -0.811 1.911
ar.S.L7 -0.3280 0.277 -1.185 0.236 -0.870 0.214
ma.S.L7 -1.0001 8451.819 -0.000 1.000 -1.66e+04 1.66e+04
sigma2 0.2199 1858.303 0.000 1.000 -3641.988 3642.427
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 1.20
Prob(Q): 0.82 Prob(JB): 0.55
Heteroskedasticity (H): 0.50 Skew: -0.70
Prob(H) (two-sided): 0.51 Kurtosis: 2.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.363941082087, Current Price: 118.83
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.641
Date: Wed, 09 Oct 2024 AIC 33.282
Time: 14:40:19 BIC 36.107
Sample: 0 HQIC 32.701
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7893 0.304 -2.595 0.009 -1.385 -0.193
ma.L1 2.3586 3.535 0.667 0.505 -4.570 9.287
ar.S.L7 -0.1194 0.302 -0.395 0.693 -0.712 0.473
ma.S.L7 -1.0002 3507.431 -0.000 1.000 -6875.438 6873.438
sigma2 0.0368 129.104 0.000 1.000 -253.003 253.077
===================================================================================
Ljung-Box (L1) (Q): 0.45 Jarque-Bera (JB): 0.80
Prob(Q): 0.50 Prob(JB): 0.67
Heteroskedasticity (H): 0.94 Skew: -0.40
Prob(H) (two-sided): 0.96 Kurtosis: 2.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.42902678139188, Current Price: 117.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.710
Date: Wed, 09 Oct 2024 AIC 35.421
Time: 14:40:19 BIC 38.245
Sample: 0 HQIC 34.840
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6500 0.782 -0.831 0.406 -2.183 0.883
ma.L1 0.2662 1.142 0.233 0.816 -1.973 2.505
ar.S.L7 -0.1158 0.337 -0.343 0.731 -0.776 0.545
ma.S.L7 -0.7194 1.610 -0.447 0.655 -3.875 2.436
sigma2 0.3127 0.399 0.783 0.433 -0.470 1.095
===================================================================================
Ljung-Box (L1) (Q): 2.94 Jarque-Bera (JB): 0.63
Prob(Q): 0.09 Prob(JB): 0.73
Heteroskedasticity (H): 1.95 Skew: -0.03
Prob(H) (two-sided): 0.53 Kurtosis: 1.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.00543333425409, Current Price: 117.78
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.452
Date: Wed, 09 Oct 2024 AIC 36.905
Time: 14:40:19 BIC 39.729
Sample: 0 HQIC 36.324
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0078 0.410 -2.456 0.014 -1.812 -0.204
ma.L1 1.0000 1.99e+05 5.03e-06 1.000 -3.89e+05 3.9e+05
ar.S.L7 -0.2361 0.326 -0.724 0.469 -0.875 0.403
ma.S.L7 -0.3792 0.677 -0.560 0.575 -1.706 0.947
sigma2 0.3821 7.59e+04 5.03e-06 1.000 -1.49e+05 1.49e+05
===================================================================================
Ljung-Box (L1) (Q): 3.44 Jarque-Bera (JB): 1.25
Prob(Q): 0.06 Prob(JB): 0.53
Heteroskedasticity (H): 0.97 Skew: -0.47
Prob(H) (two-sided): 0.98 Kurtosis: 1.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.7526032271516, Current Price: 117.09
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.895
Date: Wed, 09 Oct 2024 AIC 31.790
Time: 14:40:19 BIC 34.615
Sample: 0 HQIC 31.209
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9026 0.141 -6.417 0.000 -1.178 -0.627
ma.L1 1.0000 3432.168 0.000 1.000 -6725.925 6727.925
ar.S.L7 -0.5334 0.378 -1.411 0.158 -1.274 0.207
ma.S.L7 0.0808 0.497 0.163 0.871 -0.893 1.055
sigma2 0.2655 911.146 0.000 1.000 -1785.548 1786.079
===================================================================================
Ljung-Box (L1) (Q): 3.46 Jarque-Bera (JB): 0.46
Prob(Q): 0.06 Prob(JB): 0.79
Heteroskedasticity (H): 2.12 Skew: -0.08
Prob(H) (two-sided): 0.48 Kurtosis: 2.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.38064107613303, Current Price: 116.85
SELL EXECUTED at 116.85
SELL ORDER COMPLETED at 117.99
OPERATION PROFIT, GROSS -0.8000000000000114, NET -1.0367800000000114
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -8.300
Date: Wed, 09 Oct 2024 AIC 26.600
Time: 14:40:19 BIC 29.425
Sample: 0 HQIC 26.019
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7178 0.272 -2.636 0.008 -1.251 -0.184
ma.L1 0.0165 0.371 0.044 0.965 -0.710 0.743
ar.S.L7 -0.4308 0.142 -3.041 0.002 -0.708 -0.153
ma.S.L7 1.0000 2.73e+04 3.67e-05 1.000 -5.35e+04 5.35e+04
sigma2 0.1225 3343.576 3.66e-05 1.000 -6553.165 6553.410
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 0.68
Prob(Q): 0.62 Prob(JB): 0.71
Heteroskedasticity (H): 0.54 Skew: 0.51
Prob(H) (two-sided): 0.56 Kurtosis: 2.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.38489849057726, Current Price: 117.6
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.299
Date: Wed, 09 Oct 2024 AIC 38.598
Time: 14:40:19 BIC 41.422
Sample: 0 HQIC 38.017
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8474 0.313 -2.706 0.007 -1.461 -0.234
ma.L1 1.0000 3.01e+05 3.32e-06 1.000 -5.9e+05 5.9e+05
ar.S.L7 -0.5424 0.546 -0.994 0.320 -1.612 0.527
ma.S.L7 0.2631 0.957 0.275 0.783 -1.613 2.139
sigma2 0.4295 1.29e+05 3.32e-06 1.000 -2.54e+05 2.54e+05
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 0.60
Prob(Q): 0.69 Prob(JB): 0.74
Heteroskedasticity (H): 4.71 Skew: 0.26
Prob(H) (two-sided): 0.16 Kurtosis: 2.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.4011027979113, Current Price: 117.05
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.024
Date: Wed, 09 Oct 2024 AIC 38.049
Time: 14:40:19 BIC 40.874
Sample: 0 HQIC 37.468
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8266 0.260 -3.182 0.001 -1.336 -0.317
ma.L1 1.0000 7.51e+04 1.33e-05 1.000 -1.47e+05 1.47e+05
ar.S.L7 -0.5626 0.613 -0.918 0.358 -1.763 0.638
ma.S.L7 0.0015 1.320 0.001 0.999 -2.585 2.588
sigma2 0.4337 3.26e+04 1.33e-05 1.000 -6.39e+04 6.39e+04
===================================================================================
Ljung-Box (L1) (Q): 0.29 Jarque-Bera (JB): 0.54
Prob(Q): 0.59 Prob(JB): 0.76
Heteroskedasticity (H): 3.68 Skew: 0.48
Prob(H) (two-sided): 0.24 Kurtosis: 2.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.53606801397284, Current Price: 117.39
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.271
Date: Wed, 09 Oct 2024 AIC 38.541
Time: 14:40:19 BIC 41.366
Sample: 0 HQIC 37.961
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3753 2.224 -0.169 0.866 -4.734 3.983
ma.L1 0.1244 2.553 0.049 0.961 -4.880 5.129
ar.S.L7 -0.4971 0.581 -0.855 0.393 -1.637 0.643
ma.S.L7 -0.0123 0.837 -0.015 0.988 -1.653 1.628
sigma2 0.5261 0.274 1.919 0.055 -0.011 1.064
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.64
Prob(Q): 0.84 Prob(JB): 0.73
Heteroskedasticity (H): 1.29 Skew: 0.46
Prob(H) (two-sided): 0.81 Kurtosis: 2.43
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.08606146589493, Current Price: 117.06
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.866
Date: Wed, 09 Oct 2024 AIC 39.732
Time: 14:40:19 BIC 42.557
Sample: 0 HQIC 39.152
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4116 0.145 2.842 0.004 0.128 0.695
ma.L1 -0.7133 0.831 -0.858 0.391 -2.342 0.915
ar.S.L7 -0.4265 0.712 -0.599 0.549 -1.822 0.969
ma.S.L7 -0.4391 1.573 -0.279 0.780 -3.522 2.644
sigma2 0.5155 0.776 0.664 0.507 -1.005 2.036
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 0.66
Prob(Q): 0.68 Prob(JB): 0.72
Heteroskedasticity (H): 0.61 Skew: -0.05
Prob(H) (two-sided): 0.64 Kurtosis: 1.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.01402008942645, Current Price: 117.03
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.263
Date: Wed, 09 Oct 2024 AIC 38.526
Time: 14:40:19 BIC 41.351
Sample: 0 HQIC 37.946
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2347 1.738 -0.135 0.893 -3.640 3.171
ma.L1 -0.1762 1.990 -0.089 0.929 -4.076 3.724
ar.S.L7 -0.3498 0.553 -0.632 0.527 -1.435 0.735
ma.S.L7 -0.5369 1.459 -0.368 0.713 -3.396 2.322
sigma2 0.4603 0.402 1.145 0.252 -0.328 1.248
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.62
Prob(Q): 0.95 Prob(JB): 0.73
Heteroskedasticity (H): 0.36 Skew: 0.27
Prob(H) (two-sided): 0.35 Kurtosis: 2.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.64354326673579, Current Price: 116.21
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.791
Date: Wed, 09 Oct 2024 AIC 31.583
Time: 14:40:19 BIC 34.408
Sample: 0 HQIC 31.002
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6941 0.168 -4.130 0.000 -1.023 -0.365
ma.L1 1.0000 3.48e+04 2.88e-05 1.000 -6.81e+04 6.81e+04
ar.S.L7 -0.2433 0.233 -1.045 0.296 -0.700 0.213
ma.S.L7 -1.0002 1.16e+04 -8.64e-05 1.000 -2.27e+04 2.27e+04
sigma2 0.1638 7146.723 2.29e-05 1.000 -1.4e+04 1.4e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.17
Prob(Q): 0.86 Prob(JB): 0.92
Heteroskedasticity (H): 0.48 Skew: 0.07
Prob(H) (two-sided): 0.49 Kurtosis: 2.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.23108407008803, Current Price: 116.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.147
Date: Wed, 09 Oct 2024 AIC 36.293
Time: 14:40:19 BIC 39.118
Sample: 0 HQIC 35.713
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0830 3.411 -0.024 0.981 -6.768 6.602
ma.L1 -0.1485 3.950 -0.038 0.970 -7.890 7.593
ar.S.L7 -0.2114 0.950 -0.222 0.824 -2.074 1.651
ma.S.L7 -0.0973 0.923 -0.105 0.916 -1.907 1.712
sigma2 0.4409 0.260 1.695 0.090 -0.069 0.951
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.71
Prob(Q): 1.00 Prob(JB): 0.42
Heteroskedasticity (H): 3.96 Skew: 0.80
Prob(H) (two-sided): 0.21 Kurtosis: 2.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.77114939172246, Current Price: 116.74
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.091
Date: Wed, 09 Oct 2024 AIC 30.183
Time: 14:40:19 BIC 33.008
Sample: 0 HQIC 29.602
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3690 0.057 -6.432 0.000 -0.481 -0.257
ma.L1 1.0000 8032.887 0.000 1.000 -1.57e+04 1.57e+04
ar.S.L7 -0.3880 0.172 -2.259 0.024 -0.725 -0.051
ma.S.L7 -1.0001 5725.755 -0.000 1.000 -1.12e+04 1.12e+04
sigma2 0.1564 1715.585 9.12e-05 1.000 -3362.328 3362.641
===================================================================================
Ljung-Box (L1) (Q): 0.70 Jarque-Bera (JB): 0.19
Prob(Q): 0.40 Prob(JB): 0.91
Heteroskedasticity (H): 2.03 Skew: 0.12
Prob(H) (two-sided): 0.51 Kurtosis: 2.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.30218912238855, Current Price: 114.61
BUY EXECUTED at 114.61
BUY ORDER COMPLETED at 115.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.978
Date: Wed, 09 Oct 2024 AIC 33.957
Time: 14:40:19 BIC 36.782
Sample: 0 HQIC 33.376
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0508 0.550 -0.092 0.926 -1.128 1.026
ma.L1 1.0000 5.58e+04 1.79e-05 1.000 -1.09e+05 1.09e+05
ar.S.L7 -0.3379 0.070 -4.823 0.000 -0.475 -0.201
ma.S.L7 1.0001 7400.927 0.000 1.000 -1.45e+04 1.45e+04
sigma2 0.1885 1.06e+04 1.78e-05 1.000 -2.07e+04 2.07e+04
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 0.50
Prob(Q): 0.69 Prob(JB): 0.78
Heteroskedasticity (H): 1.28 Skew: 0.07
Prob(H) (two-sided): 0.81 Kurtosis: 2.05
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.50311096327843, Current Price: 116.03
SELL EXECUTED at 116.03
SELL ORDER COMPLETED at 116.31
OPERATION PROFIT, GROSS 1.1500000000000057, NET 0.9185300000000056
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.822
Date: Wed, 09 Oct 2024 AIC 41.643
Time: 14:40:19 BIC 44.468
Sample: 0 HQIC 41.063
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3629 1.386 0.262 0.794 -2.354 3.080
ma.L1 -0.6030 1.238 -0.487 0.626 -3.029 1.823
ar.S.L7 -0.3379 0.281 -1.204 0.229 -0.888 0.212
ma.S.L7 0.4077 0.957 0.426 0.670 -1.469 2.284
sigma2 0.6217 0.479 1.299 0.194 -0.316 1.560
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.04
Prob(Q): 0.94 Prob(JB): 0.59
Heteroskedasticity (H): 1.44 Skew: -0.65
Prob(H) (two-sided): 0.73 Kurtosis: 3.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.80699061416483, Current Price: 116.36
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.995
Date: Wed, 09 Oct 2024 AIC 41.990
Time: 14:40:19 BIC 44.814
Sample: 0 HQIC 41.409
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3741 2.249 0.166 0.868 -4.035 4.783
ma.L1 -0.6159 1.875 -0.328 0.743 -4.291 3.059
ar.S.L7 -0.3517 0.259 -1.359 0.174 -0.859 0.156
ma.S.L7 1.0006 1135.462 0.001 0.999 -2224.464 2226.465
sigma2 0.4128 468.911 0.001 0.999 -918.636 919.461
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.66
Prob(Q): 0.91 Prob(JB): 0.44
Heteroskedasticity (H): 1.61 Skew: -0.81
Prob(H) (two-sided): 0.65 Kurtosis: 3.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.2325431202471, Current Price: 117.4701
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.410
Date: Wed, 09 Oct 2024 AIC 42.819
Time: 14:40:20 BIC 45.644
Sample: 0 HQIC 42.239
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7431 0.454 1.637 0.102 -0.146 1.633
ma.L1 -1.0001 365.778 -0.003 0.998 -717.912 715.912
ar.S.L7 -0.2713 0.294 -0.922 0.357 -0.848 0.305
ma.S.L7 1.0007 2825.058 0.000 1.000 -5536.011 5538.012
sigma2 0.3887 1078.035 0.000 1.000 -2112.520 2113.298
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.65
Prob(Q): 0.94 Prob(JB): 0.44
Heteroskedasticity (H): 2.39 Skew: -0.87
Prob(H) (two-sided): 0.42 Kurtosis: 2.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.47890495093556, Current Price: 117.64
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.830
Date: Wed, 09 Oct 2024 AIC 43.660
Time: 14:40:20 BIC 46.484
Sample: 0 HQIC 43.079
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6792 0.611 1.112 0.266 -0.518 1.876
ma.L1 -1.4060 1.369 -1.027 0.305 -4.090 1.278
ar.S.L7 -0.4434 0.402 -1.102 0.270 -1.232 0.345
ma.S.L7 0.9988 1060.964 0.001 0.999 -2078.452 2080.450
sigma2 0.2283 242.001 0.001 0.999 -474.085 474.542
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.97
Prob(Q): 0.99 Prob(JB): 0.37
Heteroskedasticity (H): 2.68 Skew: -0.94
Prob(H) (two-sided): 0.36 Kurtosis: 3.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.20875269886099, Current Price: 117.59
BUY EXECUTED at 117.59
BUY ORDER COMPLETED at 118.14
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.227
Date: Wed, 09 Oct 2024 AIC 42.455
Time: 14:40:20 BIC 45.280
Sample: 0 HQIC 41.874
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4035 0.895 0.451 0.652 -1.351 2.158
ma.L1 -0.5605 0.895 -0.626 0.531 -2.314 1.193
ar.S.L7 -0.1834 1.375 -0.133 0.894 -2.879 2.512
ma.S.L7 0.2337 2.242 0.104 0.917 -4.161 4.628
sigma2 0.6964 0.590 1.181 0.238 -0.460 1.852
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 0.85
Prob(Q): 0.67 Prob(JB): 0.66
Heteroskedasticity (H): 3.17 Skew: -0.61
Prob(H) (two-sided): 0.29 Kurtosis: 2.74
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.46026855399114, Current Price: 118.52
SELL EXECUTED at 118.52
SELL ORDER COMPLETED at 118.58
OPERATION PROFIT, GROSS 0.4399999999999977, NET 0.2032799999999977
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.339
Date: Wed, 09 Oct 2024 AIC 40.679
Time: 14:40:20 BIC 43.503
Sample: 0 HQIC 40.098
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5298 0.554 -0.956 0.339 -1.616 0.556
ma.L1 1.0000 2.13e+04 4.7e-05 1.000 -4.17e+04 4.17e+04
ar.S.L7 -0.0254 0.197 -0.129 0.898 -0.412 0.362
ma.S.L7 -0.0963 0.407 -0.237 0.813 -0.894 0.701
sigma2 0.5626 1.2e+04 4.7e-05 1.000 -2.35e+04 2.35e+04
===================================================================================
Ljung-Box (L1) (Q): 0.33 Jarque-Bera (JB): 0.62
Prob(Q): 0.57 Prob(JB): 0.73
Heteroskedasticity (H): 4.39 Skew: -0.34
Prob(H) (two-sided): 0.18 Kurtosis: 2.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.96232356771847, Current Price: 118.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.465
Date: Wed, 09 Oct 2024 AIC 42.930
Time: 14:40:20 BIC 45.755
Sample: 0 HQIC 42.350
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4794 0.545 -0.880 0.379 -1.547 0.588
ma.L1 1.0000 3731.961 0.000 1.000 -7313.509 7315.509
ar.S.L7 0.0018 0.003 0.574 0.566 -0.004 0.008
ma.S.L7 -1.0043 104.023 -0.010 0.992 -204.885 202.877
sigma2 0.4555 1672.771 0.000 1.000 -3278.116 3279.026
===================================================================================
Ljung-Box (L1) (Q): 0.30 Jarque-Bera (JB): 0.57
Prob(Q): 0.58 Prob(JB): 0.75
Heteroskedasticity (H): 0.81 Skew: -0.49
Prob(H) (two-sided): 0.84 Kurtosis: 2.69
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.57484307431274, Current Price: 118.99
BUY EXECUTED at 118.99
BUY ORDER COMPLETED at 119.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.676
Date: Wed, 09 Oct 2024 AIC 41.352
Time: 14:40:20 BIC 44.176
Sample: 0 HQIC 40.771
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3141 0.585 -0.537 0.591 -1.461 0.832
ma.L1 1.3567 0.902 1.505 0.132 -0.410 3.124
ar.S.L7 -0.1532 0.343 -0.447 0.655 -0.825 0.519
ma.S.L7 -1.0000 9.77e+04 -1.02e-05 1.000 -1.91e+05 1.91e+05
sigma2 0.2148 2.1e+04 1.02e-05 1.000 -4.11e+04 4.11e+04
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.28
Prob(Q): 0.76 Prob(JB): 0.87
Heteroskedasticity (H): 1.14 Skew: -0.28
Prob(H) (two-sided): 0.90 Kurtosis: 2.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.17196387322547, Current Price: 119.22
SELL EXECUTED at 119.22
SELL ORDER COMPLETED at 119.06
OPERATION PROFIT, GROSS 0.04000000000000625, NET -0.19807999999999376
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.211
Date: Wed, 09 Oct 2024 AIC 42.422
Time: 14:40:20 BIC 45.247
Sample: 0 HQIC 41.841
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4843 0.141 -3.433 0.001 -0.761 -0.208
ma.L1 1.2583 0.492 2.556 0.011 0.294 2.223
ar.S.L7 -0.2170 0.425 -0.511 0.609 -1.049 0.615
ma.S.L7 -1.0005 1322.682 -0.001 0.999 -2593.409 2591.408
sigma2 0.2605 344.490 0.001 0.999 -674.928 675.449
===================================================================================
Ljung-Box (L1) (Q): 0.39 Jarque-Bera (JB): 1.15
Prob(Q): 0.53 Prob(JB): 0.56
Heteroskedasticity (H): 0.82 Skew: -0.70
Prob(H) (two-sided): 0.85 Kurtosis: 2.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.71459059493121, Current Price: 118.99
BUY EXECUTED at 118.99
BUY ORDER COMPLETED at 119.68
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.633
Date: Wed, 09 Oct 2024 AIC 41.267
Time: 14:40:20 BIC 44.091
Sample: 0 HQIC 40.686
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3713 0.844 -0.440 0.660 -2.026 1.284
ma.L1 0.6596 0.848 0.778 0.437 -1.002 2.321
ar.S.L7 -0.3071 0.509 -0.603 0.546 -1.305 0.691
ma.S.L7 -1.0000 1.63e+04 -6.15e-05 1.000 -3.19e+04 3.19e+04
sigma2 0.3920 6377.669 6.15e-05 1.000 -1.25e+04 1.25e+04
===================================================================================
Ljung-Box (L1) (Q): 0.78 Jarque-Bera (JB): 1.19
Prob(Q): 0.38 Prob(JB): 0.55
Heteroskedasticity (H): 0.31 Skew: -0.73
Prob(H) (two-sided): 0.28 Kurtosis: 2.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.02212644854458, Current Price: 119.8
SELL EXECUTED at 119.8
SELL ORDER COMPLETED at 120.27
OPERATION PROFIT, GROSS 0.5899999999999892, NET 0.3500499999999892
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.278
Date: Wed, 09 Oct 2024 AIC 44.556
Time: 14:40:20 BIC 47.381
Sample: 0 HQIC 43.975
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3146 13.776 -0.023 0.982 -27.314 26.685
ma.L1 0.3435 13.893 0.025 0.980 -26.887 27.574
ar.S.L7 -0.2216 0.439 -0.505 0.613 -1.081 0.638
ma.S.L7 -0.7226 1.926 -0.375 0.707 -4.497 3.052
sigma2 0.6467 0.907 0.713 0.476 -1.132 2.425
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 1.33
Prob(Q): 0.65 Prob(JB): 0.52
Heteroskedasticity (H): 0.71 Skew: -0.78
Prob(H) (two-sided): 0.75 Kurtosis: 2.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.92997337025754, Current Price: 120.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.754
Date: Wed, 09 Oct 2024 AIC 43.509
Time: 14:40:20 BIC 46.334
Sample: 0 HQIC 42.928
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1157 78.766 -0.001 0.999 -154.493 154.262
ma.L1 0.1213 78.766 0.002 0.999 -154.258 154.500
ar.S.L7 -0.1575 0.441 -0.357 0.721 -1.023 0.708
ma.S.L7 -1.0001 2.02e+04 -4.95e-05 1.000 -3.96e+04 3.96e+04
sigma2 0.4643 9387.173 4.95e-05 1.000 -1.84e+04 1.84e+04
===================================================================================
Ljung-Box (L1) (Q): 1.40 Jarque-Bera (JB): 2.04
Prob(Q): 0.24 Prob(JB): 0.36
Heteroskedasticity (H): 0.49 Skew: -0.97
Prob(H) (two-sided): 0.51 Kurtosis: 3.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.40393083786263, Current Price: 119.34
BUY EXECUTED at 119.34
BUY ORDER COMPLETED at 118.71
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.945
Date: Wed, 09 Oct 2024 AIC 41.889
Time: 14:40:20 BIC 44.714
Sample: 0 HQIC 41.309
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4574 0.258 -1.770 0.077 -0.964 0.049
ma.L1 0.5680 0.500 1.135 0.256 -0.413 1.549
ar.S.L7 -0.7515 0.622 -1.208 0.227 -1.971 0.468
ma.S.L7 -0.1166 0.646 -0.180 0.857 -1.383 1.150
sigma2 0.6705 0.515 1.302 0.193 -0.339 1.680
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 0.81
Prob(Q): 0.67 Prob(JB): 0.67
Heteroskedasticity (H): 0.80 Skew: -0.07
Prob(H) (two-sided): 0.84 Kurtosis: 1.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.6479776938158, Current Price: 118.52
SELL EXECUTED at 118.52
SELL ORDER COMPLETED at 118.62
OPERATION PROFIT, GROSS -0.0899999999999892, NET -0.3273299999999892
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.743
Date: Wed, 09 Oct 2024 AIC 39.486
Time: 14:40:20 BIC 42.311
Sample: 0 HQIC 38.905
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3005 1.056 -0.285 0.776 -2.370 1.769
ma.L1 0.4847 0.912 0.532 0.595 -1.302 2.272
ar.S.L7 -0.4262 0.529 -0.806 0.420 -1.462 0.610
ma.S.L7 -0.7118 2.981 -0.239 0.811 -6.554 5.131
sigma2 0.4427 0.862 0.514 0.607 -1.247 2.132
===================================================================================
Ljung-Box (L1) (Q): 2.04 Jarque-Bera (JB): 0.20
Prob(Q): 0.15 Prob(JB): 0.90
Heteroskedasticity (H): 2.26 Skew: 0.06
Prob(H) (two-sided): 0.45 Kurtosis: 2.40
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.48537020098347, Current Price: 118.35
BUY EXECUTED at 118.35
BUY ORDER COMPLETED at 118.18
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.697
Date: Wed, 09 Oct 2024 AIC 39.394
Time: 14:40:20 BIC 42.219
Sample: 0 HQIC 38.814
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5261 1.204 -0.437 0.662 -2.886 1.834
ma.L1 0.4570 1.338 0.341 0.733 -2.166 3.080
ar.S.L7 -0.8187 0.323 -2.535 0.011 -1.452 -0.186
ma.S.L7 1.7228 4.772 0.361 0.718 -7.631 11.076
sigma2 0.1581 0.659 0.240 0.810 -1.133 1.449
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 0.97
Prob(Q): 0.67 Prob(JB): 0.62
Heteroskedasticity (H): 1.81 Skew: -0.24
Prob(H) (two-sided): 0.58 Kurtosis: 1.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.60975603819034, Current Price: 118.06
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.419
Date: Wed, 09 Oct 2024 AIC 38.839
Time: 14:40:20 BIC 41.664
Sample: 0 HQIC 38.258
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2342 17.512 -0.013 0.989 -34.556 34.088
ma.L1 4.0434 287.496 0.014 0.989 -559.438 567.524
ar.S.L7 -0.7708 0.258 -2.986 0.003 -1.277 -0.265
ma.S.L7 1.0747 10.565 0.102 0.919 -19.633 21.782
sigma2 0.0183 2.582 0.007 0.994 -5.041 5.078
===================================================================================
Ljung-Box (L1) (Q): 0.28 Jarque-Bera (JB): 0.60
Prob(Q): 0.60 Prob(JB): 0.74
Heteroskedasticity (H): 2.12 Skew: -0.10
Prob(H) (two-sided): 0.49 Kurtosis: 1.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.24678163914288, Current Price: 118.1
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.836
Date: Wed, 09 Oct 2024 AIC 37.673
Time: 14:40:20 BIC 40.498
Sample: 0 HQIC 37.092
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4618 1.027 -0.450 0.653 -2.475 1.552
ma.L1 0.3768 1.125 0.335 0.738 -1.829 2.583
ar.S.L7 -0.7069 0.174 -4.058 0.000 -1.048 -0.365
ma.S.L7 1.6450 3.800 0.433 0.665 -5.803 9.093
sigma2 0.1490 0.562 0.265 0.791 -0.953 1.251
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.46
Prob(Q): 0.84 Prob(JB): 0.80
Heteroskedasticity (H): 1.88 Skew: -0.06
Prob(H) (two-sided): 0.56 Kurtosis: 2.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.9164587431321, Current Price: 116.41
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.426
Date: Wed, 09 Oct 2024 AIC 44.852
Time: 14:40:20 BIC 47.677
Sample: 0 HQIC 44.272
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4407 0.272 -1.622 0.105 -0.973 0.092
ma.L1 3.4081 7.181 0.475 0.635 -10.667 17.483
ar.S.L7 -0.7005 0.379 -1.846 0.065 -1.444 0.043
ma.S.L7 -0.4852 1.314 -0.369 0.712 -3.061 2.091
sigma2 0.0651 0.332 0.196 0.844 -0.585 0.715
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.73
Prob(Q): 0.94 Prob(JB): 0.69
Heteroskedasticity (H): 3.84 Skew: 0.11
Prob(H) (two-sided): 0.22 Kurtosis: 1.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.63295727373442, Current Price: 115.19
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.675
Date: Wed, 09 Oct 2024 AIC 45.351
Time: 14:40:20 BIC 48.176
Sample: 0 HQIC 44.770
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0783 1.437 0.054 0.957 -2.739 2.895
ma.L1 0.1279 1.359 0.094 0.925 -2.536 2.792
ar.S.L7 -7.487e-06 0.038 -0.000 1.000 -0.075 0.074
ma.S.L7 -1.0009 768.108 -0.001 0.999 -1506.464 1504.462
sigma2 0.6307 484.440 0.001 0.999 -948.854 950.115
===================================================================================
Ljung-Box (L1) (Q): 0.64 Jarque-Bera (JB): 0.64
Prob(Q): 0.43 Prob(JB): 0.73
Heteroskedasticity (H): 1.57 Skew: 0.39
Prob(H) (two-sided): 0.67 Kurtosis: 2.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.19170381369186, Current Price: 112.66
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.125
Date: Wed, 09 Oct 2024 AIC 46.251
Time: 14:40:20 BIC 49.076
Sample: 0 HQIC 45.670
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.1253 0.244 4.613 0.000 0.647 1.603
ma.L1 -0.6810 0.406 -1.677 0.094 -1.477 0.115
ar.S.L7 -0.6324 0.274 -2.306 0.021 -1.170 -0.095
ma.S.L7 0.3519 0.596 0.591 0.555 -0.816 1.520
sigma2 0.8822 0.664 1.329 0.184 -0.419 2.183
===================================================================================
Ljung-Box (L1) (Q): 5.20 Jarque-Bera (JB): 0.57
Prob(Q): 0.02 Prob(JB): 0.75
Heteroskedasticity (H): 1.12 Skew: 0.23
Prob(H) (two-sided): 0.91 Kurtosis: 2.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.28041340834402, Current Price: 112.15
SELL EXECUTED at 112.15
SELL ORDER COMPLETED at 112.12
OPERATION PROFIT, GROSS -6.060000000000002, NET -6.290300000000002
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.496
Date: Wed, 09 Oct 2024 AIC 46.992
Time: 14:40:20 BIC 49.817
Sample: 0 HQIC 46.411
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9486 0.629 1.508 0.131 -0.284 2.181
ma.L1 -0.6318 0.997 -0.633 0.526 -2.587 1.323
ar.S.L7 -0.4844 0.673 -0.720 0.472 -1.803 0.834
ma.S.L7 0.2238 0.872 0.257 0.798 -1.486 1.934
sigma2 0.9722 0.612 1.589 0.112 -0.227 2.171
===================================================================================
Ljung-Box (L1) (Q): 2.82 Jarque-Bera (JB): 0.20
Prob(Q): 0.09 Prob(JB): 0.91
Heteroskedasticity (H): 3.02 Skew: 0.09
Prob(H) (two-sided): 0.31 Kurtosis: 2.42
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.13381984982985, Current Price: 112.22
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.187
Date: Wed, 09 Oct 2024 AIC 46.373
Time: 14:40:20 BIC 49.198
Sample: 0 HQIC 45.793
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9975 0.286 3.482 0.000 0.436 1.559
ma.L1 -1.0000 1.03e+04 -9.68e-05 1.000 -2.02e+04 2.02e+04
ar.S.L7 -0.1457 0.762 -0.191 0.848 -1.638 1.347
ma.S.L7 -0.4446 1.302 -0.342 0.733 -2.996 2.107
sigma2 0.7246 7485.142 9.68e-05 1.000 -1.47e+04 1.47e+04
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.60
Prob(Q): 0.82 Prob(JB): 0.74
Heteroskedasticity (H): 1.52 Skew: -0.18
Prob(H) (two-sided): 0.70 Kurtosis: 2.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.21420166816478, Current Price: 109.79
BUY EXECUTED at 109.79
BUY ORDER COMPLETED at 109.92
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.987
Date: Wed, 09 Oct 2024 AIC 47.973
Time: 14:40:20 BIC 50.798
Sample: 0 HQIC 47.393
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.0466 0.226 4.625 0.000 0.603 1.490
ma.L1 -1.0000 2.08e+04 -4.81e-05 1.000 -4.07e+04 4.07e+04
ar.S.L7 -0.1585 1.072 -0.148 0.882 -2.260 1.943
ma.S.L7 -0.4568 1.965 -0.233 0.816 -4.308 3.394
sigma2 0.8143 1.69e+04 4.81e-05 1.000 -3.32e+04 3.32e+04
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 0.76
Prob(Q): 0.65 Prob(JB): 0.68
Heteroskedasticity (H): 2.39 Skew: 0.03
Prob(H) (two-sided): 0.42 Kurtosis: 1.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 108.43638817669996, Current Price: 109.88
SELL EXECUTED at 109.88
SELL ORDER COMPLETED at 110.78
OPERATION PROFIT, GROSS 0.8599999999999994, NET 0.6392999999999994
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.902
Date: Wed, 09 Oct 2024 AIC 47.804
Time: 14:40:20 BIC 50.629
Sample: 0 HQIC 47.223
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9963 0.199 5.006 0.000 0.606 1.386
ma.L1 -1.0000 6418.223 -0.000 1.000 -1.26e+04 1.26e+04
ar.S.L7 -0.1392 0.913 -0.153 0.879 -1.928 1.649
ma.S.L7 -0.2183 1.010 -0.216 0.829 -2.197 1.760
sigma2 0.8838 5672.629 0.000 1.000 -1.11e+04 1.11e+04
===================================================================================
Ljung-Box (L1) (Q): 1.67 Jarque-Bera (JB): 1.00
Prob(Q): 0.20 Prob(JB): 0.61
Heteroskedasticity (H): 3.08 Skew: -0.13
Prob(H) (two-sided): 0.30 Kurtosis: 1.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 108.13273368770754, Current Price: 112.95
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.792
Date: Wed, 09 Oct 2024 AIC 55.584
Time: 14:40:20 BIC 58.409
Sample: 0 HQIC 55.003
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3259 0.547 -0.596 0.551 -1.398 0.746
ma.L1 1.0000 3120.430 0.000 1.000 -6114.931 6116.931
ar.S.L7 -0.7768 0.286 -2.718 0.007 -1.337 -0.217
ma.S.L7 -0.1354 0.765 -0.177 0.860 -1.635 1.364
sigma2 1.7563 5480.116 0.000 1.000 -1.07e+04 1.07e+04
===================================================================================
Ljung-Box (L1) (Q): 0.51 Jarque-Bera (JB): 0.66
Prob(Q): 0.48 Prob(JB): 0.72
Heteroskedasticity (H): 2.14 Skew: 0.31
Prob(H) (two-sided): 0.48 Kurtosis: 2.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.13447556955177, Current Price: 110.46
BUY EXECUTED at 110.46
BUY ORDER COMPLETED at 111.08
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.116
Date: Wed, 09 Oct 2024 AIC 60.232
Time: 14:40:20 BIC 63.057
Sample: 0 HQIC 59.652
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4421 1.086 -0.407 0.684 -2.571 1.687
ma.L1 0.6833 1.100 0.621 0.534 -1.472 2.839
ar.S.L7 -0.5214 1.093 -0.477 0.633 -2.663 1.620
ma.S.L7 -0.0394 1.425 -0.028 0.978 -2.833 2.754
sigma2 2.7701 1.461 1.897 0.058 -0.093 5.633
===================================================================================
Ljung-Box (L1) (Q): 0.93 Jarque-Bera (JB): 1.09
Prob(Q): 0.34 Prob(JB): 0.58
Heteroskedasticity (H): 10.55 Skew: 0.69
Prob(H) (two-sided): 0.04 Kurtosis: 3.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 108.08921804092557, Current Price: 112.04
SELL EXECUTED at 112.04
SELL ORDER COMPLETED at 112.05
OPERATION PROFIT, GROSS 0.9699999999999989, NET 0.7468699999999988
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.846
Date: Wed, 09 Oct 2024 AIC 61.691
Time: 14:40:20 BIC 64.516
Sample: 0 HQIC 61.111
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5097 0.388 -1.315 0.188 -1.269 0.250
ma.L1 0.4294 0.454 0.946 0.344 -0.460 1.319
ar.S.L7 -0.5416 1.255 -0.432 0.666 -3.002 1.918
ma.S.L7 -1.0025 728.323 -0.001 0.999 -1428.489 1426.484
sigma2 1.8208 1327.899 0.001 0.999 -2600.813 2604.455
===================================================================================
Ljung-Box (L1) (Q): 1.62 Jarque-Bera (JB): 0.60
Prob(Q): 0.20 Prob(JB): 0.74
Heteroskedasticity (H): 2.80 Skew: 0.52
Prob(H) (two-sided): 0.34 Kurtosis: 2.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.38030204496927, Current Price: 111.5
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.362
Date: Wed, 09 Oct 2024 AIC 60.724
Time: 14:40:20 BIC 63.549
Sample: 0 HQIC 60.144
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3512 5.237 0.067 0.947 -9.913 10.616
ma.L1 -0.3090 5.288 -0.058 0.953 -10.674 10.056
ar.S.L7 -0.6556 0.554 -1.183 0.237 -1.742 0.431
ma.S.L7 -1.0001 1.33e+04 -7.54e-05 1.000 -2.6e+04 2.6e+04
sigma2 1.7451 2.31e+04 7.54e-05 1.000 -4.54e+04 4.54e+04
===================================================================================
Ljung-Box (L1) (Q): 1.79 Jarque-Bera (JB): 0.33
Prob(Q): 0.18 Prob(JB): 0.85
Heteroskedasticity (H): 3.35 Skew: 0.14
Prob(H) (two-sided): 0.27 Kurtosis: 2.27
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.9302739647846, Current Price: 111.67
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.437
Date: Wed, 09 Oct 2024 AIC 56.875
Time: 14:40:20 BIC 59.699
Sample: 0 HQIC 56.294
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8408 0.179 4.694 0.000 0.490 1.192
ma.L1 -1.0000 4663.179 -0.000 1.000 -9140.664 9138.664
ar.S.L7 -1.1817 0.620 -1.905 0.057 -2.397 0.034
ma.S.L7 -1.0007 1371.590 -0.001 0.999 -2689.267 2687.266
sigma2 1.0431 5522.916 0.000 1.000 -1.08e+04 1.08e+04
===================================================================================
Ljung-Box (L1) (Q): 1.08 Jarque-Bera (JB): 0.82
Prob(Q): 0.30 Prob(JB): 0.66
Heteroskedasticity (H): 1.19 Skew: -0.54
Prob(H) (two-sided): 0.87 Kurtosis: 2.43
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.67638105819385, Current Price: 114.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.007
Date: Wed, 09 Oct 2024 AIC 58.013
Time: 14:40:20 BIC 60.838
Sample: 0 HQIC 57.433
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8264 0.233 3.547 0.000 0.370 1.283
ma.L1 -1.0000 8867.278 -0.000 1.000 -1.74e+04 1.74e+04
ar.S.L7 -1.4232 0.699 -2.035 0.042 -2.794 -0.053
ma.S.L7 -1.0002 5929.687 -0.000 1.000 -1.16e+04 1.16e+04
sigma2 1.1391 1.5e+04 7.61e-05 1.000 -2.94e+04 2.94e+04
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 1.28
Prob(Q): 0.69 Prob(JB): 0.53
Heteroskedasticity (H): 0.35 Skew: -0.74
Prob(H) (two-sided): 0.34 Kurtosis: 2.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.58803192473572, Current Price: 114.05
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.894
Date: Wed, 09 Oct 2024 AIC 57.788
Time: 14:40:21 BIC 60.613
Sample: 0 HQIC 57.207
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7774 0.365 2.129 0.033 0.062 1.493
ma.L1 -1.0001 3536.049 -0.000 1.000 -6931.528 6929.528
ar.S.L7 -1.3404 0.813 -1.648 0.099 -2.935 0.254
ma.S.L7 -1.0005 1992.258 -0.001 1.000 -3905.754 3903.754
sigma2 1.1192 5078.046 0.000 1.000 -9951.668 9953.907
===================================================================================
Ljung-Box (L1) (Q): 0.35 Jarque-Bera (JB): 1.68
Prob(Q): 0.55 Prob(JB): 0.43
Heteroskedasticity (H): 0.40 Skew: -0.83
Prob(H) (two-sided): 0.39 Kurtosis: 2.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 109.34208908613746, Current Price: 115.05
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.611
Date: Wed, 09 Oct 2024 AIC 63.222
Time: 14:40:21 BIC 66.046
Sample: 0 HQIC 62.641
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6358 0.639 0.995 0.320 -0.616 1.888
ma.L1 -1.5454 1.350 -1.144 0.252 -4.192 1.102
ar.S.L7 -0.7914 0.570 -1.388 0.165 -1.909 0.326
ma.S.L7 -0.2766 0.718 -0.385 0.700 -1.684 1.131
sigma2 1.3941 2.601 0.536 0.592 -3.704 6.493
===================================================================================
Ljung-Box (L1) (Q): 1.87 Jarque-Bera (JB): 0.65
Prob(Q): 0.17 Prob(JB): 0.72
Heteroskedasticity (H): 1.62 Skew: -0.06
Prob(H) (two-sided): 0.65 Kurtosis: 1.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.16480872763948, Current Price: 113.68
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.276
Date: Wed, 09 Oct 2024 AIC 60.552
Time: 14:40:21 BIC 63.376
Sample: 0 HQIC 59.971
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4890 0.390 1.253 0.210 -0.276 1.254
ma.L1 -1.7532 1.167 -1.502 0.133 -4.040 0.534
ar.S.L7 -0.8535 0.552 -1.545 0.122 -1.936 0.229
ma.S.L7 -0.4639 1.157 -0.401 0.688 -2.732 1.804
sigma2 0.8212 1.425 0.576 0.564 -1.971 3.614
===================================================================================
Ljung-Box (L1) (Q): 1.89 Jarque-Bera (JB): 0.33
Prob(Q): 0.17 Prob(JB): 0.85
Heteroskedasticity (H): 3.07 Skew: 0.08
Prob(H) (two-sided): 0.30 Kurtosis: 2.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.87137405202952, Current Price: 114.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.919
Date: Wed, 09 Oct 2024 AIC 61.838
Time: 14:40:21 BIC 64.662
Sample: 0 HQIC 61.257
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3662 2.276 -0.161 0.872 -4.828 4.096
ma.L1 0.0516 1.839 0.028 0.978 -3.554 3.657
ar.S.L7 -0.6247 0.738 -0.847 0.397 -2.071 0.822
ma.S.L7 -0.5881 2.161 -0.272 0.786 -4.824 3.648
sigma2 2.6945 3.463 0.778 0.437 -4.094 9.483
===================================================================================
Ljung-Box (L1) (Q): 0.30 Jarque-Bera (JB): 0.31
Prob(Q): 0.58 Prob(JB): 0.86
Heteroskedasticity (H): 1.01 Skew: -0.05
Prob(H) (two-sided): 1.00 Kurtosis: 2.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.3265487721225, Current Price: 115.39
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -48.618
Date: Wed, 09 Oct 2024 AIC 107.235
Time: 14:40:21 BIC 110.060
Sample: 0 HQIC 106.654
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.1682 0.562 -2.080 0.038 -2.269 -0.067
ma.L1 1.2392 0.849 1.459 0.145 -0.426 2.904
ar.S.L7 3.8755 2.501 1.550 0.121 -1.026 8.777
ma.S.L7 -0.6076 2.989 -0.203 0.839 -6.466 5.251
sigma2 87.8058 274.018 0.320 0.749 -449.259 624.870
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.18
Prob(Q): 0.98 Prob(JB): 0.91
Heteroskedasticity (H): 1.57 Skew: -0.20
Prob(H) (two-sided): 0.67 Kurtosis: 2.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 108.33396540654483, Current Price: 115.11
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.227
Date: Wed, 09 Oct 2024 AIC 62.453
Time: 14:40:21 BIC 65.278
Sample: 0 HQIC 61.873
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3355 1.641 -0.204 0.838 -3.551 2.880
ma.L1 0.1257 1.827 0.069 0.945 -3.454 3.706
ar.S.L7 -0.7284 0.344 -2.117 0.034 -1.403 -0.054
ma.S.L7 0.0061 0.457 0.013 0.989 -0.889 0.902
sigma2 3.3100 1.691 1.957 0.050 -0.004 6.624
===================================================================================
Ljung-Box (L1) (Q): 5.79 Jarque-Bera (JB): 0.24
Prob(Q): 0.02 Prob(JB): 0.89
Heteroskedasticity (H): 0.55 Skew: 0.09
Prob(H) (two-sided): 0.58 Kurtosis: 2.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.22141210036798, Current Price: 115.38
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.582
Date: Wed, 09 Oct 2024 AIC 61.165
Time: 14:40:21 BIC 63.990
Sample: 0 HQIC 60.584
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5120 0.295 -1.733 0.083 -1.091 0.067
ma.L1 0.1891 0.493 0.383 0.702 -0.778 1.156
ar.S.L7 -0.8466 0.230 -3.677 0.000 -1.298 -0.395
ma.S.L7 1.0000 8.21e+04 1.22e-05 1.000 -1.61e+05 1.61e+05
sigma2 1.7150 1.41e+05 1.22e-05 1.000 -2.76e+05 2.76e+05
===================================================================================
Ljung-Box (L1) (Q): 0.84 Jarque-Bera (JB): 0.18
Prob(Q): 0.36 Prob(JB): 0.92
Heteroskedasticity (H): 0.59 Skew: -0.05
Prob(H) (two-sided): 0.62 Kurtosis: 2.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.57423416940826, Current Price: 115.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.792
Date: Wed, 09 Oct 2024 AIC 55.583
Time: 14:40:21 BIC 58.408
Sample: 0 HQIC 55.002
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3647 1.619 -0.225 0.822 -3.538 2.808
ma.L1 0.1453 1.762 0.082 0.934 -3.309 3.599
ar.S.L7 -0.7580 0.192 -3.945 0.000 -1.135 -0.381
ma.S.L7 1.0000 3.5e+04 2.86e-05 1.000 -6.86e+04 6.86e+04
sigma2 1.1749 4.11e+04 2.86e-05 1.000 -8.06e+04 8.06e+04
===================================================================================
Ljung-Box (L1) (Q): 0.37 Jarque-Bera (JB): 0.34
Prob(Q): 0.54 Prob(JB): 0.84
Heteroskedasticity (H): 0.30 Skew: 0.39
Prob(H) (two-sided): 0.27 Kurtosis: 2.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.7437852683366, Current Price: 112.11
BUY EXECUTED at 112.11
BUY ORDER COMPLETED at 113.8
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.949
Date: Wed, 09 Oct 2024 AIC 63.897
Time: 14:40:21 BIC 66.722
Sample: 0 HQIC 63.316
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7310 0.303 2.414 0.016 0.138 1.324
ma.L1 -1.0000 1.79e+04 -5.6e-05 1.000 -3.5e+04 3.5e+04
ar.S.L7 -0.4079 0.526 -0.775 0.438 -1.439 0.623
ma.S.L7 0.0451 1.249 0.036 0.971 -2.403 2.493
sigma2 3.1757 5.67e+04 5.6e-05 1.000 -1.11e+05 1.11e+05
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 3.64
Prob(Q): 0.72 Prob(JB): 0.16
Heteroskedasticity (H): 1.21 Skew: -0.85
Prob(H) (two-sided): 0.86 Kurtosis: 4.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.1169300690153, Current Price: 116.58
SELL EXECUTED at 116.58
SELL ORDER COMPLETED at 115.13
OPERATION PROFIT, GROSS 1.3299999999999983, NET 1.1010699999999982
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.273
Date: Wed, 09 Oct 2024 AIC 68.546
Time: 14:40:21 BIC 71.371
Sample: 0 HQIC 67.966
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4623 2.121 -0.218 0.828 -4.620 3.696
ma.L1 -0.0217 1.845 -0.012 0.991 -3.638 3.594
ar.S.L7 -0.4255 0.304 -1.398 0.162 -1.022 0.171
ma.S.L7 0.3552 0.864 0.411 0.681 -1.337 2.048
sigma2 5.0219 2.849 1.763 0.078 -0.562 10.606
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 1.00
Prob(Q): 0.77 Prob(JB): 0.61
Heteroskedasticity (H): 1.80 Skew: -0.60
Prob(H) (two-sided): 0.58 Kurtosis: 3.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.22679090656524, Current Price: 115.14
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.021
Date: Wed, 09 Oct 2024 AIC 68.043
Time: 14:40:21 BIC 70.867
Sample: 0 HQIC 67.462
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4695 1.177 -0.399 0.690 -2.776 1.836
ma.L1 -0.0583 1.077 -0.054 0.957 -2.168 2.052
ar.S.L7 -0.4012 0.271 -1.478 0.139 -0.933 0.131
ma.S.L7 0.2700 0.775 0.348 0.728 -1.249 1.789
sigma2 4.9585 2.695 1.840 0.066 -0.325 10.242
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.75
Prob(Q): 0.80 Prob(JB): 0.69
Heteroskedasticity (H): 1.62 Skew: -0.48
Prob(H) (two-sided): 0.65 Kurtosis: 3.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.8690132006875, Current Price: 116.33
BUY EXECUTED at 116.33
BUY ORDER COMPLETED at 116.01
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.108
Date: Wed, 09 Oct 2024 AIC 68.216
Time: 14:40:21 BIC 71.040
Sample: 0 HQIC 67.635
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3685 3.171 -0.116 0.908 -6.584 5.847
ma.L1 -0.2289 3.054 -0.075 0.940 -6.214 5.757
ar.S.L7 -0.3090 0.570 -0.542 0.588 -1.426 0.808
ma.S.L7 -0.1010 1.927 -0.052 0.958 -3.878 3.676
sigma2 5.1356 2.282 2.251 0.024 0.664 9.607
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 1.74
Prob(Q): 0.81 Prob(JB): 0.42
Heteroskedasticity (H): 1.30 Skew: -0.61
Prob(H) (two-sided): 0.81 Kurtosis: 4.31
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.77536235880116, Current Price: 115.88
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.014
Date: Wed, 09 Oct 2024 AIC 62.027
Time: 14:40:21 BIC 64.852
Sample: 0 HQIC 61.447
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0362 0.505 0.072 0.943 -0.954 1.026
ma.L1 -1.0000 3.19e+04 -3.13e-05 1.000 -6.26e+04 6.26e+04
ar.S.L7 -0.1115 0.238 -0.468 0.640 -0.579 0.356
ma.S.L7 -0.3463 1.298 -0.267 0.790 -2.891 2.198
sigma2 2.6143 8.35e+04 3.13e-05 1.000 -1.64e+05 1.64e+05
===================================================================================
Ljung-Box (L1) (Q): 0.82 Jarque-Bera (JB): 11.29
Prob(Q): 0.36 Prob(JB): 0.00
Heteroskedasticity (H): 0.67 Skew: -1.68
Prob(H) (two-sided): 0.70 Kurtosis: 6.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.74459873696625, Current Price: 114.43
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.807
Date: Wed, 09 Oct 2024 AIC 61.615
Time: 14:40:21 BIC 64.439
Sample: 0 HQIC 61.034
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2888 2.233 -0.129 0.897 -4.665 4.087
ma.L1 -0.6566 1.888 -0.348 0.728 -4.356 3.043
ar.S.L7 -0.1620 0.489 -0.331 0.740 -1.120 0.796
ma.S.L7 -0.0815 1.125 -0.072 0.942 -2.286 2.123
sigma2 3.0638 1.282 2.390 0.017 0.551 5.576
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 7.28
Prob(Q): 0.98 Prob(JB): 0.03
Heteroskedasticity (H): 1.30 Skew: -1.53
Prob(H) (two-sided): 0.81 Kurtosis: 5.02
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.3038438130518, Current Price: 115.78
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.299
Date: Wed, 09 Oct 2024 AIC 58.597
Time: 14:40:21 BIC 61.422
Sample: 0 HQIC 58.016
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3512 1.833 -0.192 0.848 -3.943 3.241
ma.L1 -0.5868 1.397 -0.420 0.675 -3.326 2.152
ar.S.L7 -0.1484 0.205 -0.724 0.469 -0.550 0.253
ma.S.L7 1.0000 9.86e+04 1.01e-05 1.000 -1.93e+05 1.93e+05
sigma2 1.4800 1.46e+05 1.01e-05 1.000 -2.86e+05 2.86e+05
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 3.01
Prob(Q): 0.70 Prob(JB): 0.22
Heteroskedasticity (H): 1.10 Skew: -1.02
Prob(H) (two-sided): 0.93 Kurtosis: 4.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.24474994995118, Current Price: 118.19
SELL EXECUTED at 118.19
SELL ORDER COMPLETED at 118.15
OPERATION PROFIT, GROSS 2.1400000000000006, NET 1.9058400000000006
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.753
Date: Wed, 09 Oct 2024 AIC 63.507
Time: 14:40:21 BIC 66.331
Sample: 0 HQIC 62.926
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1960 0.733 -0.267 0.789 -1.633 1.242
ma.L1 -1.0000 1.29e+05 -7.76e-06 1.000 -2.53e+05 2.53e+05
ar.S.L7 -0.3036 0.316 -0.961 0.336 -0.923 0.315
ma.S.L7 -0.5515 1.101 -0.501 0.617 -2.710 1.607
sigma2 2.6345 3.4e+05 7.76e-06 1.000 -6.66e+05 6.66e+05
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 7.18
Prob(Q): 0.94 Prob(JB): 0.03
Heteroskedasticity (H): 1.45 Skew: -1.59
Prob(H) (two-sided): 0.73 Kurtosis: 4.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.22044660136336, Current Price: 117.96
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.837
Date: Wed, 09 Oct 2024 AIC 63.673
Time: 14:40:21 BIC 66.498
Sample: 0 HQIC 63.093
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1757 0.482 -0.365 0.715 -1.120 0.768
ma.L1 -1.0000 1.35e+04 -7.39e-05 1.000 -2.65e+04 2.65e+04
ar.S.L7 -0.3823 0.538 -0.711 0.477 -1.436 0.671
ma.S.L7 -0.2856 0.613 -0.466 0.642 -1.488 0.917
sigma2 3.0059 4.07e+04 7.39e-05 1.000 -7.97e+04 7.97e+04
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 5.82
Prob(Q): 0.79 Prob(JB): 0.05
Heteroskedasticity (H): 2.18 Skew: -1.48
Prob(H) (two-sided): 0.47 Kurtosis: 4.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.03518631990237, Current Price: 117.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.473
Date: Wed, 09 Oct 2024 AIC 58.947
Time: 14:40:21 BIC 61.772
Sample: 0 HQIC 58.366
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2962 0.569 -0.520 0.603 -1.412 0.819
ma.L1 -1.0000 1.09e+04 -9.2e-05 1.000 -2.13e+04 2.13e+04
ar.S.L7 -0.5879 0.339 -1.734 0.083 -1.253 0.077
ma.S.L7 -1.0001 1.53e+04 -6.54e-05 1.000 -3e+04 3e+04
sigma2 1.2775 2.71e+04 4.72e-05 1.000 -5.31e+04 5.31e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 2.91
Prob(Q): 0.98 Prob(JB): 0.23
Heteroskedasticity (H): 0.32 Skew: -1.15
Prob(H) (two-sided): 0.29 Kurtosis: 3.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.51532060148782, Current Price: 117.41
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.199
Date: Wed, 09 Oct 2024 AIC 60.399
Time: 14:40:21 BIC 63.224
Sample: 0 HQIC 59.818
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2744 0.533 -0.515 0.607 -1.319 0.770
ma.L1 -1.0000 2.23e+04 -4.49e-05 1.000 -4.37e+04 4.37e+04
ar.S.L7 -0.5413 2.005 -0.270 0.787 -4.471 3.389
ma.S.L7 -1.0001 1.25e+04 -8.02e-05 1.000 -2.44e+04 2.44e+04
sigma2 1.4287 3.28e+04 4.36e-05 1.000 -6.42e+04 6.42e+04
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 3.69
Prob(Q): 0.66 Prob(JB): 0.16
Heteroskedasticity (H): 0.19 Skew: -1.23
Prob(H) (two-sided): 0.13 Kurtosis: 3.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.57973265863316, Current Price: 114.39
BUY EXECUTED at 114.39
BUY ORDER COMPLETED at 116.28
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.140
Date: Wed, 09 Oct 2024 AIC 64.281
Time: 14:40:21 BIC 67.105
Sample: 0 HQIC 63.700
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2593 0.686 -0.378 0.705 -1.603 1.084
ma.L1 -1.0000 1.42e+04 -7.02e-05 1.000 -2.79e+04 2.79e+04
ar.S.L7 -0.4691 0.817 -0.574 0.566 -2.071 1.133
ma.S.L7 -1.0001 1.36e+04 -7.33e-05 1.000 -2.68e+04 2.67e+04
sigma2 1.9267 3.63e+04 5.3e-05 1.000 -7.12e+04 7.12e+04
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 1.59
Prob(Q): 0.77 Prob(JB): 0.45
Heteroskedasticity (H): 0.72 Skew: -0.84
Prob(H) (two-sided): 0.76 Kurtosis: 2.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.1243529539837, Current Price: 114.95
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.623
Date: Wed, 09 Oct 2024 AIC 65.246
Time: 14:40:21 BIC 68.071
Sample: 0 HQIC 64.666
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0262 0.509 0.051 0.959 -0.971 1.023
ma.L1 -1.0000 1.29e+04 -7.73e-05 1.000 -2.54e+04 2.54e+04
ar.S.L7 -0.1380 0.376 -0.367 0.714 -0.875 0.599
ma.S.L7 -1.0003 3024.136 -0.000 1.000 -5928.199 5926.198
sigma2 2.0896 2.38e+04 8.77e-05 1.000 -4.67e+04 4.67e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.57
Prob(Q): 0.99 Prob(JB): 0.75
Heteroskedasticity (H): 0.66 Skew: -0.26
Prob(H) (two-sided): 0.69 Kurtosis: 2.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.89157171690472, Current Price: 114.27
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.163
Date: Wed, 09 Oct 2024 AIC 62.325
Time: 14:40:21 BIC 65.150
Sample: 0 HQIC 61.745
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1446 0.858 -0.168 0.866 -1.827 1.537
ma.L1 -0.4108 0.905 -0.454 0.650 -2.184 1.362
ar.S.L7 -0.3136 0.382 -0.820 0.412 -1.063 0.436
ma.S.L7 -1.0000 1.81e+04 -5.53e-05 1.000 -3.54e+04 3.54e+04
sigma2 1.9731 3.57e+04 5.53e-05 1.000 -6.99e+04 6.99e+04
===================================================================================
Ljung-Box (L1) (Q): 1.72 Jarque-Bera (JB): 0.19
Prob(Q): 0.19 Prob(JB): 0.91
Heteroskedasticity (H): 1.57 Skew: 0.19
Prob(H) (two-sided): 0.67 Kurtosis: 2.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.21610754684177, Current Price: 115.15
SELL EXECUTED at 115.15
SELL ORDER COMPLETED at 115.06
OPERATION PROFIT, GROSS -1.2199999999999989, NET -1.451339999999999
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.410
Date: Wed, 09 Oct 2024 AIC 56.819
Time: 14:40:21 BIC 59.644
Sample: 0 HQIC 56.239
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4036 0.852 0.474 0.636 -1.266 2.073
ma.L1 -0.7713 0.868 -0.889 0.374 -2.472 0.929
ar.S.L7 -0.2692 0.337 -0.800 0.424 -0.929 0.391
ma.S.L7 -1.0001 7037.830 -0.000 1.000 -1.38e+04 1.38e+04
sigma2 1.2642 8897.721 0.000 1.000 -1.74e+04 1.74e+04
===================================================================================
Ljung-Box (L1) (Q): 0.48 Jarque-Bera (JB): 0.22
Prob(Q): 0.49 Prob(JB): 0.90
Heteroskedasticity (H): 1.96 Skew: -0.13
Prob(H) (two-sided): 0.53 Kurtosis: 2.42
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.32106170376689, Current Price: 114.77
BUY EXECUTED at 114.77
BUY ORDER COMPLETED at 114.81
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.904
Date: Wed, 09 Oct 2024 AIC 59.808
Time: 14:40:21 BIC 62.633
Sample: 0 HQIC 59.228
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2873 1.315 0.219 0.827 -2.289 2.864
ma.L1 -0.6819 1.023 -0.667 0.505 -2.686 1.322
ar.S.L7 -0.2637 0.313 -0.843 0.399 -0.877 0.349
ma.S.L7 -1.0001 6051.855 -0.000 1.000 -1.19e+04 1.19e+04
sigma2 1.6105 9746.636 0.000 1.000 -1.91e+04 1.91e+04
===================================================================================
Ljung-Box (L1) (Q): 0.65 Jarque-Bera (JB): 0.17
Prob(Q): 0.42 Prob(JB): 0.92
Heteroskedasticity (H): 1.27 Skew: 0.27
Prob(H) (two-sided): 0.82 Kurtosis: 2.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.25982993317005, Current Price: 112.55
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.469
Date: Wed, 09 Oct 2024 AIC 62.939
Time: 14:40:21 BIC 65.763
Sample: 0 HQIC 62.358
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2706 2.109 0.128 0.898 -3.863 4.405
ma.L1 -0.5144 1.895 -0.271 0.786 -4.228 3.199
ar.S.L7 -0.5604 0.394 -1.423 0.155 -1.332 0.211
ma.S.L7 0.1651 1.228 0.134 0.893 -2.241 2.571
sigma2 3.3986 2.597 1.309 0.191 -1.691 8.488
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 0.48
Prob(Q): 0.69 Prob(JB): 0.79
Heteroskedasticity (H): 0.59 Skew: 0.43
Prob(H) (two-sided): 0.62 Kurtosis: 2.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.50192130683637, Current Price: 112.74
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.479
Date: Wed, 09 Oct 2024 AIC 62.958
Time: 14:40:21 BIC 65.783
Sample: 0 HQIC 62.378
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3110 1.963 0.158 0.874 -3.537 4.159
ma.L1 -0.5165 1.777 -0.291 0.771 -3.999 2.966
ar.S.L7 -0.5502 0.224 -2.453 0.014 -0.990 -0.111
ma.S.L7 0.2071 0.931 0.222 0.824 -1.617 2.032
sigma2 3.3827 2.432 1.391 0.164 -1.384 8.149
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.78
Prob(Q): 0.75 Prob(JB): 0.68
Heteroskedasticity (H): 0.46 Skew: 0.59
Prob(H) (two-sided): 0.47 Kurtosis: 2.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.87860233805624, Current Price: 112.77
SELL EXECUTED at 112.77
SELL ORDER COMPLETED at 114.82
OPERATION PROFIT, GROSS 0.009999999999990905, NET -0.2196300000000091
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.121
Date: Wed, 09 Oct 2024 AIC 60.243
Time: 14:40:21 BIC 63.067
Sample: 0 HQIC 59.662
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3104 1.281 0.242 0.809 -2.201 2.822
ma.L1 -0.5698 1.036 -0.550 0.582 -2.600 1.461
ar.S.L7 -0.6518 0.257 -2.540 0.011 -1.155 -0.149
ma.S.L7 0.1265 0.674 0.188 0.851 -1.195 1.448
sigma2 2.7750 1.507 1.842 0.066 -0.178 5.728
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.34
Prob(Q): 0.93 Prob(JB): 0.84
Heteroskedasticity (H): 1.72 Skew: 0.12
Prob(H) (two-sided): 0.61 Kurtosis: 2.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.01611259800417, Current Price: 114.83
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.310
Date: Wed, 09 Oct 2024 AIC 62.621
Time: 14:40:21 BIC 65.445
Sample: 0 HQIC 62.040
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3693 1.796 0.206 0.837 -3.151 3.890
ma.L1 -0.4557 1.907 -0.239 0.811 -4.194 3.283
ar.S.L7 -0.6049 0.192 -3.154 0.002 -0.981 -0.229
ma.S.L7 0.2182 0.583 0.374 0.708 -0.925 1.362
sigma2 3.2947 2.273 1.450 0.147 -1.160 7.749
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.80
Prob(Q): 0.92 Prob(JB): 0.67
Heteroskedasticity (H): 1.10 Skew: 0.21
Prob(H) (two-sided): 0.93 Kurtosis: 1.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.80209961603781, Current Price: 113.67
BUY EXECUTED at 113.67
BUY ORDER COMPLETED at 114.99
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.413
Date: Wed, 09 Oct 2024 AIC 58.827
Time: 14:40:21 BIC 61.652
Sample: 0 HQIC 58.246
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3670 0.815 0.450 0.652 -1.230 1.964
ma.L1 -0.5796 0.746 -0.777 0.437 -2.042 0.883
ar.S.L7 -0.4525 0.333 -1.358 0.174 -1.105 0.200
ma.S.L7 0.0904 0.641 0.141 0.888 -1.166 1.347
sigma2 2.5024 1.694 1.477 0.140 -0.818 5.822
===================================================================================
Ljung-Box (L1) (Q): 0.26 Jarque-Bera (JB): 0.71
Prob(Q): 0.61 Prob(JB): 0.70
Heteroskedasticity (H): 0.97 Skew: 0.52
Prob(H) (two-sided): 0.98 Kurtosis: 2.51
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.20347965473871, Current Price: 115.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.476
Date: Wed, 09 Oct 2024 AIC 56.952
Time: 14:40:22 BIC 59.777
Sample: 0 HQIC 56.372
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2057 2.511 0.082 0.935 -4.715 5.127
ma.L1 -0.0875 2.469 -0.035 0.972 -4.927 4.752
ar.S.L7 -0.4271 0.301 -1.419 0.156 -1.017 0.163
ma.S.L7 0.3272 0.769 0.426 0.670 -1.180 1.834
sigma2 2.0732 1.330 1.559 0.119 -0.533 4.680
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.76
Prob(Q): 0.86 Prob(JB): 0.69
Heteroskedasticity (H): 1.25 Skew: 0.46
Prob(H) (two-sided): 0.84 Kurtosis: 2.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.40029159135918, Current Price: 113.58
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.904
Date: Wed, 09 Oct 2024 AIC 55.807
Time: 14:40:22 BIC 58.632
Sample: 0 HQIC 55.227
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7235 0.396 -1.828 0.068 -1.499 0.052
ma.L1 1.0016 31.495 0.032 0.975 -60.728 62.731
ar.S.L7 -2.804e-05 0.196 -0.000 1.000 -0.383 0.383
ma.S.L7 -4.1185 6.764 -0.609 0.543 -17.376 9.139
sigma2 0.1105 3.443 0.032 0.974 -6.638 6.859
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 0.81
Prob(Q): 0.64 Prob(JB): 0.67
Heteroskedasticity (H): 0.63 Skew: 0.47
Prob(H) (two-sided): 0.67 Kurtosis: 2.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.13235619593996, Current Price: 114.08
SELL EXECUTED at 114.08
SELL ORDER COMPLETED at 114.78
OPERATION PROFIT, GROSS -0.20999999999999375, NET -0.4397699999999938
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.614
Date: Wed, 09 Oct 2024 AIC 57.229
Time: 14:40:22 BIC 60.053
Sample: 0 HQIC 56.648
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6063 0.399 1.520 0.129 -0.176 1.388
ma.L1 -1.0002 633.866 -0.002 0.999 -1243.355 1241.354
ar.S.L7 -0.3656 0.344 -1.063 0.288 -1.040 0.308
ma.S.L7 -7.6286 33.212 -0.230 0.818 -72.724 57.466
sigma2 0.0319 20.281 0.002 0.999 -39.717 39.781
===================================================================================
Ljung-Box (L1) (Q): 0.29 Jarque-Bera (JB): 1.00
Prob(Q): 0.59 Prob(JB): 0.61
Heteroskedasticity (H): 0.63 Skew: 0.31
Prob(H) (two-sided): 0.67 Kurtosis: 1.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.80398077459354, Current Price: 115.8
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.212
Date: Wed, 09 Oct 2024 AIC 56.424
Time: 14:40:22 BIC 59.249
Sample: 0 HQIC 55.844
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3650 1.245 0.293 0.769 -2.075 2.805
ma.L1 -0.6903 1.176 -0.587 0.557 -2.995 1.614
ar.S.L7 -0.2611 0.295 -0.885 0.376 -0.839 0.317
ma.S.L7 -1.0005 1603.998 -0.001 1.000 -3144.778 3142.777
sigma2 1.2415 1991.747 0.001 1.000 -3902.510 3904.993
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 1.06
Prob(Q): 0.82 Prob(JB): 0.59
Heteroskedasticity (H): 1.34 Skew: 0.63
Prob(H) (two-sided): 0.78 Kurtosis: 2.38
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.83014235899032, Current Price: 117.12
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.923
Date: Wed, 09 Oct 2024 AIC 55.845
Time: 14:40:22 BIC 58.670
Sample: 0 HQIC 55.264
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5652 0.482 1.174 0.241 -0.379 1.509
ma.L1 -0.2508 0.579 -0.433 0.665 -1.386 0.884
ar.S.L7 -0.3520 0.166 -2.127 0.033 -0.676 -0.028
ma.S.L7 1.0002 4973.995 0.000 1.000 -9747.851 9749.852
sigma2 1.1504 5723.210 0.000 1.000 -1.12e+04 1.12e+04
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 1.00
Prob(Q): 0.81 Prob(JB): 0.61
Heteroskedasticity (H): 1.69 Skew: 0.66
Prob(H) (two-sided): 0.62 Kurtosis: 2.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.62470818994778, Current Price: 116.43
BUY EXECUTED at 116.43
BUY ORDER COMPLETED at 116.45
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.454
Date: Wed, 09 Oct 2024 AIC 58.908
Time: 14:40:22 BIC 61.733
Sample: 0 HQIC 58.328
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0714 1.951 0.037 0.971 -3.753 3.895
ma.L1 0.1427 1.840 0.078 0.938 -3.464 3.750
ar.S.L7 -0.2374 0.236 -1.005 0.315 -0.701 0.226
ma.S.L7 0.2642 0.801 0.330 0.741 -1.305 1.834
sigma2 2.4494 1.680 1.458 0.145 -0.842 5.741
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.20
Prob(Q): 0.91 Prob(JB): 0.90
Heteroskedasticity (H): 5.68 Skew: -0.21
Prob(H) (two-sided): 0.12 Kurtosis: 2.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.59892971188336, Current Price: 115.94
SELL EXECUTED at 115.94
SELL ORDER COMPLETED at 116.51
OPERATION PROFIT, GROSS 0.060000000000002274, NET -0.17295999999999773
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.760
Date: Wed, 09 Oct 2024 AIC 59.520
Time: 14:40:22 BIC 62.345
Sample: 0 HQIC 58.939
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0307 4.260 0.007 0.994 -8.319 8.381
ma.L1 0.0588 4.266 0.014 0.989 -8.303 8.421
ar.S.L7 -0.1793 0.360 -0.498 0.619 -0.885 0.527
ma.S.L7 -0.1195 0.529 -0.226 0.821 -1.156 0.917
sigma2 2.6269 2.158 1.218 0.223 -1.602 6.856
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 1.02
Prob(Q): 0.82 Prob(JB): 0.60
Heteroskedasticity (H): 1.23 Skew: -0.17
Prob(H) (two-sided): 0.85 Kurtosis: 1.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.36988377085106, Current Price: 117.26
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.357
Date: Wed, 09 Oct 2024 AIC 58.715
Time: 14:40:22 BIC 61.539
Sample: 0 HQIC 58.134
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0136 4.243 -0.003 0.997 -8.330 8.302
ma.L1 0.1128 4.168 0.027 0.978 -8.056 8.281
ar.S.L7 -0.3311 0.311 -1.065 0.287 -0.940 0.278
ma.S.L7 -0.1120 0.598 -0.187 0.851 -1.283 1.059
sigma2 2.4707 1.741 1.419 0.156 -0.941 5.883
===================================================================================
Ljung-Box (L1) (Q): 0.38 Jarque-Bera (JB): 1.04
Prob(Q): 0.54 Prob(JB): 0.59
Heteroskedasticity (H): 1.08 Skew: -0.19
Prob(H) (two-sided): 0.94 Kurtosis: 1.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.21131487641735, Current Price: 118.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.518
Date: Wed, 09 Oct 2024 AIC 61.035
Time: 14:40:22 BIC 63.860
Sample: 0 HQIC 60.455
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8524 0.489 1.742 0.082 -0.107 1.812
ma.L1 -1.0000 2.03e+04 -4.93e-05 1.000 -3.98e+04 3.98e+04
ar.S.L7 0.0484 0.687 0.070 0.944 -1.299 1.395
ma.S.L7 -1.0001 6421.731 -0.000 1.000 -1.26e+04 1.26e+04
sigma2 1.4383 2.89e+04 4.98e-05 1.000 -5.66e+04 5.66e+04
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 0.71
Prob(Q): 0.65 Prob(JB): 0.70
Heteroskedasticity (H): 0.83 Skew: -0.54
Prob(H) (two-sided): 0.87 Kurtosis: 2.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.43009337242927, Current Price: 118.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.568
Date: Wed, 09 Oct 2024 AIC 59.135
Time: 14:40:22 BIC 61.960
Sample: 0 HQIC 58.555
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0622 2.811 0.022 0.982 -5.448 5.572
ma.L1 0.1005 2.868 0.035 0.972 -5.520 5.721
ar.S.L7 -0.3353 0.421 -0.796 0.426 -1.161 0.490
ma.S.L7 -0.6680 2.103 -0.318 0.751 -4.790 3.454
sigma2 2.0675 2.621 0.789 0.430 -3.069 7.204
===================================================================================
Ljung-Box (L1) (Q): 0.38 Jarque-Bera (JB): 0.55
Prob(Q): 0.54 Prob(JB): 0.76
Heteroskedasticity (H): 0.47 Skew: -0.21
Prob(H) (two-sided): 0.49 Kurtosis: 2.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.48444014051412, Current Price: 117.97
BUY EXECUTED at 117.97
BUY ORDER COMPLETED at 120.41
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.953
Date: Wed, 09 Oct 2024 AIC 55.905
Time: 14:40:22 BIC 58.730
Sample: 0 HQIC 55.325
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7138 0.275 2.596 0.009 0.175 1.253
ma.L1 -1.0000 9471.698 -0.000 1.000 -1.86e+04 1.86e+04
ar.S.L7 -0.1962 0.527 -0.372 0.710 -1.229 0.836
ma.S.L7 -0.7189 2.843 -0.253 0.800 -6.292 4.854
sigma2 1.2553 1.19e+04 0.000 1.000 -2.33e+04 2.33e+04
===================================================================================
Ljung-Box (L1) (Q): 0.52 Jarque-Bera (JB): 0.79
Prob(Q): 0.47 Prob(JB): 0.67
Heteroskedasticity (H): 1.33 Skew: 0.09
Prob(H) (two-sided): 0.79 Kurtosis: 1.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.5310430954342, Current Price: 120.94
SELL EXECUTED at 120.94
SELL ORDER COMPLETED at 121.73
OPERATION PROFIT, GROSS 1.3200000000000074, NET 1.0778600000000074
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.084
Date: Wed, 09 Oct 2024 AIC 58.168
Time: 14:40:22 BIC 60.993
Sample: 0 HQIC 57.587
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1363 2.649 0.051 0.959 -5.055 5.328
ma.L1 -2.5129 15.487 -0.162 0.871 -32.866 27.840
ar.S.L7 -0.2585 0.766 -0.337 0.736 -1.760 1.243
ma.S.L7 -0.0162 0.994 -0.016 0.987 -1.965 1.932
sigma2 0.3769 4.725 0.080 0.936 -8.884 9.638
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 0.94
Prob(Q): 0.62 Prob(JB): 0.62
Heteroskedasticity (H): 2.19 Skew: 0.04
Prob(H) (two-sided): 0.47 Kurtosis: 1.68
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.5896948659253, Current Price: 122.52
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.727
Date: Wed, 09 Oct 2024 AIC 57.454
Time: 14:40:22 BIC 60.279
Sample: 0 HQIC 56.874
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9087 0.487 1.866 0.062 -0.046 1.863
ma.L1 -1.0000 2.12e+04 -4.72e-05 1.000 -4.15e+04 4.15e+04
ar.S.L7 -0.1859 0.615 -0.302 0.762 -1.391 1.019
ma.S.L7 -1.0010 1437.234 -0.001 0.999 -2817.929 2815.927
sigma2 1.0906 2.3e+04 4.75e-05 1.000 -4.5e+04 4.5e+04
===================================================================================
Ljung-Box (L1) (Q): 0.83 Jarque-Bera (JB): 0.37
Prob(Q): 0.36 Prob(JB): 0.83
Heteroskedasticity (H): 1.27 Skew: -0.13
Prob(H) (two-sided): 0.82 Kurtosis: 2.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.33916012326239, Current Price: 124.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.980
Date: Wed, 09 Oct 2024 AIC 59.961
Time: 14:40:22 BIC 62.785
Sample: 0 HQIC 59.380
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9580 0.495 1.934 0.053 -0.013 1.929
ma.L1 -1.0000 8929.932 -0.000 1.000 -1.75e+04 1.75e+04
ar.S.L7 -0.1167 0.728 -0.160 0.873 -1.544 1.311
ma.S.L7 -1.0001 1.4e+04 -7.14e-05 1.000 -2.75e+04 2.75e+04
sigma2 1.3230 2.01e+04 6.58e-05 1.000 -3.94e+04 3.94e+04
===================================================================================
Ljung-Box (L1) (Q): 0.73 Jarque-Bera (JB): 0.68
Prob(Q): 0.39 Prob(JB): 0.71
Heteroskedasticity (H): 1.16 Skew: -0.49
Prob(H) (two-sided): 0.89 Kurtosis: 2.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.42579139607511, Current Price: 124.23
BUY EXECUTED at 124.23
BUY ORDER COMPLETED at 125.07
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.330
Date: Wed, 09 Oct 2024 AIC 60.660
Time: 14:40:22 BIC 63.485
Sample: 0 HQIC 60.080
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7949 0.539 1.476 0.140 -0.261 1.850
ma.L1 -1.0000 1.53e+04 -6.52e-05 1.000 -3e+04 3e+04
ar.S.L7 -0.0695 0.736 -0.094 0.925 -1.513 1.374
ma.S.L7 -1.6880 6.284 -0.269 0.788 -14.004 10.628
sigma2 0.6993 1.07e+04 6.52e-05 1.000 -2.1e+04 2.1e+04
===================================================================================
Ljung-Box (L1) (Q): 0.75 Jarque-Bera (JB): 0.86
Prob(Q): 0.39 Prob(JB): 0.65
Heteroskedasticity (H): 1.04 Skew: -0.47
Prob(H) (two-sided): 0.97 Kurtosis: 2.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.23895562811697, Current Price: 125.23
SELL EXECUTED at 125.23
SELL ORDER COMPLETED at 124.43
OPERATION PROFIT, GROSS -0.6399999999999864, NET -0.8894999999999864
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.851
Date: Wed, 09 Oct 2024 AIC 57.702
Time: 14:40:22 BIC 60.527
Sample: 0 HQIC 57.121
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7097 0.630 1.126 0.260 -0.526 1.945
ma.L1 -1.0000 7953.288 -0.000 1.000 -1.56e+04 1.56e+04
ar.S.L7 0.1077 0.553 0.195 0.846 -0.976 1.192
ma.S.L7 -1.0001 1.47e+04 -6.81e-05 1.000 -2.88e+04 2.88e+04
sigma2 1.1130 1.35e+04 8.25e-05 1.000 -2.64e+04 2.64e+04
===================================================================================
Ljung-Box (L1) (Q): 0.60 Jarque-Bera (JB): 0.50
Prob(Q): 0.44 Prob(JB): 0.78
Heteroskedasticity (H): 1.19 Skew: -0.43
Prob(H) (two-sided): 0.87 Kurtosis: 2.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.70134651544643, Current Price: 124.23
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.271
Date: Wed, 09 Oct 2024 AIC 58.542
Time: 14:40:22 BIC 61.367
Sample: 0 HQIC 57.962
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5536 0.277 1.998 0.046 0.010 1.097
ma.L1 -1.5553 0.882 -1.763 0.078 -3.284 0.173
ar.S.L7 -0.4061 0.483 -0.841 0.400 -1.352 0.540
ma.S.L7 0.1988 0.772 0.258 0.797 -1.313 1.711
sigma2 0.9814 1.556 0.631 0.528 -2.069 4.032
===================================================================================
Ljung-Box (L1) (Q): 0.50 Jarque-Bera (JB): 0.73
Prob(Q): 0.48 Prob(JB): 0.70
Heteroskedasticity (H): 1.03 Skew: -0.19
Prob(H) (two-sided): 0.98 Kurtosis: 1.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.55526775086871, Current Price: 122.99
BUY EXECUTED at 122.99
BUY ORDER COMPLETED at 123.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.192
Date: Wed, 09 Oct 2024 AIC 56.383
Time: 14:40:22 BIC 59.208
Sample: 0 HQIC 55.802
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3085 2.900 0.106 0.915 -5.375 5.992
ma.L1 -2.4862 16.697 -0.149 0.882 -35.213 30.240
ar.S.L7 -0.5967 0.300 -1.987 0.047 -1.185 -0.008
ma.S.L7 1.0085 74.960 0.013 0.989 -145.909 147.926
sigma2 0.2005 16.967 0.012 0.991 -33.054 33.455
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.85
Prob(Q): 0.82 Prob(JB): 0.65
Heteroskedasticity (H): 0.94 Skew: 0.16
Prob(H) (two-sided): 0.95 Kurtosis: 1.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.68985933860543, Current Price: 124.4
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.398
Date: Wed, 09 Oct 2024 AIC 54.795
Time: 14:40:22 BIC 57.620
Sample: 0 HQIC 54.215
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3033 2.368 0.128 0.898 -4.338 4.945
ma.L1 -7.8401 156.017 -0.050 0.960 -313.628 297.948
ar.S.L7 -0.5369 0.222 -2.420 0.016 -0.972 -0.102
ma.S.L7 0.9954 145.007 0.007 0.995 -283.214 285.205
sigma2 0.0181 2.879 0.006 0.995 -5.626 5.662
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.97
Prob(Q): 0.74 Prob(JB): 0.62
Heteroskedasticity (H): 1.13 Skew: 0.06
Prob(H) (two-sided): 0.91 Kurtosis: 1.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.68448464482931, Current Price: 123.42
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.380
Date: Wed, 09 Oct 2024 AIC 56.759
Time: 14:40:22 BIC 59.584
Sample: 0 HQIC 56.179
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5870 0.502 1.170 0.242 -0.396 1.570
ma.L1 -4.4422 15.204 -0.292 0.770 -34.242 25.357
ar.S.L7 -0.4882 0.317 -1.538 0.124 -1.110 0.134
ma.S.L7 1.3776 4.764 0.289 0.772 -7.959 10.714
sigma2 0.0427 0.321 0.133 0.894 -0.587 0.672
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 0.58
Prob(Q): 0.69 Prob(JB): 0.75
Heteroskedasticity (H): 0.88 Skew: 0.35
Prob(H) (two-sided): 0.90 Kurtosis: 2.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.15873296364963, Current Price: 120.76
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.417
Date: Wed, 09 Oct 2024 AIC 60.834
Time: 14:40:22 BIC 63.659
Sample: 0 HQIC 60.254
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2979 1.694 -0.176 0.860 -3.618 3.023
ma.L1 0.1615 2.066 0.078 0.938 -3.889 4.212
ar.S.L7 -0.4982 0.594 -0.838 0.402 -1.663 0.667
ma.S.L7 -1.0003 1846.673 -0.001 1.000 -3620.414 3618.413
sigma2 1.7594 3249.465 0.001 1.000 -6367.075 6370.594
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.65
Prob(Q): 1.00 Prob(JB): 0.72
Heteroskedasticity (H): 1.28 Skew: -0.07
Prob(H) (two-sided): 0.82 Kurtosis: 1.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.49853584014535, Current Price: 123.45
SELL EXECUTED at 123.45
SELL ORDER COMPLETED at 121.84
OPERATION PROFIT, GROSS -1.7199999999999989, NET -1.965399999999999
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.614
Date: Wed, 09 Oct 2024 AIC 59.229
Time: 14:40:22 BIC 62.053
Sample: 0 HQIC 58.648
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1918 1.612 -0.119 0.905 -3.352 2.968
ma.L1 0.0114 1.717 0.007 0.995 -3.355 3.377
ar.S.L7 -0.5090 0.523 -0.974 0.330 -1.533 0.515
ma.S.L7 -1.0001 6123.664 -0.000 1.000 -1.2e+04 1.2e+04
sigma2 1.5554 9525.421 0.000 1.000 -1.87e+04 1.87e+04
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.62
Prob(Q): 0.83 Prob(JB): 0.73
Heteroskedasticity (H): 1.01 Skew: -0.19
Prob(H) (two-sided): 1.00 Kurtosis: 2.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.84461216594279, Current Price: 122.42
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.095
Date: Wed, 09 Oct 2024 AIC 58.190
Time: 14:40:23 BIC 61.015
Sample: 0 HQIC 57.609
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4888 0.254 -1.928 0.054 -0.986 0.008
ma.L1 10.9420 73.349 0.149 0.881 -132.820 154.704
ar.S.L7 -0.7397 0.513 -1.442 0.149 -1.745 0.265
ma.S.L7 -0.9934 133.366 -0.007 0.994 -262.386 260.399
sigma2 0.0116 1.543 0.008 0.994 -3.012 3.036
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.62
Prob(Q): 0.85 Prob(JB): 0.73
Heteroskedasticity (H): 0.34 Skew: -0.53
Prob(H) (two-sided): 0.32 Kurtosis: 3.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.44922606002062, Current Price: 121.05
BUY EXECUTED at 121.05
BUY ORDER COMPLETED at 121.63
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.140
Date: Wed, 09 Oct 2024 AIC 56.280
Time: 14:40:23 BIC 59.105
Sample: 0 HQIC 55.699
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8592 0.109 -7.904 0.000 -1.072 -0.646
ma.L1 1.0000 9961.155 0.000 1.000 -1.95e+04 1.95e+04
ar.S.L7 -0.8290 0.462 -1.795 0.073 -1.734 0.076
ma.S.L7 -1.2534 4.033 -0.311 0.756 -9.158 6.651
sigma2 0.8423 8389.258 0.000 1.000 -1.64e+04 1.64e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.16
Prob(Q): 0.94 Prob(JB): 0.56
Heteroskedasticity (H): 1.38 Skew: -0.15
Prob(H) (two-sided): 0.76 Kurtosis: 1.57
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.22188135878528, Current Price: 121.58
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.530
Date: Wed, 09 Oct 2024 AIC 53.061
Time: 14:40:23 BIC 55.885
Sample: 0 HQIC 52.480
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8034 0.080 -10.026 0.000 -0.960 -0.646
ma.L1 1.0000 1.72e+04 5.8e-05 1.000 -3.38e+04 3.38e+04
ar.S.L7 -0.8799 0.302 -2.909 0.004 -1.473 -0.287
ma.S.L7 -1.0001 1.7e+04 -5.88e-05 1.000 -3.33e+04 3.33e+04
sigma2 0.8551 2.17e+04 3.94e-05 1.000 -4.25e+04 4.25e+04
===================================================================================
Ljung-Box (L1) (Q): 0.57 Jarque-Bera (JB): 0.99
Prob(Q): 0.45 Prob(JB): 0.61
Heteroskedasticity (H): 1.03 Skew: 0.18
Prob(H) (two-sided): 0.98 Kurtosis: 1.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.78723877642007, Current Price: 121.79
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.266
Date: Wed, 09 Oct 2024 AIC 56.531
Time: 14:40:23 BIC 59.356
Sample: 0 HQIC 55.950
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3351 1.810 -0.185 0.853 -3.883 3.213
ma.L1 0.2020 2.045 0.099 0.921 -3.806 4.210
ar.S.L7 -0.5124 0.350 -1.463 0.144 -1.199 0.174
ma.S.L7 -1.0000 1.97e+04 -5.09e-05 1.000 -3.85e+04 3.85e+04
sigma2 1.2645 2.49e+04 5.09e-05 1.000 -4.87e+04 4.87e+04
===================================================================================
Ljung-Box (L1) (Q): 1.70 Jarque-Bera (JB): 1.05
Prob(Q): 0.19 Prob(JB): 0.59
Heteroskedasticity (H): 1.03 Skew: 0.63
Prob(H) (two-sided): 0.98 Kurtosis: 2.43
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.99956513960694, Current Price: 118.64
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.148
Date: Wed, 09 Oct 2024 AIC 62.296
Time: 14:40:23 BIC 65.121
Sample: 0 HQIC 61.715
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8884 0.680 -1.307 0.191 -2.221 0.444
ma.L1 1.0000 1.45e+04 6.91e-05 1.000 -2.84e+04 2.84e+04
ar.S.L7 -0.4010 0.885 -0.453 0.650 -2.135 1.333
ma.S.L7 -0.4147 1.386 -0.299 0.765 -3.132 2.302
sigma2 2.6621 3.85e+04 6.91e-05 1.000 -7.55e+04 7.55e+04
===================================================================================
Ljung-Box (L1) (Q): 0.72 Jarque-Bera (JB): 0.15
Prob(Q): 0.40 Prob(JB): 0.93
Heteroskedasticity (H): 3.58 Skew: 0.10
Prob(H) (two-sided): 0.24 Kurtosis: 2.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.7245800163117, Current Price: 119.17
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.555
Date: Wed, 09 Oct 2024 AIC 63.111
Time: 14:40:23 BIC 65.935
Sample: 0 HQIC 62.530
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7554 0.344 -2.196 0.028 -1.430 -0.081
ma.L1 1.0000 4631.503 0.000 1.000 -9076.580 9078.580
ar.S.L7 -0.5787 0.489 -1.183 0.237 -1.537 0.380
ma.S.L7 -0.0250 0.720 -0.035 0.972 -1.436 1.386
sigma2 2.9876 1.38e+04 0.000 1.000 -2.71e+04 2.71e+04
===================================================================================
Ljung-Box (L1) (Q): 2.80 Jarque-Bera (JB): 0.93
Prob(Q): 0.09 Prob(JB): 0.63
Heteroskedasticity (H): 2.37 Skew: -0.01
Prob(H) (two-sided): 0.42 Kurtosis: 1.69
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.75259178448431, Current Price: 118.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.111
Date: Wed, 09 Oct 2024 AIC 62.221
Time: 14:40:23 BIC 65.046
Sample: 0 HQIC 61.641
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4127 0.446 0.926 0.354 -0.460 1.286
ma.L1 -0.0882 0.745 -0.118 0.906 -1.547 1.371
ar.S.L7 -0.7142 0.602 -1.187 0.235 -1.894 0.465
ma.S.L7 -1.0003 4331.449 -0.000 1.000 -8490.484 8488.483
sigma2 1.9578 8481.608 0.000 1.000 -1.66e+04 1.66e+04
===================================================================================
Ljung-Box (L1) (Q): 1.01 Jarque-Bera (JB): 0.10
Prob(Q): 0.31 Prob(JB): 0.95
Heteroskedasticity (H): 3.11 Skew: 0.08
Prob(H) (two-sided): 0.30 Kurtosis: 2.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.47783540597881, Current Price: 117.07
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.365
Date: Wed, 09 Oct 2024 AIC 64.731
Time: 14:40:23 BIC 67.556
Sample: 0 HQIC 64.150
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7440 0.557 -1.337 0.181 -1.835 0.347
ma.L1 0.9999 1392.958 0.001 0.999 -2729.148 2731.148
ar.S.L7 -0.6555 0.364 -1.799 0.072 -1.370 0.059
ma.S.L7 -0.0516 0.755 -0.068 0.945 -1.531 1.428
sigma2 3.3888 4717.821 0.001 0.999 -9243.370 9250.148
===================================================================================
Ljung-Box (L1) (Q): 3.49 Jarque-Bera (JB): 0.65
Prob(Q): 0.06 Prob(JB): 0.72
Heteroskedasticity (H): 1.27 Skew: 0.28
Prob(H) (two-sided): 0.82 Kurtosis: 2.05
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.32379600340725, Current Price: 117.34
SELL EXECUTED at 117.34
SELL ORDER COMPLETED at 118.05
OPERATION PROFIT, GROSS -3.5799999999999983, NET -3.819679999999998
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.562
Date: Wed, 09 Oct 2024 AIC 63.123
Time: 14:40:23 BIC 65.948
Sample: 0 HQIC 62.543
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4053 0.487 -0.832 0.405 -1.360 0.549
ma.L1 0.7214 0.590 1.222 0.222 -0.436 1.879
ar.S.L7 -0.8841 0.448 -1.974 0.048 -1.762 -0.006
ma.S.L7 0.1440 0.809 0.178 0.859 -1.441 1.729
sigma2 3.4294 2.092 1.639 0.101 -0.671 7.529
===================================================================================
Ljung-Box (L1) (Q): 2.10 Jarque-Bera (JB): 0.82
Prob(Q): 0.15 Prob(JB): 0.66
Heteroskedasticity (H): 0.76 Skew: -0.13
Prob(H) (two-sided): 0.80 Kurtosis: 1.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.95062216009393, Current Price: 117.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.376
Date: Wed, 09 Oct 2024 AIC 64.752
Time: 14:40:23 BIC 67.577
Sample: 0 HQIC 64.172
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8014 0.653 -1.227 0.220 -2.082 0.479
ma.L1 1.0000 1.25e+04 8e-05 1.000 -2.45e+04 2.45e+04
ar.S.L7 -0.5744 0.664 -0.866 0.387 -1.875 0.726
ma.S.L7 -0.0673 1.238 -0.054 0.957 -2.494 2.360
sigma2 3.3957 4.24e+04 8e-05 1.000 -8.32e+04 8.32e+04
===================================================================================
Ljung-Box (L1) (Q): 1.77 Jarque-Bera (JB): 0.89
Prob(Q): 0.18 Prob(JB): 0.64
Heteroskedasticity (H): 0.40 Skew: -0.10
Prob(H) (two-sided): 0.40 Kurtosis: 1.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.24661358467803, Current Price: 116.01
BUY EXECUTED at 116.01
BUY ORDER COMPLETED at 115.99
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.828
Date: Wed, 09 Oct 2024 AIC 63.656
Time: 14:40:23 BIC 66.481
Sample: 0 HQIC 63.075
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1884 0.869 -0.217 0.828 -1.892 1.515
ma.L1 -0.1806 0.964 -0.187 0.851 -2.069 1.708
ar.S.L7 -0.5206 0.179 -2.916 0.004 -0.871 -0.171
ma.S.L7 1.0002 4727.808 0.000 1.000 -9265.333 9267.334
sigma2 2.1864 1.03e+04 0.000 1.000 -2.03e+04 2.03e+04
===================================================================================
Ljung-Box (L1) (Q): 1.54 Jarque-Bera (JB): 0.83
Prob(Q): 0.21 Prob(JB): 0.66
Heteroskedasticity (H): 0.51 Skew: 0.00
Prob(H) (two-sided): 0.52 Kurtosis: 1.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.69530947395633, Current Price: 116.34
SELL EXECUTED at 116.34
SELL ORDER COMPLETED at 116.4
OPERATION PROFIT, GROSS 0.4100000000000108, NET 0.17761000000001081
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.049
Date: Wed, 09 Oct 2024 AIC 56.098
Time: 14:40:23 BIC 58.923
Sample: 0 HQIC 55.517
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4858 0.169 -2.874 0.004 -0.817 -0.155
ma.L1 -0.2124 0.380 -0.559 0.576 -0.956 0.532
ar.S.L7 0.2764 0.264 1.046 0.296 -0.242 0.794
ma.S.L7 -1.0004 2901.586 -0.000 1.000 -5688.005 5686.004
sigma2 1.2011 3485.767 0.000 1.000 -6830.778 6833.180
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 0.97
Prob(Q): 0.66 Prob(JB): 0.62
Heteroskedasticity (H): 2.16 Skew: -0.05
Prob(H) (two-sided): 0.48 Kurtosis: 1.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.15920091992382, Current Price: 115.94
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.164
Date: Wed, 09 Oct 2024 AIC 54.329
Time: 14:40:23 BIC 57.154
Sample: 0 HQIC 53.748
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3392 0.406 -0.835 0.404 -1.135 0.457
ma.L1 -1.0000 1.06e+04 -9.43e-05 1.000 -2.08e+04 2.08e+04
ar.S.L7 0.2031 0.078 2.592 0.010 0.050 0.357
ma.S.L7 -5.8749 16.268 -0.361 0.718 -37.759 26.009
sigma2 0.0435 461.293 9.43e-05 1.000 -904.074 904.161
===================================================================================
Ljung-Box (L1) (Q): 0.24 Jarque-Bera (JB): 0.95
Prob(Q): 0.62 Prob(JB): 0.62
Heteroskedasticity (H): 2.04 Skew: 0.20
Prob(H) (two-sided): 0.51 Kurtosis: 1.74
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.01310766294712, Current Price: 115.28
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.497
Date: Wed, 09 Oct 2024 AIC 52.994
Time: 14:40:23 BIC 55.819
Sample: 0 HQIC 52.414
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2181 0.543 -0.402 0.688 -1.282 0.846
ma.L1 -1.0000 2.23e+04 -4.48e-05 1.000 -4.37e+04 4.37e+04
ar.S.L7 0.1257 0.092 1.367 0.172 -0.054 0.306
ma.S.L7 -0.4026 0.993 -0.405 0.685 -2.349 1.544
sigma2 1.2651 2.82e+04 4.48e-05 1.000 -5.53e+04 5.53e+04
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 1.14
Prob(Q): 0.69 Prob(JB): 0.56
Heteroskedasticity (H): 1.69 Skew: -0.30
Prob(H) (two-sided): 0.62 Kurtosis: 1.68
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.63585183700948, Current Price: 115.43
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.879
Date: Wed, 09 Oct 2024 AIC 53.757
Time: 14:40:23 BIC 56.582
Sample: 0 HQIC 53.177
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2736 0.420 -0.651 0.515 -1.097 0.550
ma.L1 -1.0001 1277.122 -0.001 0.999 -2504.114 2502.114
ar.S.L7 0.0729 0.122 0.597 0.551 -0.167 0.312
ma.S.L7 -1.0000 7.21e+04 -1.39e-05 1.000 -1.41e+05 1.41e+05
sigma2 0.8581 6.27e+04 1.37e-05 1.000 -1.23e+05 1.23e+05
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.19
Prob(Q): 0.88 Prob(JB): 0.55
Heteroskedasticity (H): 0.87 Skew: -0.52
Prob(H) (two-sided): 0.90 Kurtosis: 1.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.7959586326238, Current Price: 115.26
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.018
Date: Wed, 09 Oct 2024 AIC 54.037
Time: 14:40:23 BIC 56.861
Sample: 0 HQIC 53.456
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1330 0.420 -0.317 0.751 -0.956 0.690
ma.L1 -1.2761 0.996 -1.282 0.200 -3.227 0.675
ar.S.L7 -0.0031 0.005 -0.565 0.572 -0.014 0.008
ma.S.L7 -0.9995 1652.173 -0.001 1.000 -3239.200 3237.201
sigma2 0.6509 1074.653 0.001 1.000 -2105.631 2106.933
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 1.30
Prob(Q): 0.84 Prob(JB): 0.52
Heteroskedasticity (H): 0.42 Skew: -0.42
Prob(H) (two-sided): 0.42 Kurtosis: 1.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.23035908757076, Current Price: 115.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.790
Date: Wed, 09 Oct 2024 AIC 55.580
Time: 14:40:23 BIC 58.404
Sample: 0 HQIC 54.999
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3075 0.470 -0.654 0.513 -1.229 0.614
ma.L1 -0.5808 0.587 -0.989 0.323 -1.732 0.570
ar.S.L7 0.0505 0.139 0.362 0.717 -0.223 0.324
ma.S.L7 -0.7844 2.409 -0.326 0.745 -5.505 3.936
sigma2 1.4294 3.215 0.445 0.657 -4.871 7.730
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 1.47
Prob(Q): 0.67 Prob(JB): 0.48
Heteroskedasticity (H): 0.25 Skew: -0.46
Prob(H) (two-sided): 0.21 Kurtosis: 1.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.65434270169105, Current Price: 116.07
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.677
Date: Wed, 09 Oct 2024 AIC 53.355
Time: 14:40:23 BIC 56.179
Sample: 0 HQIC 52.774
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3657 0.448 -0.816 0.414 -1.243 0.512
ma.L1 -0.4096 0.611 -0.671 0.502 -1.607 0.788
ar.S.L7 -0.0850 0.306 -0.278 0.781 -0.685 0.515
ma.S.L7 -0.6056 1.078 -0.562 0.574 -2.718 1.507
sigma2 1.3815 1.513 0.913 0.361 -1.584 4.347
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.53
Prob(Q): 0.99 Prob(JB): 0.46
Heteroskedasticity (H): 0.36 Skew: -0.69
Prob(H) (two-sided): 0.35 Kurtosis: 2.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.24298189086828, Current Price: 116.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.104
Date: Wed, 09 Oct 2024 AIC 54.207
Time: 14:40:23 BIC 57.032
Sample: 0 HQIC 53.626
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1131 0.868 -0.130 0.896 -1.814 1.588
ma.L1 -0.3694 0.935 -0.395 0.693 -2.202 1.463
ar.S.L7 -0.1794 0.418 -0.429 0.668 -0.998 0.640
ma.S.L7 -0.4915 0.893 -0.550 0.582 -2.242 1.259
sigma2 1.5739 1.728 0.911 0.362 -1.813 4.961
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 1.48
Prob(Q): 0.71 Prob(JB): 0.48
Heteroskedasticity (H): 0.75 Skew: -0.59
Prob(H) (two-sided): 0.78 Kurtosis: 1.84
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.79664204616834, Current Price: 115.68
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.437
Date: Wed, 09 Oct 2024 AIC 52.873
Time: 14:40:23 BIC 55.698
Sample: 0 HQIC 52.292
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0132 1.156 0.011 0.991 -2.253 2.280
ma.L1 -0.4135 1.077 -0.384 0.701 -2.524 1.697
ar.S.L7 -0.1364 0.576 -0.237 0.813 -1.265 0.993
ma.S.L7 -0.1700 0.626 -0.271 0.786 -1.397 1.057
sigma2 1.5656 1.158 1.352 0.176 -0.705 3.836
===================================================================================
Ljung-Box (L1) (Q): 1.75 Jarque-Bera (JB): 1.06
Prob(Q): 0.19 Prob(JB): 0.59
Heteroskedasticity (H): 0.66 Skew: -0.69
Prob(H) (two-sided): 0.69 Kurtosis: 2.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.0193204440801, Current Price: 115.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.496
Date: Wed, 09 Oct 2024 AIC 50.992
Time: 14:40:23 BIC 53.817
Sample: 0 HQIC 50.412
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1938 0.913 -0.212 0.832 -1.983 1.595
ma.L1 -0.3449 0.747 -0.461 0.645 -1.810 1.120
ar.S.L7 -0.2508 0.516 -0.486 0.627 -1.263 0.761
ma.S.L7 -0.0455 0.481 -0.095 0.925 -0.988 0.897
sigma2 1.3693 0.878 1.559 0.119 -0.352 3.091
===================================================================================
Ljung-Box (L1) (Q): 1.86 Jarque-Bera (JB): 4.29
Prob(Q): 0.17 Prob(JB): 0.12
Heteroskedasticity (H): 0.70 Skew: -1.25
Prob(H) (two-sided): 0.74 Kurtosis: 4.28
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.91427480398981, Current Price: 115.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.307
Date: Wed, 09 Oct 2024 AIC 50.614
Time: 14:40:23 BIC 53.438
Sample: 0 HQIC 50.033
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1668 2.940 -0.057 0.955 -5.930 5.596
ma.L1 -0.2506 2.447 -0.102 0.918 -5.048 4.546
ar.S.L7 -0.2190 1.048 -0.209 0.834 -2.273 1.835
ma.S.L7 -0.1744 0.903 -0.193 0.847 -1.943 1.595
sigma2 1.3155 0.810 1.623 0.105 -0.273 2.904
===================================================================================
Ljung-Box (L1) (Q): 2.59 Jarque-Bera (JB): 2.78
Prob(Q): 0.11 Prob(JB): 0.25
Heteroskedasticity (H): 0.29 Skew: -1.00
Prob(H) (two-sided): 0.26 Kurtosis: 4.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.94243496594952, Current Price: 115.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.773
Date: Wed, 09 Oct 2024 AIC 49.546
Time: 14:40:23 BIC 52.371
Sample: 0 HQIC 48.965
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2710 1.678 -0.161 0.872 -3.561 3.019
ma.L1 -0.2566 1.272 -0.202 0.840 -2.749 2.236
ar.S.L7 -0.2698 0.819 -0.329 0.742 -1.876 1.336
ma.S.L7 -0.0725 0.698 -0.104 0.917 -1.441 1.297
sigma2 1.2238 0.671 1.825 0.068 -0.091 2.538
===================================================================================
Ljung-Box (L1) (Q): 0.64 Jarque-Bera (JB): 2.09
Prob(Q): 0.42 Prob(JB): 0.35
Heteroskedasticity (H): 0.04 Skew: -0.92
Prob(H) (two-sided): 0.01 Kurtosis: 3.69
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.51487547401366, Current Price: 111.86
BUY EXECUTED at 111.86
BUY ORDER COMPLETED at 112.42
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.672
Date: Wed, 09 Oct 2024 AIC 55.344
Time: 14:40:24 BIC 58.169
Sample: 0 HQIC 54.764
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1551 3.313 -0.047 0.963 -6.648 6.337
ma.L1 -0.2514 2.682 -0.094 0.925 -5.508 5.005
ar.S.L7 -0.2891 1.242 -0.233 0.816 -2.723 2.145
ma.S.L7 -6.6591 48.609 -0.137 0.891 -101.931 88.612
sigma2 0.0423 0.620 0.068 0.946 -1.173 1.258
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 12.14
Prob(Q): 0.75 Prob(JB): 0.00
Heteroskedasticity (H): 2.25 Skew: -1.76
Prob(H) (two-sided): 0.45 Kurtosis: 6.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.8368431543969, Current Price: 111.97
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.056
Date: Wed, 09 Oct 2024 AIC 52.111
Time: 14:40:24 BIC 54.936
Sample: 0 HQIC 51.531
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0677 22.154 0.003 0.998 -43.354 43.490
ma.L1 -0.1712 21.650 -0.008 0.994 -42.604 42.261
ar.S.L7 -0.1722 2.002 -0.086 0.931 -4.097 3.752
ma.S.L7 -0.1470 1.839 -0.080 0.936 -3.752 3.458
sigma2 1.4814 0.361 4.106 0.000 0.774 2.188
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 12.52
Prob(Q): 0.92 Prob(JB): 0.00
Heteroskedasticity (H): 5.77 Skew: -1.67
Prob(H) (two-sided): 0.12 Kurtosis: 6.45
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.00792084286229, Current Price: 111.42
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.290
Date: Wed, 09 Oct 2024 AIC 52.580
Time: 14:40:24 BIC 55.405
Sample: 0 HQIC 52.000
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0990 11.188 -0.009 0.993 -22.027 21.829
ma.L1 0.0609 11.296 0.005 0.996 -22.080 22.201
ar.S.L7 -0.2397 0.318 -0.754 0.451 -0.863 0.383
ma.S.L7 0.1432 1.712 0.084 0.933 -3.213 3.499
sigma2 1.5365 0.499 3.081 0.002 0.559 2.514
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 6.60
Prob(Q): 0.86 Prob(JB): 0.04
Heteroskedasticity (H): 5.10 Skew: -1.23
Prob(H) (two-sided): 0.14 Kurtosis: 5.48
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.94736273046131, Current Price: 110.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.052
Date: Wed, 09 Oct 2024 AIC 52.103
Time: 14:40:24 BIC 54.928
Sample: 0 HQIC 51.522
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6845 0.891 -0.769 0.442 -2.430 1.061
ma.L1 0.6118 1.456 0.420 0.674 -2.242 3.466
ar.S.L7 -0.3339 0.435 -0.768 0.443 -1.187 0.519
ma.S.L7 0.1346 3.317 0.041 0.968 -6.366 6.635
sigma2 1.4625 1.226 1.193 0.233 -0.940 3.865
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 10.17
Prob(Q): 0.73 Prob(JB): 0.01
Heteroskedasticity (H): 3.08 Skew: -1.56
Prob(H) (two-sided): 0.30 Kurtosis: 6.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.36208264798073, Current Price: 110.72
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.496
Date: Wed, 09 Oct 2024 AIC 50.991
Time: 14:40:24 BIC 53.816
Sample: 0 HQIC 50.411
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3552 27.080 -0.013 0.990 -53.431 52.720
ma.L1 0.3127 28.540 0.011 0.991 -55.624 56.250
ar.S.L7 -0.2488 0.900 -0.277 0.782 -2.012 1.515
ma.S.L7 0.0289 3.159 0.009 0.993 -6.163 6.221
sigma2 1.3702 0.860 1.593 0.111 -0.316 3.056
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 13.98
Prob(Q): 1.00 Prob(JB): 0.00
Heteroskedasticity (H): 0.16 Skew: -1.67
Prob(H) (two-sided): 0.10 Kurtosis: 6.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.47244302549456, Current Price: 110.88
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.542
Date: Wed, 09 Oct 2024 AIC 51.084
Time: 14:40:24 BIC 53.908
Sample: 0 HQIC 50.503
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3670 24.655 -0.015 0.988 -48.689 47.955
ma.L1 0.3288 26.034 0.013 0.990 -50.698 51.355
ar.S.L7 -0.2667 1.008 -0.265 0.791 -2.242 1.709
ma.S.L7 0.0652 3.277 0.020 0.984 -6.357 6.488
sigma2 1.3783 0.905 1.524 0.128 -0.395 3.151
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 13.97
Prob(Q): 0.94 Prob(JB): 0.00
Heteroskedasticity (H): 0.20 Skew: -1.71
Prob(H) (two-sided): 0.15 Kurtosis: 6.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.73758637513183, Current Price: 110.81
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.508
Date: Wed, 09 Oct 2024 AIC 51.016
Time: 14:40:24 BIC 53.841
Sample: 0 HQIC 50.436
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4413 16.841 -0.026 0.979 -33.448 32.566
ma.L1 0.3975 16.840 0.024 0.981 -32.608 33.403
ar.S.L7 -0.2613 1.056 -0.247 0.805 -2.331 1.809
ma.S.L7 0.0910 5.074 0.018 0.986 -9.853 10.035
sigma2 1.3686 0.747 1.833 0.067 -0.095 2.832
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 14.97
Prob(Q): 0.84 Prob(JB): 0.00
Heteroskedasticity (H): 0.08 Skew: -1.77
Prob(H) (two-sided): 0.03 Kurtosis: 6.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 108.27972484221158, Current Price: 110.21
SELL EXECUTED at 110.21
SELL ORDER COMPLETED at 110.33
OPERATION PROFIT, GROSS -2.0900000000000034, NET -2.3127500000000034
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.228
Date: Wed, 09 Oct 2024 AIC 46.455
Time: 14:40:24 BIC 49.280
Sample: 0 HQIC 45.875
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6441 0.770 -0.836 0.403 -2.154 0.866
ma.L1 0.4810 1.535 0.313 0.754 -2.527 3.489
ar.S.L7 0.0831 0.295 0.282 0.778 -0.495 0.662
ma.S.L7 -1.0000 2.89e+04 -3.46e-05 1.000 -5.67e+04 5.67e+04
sigma2 0.5514 1.59e+04 3.46e-05 1.000 -3.12e+04 3.12e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 12.39
Prob(Q): 0.93 Prob(JB): 0.00
Heteroskedasticity (H): 1.96 Skew: -1.73
Prob(H) (two-sided): 0.53 Kurtosis: 6.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 109.97374457729609, Current Price: 112.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.320
Date: Wed, 09 Oct 2024 AIC 50.640
Time: 14:40:24 BIC 53.465
Sample: 0 HQIC 50.060
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3303 0.249 1.327 0.185 -0.158 0.818
ma.L1 -1.0000 2213.368 -0.000 1.000 -4339.122 4337.122
ar.S.L7 -0.9846 0.320 -3.076 0.002 -1.612 -0.357
ma.S.L7 0.2373 0.338 0.702 0.483 -0.425 0.899
sigma2 1.1929 2640.292 0.000 1.000 -5173.684 5176.069
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.49
Prob(Q): 0.94 Prob(JB): 0.78
Heteroskedasticity (H): 0.36 Skew: -0.40
Prob(H) (two-sided): 0.34 Kurtosis: 2.49
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.7677503253956, Current Price: 112.29
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.837
Date: Wed, 09 Oct 2024 AIC 49.673
Time: 14:40:24 BIC 52.498
Sample: 0 HQIC 49.092
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5050 6.027 0.084 0.933 -11.309 12.319
ma.L1 -2.8901 54.784 -0.053 0.958 -110.265 104.484
ar.S.L7 -0.0245 0.676 -0.036 0.971 -1.349 1.300
ma.S.L7 -1.0001 8949.811 -0.000 1.000 -1.75e+04 1.75e+04
sigma2 0.0893 799.862 0.000 1.000 -1567.612 1567.791
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 9.93
Prob(Q): 0.77 Prob(JB): 0.01
Heteroskedasticity (H): 0.38 Skew: -1.43
Prob(H) (two-sided): 0.37 Kurtosis: 6.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.89248906945585, Current Price: 113.57
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.158
Date: Wed, 09 Oct 2024 AIC 50.316
Time: 14:40:24 BIC 53.141
Sample: 0 HQIC 49.735
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1122 0.962 -0.117 0.907 -1.998 1.773
ma.L1 -0.7614 0.492 -1.549 0.121 -1.725 0.202
ar.S.L7 -1.4275 0.225 -6.338 0.000 -1.869 -0.986
ma.S.L7 1.0000 2.61e+04 3.83e-05 1.000 -5.12e+04 5.12e+04
sigma2 0.7824 2.04e+04 3.83e-05 1.000 -4e+04 4e+04
===================================================================================
Ljung-Box (L1) (Q): 0.31 Jarque-Bera (JB): 1.77
Prob(Q): 0.58 Prob(JB): 0.41
Heteroskedasticity (H): 0.28 Skew: -0.74
Prob(H) (two-sided): 0.25 Kurtosis: 4.05
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.48408461989506, Current Price: 114.29
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.507
Date: Wed, 09 Oct 2024 AIC 51.015
Time: 14:40:24 BIC 53.839
Sample: 0 HQIC 50.434
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1085 0.731 0.149 0.882 -1.324 1.541
ma.L1 -1.1294 1.168 -0.967 0.334 -3.419 1.160
ar.S.L7 -1.4925 0.563 -2.649 0.008 -2.597 -0.388
ma.S.L7 0.9999 4638.418 0.000 1.000 -9090.133 9092.132
sigma2 0.6461 2997.326 0.000 1.000 -5874.004 5875.296
===================================================================================
Ljung-Box (L1) (Q): 0.52 Jarque-Bera (JB): 0.41
Prob(Q): 0.47 Prob(JB): 0.82
Heteroskedasticity (H): 0.53 Skew: -0.43
Prob(H) (two-sided): 0.56 Kurtosis: 3.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.82037561191004, Current Price: 114.57
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.453
Date: Wed, 09 Oct 2024 AIC 50.907
Time: 14:40:24 BIC 53.731
Sample: 0 HQIC 50.326
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7673 0.957 0.802 0.422 -1.107 2.642
ma.L1 -2.2569 4.579 -0.493 0.622 -11.232 6.718
ar.S.L7 0.1490 0.422 0.353 0.724 -0.677 0.975
ma.S.L7 -1.0001 1.19e+04 -8.42e-05 1.000 -2.33e+04 2.33e+04
sigma2 0.1559 1852.545 8.41e-05 1.000 -3630.766 3631.078
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 9.54
Prob(Q): 0.64 Prob(JB): 0.01
Heteroskedasticity (H): 0.28 Skew: -1.58
Prob(H) (two-sided): 0.25 Kurtosis: 5.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.69430950116087, Current Price: 114.73
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.929
Date: Wed, 09 Oct 2024 AIC 39.857
Time: 14:40:24 BIC 42.682
Sample: 0 HQIC 39.277
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6504 0.669 0.973 0.331 -0.660 1.961
ma.L1 -2.6231 4.320 -0.607 0.544 -11.091 5.845
ar.S.L7 0.0087 0.157 0.055 0.956 -0.298 0.316
ma.S.L7 -1.2145 6.029 -0.201 0.840 -13.031 10.602
sigma2 0.0408 0.332 0.123 0.902 -0.610 0.692
===================================================================================
Ljung-Box (L1) (Q): 1.66 Jarque-Bera (JB): 2.11
Prob(Q): 0.20 Prob(JB): 0.35
Heteroskedasticity (H): 5.10 Skew: 0.99
Prob(H) (two-sided): 0.14 Kurtosis: 3.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.78795951897968, Current Price: 115.48
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.717
Date: Wed, 09 Oct 2024 AIC 43.434
Time: 14:40:24 BIC 46.259
Sample: 0 HQIC 42.853
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8877 0.496 1.788 0.074 -0.085 1.861
ma.L1 -0.4852 0.534 -0.908 0.364 -1.532 0.562
ar.S.L7 3.861e-05 0.182 0.000 1.000 -0.356 0.356
ma.S.L7 -0.3039 0.671 -0.453 0.650 -1.619 1.011
sigma2 0.7631 0.816 0.935 0.350 -0.836 2.362
===================================================================================
Ljung-Box (L1) (Q): 0.80 Jarque-Bera (JB): 0.92
Prob(Q): 0.37 Prob(JB): 0.63
Heteroskedasticity (H): 3.44 Skew: 0.12
Prob(H) (two-sided): 0.26 Kurtosis: 1.72
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.8715260763672, Current Price: 115.06
BUY EXECUTED at 115.06
BUY ORDER COMPLETED at 113.9
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.729
Date: Wed, 09 Oct 2024 AIC 49.458
Time: 14:40:24 BIC 52.283
Sample: 0 HQIC 48.877
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9852 0.637 1.546 0.122 -0.264 2.234
ma.L1 -1.0000 1.05e+04 -9.51e-05 1.000 -2.06e+04 2.06e+04
ar.S.L7 -0.5375 0.579 -0.929 0.353 -1.672 0.597
ma.S.L7 -0.2985 0.754 -0.396 0.692 -1.777 1.180
sigma2 0.9786 1.03e+04 9.51e-05 1.000 -2.02e+04 2.02e+04
===================================================================================
Ljung-Box (L1) (Q): 4.55 Jarque-Bera (JB): 0.27
Prob(Q): 0.03 Prob(JB): 0.88
Heteroskedasticity (H): 34.69 Skew: 0.35
Prob(H) (two-sided): 0.00 Kurtosis: 2.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.43924617231514, Current Price: 113.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.688
Date: Wed, 09 Oct 2024 AIC 51.377
Time: 14:40:24 BIC 54.201
Sample: 0 HQIC 50.796
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4314 2.392 0.180 0.857 -4.256 5.119
ma.L1 -0.2696 2.332 -0.116 0.908 -4.841 4.301
ar.S.L7 -0.4523 0.437 -1.035 0.301 -1.309 0.405
ma.S.L7 -0.1394 0.994 -0.140 0.888 -2.087 1.809
sigma2 1.4033 0.865 1.622 0.105 -0.292 3.099
===================================================================================
Ljung-Box (L1) (Q): 0.78 Jarque-Bera (JB): 0.01
Prob(Q): 0.38 Prob(JB): 1.00
Heteroskedasticity (H): 10.12 Skew: -0.00
Prob(H) (two-sided): 0.05 Kurtosis: 2.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.70038909778062, Current Price: 113.66
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.807
Date: Wed, 09 Oct 2024 AIC 49.613
Time: 14:40:24 BIC 52.438
Sample: 0 HQIC 49.032
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8902 0.479 1.856 0.063 -0.050 1.830
ma.L1 -1.0000 1.29e+04 -7.75e-05 1.000 -2.53e+04 2.53e+04
ar.S.L7 -0.5609 0.716 -0.784 0.433 -1.963 0.842
ma.S.L7 -0.6910 3.087 -0.224 0.823 -6.741 5.359
sigma2 0.7911 1.02e+04 7.75e-05 1.000 -2e+04 2e+04
===================================================================================
Ljung-Box (L1) (Q): 0.45 Jarque-Bera (JB): 1.01
Prob(Q): 0.50 Prob(JB): 0.60
Heteroskedasticity (H): 3.67 Skew: 0.67
Prob(H) (two-sided): 0.24 Kurtosis: 3.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.93232442696338, Current Price: 115.6
SELL EXECUTED at 115.6
SELL ORDER COMPLETED at 115.47
OPERATION PROFIT, GROSS 1.5699999999999932, NET 1.340629999999993
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.668
Date: Wed, 09 Oct 2024 AIC 51.335
Time: 14:40:24 BIC 54.160
Sample: 0 HQIC 50.754
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8947 0.228 3.932 0.000 0.449 1.341
ma.L1 -1.0000 7851.380 -0.000 1.000 -1.54e+04 1.54e+04
ar.S.L7 -0.4743 0.600 -0.791 0.429 -1.650 0.701
ma.S.L7 -0.2522 1.216 -0.207 0.836 -2.635 2.131
sigma2 1.1481 9014.396 0.000 1.000 -1.77e+04 1.77e+04
===================================================================================
Ljung-Box (L1) (Q): 0.32 Jarque-Bera (JB): 0.39
Prob(Q): 0.57 Prob(JB): 0.82
Heteroskedasticity (H): 2.41 Skew: 0.13
Prob(H) (two-sided): 0.42 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.02924410982021, Current Price: 115.28
BUY EXECUTED at 115.28
BUY ORDER COMPLETED at 117.32
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.681
Date: Wed, 09 Oct 2024 AIC 51.362
Time: 14:40:24 BIC 54.186
Sample: 0 HQIC 50.781
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8444 0.283 2.986 0.003 0.290 1.399
ma.L1 -1.0000 2.17e+04 -4.6e-05 1.000 -4.26e+04 4.26e+04
ar.S.L7 -0.4290 0.511 -0.839 0.402 -1.431 0.573
ma.S.L7 -0.1388 1.051 -0.132 0.895 -2.199 1.921
sigma2 1.1841 2.57e+04 4.6e-05 1.000 -5.05e+04 5.05e+04
===================================================================================
Ljung-Box (L1) (Q): 0.43 Jarque-Bera (JB): 0.55
Prob(Q): 0.51 Prob(JB): 0.76
Heteroskedasticity (H): 0.84 Skew: 0.08
Prob(H) (two-sided): 0.87 Kurtosis: 2.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.46324114834701, Current Price: 116.69
SELL EXECUTED at 116.69
SELL ORDER COMPLETED at 116.27
OPERATION PROFIT, GROSS -1.0499999999999972, NET -1.2835899999999971
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.402
Date: Wed, 09 Oct 2024 AIC 50.804
Time: 14:40:24 BIC 53.629
Sample: 0 HQIC 50.223
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7644 0.380 2.010 0.044 0.019 1.510
ma.L1 -1.0000 7639.616 -0.000 1.000 -1.5e+04 1.5e+04
ar.S.L7 -0.2456 0.655 -0.375 0.708 -1.530 1.038
ma.S.L7 -0.2555 1.119 -0.228 0.819 -2.448 1.937
sigma2 1.1008 8409.633 0.000 1.000 -1.65e+04 1.65e+04
===================================================================================
Ljung-Box (L1) (Q): 0.47 Jarque-Bera (JB): 0.77
Prob(Q): 0.49 Prob(JB): 0.68
Heteroskedasticity (H): 0.95 Skew: -0.16
Prob(H) (two-sided): 0.96 Kurtosis: 1.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.57488451217961, Current Price: 116.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.126
Date: Wed, 09 Oct 2024 AIC 48.251
Time: 14:40:24 BIC 51.076
Sample: 0 HQIC 47.671
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6460 0.333 1.941 0.052 -0.006 1.298
ma.L1 -1.0000 6782.391 -0.000 1.000 -1.33e+04 1.33e+04
ar.S.L7 -0.2908 0.333 -0.874 0.382 -0.943 0.361
ma.S.L7 -0.2748 0.656 -0.419 0.675 -1.560 1.011
sigma2 0.8985 6093.829 0.000 1.000 -1.19e+04 1.19e+04
===================================================================================
Ljung-Box (L1) (Q): 0.27 Jarque-Bera (JB): 0.66
Prob(Q): 0.60 Prob(JB): 0.72
Heteroskedasticity (H): 1.52 Skew: 0.02
Prob(H) (two-sided): 0.69 Kurtosis: 1.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.868540944327, Current Price: 115.47
BUY EXECUTED at 115.47
BUY ORDER COMPLETED at 114.8
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.109
Date: Wed, 09 Oct 2024 AIC 50.217
Time: 14:40:24 BIC 53.042
Sample: 0 HQIC 49.637
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3521 17.129 0.021 0.984 -33.220 33.924
ma.L1 -0.3739 16.920 -0.022 0.982 -33.536 32.788
ar.S.L7 0.0206 0.268 0.077 0.939 -0.505 0.546
ma.S.L7 -1.0083 90.455 -0.011 0.991 -178.297 176.280
sigma2 0.7716 69.968 0.011 0.991 -136.362 137.906
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.98
Prob(Q): 0.89 Prob(JB): 0.61
Heteroskedasticity (H): 1.23 Skew: 0.07
Prob(H) (two-sided): 0.85 Kurtosis: 1.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.82944127316757, Current Price: 114.67
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.615
Date: Wed, 09 Oct 2024 AIC 47.231
Time: 14:40:24 BIC 50.056
Sample: 0 HQIC 46.650
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5382 0.322 1.670 0.095 -0.093 1.170
ma.L1 -1.0000 9727.730 -0.000 1.000 -1.91e+04 1.91e+04
ar.S.L7 -0.3609 0.227 -1.586 0.113 -0.807 0.085
ma.S.L7 0.2462 0.555 0.444 0.657 -0.841 1.333
sigma2 0.8676 8440.151 0.000 1.000 -1.65e+04 1.65e+04
===================================================================================
Ljung-Box (L1) (Q): 0.38 Jarque-Bera (JB): 1.24
Prob(Q): 0.54 Prob(JB): 0.54
Heteroskedasticity (H): 0.57 Skew: 0.74
Prob(H) (two-sided): 0.60 Kurtosis: 2.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.18889675313159, Current Price: 115.966
SELL EXECUTED at 115.966
SELL ORDER COMPLETED at 115.35
OPERATION PROFIT, GROSS 0.5499999999999972, NET 0.3198499999999972
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.324
Date: Wed, 09 Oct 2024 AIC 46.649
Time: 14:40:25 BIC 49.473
Sample: 0 HQIC 46.068
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4696 0.148 3.177 0.001 0.180 0.759
ma.L1 -1.0000 9219.317 -0.000 1.000 -1.81e+04 1.81e+04
ar.S.L7 -0.3860 0.272 -1.419 0.156 -0.919 0.147
ma.S.L7 0.1270 0.836 0.152 0.879 -1.511 1.765
sigma2 0.8428 7770.210 0.000 1.000 -1.52e+04 1.52e+04
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 1.60
Prob(Q): 0.65 Prob(JB): 0.45
Heteroskedasticity (H): 0.32 Skew: 0.86
Prob(H) (two-sided): 0.29 Kurtosis: 2.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.55696286538856, Current Price: 115.14
BUY EXECUTED at 115.14
BUY ORDER COMPLETED at 114.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.417
Date: Wed, 09 Oct 2024 AIC 50.834
Time: 14:40:25 BIC 53.658
Sample: 0 HQIC 50.253
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2503 1.141 0.219 0.826 -1.987 2.487
ma.L1 -1.0000 3405.342 -0.000 1.000 -6675.348 6673.348
ar.S.L7 -0.3557 0.174 -2.039 0.041 -0.698 -0.014
ma.S.L7 0.0666 1.009 0.066 0.947 -1.911 2.044
sigma2 1.2104 4122.840 0.000 1.000 -8079.407 8081.828
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.39
Prob(Q): 0.99 Prob(JB): 0.82
Heteroskedasticity (H): 0.94 Skew: 0.38
Prob(H) (two-sided): 0.95 Kurtosis: 3.40
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.54422621428526, Current Price: 114.44
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.237
Date: Wed, 09 Oct 2024 AIC 52.474
Time: 14:40:25 BIC 55.298
Sample: 0 HQIC 51.893
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3630 0.896 0.405 0.686 -1.394 2.120
ma.L1 -0.7192 0.906 -0.794 0.427 -2.495 1.056
ar.S.L7 -0.3266 0.233 -1.403 0.161 -0.783 0.130
ma.S.L7 -0.1757 0.803 -0.219 0.827 -1.750 1.399
sigma2 1.5059 1.172 1.285 0.199 -0.791 3.803
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 1.08
Prob(Q): 0.77 Prob(JB): 0.58
Heteroskedasticity (H): 0.76 Skew: 0.67
Prob(H) (two-sided): 0.80 Kurtosis: 2.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.95489311853835, Current Price: 115.43
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.118
Date: Wed, 09 Oct 2024 AIC 48.237
Time: 14:40:25 BIC 51.062
Sample: 0 HQIC 47.656
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3100 1.310 0.237 0.813 -2.258 2.878
ma.L1 -0.6079 1.211 -0.502 0.616 -2.982 1.766
ar.S.L7 -0.5017 0.296 -1.696 0.090 -1.082 0.078
ma.S.L7 -0.1306 0.721 -0.181 0.856 -1.544 1.283
sigma2 1.0999 0.821 1.340 0.180 -0.509 2.709
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.57
Prob(Q): 0.77 Prob(JB): 0.75
Heteroskedasticity (H): 1.57 Skew: 0.42
Prob(H) (two-sided): 0.67 Kurtosis: 2.42
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.79468302195163, Current Price: 115.03
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.683
Date: Wed, 09 Oct 2024 AIC 47.366
Time: 14:40:25 BIC 50.191
Sample: 0 HQIC 46.786
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3145 2.433 0.129 0.897 -4.454 5.083
ma.L1 -0.4431 2.300 -0.193 0.847 -4.951 4.064
ar.S.L7 -0.3650 0.505 -0.723 0.470 -1.355 0.625
ma.S.L7 -0.2810 0.814 -0.345 0.730 -1.877 1.315
sigma2 1.0044 0.585 1.717 0.086 -0.142 2.151
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 0.46
Prob(Q): 0.62 Prob(JB): 0.79
Heteroskedasticity (H): 1.26 Skew: 0.24
Prob(H) (two-sided): 0.83 Kurtosis: 2.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.99378924962137, Current Price: 115.6
SELL EXECUTED at 115.6
SELL ORDER COMPLETED at 114.82
OPERATION PROFIT, GROSS 0.12999999999999545, NET -0.09951000000000454
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.968
Date: Wed, 09 Oct 2024 AIC 43.936
Time: 14:40:25 BIC 46.760
Sample: 0 HQIC 43.355
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8640 0.183 -4.726 0.000 -1.222 -0.506
ma.L1 1.0000 1.04e+04 9.61e-05 1.000 -2.04e+04 2.04e+04
ar.S.L7 -0.1860 0.495 -0.376 0.707 -1.155 0.783
ma.S.L7 -0.4838 0.883 -0.548 0.584 -2.214 1.246
sigma2 0.6303 6560.464 9.61e-05 1.000 -1.29e+04 1.29e+04
===================================================================================
Ljung-Box (L1) (Q): 0.31 Jarque-Bera (JB): 1.52
Prob(Q): 0.58 Prob(JB): 0.47
Heteroskedasticity (H): 0.75 Skew: -0.84
Prob(H) (two-sided): 0.78 Kurtosis: 3.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.95096415065315, Current Price: 114.72
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.021
Date: Wed, 09 Oct 2024 AIC 44.043
Time: 14:40:25 BIC 46.868
Sample: 0 HQIC 43.462
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9137 0.241 -3.785 0.000 -1.387 -0.441
ma.L1 1.0000 1.77e+04 5.64e-05 1.000 -3.47e+04 3.47e+04
ar.S.L7 -0.1946 0.293 -0.663 0.507 -0.770 0.381
ma.S.L7 -1.0002 7552.704 -0.000 1.000 -1.48e+04 1.48e+04
sigma2 0.4273 7920.301 5.4e-05 1.000 -1.55e+04 1.55e+04
===================================================================================
Ljung-Box (L1) (Q): 0.76 Jarque-Bera (JB): 0.33
Prob(Q): 0.38 Prob(JB): 0.85
Heteroskedasticity (H): 0.59 Skew: -0.30
Prob(H) (two-sided): 0.62 Kurtosis: 2.51
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.15555263399611, Current Price: 115.38
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.527
Date: Wed, 09 Oct 2024 AIC 41.053
Time: 14:40:25 BIC 43.878
Sample: 0 HQIC 40.473
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0191 1.143 0.017 0.987 -2.220 2.259
ma.L1 -0.2752 1.264 -0.218 0.828 -2.752 2.202
ar.S.L7 -0.3476 0.252 -1.380 0.168 -0.841 0.146
ma.S.L7 -1.0001 1.6e+04 -6.24e-05 1.000 -3.14e+04 3.14e+04
sigma2 0.3843 6158.754 6.24e-05 1.000 -1.21e+04 1.21e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.58
Prob(Q): 0.88 Prob(JB): 0.75
Heteroskedasticity (H): 0.27 Skew: -0.23
Prob(H) (two-sided): 0.24 Kurtosis: 2.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.51013279470845, Current Price: 113.83
BUY EXECUTED at 113.83
BUY ORDER COMPLETED at 113.9
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.419
Date: Wed, 09 Oct 2024 AIC 46.838
Time: 14:40:25 BIC 49.663
Sample: 0 HQIC 46.257
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3047 0.923 0.330 0.741 -1.505 2.114
ma.L1 -0.6813 0.860 -0.793 0.428 -2.366 1.003
ar.S.L7 -0.0738 0.372 -0.198 0.843 -0.802 0.655
ma.S.L7 -0.2040 0.507 -0.403 0.687 -1.197 0.789
sigma2 0.9737 0.648 1.502 0.133 -0.297 2.245
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.38
Prob(Q): 0.87 Prob(JB): 0.83
Heteroskedasticity (H): 1.11 Skew: 0.08
Prob(H) (two-sided): 0.92 Kurtosis: 2.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.81736085085642, Current Price: 114.66
SELL EXECUTED at 114.66
SELL ORDER COMPLETED at 113.96
OPERATION PROFIT, GROSS 0.05999999999998806, NET -0.16786000000001194
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.424
Date: Wed, 09 Oct 2024 AIC 46.849
Time: 14:40:25 BIC 49.673
Sample: 0 HQIC 46.268
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2635 1.029 0.256 0.798 -1.753 2.280
ma.L1 -0.5740 0.840 -0.683 0.494 -2.220 1.072
ar.S.L7 -0.2473 0.345 -0.717 0.473 -0.923 0.429
ma.S.L7 0.1761 0.485 0.363 0.717 -0.775 1.127
sigma2 0.9839 0.602 1.635 0.102 -0.195 2.163
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.18
Prob(Q): 0.87 Prob(JB): 0.91
Heteroskedasticity (H): 1.18 Skew: 0.02
Prob(H) (two-sided): 0.88 Kurtosis: 2.42
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.41806457692155, Current Price: 113.05
BUY EXECUTED at 113.05
BUY ORDER COMPLETED at 113.87
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.193
Date: Wed, 09 Oct 2024 AIC 50.387
Time: 14:40:25 BIC 53.212
Sample: 0 HQIC 49.806
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1333 0.659 0.202 0.840 -1.159 1.426
ma.L1 -0.7008 0.488 -1.435 0.151 -1.658 0.256
ar.S.L7 0.0167 0.382 0.044 0.965 -0.731 0.765
ma.S.L7 0.3624 0.636 0.570 0.569 -0.884 1.609
sigma2 1.2325 0.831 1.484 0.138 -0.396 2.861
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.82
Prob(Q): 0.82 Prob(JB): 0.66
Heteroskedasticity (H): 0.95 Skew: 0.26
Prob(H) (two-sided): 0.96 Kurtosis: 1.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.64565454006411, Current Price: 115.33
SELL EXECUTED at 115.33
SELL ORDER COMPLETED at 115.36
OPERATION PROFIT, GROSS 1.4899999999999949, NET 1.2607699999999948
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.264
Date: Wed, 09 Oct 2024 AIC 50.528
Time: 14:40:25 BIC 53.353
Sample: 0 HQIC 49.948
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0979 0.489 -2.244 0.025 -2.057 -0.139
ma.L1 0.5644 0.606 0.931 0.352 -0.624 1.753
ar.S.L7 -0.4007 0.673 -0.596 0.551 -1.719 0.918
ma.S.L7 -0.0578 0.808 -0.072 0.943 -1.641 1.525
sigma2 1.3102 0.851 1.539 0.124 -0.358 2.978
===================================================================================
Ljung-Box (L1) (Q): 0.49 Jarque-Bera (JB): 1.23
Prob(Q): 0.48 Prob(JB): 0.54
Heteroskedasticity (H): 0.61 Skew: -0.31
Prob(H) (two-sided): 0.64 Kurtosis: 1.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.63599954530689, Current Price: 116.33
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.931
Date: Wed, 09 Oct 2024 AIC 51.863
Time: 14:40:25 BIC 54.687
Sample: 0 HQIC 51.282
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1636 0.378 0.433 0.665 -0.577 0.905
ma.L1 -1.0000 1664.778 -0.001 1.000 -3263.904 3261.904
ar.S.L7 0.1317 0.313 0.421 0.673 -0.481 0.744
ma.S.L7 0.1888 0.537 0.351 0.725 -0.864 1.242
sigma2 1.3021 2168.650 0.001 1.000 -4249.174 4251.779
===================================================================================
Ljung-Box (L1) (Q): 0.54 Jarque-Bera (JB): 1.14
Prob(Q): 0.46 Prob(JB): 0.57
Heteroskedasticity (H): 0.75 Skew: 0.35
Prob(H) (two-sided): 0.78 Kurtosis: 1.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.64155350504704, Current Price: 115.51
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.274
Date: Wed, 09 Oct 2024 AIC 50.548
Time: 14:40:25 BIC 53.373
Sample: 0 HQIC 49.967
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2164 0.393 0.550 0.582 -0.555 0.987
ma.L1 -1.0000 9790.400 -0.000 1.000 -1.92e+04 1.92e+04
ar.S.L7 0.0972 0.687 0.141 0.888 -1.250 1.445
ma.S.L7 0.2002 0.864 0.232 0.817 -1.494 1.894
sigma2 1.1796 1.15e+04 0.000 1.000 -2.26e+04 2.26e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.11
Prob(Q): 0.94 Prob(JB): 0.57
Heteroskedasticity (H): 1.00 Skew: 0.12
Prob(H) (two-sided): 1.00 Kurtosis: 1.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.14654368756926, Current Price: 113.47
BUY EXECUTED at 113.47
BUY ORDER COMPLETED at 112.42
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.038
Date: Wed, 09 Oct 2024 AIC 50.076
Time: 14:40:25 BIC 52.900
Sample: 0 HQIC 49.495
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2736 0.505 0.542 0.588 -0.716 1.263
ma.L1 -1.0000 2688.463 -0.000 1.000 -5270.291 5268.291
ar.S.L7 0.1014 0.527 0.192 0.847 -0.932 1.135
ma.S.L7 0.5774 1.088 0.531 0.596 -1.555 2.709
sigma2 1.0235 2752.753 0.000 1.000 -5394.273 5396.320
===================================================================================
Ljung-Box (L1) (Q): 0.37 Jarque-Bera (JB): 0.99
Prob(Q): 0.54 Prob(JB): 0.61
Heteroskedasticity (H): 1.59 Skew: 0.26
Prob(H) (two-sided): 0.66 Kurtosis: 1.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.80489012833333, Current Price: 113.08
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.558
Date: Wed, 09 Oct 2024 AIC 47.115
Time: 14:40:25 BIC 49.940
Sample: 0 HQIC 46.535
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1527 0.538 0.284 0.777 -0.903 1.208
ma.L1 -1.0000 1385.581 -0.001 0.999 -2716.688 2714.688
ar.S.L7 0.0012 0.004 0.340 0.734 -0.006 0.008
ma.S.L7 1.0000 6.17e+04 1.62e-05 1.000 -1.21e+05 1.21e+05
sigma2 0.6465 4.03e+04 1.6e-05 1.000 -7.91e+04 7.91e+04
===================================================================================
Ljung-Box (L1) (Q): 0.32 Jarque-Bera (JB): 0.95
Prob(Q): 0.57 Prob(JB): 0.62
Heteroskedasticity (H): 0.66 Skew: -0.09
Prob(H) (two-sided): 0.69 Kurtosis: 1.69
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 9.36e+14. Standard errors may be unstable.
Predicted Price: 114.962612834509, Current Price: 114.1
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.036
Date: Wed, 09 Oct 2024 AIC 42.073
Time: 14:40:25 BIC 44.897
Sample: 0 HQIC 41.492
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2365 0.276 -0.858 0.391 -0.777 0.304
ma.L1 -1.0001 196.106 -0.005 0.996 -385.360 383.360
ar.S.L7 0.0011 0.001 0.851 0.395 -0.001 0.004
ma.S.L7 1.0003 1419.486 0.001 0.999 -2781.142 2783.142
sigma2 0.4270 621.680 0.001 0.999 -1218.043 1218.897
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 1.52
Prob(Q): 0.72 Prob(JB): 0.47
Heteroskedasticity (H): 1.21 Skew: 0.02
Prob(H) (two-sided): 0.86 Kurtosis: 1.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.81588698643317, Current Price: 114.42
SELL EXECUTED at 114.42
SELL ORDER COMPLETED at 114.59
OPERATION PROFIT, GROSS 2.1700000000000017, NET 1.9429900000000018
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.260
Date: Wed, 09 Oct 2024 AIC 50.521
Time: 14:40:25 BIC 53.346
Sample: 0 HQIC 49.940
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1082 0.552 -0.196 0.845 -1.189 0.973
ma.L1 -1.0000 8426.662 -0.000 1.000 -1.65e+04 1.65e+04
ar.S.L7 -0.1324 0.332 -0.398 0.690 -0.783 0.519
ma.S.L7 0.0294 0.557 0.053 0.958 -1.063 1.122
sigma2 1.1600 9774.871 0.000 1.000 -1.92e+04 1.92e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.04
Prob(Q): 0.89 Prob(JB): 0.59
Heteroskedasticity (H): 2.08 Skew: -0.56
Prob(H) (two-sided): 0.50 Kurtosis: 2.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.68655324783684, Current Price: 114.36
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.825
Date: Wed, 09 Oct 2024 AIC 49.650
Time: 14:40:25 BIC 52.474
Sample: 0 HQIC 49.069
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1769 0.534 -0.331 0.740 -1.223 0.869
ma.L1 -1.0000 7440.813 -0.000 1.000 -1.46e+04 1.46e+04
ar.S.L7 -0.0746 0.317 -0.235 0.814 -0.697 0.547
ma.S.L7 0.0582 0.566 0.103 0.918 -1.050 1.167
sigma2 1.0838 8064.562 0.000 1.000 -1.58e+04 1.58e+04
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 0.55
Prob(Q): 0.67 Prob(JB): 0.76
Heteroskedasticity (H): 2.14 Skew: -0.15
Prob(H) (two-sided): 0.48 Kurtosis: 2.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.99890399280783, Current Price: 113.42
BUY EXECUTED at 113.42
BUY ORDER COMPLETED at 114.34
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.801
Date: Wed, 09 Oct 2024 AIC 51.603
Time: 14:40:25 BIC 54.428
Sample: 0 HQIC 51.022
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0115 0.450 0.026 0.980 -0.870 0.893
ma.L1 -1.0000 1.26e+04 -7.96e-05 1.000 -2.46e+04 2.46e+04
ar.S.L7 -0.0746 0.398 -0.188 0.851 -0.854 0.705
ma.S.L7 -1.0001 7187.279 -0.000 1.000 -1.41e+04 1.41e+04
sigma2 0.7318 1.32e+04 5.54e-05 1.000 -2.59e+04 2.59e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.82
Prob(Q): 0.96 Prob(JB): 0.66
Heteroskedasticity (H): 0.69 Skew: -0.10
Prob(H) (two-sided): 0.73 Kurtosis: 1.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.82436477208608, Current Price: 113.97
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.915
Date: Wed, 09 Oct 2024 AIC 51.829
Time: 14:40:25 BIC 54.654
Sample: 0 HQIC 51.248
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0460 0.427 -0.108 0.914 -0.882 0.790
ma.L1 -1.0001 1673.615 -0.001 1.000 -3281.224 3279.224
ar.S.L7 -0.0019 0.005 -0.402 0.688 -0.011 0.007
ma.S.L7 -0.9993 619.293 -0.002 0.999 -1214.792 1212.793
sigma2 0.8080 1211.578 0.001 0.999 -2373.841 2375.457
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.03
Prob(Q): 0.91 Prob(JB): 0.60
Heteroskedasticity (H): 0.49 Skew: -0.09
Prob(H) (two-sided): 0.51 Kurtosis: 1.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.76300366898046, Current Price: 113.53
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.385
Date: Wed, 09 Oct 2024 AIC 50.771
Time: 14:40:25 BIC 53.595
Sample: 0 HQIC 50.190
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1181 0.428 -0.276 0.783 -0.957 0.721
ma.L1 -1.0000 9696.939 -0.000 1.000 -1.9e+04 1.9e+04
ar.S.L7 -0.1419 0.302 -0.469 0.639 -0.735 0.451
ma.S.L7 -0.7851 3.321 -0.236 0.813 -7.293 5.723
sigma2 0.8360 8106.349 0.000 1.000 -1.59e+04 1.59e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.80
Prob(Q): 0.92 Prob(JB): 0.67
Heteroskedasticity (H): 0.66 Skew: -0.24
Prob(H) (two-sided): 0.69 Kurtosis: 1.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.05548496930044, Current Price: 114.5
SELL EXECUTED at 114.5
SELL ORDER COMPLETED at 115.74
OPERATION PROFIT, GROSS 1.3999999999999915, NET 1.1699199999999914
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.910
Date: Wed, 09 Oct 2024 AIC 49.820
Time: 14:40:25 BIC 52.645
Sample: 0 HQIC 49.239
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1956 0.361 -0.542 0.588 -0.903 0.511
ma.L1 -1.0000 1.03e+04 -9.75e-05 1.000 -2.01e+04 2.01e+04
ar.S.L7 -0.4200 0.415 -1.011 0.312 -1.234 0.394
ma.S.L7 -1.0000 2.14e+04 -4.67e-05 1.000 -4.2e+04 4.2e+04
sigma2 0.6344 1.32e+04 4.81e-05 1.000 -2.58e+04 2.58e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.59
Prob(Q): 0.92 Prob(JB): 0.74
Heteroskedasticity (H): 0.39 Skew: -0.12
Prob(H) (two-sided): 0.39 Kurtosis: 1.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.98012557211317, Current Price: 116.55
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.674
Date: Wed, 09 Oct 2024 AIC 55.348
Time: 14:40:25 BIC 58.173
Sample: 0 HQIC 54.768
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4461 0.565 0.790 0.430 -0.661 1.553
ma.L1 -1.0001 3517.044 -0.000 1.000 -6894.279 6892.279
ar.S.L7 -0.2620 1.398 -0.187 0.851 -3.003 2.479
ma.S.L7 -0.3208 1.767 -0.182 0.856 -3.783 3.142
sigma2 1.5842 5574.012 0.000 1.000 -1.09e+04 1.09e+04
===================================================================================
Ljung-Box (L1) (Q): 0.79 Jarque-Bera (JB): 0.78
Prob(Q): 0.37 Prob(JB): 0.68
Heteroskedasticity (H): 0.90 Skew: -0.57
Prob(H) (two-sided): 0.92 Kurtosis: 2.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.79736445300163, Current Price: 117.18
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.289
Date: Wed, 09 Oct 2024 AIC 52.578
Time: 14:40:25 BIC 55.403
Sample: 0 HQIC 51.998
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2101 4.759 0.044 0.965 -9.117 9.537
ma.L1 -7.6635 279.806 -0.027 0.978 -556.072 540.745
ar.S.L7 -0.0989 0.559 -0.177 0.859 -1.194 0.996
ma.S.L7 -1.0071 128.445 -0.008 0.994 -252.755 250.741
sigma2 0.0157 2.826 0.006 0.996 -5.523 5.554
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 0.87
Prob(Q): 0.66 Prob(JB): 0.65
Heteroskedasticity (H): 0.77 Skew: -0.63
Prob(H) (two-sided): 0.81 Kurtosis: 2.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.90735378741702, Current Price: 117.53
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.029
Date: Wed, 09 Oct 2024 AIC 54.058
Time: 14:40:25 BIC 56.883
Sample: 0 HQIC 53.478
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3618 2.922 0.124 0.901 -5.365 6.088
ma.L1 -0.5244 2.705 -0.194 0.846 -5.826 4.777
ar.S.L7 -0.2487 0.572 -0.435 0.664 -1.370 0.872
ma.S.L7 -0.3952 1.167 -0.339 0.735 -2.683 1.893
sigma2 1.6238 1.336 1.216 0.224 -0.994 4.242
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 1.42
Prob(Q): 0.78 Prob(JB): 0.49
Heteroskedasticity (H): 1.29 Skew: -0.81
Prob(H) (two-sided): 0.81 Kurtosis: 2.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.5590025279339, Current Price: 117.52
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.387
Date: Wed, 09 Oct 2024 AIC 54.775
Time: 14:40:25 BIC 57.599
Sample: 0 HQIC 54.194
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3513 10.490 0.033 0.973 -20.209 20.911
ma.L1 -0.3825 10.550 -0.036 0.971 -21.060 20.295
ar.S.L7 -0.4186 0.426 -0.982 0.326 -1.254 0.417
ma.S.L7 0.0581 0.779 0.075 0.940 -1.469 1.585
sigma2 1.8320 1.120 1.636 0.102 -0.363 4.026
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 2.41
Prob(Q): 0.78 Prob(JB): 0.30
Heteroskedasticity (H): 0.26 Skew: -1.06
Prob(H) (two-sided): 0.22 Kurtosis: 3.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.5683502993178, Current Price: 115.89
BUY EXECUTED at 115.89
BUY ORDER COMPLETED at 116.03
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.016
Date: Wed, 09 Oct 2024 AIC 50.031
Time: 14:40:25 BIC 52.856
Sample: 0 HQIC 49.451
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5483 0.518 1.058 0.290 -0.467 1.564
ma.L1 -0.6057 0.737 -0.822 0.411 -2.051 0.839
ar.S.L7 -0.6018 0.262 -2.293 0.022 -1.116 -0.087
ma.S.L7 1.0001 1.37e+04 7.32e-05 1.000 -2.68e+04 2.68e+04
sigma2 0.7360 1.01e+04 7.32e-05 1.000 -1.97e+04 1.97e+04
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 1.69
Prob(Q): 0.68 Prob(JB): 0.43
Heteroskedasticity (H): 2.22 Skew: -0.83
Prob(H) (two-sided): 0.46 Kurtosis: 2.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.18886845116316, Current Price: 116.08
SELL EXECUTED at 116.08
SELL ORDER COMPLETED at 115.53
OPERATION PROFIT, GROSS -0.5, NET -0.73156
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.687
Date: Wed, 09 Oct 2024 AIC 51.374
Time: 14:40:26 BIC 54.199
Sample: 0 HQIC 50.793
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0711 4.088 0.017 0.986 -7.941 8.083
ma.L1 0.0116 4.183 0.003 0.998 -8.186 8.209
ar.S.L7 -0.4538 0.301 -1.506 0.132 -1.044 0.137
ma.S.L7 0.1174 0.509 0.231 0.818 -0.880 1.115
sigma2 1.4040 1.136 1.236 0.217 -0.823 3.631
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 1.38
Prob(Q): 0.84 Prob(JB): 0.50
Heteroskedasticity (H): 1.06 Skew: -0.63
Prob(H) (two-sided): 0.95 Kurtosis: 2.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.7497355118626, Current Price: 115.69
BUY EXECUTED at 115.69
BUY ORDER COMPLETED at 115.51
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.237
Date: Wed, 09 Oct 2024 AIC 44.473
Time: 14:40:26 BIC 47.298
Sample: 0 HQIC 43.893
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0654 0.126 -8.464 0.000 -1.312 -0.819
ma.L1 1.0000 3122.068 0.000 1.000 -6118.141 6120.141
ar.S.L7 -0.7079 0.162 -4.357 0.000 -1.026 -0.389
ma.S.L7 1.0000 2.63e+04 3.81e-05 1.000 -5.15e+04 5.15e+04
sigma2 0.4021 1.06e+04 3.8e-05 1.000 -2.07e+04 2.07e+04
===================================================================================
Ljung-Box (L1) (Q): 1.58 Jarque-Bera (JB): 0.25
Prob(Q): 0.21 Prob(JB): 0.88
Heteroskedasticity (H): 0.61 Skew: -0.15
Prob(H) (two-sided): 0.64 Kurtosis: 2.38
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.21692389592903, Current Price: 115.6
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.167
Date: Wed, 09 Oct 2024 AIC 52.334
Time: 14:40:26 BIC 55.159
Sample: 0 HQIC 51.754
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4218 0.621 0.679 0.497 -0.795 1.639
ma.L1 -0.4469 0.912 -0.490 0.624 -2.235 1.341
ar.S.L7 -0.4356 0.449 -0.969 0.332 -1.316 0.445
ma.S.L7 -0.4810 1.033 -0.466 0.642 -2.506 1.544
sigma2 1.3624 1.632 0.835 0.404 -1.836 4.561
===================================================================================
Ljung-Box (L1) (Q): 0.53 Jarque-Bera (JB): 1.48
Prob(Q): 0.47 Prob(JB): 0.48
Heteroskedasticity (H): 0.80 Skew: 0.08
Prob(H) (two-sided): 0.83 Kurtosis: 1.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.4673127439961, Current Price: 113.91
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.635
Date: Wed, 09 Oct 2024 AIC 51.271
Time: 14:40:26 BIC 54.095
Sample: 0 HQIC 50.690
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0443 0.929 0.048 0.962 -1.777 1.865
ma.L1 0.2453 0.894 0.274 0.784 -1.507 1.997
ar.S.L7 -0.2817 0.418 -0.674 0.500 -1.101 0.538
ma.S.L7 -1.0001 6055.489 -0.000 1.000 -1.19e+04 1.19e+04
sigma2 0.8434 5107.338 0.000 1.000 -1e+04 1e+04
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 1.41
Prob(Q): 0.64 Prob(JB): 0.49
Heteroskedasticity (H): 1.03 Skew: 0.24
Prob(H) (two-sided): 0.98 Kurtosis: 1.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.53767633921134, Current Price: 113.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.995
Date: Wed, 09 Oct 2024 AIC 49.990
Time: 14:40:26 BIC 52.815
Sample: 0 HQIC 49.409
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1791 1.144 0.157 0.876 -2.062 2.420
ma.L1 0.0934 1.308 0.071 0.943 -2.469 2.656
ar.S.L7 -0.3380 0.366 -0.922 0.356 -1.056 0.380
ma.S.L7 -0.6701 1.845 -0.363 0.717 -4.287 2.947
sigma2 1.0216 1.536 0.665 0.506 -1.988 4.031
===================================================================================
Ljung-Box (L1) (Q): 0.37 Jarque-Bera (JB): 0.95
Prob(Q): 0.54 Prob(JB): 0.62
Heteroskedasticity (H): 0.86 Skew: 0.30
Prob(H) (two-sided): 0.89 Kurtosis: 1.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.703924308943, Current Price: 114.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.952
Date: Wed, 09 Oct 2024 AIC 45.904
Time: 14:40:26 BIC 48.729
Sample: 0 HQIC 45.324
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3196 0.787 0.406 0.685 -1.223 1.862
ma.L1 0.0561 0.804 0.070 0.944 -1.521 1.633
ar.S.L7 -0.3188 0.254 -1.256 0.209 -0.816 0.179
ma.S.L7 -1.0001 1.18e+04 -8.44e-05 1.000 -2.32e+04 2.32e+04
sigma2 0.5580 6609.328 8.44e-05 1.000 -1.3e+04 1.3e+04
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.75
Prob(Q): 0.83 Prob(JB): 0.69
Heteroskedasticity (H): 1.74 Skew: 0.55
Prob(H) (two-sided): 0.60 Kurtosis: 2.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.81050509107874, Current Price: 114.1
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.351
Date: Wed, 09 Oct 2024 AIC 46.702
Time: 14:40:26 BIC 49.527
Sample: 0 HQIC 46.122
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2937 1.308 0.224 0.822 -2.270 2.858
ma.L1 -0.0433 1.352 -0.032 0.974 -2.692 2.606
ar.S.L7 -0.3953 0.280 -1.410 0.159 -0.945 0.154
ma.S.L7 -1.0001 1.09e+04 -9.14e-05 1.000 -2.15e+04 2.15e+04
sigma2 0.5936 6497.221 9.14e-05 1.000 -1.27e+04 1.27e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.50
Prob(Q): 0.99 Prob(JB): 0.78
Heteroskedasticity (H): 0.75 Skew: 0.07
Prob(H) (two-sided): 0.78 Kurtosis: 2.05
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.08292416748466, Current Price: 114.0
SELL EXECUTED at 114.0
SELL ORDER COMPLETED at 114.36
OPERATION PROFIT, GROSS -1.1500000000000057, NET -1.3798700000000057
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.406
Date: Wed, 09 Oct 2024 AIC 44.812
Time: 14:40:26 BIC 47.636
Sample: 0 HQIC 44.231
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5225 0.393 1.329 0.184 -0.248 1.293
ma.L1 -0.3900 0.400 -0.976 0.329 -1.173 0.393
ar.S.L7 -0.4519 0.307 -1.472 0.141 -1.053 0.150
ma.S.L7 -1.0002 8805.492 -0.000 1.000 -1.73e+04 1.73e+04
sigma2 0.4942 4351.940 0.000 1.000 -8529.151 8530.139
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.01
Prob(Q): 0.99 Prob(JB): 0.60
Heteroskedasticity (H): 0.64 Skew: -0.29
Prob(H) (two-sided): 0.68 Kurtosis: 1.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.41248332346441, Current Price: 114.46
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.075
Date: Wed, 09 Oct 2024 AIC 44.149
Time: 14:40:26 BIC 46.974
Sample: 0 HQIC 43.569
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1683 11.770 0.014 0.989 -22.900 23.237
ma.L1 -0.1421 11.885 -0.012 0.990 -23.437 23.153
ar.S.L7 -0.3934 0.290 -1.356 0.175 -0.962 0.175
ma.S.L7 -1.0001 1.89e+04 -5.3e-05 1.000 -3.7e+04 3.7e+04
sigma2 0.4877 9203.175 5.3e-05 1.000 -1.8e+04 1.8e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.91
Prob(Q): 0.99 Prob(JB): 0.63
Heteroskedasticity (H): 0.28 Skew: -0.45
Prob(H) (two-sided): 0.25 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.01188569464932, Current Price: 113.64
BUY EXECUTED at 113.64
BUY ORDER COMPLETED at 112.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.631
Date: Wed, 09 Oct 2024 AIC 49.263
Time: 14:40:26 BIC 52.087
Sample: 0 HQIC 48.682
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1157 5.415 0.021 0.983 -10.498 10.729
ma.L1 -0.0334 5.378 -0.006 0.995 -10.574 10.507
ar.S.L7 -0.3749 0.414 -0.907 0.365 -1.185 0.436
ma.S.L7 -0.3259 0.687 -0.474 0.635 -1.672 1.020
sigma2 1.1479 0.605 1.897 0.058 -0.038 2.334
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 0.71
Prob(Q): 0.72 Prob(JB): 0.70
Heteroskedasticity (H): 0.92 Skew: -0.12
Prob(H) (two-sided): 0.94 Kurtosis: 1.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.26861318246135, Current Price: 112.84
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.681
Date: Wed, 09 Oct 2024 AIC 49.363
Time: 14:40:26 BIC 52.188
Sample: 0 HQIC 48.782
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1712 2.167 0.079 0.937 -4.075 4.418
ma.L1 0.0090 2.058 0.004 0.997 -4.024 4.042
ar.S.L7 -0.4814 0.330 -1.460 0.144 -1.127 0.165
ma.S.L7 -0.1174 0.476 -0.247 0.805 -1.051 0.816
sigma2 1.2028 0.662 1.816 0.069 -0.096 2.501
===================================================================================
Ljung-Box (L1) (Q): 0.30 Jarque-Bera (JB): 0.40
Prob(Q): 0.58 Prob(JB): 0.82
Heteroskedasticity (H): 0.65 Skew: 0.01
Prob(H) (two-sided): 0.69 Kurtosis: 2.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.94751407340453, Current Price: 112.24
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.523
Date: Wed, 09 Oct 2024 AIC 47.047
Time: 14:40:26 BIC 49.872
Sample: 0 HQIC 46.466
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8220 0.211 3.895 0.000 0.408 1.236
ma.L1 -1.0000 4988.565 -0.000 1.000 -9778.408 9776.408
ar.S.L7 -0.5338 0.187 -2.862 0.004 -0.899 -0.168
ma.S.L7 1.0001 7465.527 0.000 1.000 -1.46e+04 1.46e+04
sigma2 0.5384 5309.758 0.000 1.000 -1.04e+04 1.04e+04
===================================================================================
Ljung-Box (L1) (Q): 0.43 Jarque-Bera (JB): 0.65
Prob(Q): 0.51 Prob(JB): 0.72
Heteroskedasticity (H): 0.57 Skew: 0.38
Prob(H) (two-sided): 0.60 Kurtosis: 2.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.69661318093372, Current Price: 112.57
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.648
Date: Wed, 09 Oct 2024 AIC 47.296
Time: 14:40:26 BIC 50.121
Sample: 0 HQIC 46.715
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5620 0.961 0.585 0.559 -1.322 2.446
ma.L1 -0.2213 0.834 -0.265 0.791 -1.856 1.413
ar.S.L7 0.1306 0.563 0.232 0.817 -0.974 1.235
ma.S.L7 -1.0001 8614.187 -0.000 1.000 -1.69e+04 1.69e+04
sigma2 0.6068 5227.746 0.000 1.000 -1.02e+04 1.02e+04
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 1.53
Prob(Q): 0.82 Prob(JB): 0.47
Heteroskedasticity (H): 0.60 Skew: -0.35
Prob(H) (two-sided): 0.63 Kurtosis: 1.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.52359521287923, Current Price: 112.82
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.395
Date: Wed, 09 Oct 2024 AIC 42.791
Time: 14:40:26 BIC 45.616
Sample: 0 HQIC 42.210
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7546 0.210 3.594 0.000 0.343 1.166
ma.L1 -1.0000 3185.425 -0.000 1.000 -6244.319 6242.319
ar.S.L7 -0.3925 0.287 -1.368 0.171 -0.955 0.170
ma.S.L7 2.4405 4.967 0.491 0.623 -7.294 12.175
sigma2 0.0999 318.161 0.000 1.000 -623.485 623.685
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.47
Prob(Q): 0.85 Prob(JB): 0.79
Heteroskedasticity (H): 0.19 Skew: -0.22
Prob(H) (two-sided): 0.14 Kurtosis: 2.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.57974570605283, Current Price: 113.78
SELL EXECUTED at 113.78
SELL ORDER COMPLETED at 113.27
OPERATION PROFIT, GROSS 0.28999999999999204, NET 0.06374999999999204
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.944
Date: Wed, 09 Oct 2024 AIC 43.888
Time: 14:40:26 BIC 46.713
Sample: 0 HQIC 43.307
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3590 0.614 0.584 0.559 -0.845 1.563
ma.L1 0.1253 0.583 0.215 0.830 -1.017 1.267
ar.S.L7 -0.4848 0.435 -1.114 0.265 -1.338 0.368
ma.S.L7 0.1195 0.666 0.179 0.858 -1.186 1.425
sigma2 0.7890 0.657 1.200 0.230 -0.500 2.078
===================================================================================
Ljung-Box (L1) (Q): 0.32 Jarque-Bera (JB): 1.72
Prob(Q): 0.57 Prob(JB): 0.42
Heteroskedasticity (H): 0.44 Skew: -0.68
Prob(H) (two-sided): 0.44 Kurtosis: 1.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.26005206287167, Current Price: 113.26
BUY EXECUTED at 113.26
BUY ORDER COMPLETED at 113.06
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.129
Date: Wed, 09 Oct 2024 AIC 42.258
Time: 14:40:26 BIC 45.083
Sample: 0 HQIC 41.678
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1518 1.554 0.098 0.922 -2.894 3.198
ma.L1 0.0821 1.545 0.053 0.958 -2.946 3.111
ar.S.L7 -0.5283 0.307 -1.721 0.085 -1.130 0.073
ma.S.L7 0.4390 1.008 0.436 0.663 -1.537 2.414
sigma2 0.6432 0.549 1.171 0.242 -0.433 1.720
===================================================================================
Ljung-Box (L1) (Q): 1.09 Jarque-Bera (JB): 1.71
Prob(Q): 0.30 Prob(JB): 0.43
Heteroskedasticity (H): 0.59 Skew: -0.78
Prob(H) (two-sided): 0.62 Kurtosis: 2.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.10798157293904, Current Price: 113.23
SELL EXECUTED at 113.23
SELL ORDER COMPLETED at 113.28
OPERATION PROFIT, GROSS 0.21999999999999886, NET -0.00634000000000115
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.621
Date: Wed, 09 Oct 2024 AIC 35.241
Time: 14:40:26 BIC 38.066
Sample: 0 HQIC 34.661
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3176 1.558 -0.204 0.838 -3.371 2.736
ma.L1 0.1152 1.382 0.083 0.934 -2.593 2.824
ar.S.L7 -0.3576 0.174 -2.057 0.040 -0.698 -0.017
ma.S.L7 0.4037 0.505 0.799 0.424 -0.586 1.394
sigma2 0.3813 0.295 1.293 0.196 -0.197 0.959
===================================================================================
Ljung-Box (L1) (Q): 1.80 Jarque-Bera (JB): 0.93
Prob(Q): 0.18 Prob(JB): 0.63
Heteroskedasticity (H): 1.51 Skew: -0.20
Prob(H) (two-sided): 0.70 Kurtosis: 1.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.24078318308972, Current Price: 113.73
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.407
Date: Wed, 09 Oct 2024 AIC 40.815
Time: 14:40:26 BIC 43.639
Sample: 0 HQIC 40.234
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0929 5.367 -0.017 0.986 -10.612 10.426
ma.L1 0.1456 5.275 0.028 0.978 -10.193 10.485
ar.S.L7 -0.1523 0.222 -0.686 0.493 -0.587 0.283
ma.S.L7 -1.0003 1170.620 -0.001 0.999 -2295.373 2293.373
sigma2 0.3772 441.591 0.001 0.999 -865.126 865.880
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 1.03
Prob(Q): 0.69 Prob(JB): 0.60
Heteroskedasticity (H): 1.23 Skew: -0.14
Prob(H) (two-sided): 0.84 Kurtosis: 1.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.79814211514888, Current Price: 113.32
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.525
Date: Wed, 09 Oct 2024 AIC 41.049
Time: 14:40:26 BIC 43.874
Sample: 0 HQIC 40.468
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4235 2.300 -0.184 0.854 -4.932 4.085
ma.L1 0.2571 2.507 0.103 0.918 -4.656 5.170
ar.S.L7 -0.1717 0.164 -1.046 0.295 -0.493 0.150
ma.S.L7 0.1169 0.927 0.126 0.900 -1.699 1.933
sigma2 0.6352 0.444 1.430 0.153 -0.235 1.506
===================================================================================
Ljung-Box (L1) (Q): 0.35 Jarque-Bera (JB): 0.28
Prob(Q): 0.56 Prob(JB): 0.87
Heteroskedasticity (H): 1.12 Skew: -0.01
Prob(H) (two-sided): 0.92 Kurtosis: 2.28
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.65875761016807, Current Price: 113.85
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.726
Date: Wed, 09 Oct 2024 AIC 33.452
Time: 14:40:26 BIC 36.277
Sample: 0 HQIC 32.871
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9236 0.214 -4.313 0.000 -1.343 -0.504
ma.L1 1.0003 168.109 0.006 0.995 -328.488 330.488
ar.S.L7 1.979e-06 0.334 5.92e-06 1.000 -0.655 0.655
ma.S.L7 0.1116 0.404 0.276 0.783 -0.681 0.904
sigma2 0.3291 55.330 0.006 0.995 -108.116 108.774
===================================================================================
Ljung-Box (L1) (Q): 1.23 Jarque-Bera (JB): 0.12
Prob(Q): 0.27 Prob(JB): 0.94
Heteroskedasticity (H): 3.64 Skew: 0.14
Prob(H) (two-sided): 0.24 Kurtosis: 3.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.33707503618452, Current Price: 115.32
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.047
Date: Wed, 09 Oct 2024 AIC 40.093
Time: 14:40:26 BIC 42.918
Sample: 0 HQIC 39.513
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8733 0.174 5.033 0.000 0.533 1.213
ma.L1 -1.0000 4974.695 -0.000 1.000 -9751.224 9749.224
ar.S.L7 0.1503 0.265 0.567 0.570 -0.369 0.670
ma.S.L7 -0.2909 0.693 -0.420 0.675 -1.649 1.067
sigma2 0.4775 2375.488 0.000 1.000 -4655.393 4656.348
===================================================================================
Ljung-Box (L1) (Q): 1.58 Jarque-Bera (JB): 0.56
Prob(Q): 0.21 Prob(JB): 0.76
Heteroskedasticity (H): 1.09 Skew: -0.23
Prob(H) (two-sided): 0.94 Kurtosis: 2.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.3418112169127, Current Price: 115.12
BUY EXECUTED at 115.12
BUY ORDER COMPLETED at 113.79
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.981
Date: Wed, 09 Oct 2024 AIC 39.961
Time: 14:40:26 BIC 42.786
Sample: 0 HQIC 39.380
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4250 1.536 -0.277 0.782 -3.436 2.586
ma.L1 0.0754 1.394 0.054 0.957 -2.658 2.808
ar.S.L7 -0.0077 0.584 -0.013 0.989 -1.152 1.137
ma.S.L7 -0.1236 0.892 -0.139 0.890 -1.871 1.624
sigma2 0.5833 0.425 1.373 0.170 -0.249 1.416
===================================================================================
Ljung-Box (L1) (Q): 0.91 Jarque-Bera (JB): 0.75
Prob(Q): 0.34 Prob(JB): 0.69
Heteroskedasticity (H): 4.19 Skew: 0.42
Prob(H) (two-sided): 0.19 Kurtosis: 2.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.10608412462082, Current Price: 113.64
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.842
Date: Wed, 09 Oct 2024 AIC 39.684
Time: 14:40:26 BIC 42.508
Sample: 0 HQIC 39.103
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8373 0.264 -3.177 0.001 -1.354 -0.321
ma.L1 1.0000 4.47e+04 2.24e-05 1.000 -8.76e+04 8.76e+04
ar.S.L7 0.0508 0.637 0.080 0.936 -1.198 1.299
ma.S.L7 0.1951 1.268 0.154 0.878 -2.289 2.679
sigma2 0.4762 2.13e+04 2.24e-05 1.000 -4.17e+04 4.17e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.46
Prob(Q): 0.92 Prob(JB): 0.79
Heteroskedasticity (H): 8.56 Skew: -0.36
Prob(H) (two-sided): 0.06 Kurtosis: 2.42
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.73420073146443, Current Price: 112.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.542
Date: Wed, 09 Oct 2024 AIC 39.084
Time: 14:40:26 BIC 41.909
Sample: 0 HQIC 38.503
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4816 0.338 -1.426 0.154 -1.144 0.180
ma.L1 1.0000 1.65e+04 6.06e-05 1.000 -3.23e+04 3.23e+04
ar.S.L7 -0.4143 0.283 -1.466 0.143 -0.968 0.139
ma.S.L7 -0.0816 0.438 -0.187 0.852 -0.939 0.776
sigma2 0.4682 7721.501 6.06e-05 1.000 -1.51e+04 1.51e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.23
Prob(Q): 0.89 Prob(JB): 0.54
Heteroskedasticity (H): 2.22 Skew: -0.13
Prob(H) (two-sided): 0.46 Kurtosis: 1.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.68034246006695, Current Price: 112.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.975
Date: Wed, 09 Oct 2024 AIC 37.950
Time: 14:40:26 BIC 40.774
Sample: 0 HQIC 37.369
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1949 0.504 -0.387 0.699 -1.182 0.793
ma.L1 1.0000 3.01e+04 3.32e-05 1.000 -5.91e+04 5.91e+04
ar.S.L7 -0.5005 0.109 -4.597 0.000 -0.714 -0.287
ma.S.L7 0.1080 0.459 0.235 0.814 -0.792 1.008
sigma2 0.4399 1.33e+04 3.32e-05 1.000 -2.6e+04 2.6e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 1.29
Prob(Q): 0.86 Prob(JB): 0.52
Heteroskedasticity (H): 0.91 Skew: -0.32
Prob(H) (two-sided): 0.93 Kurtosis: 1.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.85323784826747, Current Price: 112.44
SELL EXECUTED at 112.44
SELL ORDER COMPLETED at 112.2
OPERATION PROFIT, GROSS -1.5900000000000034, NET -1.8159900000000033
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.883
Date: Wed, 09 Oct 2024 AIC 37.767
Time: 14:40:26 BIC 40.591
Sample: 0 HQIC 37.186
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1592 0.473 -0.337 0.736 -1.085 0.767
ma.L1 1.0000 8103.525 0.000 1.000 -1.59e+04 1.59e+04
ar.S.L7 -0.4566 0.138 -3.318 0.001 -0.726 -0.187
ma.S.L7 -0.1284 0.475 -0.270 0.787 -1.060 0.803
sigma2 0.4412 3574.869 0.000 1.000 -7006.172 7007.055
===================================================================================
Ljung-Box (L1) (Q): 0.44 Jarque-Bera (JB): 1.07
Prob(Q): 0.51 Prob(JB): 0.59
Heteroskedasticity (H): 0.19 Skew: -0.39
Prob(H) (two-sided): 0.14 Kurtosis: 1.84
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.15485933711487, Current Price: 112.56
BUY EXECUTED at 112.56
BUY ORDER COMPLETED at 112.81
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.533
Date: Wed, 09 Oct 2024 AIC 37.067
Time: 14:40:26 BIC 39.891
Sample: 0 HQIC 36.486
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2013 0.502 -0.401 0.689 -1.186 0.783
ma.L1 1.0000 1.12e+04 8.9e-05 1.000 -2.2e+04 2.2e+04
ar.S.L7 -0.4154 0.114 -3.647 0.000 -0.639 -0.192
ma.S.L7 -0.2419 0.758 -0.319 0.750 -1.728 1.244
sigma2 0.4161 4674.511 8.9e-05 1.000 -9161.457 9162.290
===================================================================================
Ljung-Box (L1) (Q): 0.36 Jarque-Bera (JB): 1.03
Prob(Q): 0.55 Prob(JB): 0.60
Heteroskedasticity (H): 0.13 Skew: -0.15
Prob(H) (two-sided): 0.07 Kurtosis: 1.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.76798667900815, Current Price: 113.07
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.176
Date: Wed, 09 Oct 2024 AIC 36.351
Time: 14:40:27 BIC 39.176
Sample: 0 HQIC 35.770
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2916 0.488 -0.598 0.550 -1.248 0.665
ma.L1 1.0000 1.74e+04 5.75e-05 1.000 -3.41e+04 3.41e+04
ar.S.L7 -0.3871 0.150 -2.575 0.010 -0.682 -0.093
ma.S.L7 -0.1413 0.617 -0.229 0.819 -1.351 1.068
sigma2 0.3986 6936.920 5.75e-05 1.000 -1.36e+04 1.36e+04
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.83
Prob(Q): 0.83 Prob(JB): 0.66
Heteroskedasticity (H): 0.14 Skew: 0.05
Prob(H) (two-sided): 0.08 Kurtosis: 1.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.57088677929417, Current Price: 112.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.536
Date: Wed, 09 Oct 2024 AIC 37.073
Time: 14:40:27 BIC 39.898
Sample: 0 HQIC 36.492
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4268 0.215 -1.981 0.048 -0.849 -0.004
ma.L1 1.0000 1.43e+05 7.01e-06 1.000 -2.79e+05 2.79e+05
ar.S.L7 -0.2462 0.400 -0.615 0.539 -1.031 0.539
ma.S.L7 -0.0929 0.840 -0.111 0.912 -1.738 1.553
sigma2 0.4137 5.9e+04 7.01e-06 1.000 -1.16e+05 1.16e+05
===================================================================================
Ljung-Box (L1) (Q): 0.43 Jarque-Bera (JB): 0.60
Prob(Q): 0.51 Prob(JB): 0.74
Heteroskedasticity (H): 0.51 Skew: 0.20
Prob(H) (two-sided): 0.53 Kurtosis: 2.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.8519468018632, Current Price: 111.98
SELL EXECUTED at 111.98
SELL ORDER COMPLETED at 111.66
OPERATION PROFIT, GROSS -1.1500000000000057, NET -1.3744700000000056
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.959
Date: Wed, 09 Oct 2024 AIC 39.919
Time: 14:40:27 BIC 42.744
Sample: 0 HQIC 39.338
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3915 1.627 0.241 0.810 -2.797 3.580
ma.L1 -4.6065 32.855 -0.140 0.888 -69.002 59.789
ar.S.L7 0.0014 0.004 0.350 0.726 -0.007 0.010
ma.S.L7 -1.8375 2.953 -0.622 0.534 -7.626 3.951
sigma2 0.0074 0.106 0.070 0.944 -0.201 0.216
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.36
Prob(Q): 0.96 Prob(JB): 0.83
Heteroskedasticity (H): 0.47 Skew: 0.17
Prob(H) (two-sided): 0.48 Kurtosis: 2.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.47992947427478, Current Price: 111.76
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.077
Date: Wed, 09 Oct 2024 AIC 34.154
Time: 14:40:27 BIC 36.979
Sample: 0 HQIC 33.573
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7879 0.253 -3.118 0.002 -1.283 -0.293
ma.L1 1.0000 8144.861 0.000 1.000 -1.6e+04 1.6e+04
ar.S.L7 -0.0015 0.004 -0.363 0.717 -0.009 0.007
ma.S.L7 -1.0001 2968.036 -0.000 1.000 -5818.244 5816.244
sigma2 0.2297 1941.501 0.000 1.000 -3805.041 3805.501
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.16
Prob(Q): 0.88 Prob(JB): 0.92
Heteroskedasticity (H): 0.70 Skew: 0.03
Prob(H) (two-sided): 0.74 Kurtosis: 2.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.30381152604302, Current Price: 112.06
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.870
Date: Wed, 09 Oct 2024 AIC 35.741
Time: 14:40:27 BIC 38.565
Sample: 0 HQIC 35.160
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3252 1.665 -0.195 0.845 -3.589 2.939
ma.L1 0.5526 1.561 0.354 0.723 -2.506 3.611
ar.S.L7 -0.2732 0.458 -0.596 0.551 -1.171 0.625
ma.S.L7 -0.3473 0.707 -0.491 0.623 -1.733 1.039
sigma2 0.4036 0.279 1.444 0.149 -0.144 0.951
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.46
Prob(Q): 0.82 Prob(JB): 0.80
Heteroskedasticity (H): 0.60 Skew: -0.12
Prob(H) (two-sided): 0.63 Kurtosis: 2.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.86287805126628, Current Price: 110.76
BUY EXECUTED at 110.76
BUY ORDER COMPLETED at 111.38
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.920
Date: Wed, 09 Oct 2024 AIC 37.841
Time: 14:40:27 BIC 40.666
Sample: 0 HQIC 37.260
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0912 9.351 -0.010 0.992 -18.420 18.237
ma.L1 0.1526 9.404 0.016 0.987 -18.280 18.585
ar.S.L7 -0.3018 0.664 -0.455 0.649 -1.603 1.000
ma.S.L7 -1.0008 1403.164 -0.001 0.999 -2751.151 2749.150
sigma2 0.3000 421.053 0.001 0.999 -824.949 825.549
===================================================================================
Ljung-Box (L1) (Q): 0.71 Jarque-Bera (JB): 0.19
Prob(Q): 0.40 Prob(JB): 0.91
Heteroskedasticity (H): 0.31 Skew: 0.17
Prob(H) (two-sided): 0.28 Kurtosis: 2.51
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.09637365009289, Current Price: 111.09
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.276
Date: Wed, 09 Oct 2024 AIC 34.552
Time: 14:40:27 BIC 37.376
Sample: 0 HQIC 33.971
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6018 1.088 -0.553 0.580 -2.734 1.530
ma.L1 1.6350 4.155 0.394 0.694 -6.509 9.779
ar.S.L7 -0.3203 0.512 -0.625 0.532 -1.325 0.684
ma.S.L7 -0.7631 3.089 -0.247 0.805 -6.818 5.292
sigma2 0.1049 0.483 0.217 0.828 -0.841 1.051
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 1.49
Prob(Q): 0.70 Prob(JB): 0.47
Heteroskedasticity (H): 0.43 Skew: -0.69
Prob(H) (two-sided): 0.43 Kurtosis: 2.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.97071896768563, Current Price: 111.36
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.677
Date: Wed, 09 Oct 2024 AIC 33.355
Time: 14:40:27 BIC 36.179
Sample: 0 HQIC 32.774
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1462 1.385 0.106 0.916 -2.568 2.861
ma.L1 10.0216 132.358 0.076 0.940 -249.395 269.438
ar.S.L7 -0.2077 0.398 -0.522 0.602 -0.988 0.572
ma.S.L7 -2.0743 3.047 -0.681 0.496 -8.046 3.898
sigma2 0.0007 0.018 0.040 0.968 -0.034 0.035
===================================================================================
Ljung-Box (L1) (Q): 2.86 Jarque-Bera (JB): 0.51
Prob(Q): 0.09 Prob(JB): 0.77
Heteroskedasticity (H): 1.40 Skew: -0.02
Prob(H) (two-sided): 0.75 Kurtosis: 2.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.14028410227021, Current Price: 111.49
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -8.972
Date: Wed, 09 Oct 2024 AIC 27.945
Time: 14:40:27 BIC 30.770
Sample: 0 HQIC 27.364
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0342 0.142 -7.300 0.000 -1.312 -0.757
ma.L1 1.0000 1.02e+04 9.79e-05 1.000 -2e+04 2e+04
ar.S.L7 -0.5222 0.370 -1.410 0.159 -1.248 0.204
ma.S.L7 0.0046 0.527 0.009 0.993 -1.029 1.038
sigma2 0.1993 2036.664 9.79e-05 1.000 -3991.589 3991.988
===================================================================================
Ljung-Box (L1) (Q): 0.33 Jarque-Bera (JB): 0.69
Prob(Q): 0.57 Prob(JB): 0.71
Heteroskedasticity (H): 1.73 Skew: -0.05
Prob(H) (two-sided): 0.61 Kurtosis: 1.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.08268006935025, Current Price: 110.99
SELL EXECUTED at 110.99
SELL ORDER COMPLETED at 111.0
OPERATION PROFIT, GROSS -0.37999999999999545, NET -0.6023799999999955
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.103
Date: Wed, 09 Oct 2024 AIC 28.206
Time: 14:40:27 BIC 31.031
Sample: 0 HQIC 27.626
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2410 17.930 0.013 0.989 -34.901 35.383
ma.L1 -0.2702 17.527 -0.015 0.988 -34.622 34.082
ar.S.L7 -0.4051 0.230 -1.758 0.079 -0.857 0.047
ma.S.L7 -1.0002 3657.275 -0.000 1.000 -7169.128 7167.128
sigma2 0.1430 523.187 0.000 1.000 -1025.285 1025.571
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 1.07
Prob(Q): 0.64 Prob(JB): 0.59
Heteroskedasticity (H): 2.40 Skew: -0.46
Prob(H) (two-sided): 0.42 Kurtosis: 1.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.52029571896679, Current Price: 110.74
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.480
Date: Wed, 09 Oct 2024 AIC 30.959
Time: 14:40:27 BIC 33.784
Sample: 0 HQIC 30.379
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0021 72.102 -2.94e-05 1.000 -141.320 141.316
ma.L1 -0.0024 72.173 -3.35e-05 1.000 -141.458 141.453
ar.S.L7 -0.3700 0.338 -1.095 0.273 -1.032 0.292
ma.S.L7 -0.4350 0.701 -0.620 0.535 -1.809 0.939
sigma2 0.2702 0.175 1.546 0.122 -0.072 0.613
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 1.02
Prob(Q): 0.85 Prob(JB): 0.60
Heteroskedasticity (H): 0.91 Skew: -0.34
Prob(H) (two-sided): 0.93 Kurtosis: 1.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.73791305653963, Current Price: 110.16
BUY EXECUTED at 110.16
BUY ORDER COMPLETED at 109.67
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.930
Date: Wed, 09 Oct 2024 AIC 31.861
Time: 14:40:27 BIC 34.686
Sample: 0 HQIC 31.280
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3434 3.636 -0.094 0.925 -7.470 6.783
ma.L1 0.2761 3.933 0.070 0.944 -7.432 7.984
ar.S.L7 -0.4506 0.393 -1.147 0.251 -1.221 0.319
ma.S.L7 -0.2551 0.640 -0.398 0.690 -1.510 1.000
sigma2 0.3066 0.239 1.283 0.199 -0.162 0.775
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.05
Prob(Q): 0.98 Prob(JB): 0.59
Heteroskedasticity (H): 0.50 Skew: -0.22
Prob(H) (two-sided): 0.52 Kurtosis: 1.68
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 109.6606773435218, Current Price: 109.76
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.935
Date: Wed, 09 Oct 2024 AIC 31.869
Time: 14:40:27 BIC 34.694
Sample: 0 HQIC 31.288
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0630 0.547 -0.115 0.908 -1.136 1.010
ma.L1 -22.9259 0.045 -514.521 0.000 -23.013 -22.839
ar.S.L7 -0.4741 0.382 -1.241 0.214 -1.223 0.274
ma.S.L7 -8.1278 37.907 -0.214 0.830 -82.425 66.169
sigma2 9.023e-06 8.12e-05 0.111 0.912 -0.000 0.000
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 1.35
Prob(Q): 0.78 Prob(JB): 0.51
Heteroskedasticity (H): 0.41 Skew: -0.49
Prob(H) (two-sided): 0.41 Kurtosis: 1.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 1.38e+19. Standard errors may be unstable.
Predicted Price: 109.97089279283799, Current Price: 108.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.492
Date: Wed, 09 Oct 2024 AIC 30.984
Time: 14:40:27 BIC 33.808
Sample: 0 HQIC 30.403
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0626 0.111 -9.598 0.000 -1.280 -0.846
ma.L1 1.0000 7.02e+04 1.42e-05 1.000 -1.38e+05 1.38e+05
ar.S.L7 -0.4065 0.306 -1.326 0.185 -1.007 0.194
ma.S.L7 0.2613 0.976 0.268 0.789 -1.651 2.174
sigma2 0.2393 1.68e+04 1.42e-05 1.000 -3.29e+04 3.29e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.64
Prob(Q): 0.86 Prob(JB): 0.73
Heteroskedasticity (H): 0.62 Skew: 0.09
Prob(H) (two-sided): 0.65 Kurtosis: 1.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 109.66688346484655, Current Price: 105.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.698
Date: Wed, 09 Oct 2024 AIC 47.396
Time: 14:40:27 BIC 50.221
Sample: 0 HQIC 46.816
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6282 1.680 0.374 0.709 -2.665 3.922
ma.L1 -0.0688 1.684 -0.041 0.967 -3.370 3.232
ar.S.L7 -0.9349 0.610 -1.532 0.126 -2.131 0.261
ma.S.L7 0.1695 0.612 0.277 0.782 -1.029 1.368
sigma2 1.0256 0.487 2.104 0.035 0.070 1.981
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 0.88
Prob(Q): 0.72 Prob(JB): 0.64
Heteroskedasticity (H): 4.65 Skew: -0.63
Prob(H) (two-sided): 0.17 Kurtosis: 3.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 103.2968606716744, Current Price: 105.37
SELL EXECUTED at 105.37
SELL ORDER COMPLETED at 104.39
OPERATION PROFIT, GROSS -5.280000000000001, NET -5.494060000000001
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.870
Date: Wed, 09 Oct 2024 AIC 47.740
Time: 14:40:27 BIC 50.565
Sample: 0 HQIC 47.159
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0636 3.548 0.018 0.986 -6.891 7.018
ma.L1 0.2400 3.639 0.066 0.947 -6.891 7.371
ar.S.L7 -0.8816 0.692 -1.274 0.203 -2.238 0.475
ma.S.L7 0.5171 1.139 0.454 0.650 -1.715 2.749
sigma2 0.9450 0.641 1.473 0.141 -0.312 2.202
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 2.48
Prob(Q): 0.87 Prob(JB): 0.29
Heteroskedasticity (H): 12.44 Skew: -0.98
Prob(H) (two-sided): 0.03 Kurtosis: 3.84
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 105.46200166657165, Current Price: 104.8
BUY EXECUTED at 104.8
BUY ORDER COMPLETED at 104.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.575
Date: Wed, 09 Oct 2024 AIC 47.149
Time: 14:40:27 BIC 49.974
Sample: 0 HQIC 46.569
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2730 2.510 0.109 0.913 -4.646 5.192
ma.L1 -0.0308 2.436 -0.013 0.990 -4.805 4.743
ar.S.L7 -0.7810 0.723 -1.080 0.280 -2.198 0.636
ma.S.L7 1.0003 8672.232 0.000 1.000 -1.7e+04 1.7e+04
sigma2 0.6141 5325.852 0.000 1.000 -1.04e+04 1.04e+04
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 2.84
Prob(Q): 0.66 Prob(JB): 0.24
Heteroskedasticity (H): 6.83 Skew: -1.09
Prob(H) (two-sided): 0.09 Kurtosis: 3.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 104.70920109500128, Current Price: 104.33
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.707
Date: Wed, 09 Oct 2024 AIC 47.413
Time: 14:40:27 BIC 50.238
Sample: 0 HQIC 46.833
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1319 2.619 -0.050 0.960 -5.265 5.001
ma.L1 2.5238 15.364 0.164 0.870 -27.590 32.638
ar.S.L7 -0.7793 0.522 -1.494 0.135 -1.801 0.243
ma.S.L7 1.0003 7585.471 0.000 1.000 -1.49e+04 1.49e+04
sigma2 0.0984 745.418 0.000 1.000 -1460.894 1461.091
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 1.59
Prob(Q): 0.68 Prob(JB): 0.45
Heteroskedasticity (H): 3.88 Skew: -0.86
Prob(H) (two-sided): 0.22 Kurtosis: 3.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 104.12122429884838, Current Price: 105.35
SELL EXECUTED at 105.35
SELL ORDER COMPLETED at 104.94
OPERATION PROFIT, GROSS -0.04000000000000625, NET -0.24992000000000625
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.191
Date: Wed, 09 Oct 2024 AIC 46.382
Time: 14:40:27 BIC 49.207
Sample: 0 HQIC 45.801
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4650 0.443 -1.050 0.294 -1.333 0.403
ma.L1 1.0000 1.45e+04 6.9e-05 1.000 -2.84e+04 2.84e+04
ar.S.L7 -0.6351 0.490 -1.297 0.195 -1.595 0.325
ma.S.L7 2.2826 10.900 0.209 0.834 -19.082 23.647
sigma2 0.1400 2030.597 6.9e-05 1.000 -3979.757 3980.037
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 2.25
Prob(Q): 0.88 Prob(JB): 0.33
Heteroskedasticity (H): 1.49 Skew: -1.02
Prob(H) (two-sided): 0.71 Kurtosis: 3.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 104.69753171126834, Current Price: 104.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.025
Date: Wed, 09 Oct 2024 AIC 46.051
Time: 14:40:27 BIC 48.876
Sample: 0 HQIC 45.470
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3677 0.369 -0.996 0.319 -1.091 0.356
ma.L1 1.0000 1.53e+04 6.54e-05 1.000 -3e+04 3e+04
ar.S.L7 -0.6717 0.472 -1.422 0.155 -1.598 0.254
ma.S.L7 1.0002 7541.748 0.000 1.000 -1.48e+04 1.48e+04
sigma2 0.4771 8606.260 5.54e-05 1.000 -1.69e+04 1.69e+04
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 1.49
Prob(Q): 0.70 Prob(JB): 0.47
Heteroskedasticity (H): 1.05 Skew: -0.76
Prob(H) (two-sided): 0.97 Kurtosis: 2.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 103.8271975527042, Current Price: 105.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.868
Date: Wed, 09 Oct 2024 AIC 45.735
Time: 14:40:27 BIC 48.560
Sample: 0 HQIC 45.154
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3455 0.533 -0.648 0.517 -1.390 0.699
ma.L1 1.0000 2.96e+04 3.38e-05 1.000 -5.8e+04 5.8e+04
ar.S.L7 -0.6469 0.260 -2.488 0.013 -1.157 -0.137
ma.S.L7 0.2547 1.039 0.245 0.806 -1.782 2.292
sigma2 0.7799 2.31e+04 3.38e-05 1.000 -4.53e+04 4.53e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 2.65
Prob(Q): 0.96 Prob(JB): 0.27
Heteroskedasticity (H): 0.84 Skew: -1.10
Prob(H) (two-sided): 0.87 Kurtosis: 2.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 103.61474438756397, Current Price: 105.17
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.129
Date: Wed, 09 Oct 2024 AIC 44.257
Time: 14:40:27 BIC 47.082
Sample: 0 HQIC 43.677
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5006 0.292 -1.713 0.087 -1.073 0.072
ma.L1 1.0000 1.52e+04 6.6e-05 1.000 -2.97e+04 2.97e+04
ar.S.L7 -0.2804 0.516 -0.544 0.587 -1.291 0.730
ma.S.L7 -1.0001 1.09e+04 -9.16e-05 1.000 -2.14e+04 2.14e+04
sigma2 0.4266 9259.190 4.61e-05 1.000 -1.81e+04 1.81e+04
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 4.48
Prob(Q): 0.71 Prob(JB): 0.11
Heteroskedasticity (H): 0.83 Skew: -1.37
Prob(H) (two-sided): 0.86 Kurtosis: 3.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 105.16346221098209, Current Price: 104.27
BUY EXECUTED at 104.27
BUY ORDER COMPLETED at 105.41
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.311
Date: Wed, 09 Oct 2024 AIC 42.622
Time: 14:40:28 BIC 45.447
Sample: 0 HQIC 42.042
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3029 0.613 -0.494 0.621 -1.504 0.898
ma.L1 1.0000 9268.168 0.000 1.000 -1.82e+04 1.82e+04
ar.S.L7 -0.3303 0.209 -1.583 0.113 -0.739 0.079
ma.S.L7 -1.0000 1.5e+04 -6.67e-05 1.000 -2.94e+04 2.94e+04
sigma2 0.4120 7385.020 5.58e-05 1.000 -1.45e+04 1.45e+04
===================================================================================
Ljung-Box (L1) (Q): 0.54 Jarque-Bera (JB): 1.34
Prob(Q): 0.46 Prob(JB): 0.51
Heteroskedasticity (H): 0.27 Skew: -0.72
Prob(H) (two-sided): 0.23 Kurtosis: 2.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 103.036247785052, Current Price: 104.93
SELL EXECUTED at 104.93
SELL ORDER COMPLETED at 104.59
OPERATION PROFIT, GROSS -0.8199999999999932, NET -1.0299999999999931
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.163
Date: Wed, 09 Oct 2024 AIC 48.326
Time: 14:40:28 BIC 51.150
Sample: 0 HQIC 47.745
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2888 6.711 0.043 0.966 -12.865 13.442
ma.L1 -10.0256 685.237 -0.015 0.988 -1353.066 1333.015
ar.S.L7 -0.4786 1.059 -0.452 0.651 -2.553 1.596
ma.S.L7 -0.9970 462.024 -0.002 0.998 -906.547 904.553
sigma2 0.0066 2.782 0.002 0.998 -5.447 5.460
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 2.31
Prob(Q): 0.95 Prob(JB): 0.32
Heteroskedasticity (H): 0.31 Skew: -0.91
Prob(H) (two-sided): 0.29 Kurtosis: 3.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 104.87061737497181, Current Price: 104.1
BUY EXECUTED at 104.1
BUY ORDER COMPLETED at 104.56
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.964
Date: Wed, 09 Oct 2024 AIC 47.929
Time: 14:40:28 BIC 50.753
Sample: 0 HQIC 47.348
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3460 2.275 -0.152 0.879 -4.804 4.112
ma.L1 0.5884 2.050 0.287 0.774 -3.429 4.606
ar.S.L7 -0.5219 0.770 -0.678 0.498 -2.031 0.988
ma.S.L7 -1.0000 3.57e+04 -2.8e-05 1.000 -7.01e+04 7.01e+04
sigma2 0.6536 2.34e+04 2.8e-05 1.000 -4.58e+04 4.58e+04
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 1.19
Prob(Q): 0.73 Prob(JB): 0.55
Heteroskedasticity (H): 0.40 Skew: -0.72
Prob(H) (two-sided): 0.40 Kurtosis: 3.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 103.37722729151653, Current Price: 104.31
SELL EXECUTED at 104.31
SELL ORDER COMPLETED at 104.42
OPERATION PROFIT, GROSS -0.14000000000000057, NET -0.34898000000000057
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.102
Date: Wed, 09 Oct 2024 AIC 48.204
Time: 14:40:28 BIC 51.029
Sample: 0 HQIC 47.624
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6861 0.418 1.643 0.100 -0.132 1.505
ma.L1 -1.0000 7.54e+04 -1.33e-05 1.000 -1.48e+05 1.48e+05
ar.S.L7 -1.0363 0.434 -2.386 0.017 -1.888 -0.185
ma.S.L7 0.3284 0.855 0.384 0.701 -1.347 2.004
sigma2 0.9245 6.97e+04 1.33e-05 1.000 -1.37e+05 1.37e+05
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 5.76
Prob(Q): 0.79 Prob(JB): 0.06
Heteroskedasticity (H): 0.32 Skew: -1.37
Prob(H) (two-sided): 0.29 Kurtosis: 4.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 103.90051628476691, Current Price: 103.93
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.581
Date: Wed, 09 Oct 2024 AIC 45.163
Time: 14:40:28 BIC 47.987
Sample: 0 HQIC 44.582
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5620 0.429 1.310 0.190 -0.279 1.403
ma.L1 -1.0000 3209.462 -0.000 1.000 -6291.431 6289.431
ar.S.L7 -1.1525 0.183 -6.307 0.000 -1.511 -0.794
ma.S.L7 1.0001 8971.204 0.000 1.000 -1.76e+04 1.76e+04
sigma2 0.4652 3912.759 0.000 1.000 -7668.402 7669.332
===================================================================================
Ljung-Box (L1) (Q): 1.95 Jarque-Bera (JB): 5.07
Prob(Q): 0.16 Prob(JB): 0.08
Heteroskedasticity (H): 0.21 Skew: -1.35
Prob(H) (two-sided): 0.16 Kurtosis: 4.43
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 102.27178056783552, Current Price: 104.39
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.064
Date: Wed, 09 Oct 2024 AIC 34.128
Time: 14:40:28 BIC 36.953
Sample: 0 HQIC 33.547
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3343 2.182 -0.153 0.878 -4.610 3.942
ma.L1 0.2207 2.156 0.102 0.918 -4.004 4.445
ar.S.L7 -0.4333 0.327 -1.324 0.185 -1.075 0.208
ma.S.L7 -0.6719 1.878 -0.358 0.721 -4.353 3.009
sigma2 0.3016 0.441 0.683 0.494 -0.564 1.167
===================================================================================
Ljung-Box (L1) (Q): 1.68 Jarque-Bera (JB): 0.47
Prob(Q): 0.19 Prob(JB): 0.79
Heteroskedasticity (H): 0.91 Skew: 0.12
Prob(H) (two-sided): 0.93 Kurtosis: 2.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 103.00344665032577, Current Price: 104.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.427
Date: Wed, 09 Oct 2024 AIC 40.855
Time: 14:40:28 BIC 43.679
Sample: 0 HQIC 40.274
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3088 4.221 0.073 0.942 -7.965 8.582
ma.L1 -7.6669 242.250 -0.032 0.975 -482.468 467.134
ar.S.L7 -0.3860 0.541 -0.714 0.475 -1.446 0.674
ma.S.L7 -1.0009 2019.917 -0.000 1.000 -3959.966 3957.964
sigma2 0.0065 13.388 0.000 1.000 -26.234 26.247
===================================================================================
Ljung-Box (L1) (Q): 2.07 Jarque-Bera (JB): 0.53
Prob(Q): 0.15 Prob(JB): 0.77
Heteroskedasticity (H): 2.41 Skew: 0.00
Prob(H) (two-sided): 0.42 Kurtosis: 2.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 104.79334793937205, Current Price: 105.72
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.415
Date: Wed, 09 Oct 2024 AIC 42.830
Time: 14:40:28 BIC 45.655
Sample: 0 HQIC 42.249
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.1930 0.243 4.916 0.000 0.717 1.669
ma.L1 -1.0172 5.182 -0.196 0.844 -11.173 9.139
ar.S.L7 -0.6351 0.305 -2.085 0.037 -1.232 -0.038
ma.S.L7 -13.4287 221.110 -0.061 0.952 -446.795 419.938
sigma2 0.0033 0.111 0.030 0.976 -0.214 0.220
===================================================================================
Ljung-Box (L1) (Q): 0.74 Jarque-Bera (JB): 0.57
Prob(Q): 0.39 Prob(JB): 0.75
Heteroskedasticity (H): 2.08 Skew: -0.48
Prob(H) (two-sided): 0.50 Kurtosis: 2.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 107.12747109565161, Current Price: 106.26
BUY EXECUTED at 106.26
BUY ORDER COMPLETED at 106.99
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.603
Date: Wed, 09 Oct 2024 AIC 43.207
Time: 14:40:28 BIC 46.031
Sample: 0 HQIC 42.626
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.0972 0.206 5.333 0.000 0.694 1.501
ma.L1 -1.0000 4227.447 -0.000 1.000 -8286.644 8284.644
ar.S.L7 -0.5864 0.260 -2.257 0.024 -1.096 -0.077
ma.S.L7 -0.0465 0.616 -0.076 0.940 -1.255 1.161
sigma2 0.6419 2713.745 0.000 1.000 -5318.201 5319.484
===================================================================================
Ljung-Box (L1) (Q): 0.36 Jarque-Bera (JB): 0.65
Prob(Q): 0.55 Prob(JB): 0.72
Heteroskedasticity (H): 1.79 Skew: -0.40
Prob(H) (two-sided): 0.59 Kurtosis: 2.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 106.77900639989419, Current Price: 107.75
SELL EXECUTED at 107.75
SELL ORDER COMPLETED at 106.95
OPERATION PROFIT, GROSS -0.03999999999999204, NET -0.25393999999999206
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.165
Date: Wed, 09 Oct 2024 AIC 42.330
Time: 14:40:28 BIC 45.155
Sample: 0 HQIC 41.749
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.1431 0.181 6.317 0.000 0.788 1.498
ma.L1 -1.0000 1.33e+04 -7.5e-05 1.000 -2.61e+04 2.61e+04
ar.S.L7 -0.6144 0.310 -1.980 0.048 -1.223 -0.006
ma.S.L7 -0.1723 0.776 -0.222 0.824 -1.693 1.348
sigma2 0.5869 7829.454 7.5e-05 1.000 -1.53e+04 1.53e+04
===================================================================================
Ljung-Box (L1) (Q): 0.93 Jarque-Bera (JB): 0.27
Prob(Q): 0.34 Prob(JB): 0.87
Heteroskedasticity (H): 1.00 Skew: -0.32
Prob(H) (two-sided): 1.00 Kurtosis: 2.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.22525004341293, Current Price: 106.86
BUY EXECUTED at 106.86
BUY ORDER COMPLETED at 107.07
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.638
Date: Wed, 09 Oct 2024 AIC 49.275
Time: 14:40:28 BIC 52.100
Sample: 0 HQIC 48.695
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9152 0.214 4.276 0.000 0.496 1.335
ma.L1 -1.0000 6471.183 -0.000 1.000 -1.27e+04 1.27e+04
ar.S.L7 -0.4039 0.337 -1.199 0.231 -1.064 0.256
ma.S.L7 -0.1693 0.776 -0.218 0.827 -1.690 1.351
sigma2 1.0020 6483.941 0.000 1.000 -1.27e+04 1.27e+04
===================================================================================
Ljung-Box (L1) (Q): 0.92 Jarque-Bera (JB): 0.68
Prob(Q): 0.34 Prob(JB): 0.71
Heteroskedasticity (H): 2.22 Skew: -0.28
Prob(H) (two-sided): 0.46 Kurtosis: 2.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 106.74329109487428, Current Price: 106.85
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.768
Date: Wed, 09 Oct 2024 AIC 49.536
Time: 14:40:28 BIC 52.360
Sample: 0 HQIC 48.955
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9232 0.307 3.003 0.003 0.321 1.526
ma.L1 -1.0000 3866.113 -0.000 1.000 -7578.443 7576.443
ar.S.L7 -0.4154 0.322 -1.292 0.196 -1.046 0.215
ma.S.L7 -0.1493 0.724 -0.206 0.837 -1.568 1.270
sigma2 1.0267 3969.677 0.000 1.000 -7779.397 7781.451
===================================================================================
Ljung-Box (L1) (Q): 0.91 Jarque-Bera (JB): 0.73
Prob(Q): 0.34 Prob(JB): 0.69
Heteroskedasticity (H): 1.46 Skew: -0.35
Prob(H) (two-sided): 0.73 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 107.35370095005247, Current Price: 107.13
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.529
Date: Wed, 09 Oct 2024 AIC 43.058
Time: 14:40:28 BIC 45.883
Sample: 0 HQIC 42.478
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9580 0.266 -3.606 0.000 -1.479 -0.437
ma.L1 1.0000 4.14e+04 2.42e-05 1.000 -8.11e+04 8.11e+04
ar.S.L7 -0.1820 0.497 -0.366 0.714 -1.157 0.793
ma.S.L7 0.3144 1.145 0.275 0.784 -1.930 2.559
sigma2 0.5947 2.46e+04 2.42e-05 1.000 -4.82e+04 4.82e+04
===================================================================================
Ljung-Box (L1) (Q): 0.48 Jarque-Bera (JB): 0.43
Prob(Q): 0.49 Prob(JB): 0.81
Heteroskedasticity (H): 2.62 Skew: 0.45
Prob(H) (two-sided): 0.37 Kurtosis: 2.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 107.96531479400184, Current Price: 107.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.123
Date: Wed, 09 Oct 2024 AIC 40.246
Time: 14:40:28 BIC 43.071
Sample: 0 HQIC 39.666
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7250 0.422 -1.718 0.086 -1.552 0.102
ma.L1 0.4029 0.831 0.485 0.628 -1.227 2.033
ar.S.L7 0.0722 0.539 0.134 0.893 -0.983 1.128
ma.S.L7 1.0001 1.44e+04 6.93e-05 1.000 -2.83e+04 2.83e+04
sigma2 0.3491 5036.219 6.93e-05 1.000 -9870.459 9871.157
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.44
Prob(Q): 0.81 Prob(JB): 0.80
Heteroskedasticity (H): 0.32 Skew: 0.40
Prob(H) (two-sided): 0.30 Kurtosis: 3.42
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 109.06550825212177, Current Price: 108.55
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.833
Date: Wed, 09 Oct 2024 AIC 43.667
Time: 14:40:28 BIC 46.492
Sample: 0 HQIC 43.086
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6866 1.100 -0.624 0.532 -2.842 1.469
ma.L1 0.3888 1.919 0.203 0.839 -3.372 4.149
ar.S.L7 0.0018 0.010 0.192 0.848 -0.017 0.021
ma.S.L7 0.1555 1.704 0.091 0.927 -3.185 3.496
sigma2 0.7755 0.369 2.103 0.035 0.053 1.498
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 2.66
Prob(Q): 0.98 Prob(JB): 0.26
Heteroskedasticity (H): 0.20 Skew: 1.06
Prob(H) (two-sided): 0.15 Kurtosis: 3.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 109.02711549256051, Current Price: 110.44
SELL EXECUTED at 110.44
SELL ORDER COMPLETED at 110.93
OPERATION PROFIT, GROSS 3.8600000000000136, NET 3.6420000000000137
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.292
Date: Wed, 09 Oct 2024 AIC 46.583
Time: 14:40:28 BIC 49.408
Sample: 0 HQIC 46.003
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4908 0.966 -0.508 0.611 -2.384 1.403
ma.L1 0.2168 1.187 0.183 0.855 -2.110 2.543
ar.S.L7 0.0971 0.489 0.199 0.843 -0.861 1.055
ma.S.L7 -10.1521 87.358 -0.116 0.907 -181.370 161.066
sigma2 0.0092 0.158 0.059 0.953 -0.300 0.319
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 1.24
Prob(Q): 0.86 Prob(JB): 0.54
Heteroskedasticity (H): 1.72 Skew: 0.73
Prob(H) (two-sided): 0.61 Kurtosis: 2.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.58143044324373, Current Price: 111.13
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.862
Date: Wed, 09 Oct 2024 AIC 43.724
Time: 14:40:28 BIC 46.549
Sample: 0 HQIC 43.144
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0470 0.178 -5.877 0.000 -1.396 -0.698
ma.L1 1.0000 3375.478 0.000 1.000 -6614.816 6616.816
ar.S.L7 9.564e-05 0.043 0.002 0.998 -0.083 0.083
ma.S.L7 0.1240 0.526 0.236 0.814 -0.907 1.155
sigma2 0.7240 2444.196 0.000 1.000 -4789.813 4791.261
===================================================================================
Ljung-Box (L1) (Q): 1.60 Jarque-Bera (JB): 0.97
Prob(Q): 0.21 Prob(JB): 0.61
Heteroskedasticity (H): 0.66 Skew: 0.65
Prob(H) (two-sided): 0.69 Kurtosis: 2.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.90071751207648, Current Price: 110.53
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.367
Date: Wed, 09 Oct 2024 AIC 44.734
Time: 14:40:28 BIC 47.559
Sample: 0 HQIC 44.153
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6817 0.745 -0.915 0.360 -2.142 0.778
ma.L1 0.2255 0.548 0.412 0.681 -0.848 1.299
ar.S.L7 0.2088 0.395 0.529 0.597 -0.565 0.983
ma.S.L7 -0.0507 0.768 -0.066 0.947 -1.557 1.455
sigma2 0.8458 0.690 1.226 0.220 -0.506 2.198
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 1.77
Prob(Q): 0.79 Prob(JB): 0.41
Heteroskedasticity (H): 0.56 Skew: 0.84
Prob(H) (two-sided): 0.58 Kurtosis: 2.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.21520538207898, Current Price: 109.16
BUY EXECUTED at 109.16
BUY ORDER COMPLETED at 107.72
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.087
Date: Wed, 09 Oct 2024 AIC 44.173
Time: 14:40:28 BIC 46.998
Sample: 0 HQIC 43.593
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9834 0.095 -10.318 0.000 -1.170 -0.797
ma.L1 1.0079 8.381 0.120 0.904 -15.419 17.434
ar.S.L7 0.1941 0.414 0.469 0.639 -0.617 1.006
ma.S.L7 -4.6941 16.331 -0.287 0.774 -36.703 27.315
sigma2 0.0306 0.280 0.109 0.913 -0.519 0.580
===================================================================================
Ljung-Box (L1) (Q): 0.55 Jarque-Bera (JB): 0.96
Prob(Q): 0.46 Prob(JB): 0.62
Heteroskedasticity (H): 0.26 Skew: 0.54
Prob(H) (two-sided): 0.22 Kurtosis: 2.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 109.97327795712567, Current Price: 107.67
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.273
Date: Wed, 09 Oct 2024 AIC 48.547
Time: 14:40:29 BIC 51.371
Sample: 0 HQIC 47.966
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7423 0.239 3.104 0.002 0.274 1.211
ma.L1 -0.9592 1.599 -0.600 0.549 -4.092 2.174
ar.S.L7 -0.3732 0.507 -0.736 0.462 -1.368 0.621
ma.S.L7 0.4581 1.101 0.416 0.677 -1.699 2.615
sigma2 0.9356 1.157 0.808 0.419 -1.332 3.204
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 0.47
Prob(Q): 0.65 Prob(JB): 0.79
Heteroskedasticity (H): 1.05 Skew: -0.27
Prob(H) (two-sided): 0.96 Kurtosis: 2.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 107.96458757750041, Current Price: 107.73
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.095
Date: Wed, 09 Oct 2024 AIC 44.189
Time: 14:40:29 BIC 47.014
Sample: 0 HQIC 43.609
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8449 0.117 -7.194 0.000 -1.075 -0.615
ma.L1 1.0000 1080.227 0.001 0.999 -2116.205 2118.205
ar.S.L7 0.1824 0.402 0.453 0.650 -0.606 0.971
ma.S.L7 -0.3368 0.772 -0.436 0.663 -1.850 1.176
sigma2 0.6775 731.877 0.001 0.999 -1433.774 1435.129
===================================================================================
Ljung-Box (L1) (Q): 0.49 Jarque-Bera (JB): 0.25
Prob(Q): 0.48 Prob(JB): 0.88
Heteroskedasticity (H): 1.90 Skew: -0.24
Prob(H) (two-sided): 0.55 Kurtosis: 2.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 109.13007677784387, Current Price: 108.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.326
Date: Wed, 09 Oct 2024 AIC 42.651
Time: 14:40:29 BIC 45.476
Sample: 0 HQIC 42.071
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7191 0.225 -3.195 0.001 -1.160 -0.278
ma.L1 1.0000 2.08e+04 4.8e-05 1.000 -4.08e+04 4.08e+04
ar.S.L7 -0.1185 0.392 -0.302 0.763 -0.887 0.650
ma.S.L7 -0.0476 0.525 -0.091 0.928 -1.076 0.981
sigma2 0.6186 1.29e+04 4.8e-05 1.000 -2.53e+04 2.53e+04
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.24
Prob(Q): 0.80 Prob(JB): 0.89
Heteroskedasticity (H): 1.93 Skew: 0.05
Prob(H) (two-sided): 0.54 Kurtosis: 2.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.24090309465612, Current Price: 108.82
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.532
Date: Wed, 09 Oct 2024 AIC 43.063
Time: 14:40:29 BIC 45.888
Sample: 0 HQIC 42.483
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4206 3.393 0.124 0.901 -6.229 7.071
ma.L1 -0.3036 3.443 -0.088 0.930 -7.052 6.445
ar.S.L7 -0.0130 0.972 -0.013 0.989 -1.918 1.892
ma.S.L7 -1.0002 6293.639 -0.000 1.000 -1.23e+04 1.23e+04
sigma2 0.4487 2824.209 0.000 1.000 -5534.899 5535.796
===================================================================================
Ljung-Box (L1) (Q): 0.96 Jarque-Bera (JB): 0.15
Prob(Q): 0.33 Prob(JB): 0.93
Heteroskedasticity (H): 2.30 Skew: -0.09
Prob(H) (two-sided): 0.44 Kurtosis: 2.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 109.14305427079651, Current Price: 109.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.141
Date: Wed, 09 Oct 2024 AIC 40.282
Time: 14:40:29 BIC 43.106
Sample: 0 HQIC 39.701
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4562 0.569 0.802 0.423 -0.659 1.572
ma.L1 -0.1470 0.511 -0.287 0.774 -1.149 0.855
ar.S.L7 -0.1167 0.381 -0.306 0.759 -0.863 0.630
ma.S.L7 -0.6267 1.315 -0.477 0.634 -3.204 1.951
sigma2 0.4965 0.537 0.925 0.355 -0.555 1.548
===================================================================================
Ljung-Box (L1) (Q): 1.01 Jarque-Bera (JB): 0.27
Prob(Q): 0.32 Prob(JB): 0.88
Heteroskedasticity (H): 1.18 Skew: -0.12
Prob(H) (two-sided): 0.88 Kurtosis: 2.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 108.70967220629454, Current Price: 108.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.370
Date: Wed, 09 Oct 2024 AIC 36.740
Time: 14:40:29 BIC 39.565
Sample: 0 HQIC 36.160
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4582 0.267 1.717 0.086 -0.065 0.981
ma.L1 1.0000 6520.387 0.000 1.000 -1.28e+04 1.28e+04
ar.S.L7 -0.3896 0.075 -5.176 0.000 -0.537 -0.242
ma.S.L7 -0.2439 0.622 -0.392 0.695 -1.464 0.976
sigma2 0.3809 2483.959 0.000 1.000 -4868.090 4868.852
===================================================================================
Ljung-Box (L1) (Q): 1.28 Jarque-Bera (JB): 0.61
Prob(Q): 0.26 Prob(JB): 0.74
Heteroskedasticity (H): 0.73 Skew: -0.24
Prob(H) (two-sided): 0.77 Kurtosis: 2.05
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 108.51640365619747, Current Price: 107.84
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.867
Date: Wed, 09 Oct 2024 AIC 33.734
Time: 14:40:29 BIC 36.559
Sample: 0 HQIC 33.154
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0440 0.476 0.092 0.926 -0.890 0.978
ma.L1 1.0000 6.63e+04 1.51e-05 1.000 -1.3e+05 1.3e+05
ar.S.L7 -0.3502 0.067 -5.203 0.000 -0.482 -0.218
ma.S.L7 -0.2841 0.515 -0.552 0.581 -1.293 0.725
sigma2 0.3164 2.1e+04 1.51e-05 1.000 -4.11e+04 4.11e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.06
Prob(Q): 0.97 Prob(JB): 0.97
Heteroskedasticity (H): 0.41 Skew: -0.16
Prob(H) (two-sided): 0.41 Kurtosis: 2.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 107.0599244948647, Current Price: 107.49
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.091
Date: Wed, 09 Oct 2024 AIC 34.183
Time: 14:40:29 BIC 37.007
Sample: 0 HQIC 33.602
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0057 0.502 0.011 0.991 -0.977 0.989
ma.L1 1.0000 7003.839 0.000 1.000 -1.37e+04 1.37e+04
ar.S.L7 -0.3353 0.070 -4.756 0.000 -0.473 -0.197
ma.S.L7 -0.3857 0.476 -0.811 0.417 -1.318 0.547
sigma2 0.3210 2247.885 0.000 1.000 -4405.452 4406.094
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.19
Prob(Q): 0.94 Prob(JB): 0.91
Heteroskedasticity (H): 0.36 Skew: -0.29
Prob(H) (two-sided): 0.34 Kurtosis: 2.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 107.87718294655906, Current Price: 107.52
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.185
Date: Wed, 09 Oct 2024 AIC 30.370
Time: 14:40:29 BIC 33.195
Sample: 0 HQIC 29.789
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0934 0.485 -0.193 0.847 -1.043 0.857
ma.L1 1.0000 2363.622 0.000 1.000 -4631.614 4633.614
ar.S.L7 -0.3146 0.076 -4.136 0.000 -0.464 -0.166
ma.S.L7 -1.0000 3.54e+05 -2.82e-06 1.000 -6.94e+05 6.94e+05
sigma2 0.1588 5.61e+04 2.83e-06 1.000 -1.1e+05 1.1e+05
===================================================================================
Ljung-Box (L1) (Q): 1.16 Jarque-Bera (JB): 0.62
Prob(Q): 0.28 Prob(JB): 0.73
Heteroskedasticity (H): 0.26 Skew: -0.52
Prob(H) (two-sided): 0.23 Kurtosis: 2.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 108.31212658355055, Current Price: 106.13
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.762
Date: Wed, 09 Oct 2024 AIC 41.524
Time: 14:40:29 BIC 44.349
Sample: 0 HQIC 40.943
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2078 0.767 0.271 0.787 -1.296 1.711
ma.L1 1.0000 2.61e+04 3.84e-05 1.000 -5.11e+04 5.11e+04
ar.S.L7 -0.4196 0.108 -3.902 0.000 -0.630 -0.209
ma.S.L7 1.0035 212.222 0.005 0.996 -414.944 416.951
sigma2 0.3339 8756.827 3.81e-05 1.000 -1.72e+04 1.72e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.87
Prob(Q): 0.99 Prob(JB): 0.65
Heteroskedasticity (H): 2.24 Skew: 0.04
Prob(H) (two-sided): 0.45 Kurtosis: 1.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 104.36142776810605, Current Price: 106.38
SELL EXECUTED at 106.38
SELL ORDER COMPLETED at 105.65
OPERATION PROFIT, GROSS -2.069999999999993, NET -2.283369999999993
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.584
Date: Wed, 09 Oct 2024 AIC 43.168
Time: 14:40:29 BIC 45.993
Sample: 0 HQIC 42.588
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2700 0.658 -0.410 0.681 -1.559 1.019
ma.L1 1.0000 2.78e+04 3.59e-05 1.000 -5.46e+04 5.46e+04
ar.S.L7 -0.3956 0.311 -1.271 0.204 -1.006 0.214
ma.S.L7 -0.3224 1.133 -0.284 0.776 -2.544 1.899
sigma2 0.6597 1.84e+04 3.59e-05 1.000 -3.6e+04 3.6e+04
===================================================================================
Ljung-Box (L1) (Q): 1.86 Jarque-Bera (JB): 2.65
Prob(Q): 0.17 Prob(JB): 0.27
Heteroskedasticity (H): 2.36 Skew: -1.04
Prob(H) (two-sided): 0.43 Kurtosis: 3.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 107.87112675349708, Current Price: 106.16
BUY EXECUTED at 106.16
BUY ORDER COMPLETED at 105.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.885
Date: Wed, 09 Oct 2024 AIC 45.770
Time: 14:40:29 BIC 48.595
Sample: 0 HQIC 45.189
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4655 1.486 0.313 0.754 -2.447 3.378
ma.L1 -0.0119 1.776 -0.007 0.995 -3.494 3.470
ar.S.L7 -0.5823 0.554 -1.052 0.293 -1.668 0.503
ma.S.L7 -0.0053 1.789 -0.003 0.998 -3.511 3.501
sigma2 0.9173 0.450 2.040 0.041 0.036 1.798
===================================================================================
Ljung-Box (L1) (Q): 0.93 Jarque-Bera (JB): 3.07
Prob(Q): 0.33 Prob(JB): 0.22
Heteroskedasticity (H): 2.09 Skew: -1.09
Prob(H) (two-sided): 0.49 Kurtosis: 3.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 105.20638030948334, Current Price: 106.22
SELL EXECUTED at 106.22
SELL ORDER COMPLETED at 105.83
OPERATION PROFIT, GROSS -0.030000000000001137, NET -0.24169000000000113
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.708
Date: Wed, 09 Oct 2024 AIC 45.415
Time: 14:40:29 BIC 48.240
Sample: 0 HQIC 44.835
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2030 1.541 0.132 0.895 -2.817 3.223
ma.L1 0.1530 1.800 0.085 0.932 -3.375 3.681
ar.S.L7 -0.5468 0.598 -0.915 0.360 -1.718 0.625
ma.S.L7 4.2352 20.520 0.206 0.836 -35.983 44.453
sigma2 0.0487 0.455 0.107 0.915 -0.842 0.940
===================================================================================
Ljung-Box (L1) (Q): 0.86 Jarque-Bera (JB): 2.94
Prob(Q): 0.35 Prob(JB): 0.23
Heteroskedasticity (H): 2.29 Skew: -1.11
Prob(H) (two-sided): 0.44 Kurtosis: 3.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 105.38426608799467, Current Price: 105.9
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.473
Date: Wed, 09 Oct 2024 AIC 42.947
Time: 14:40:29 BIC 45.772
Sample: 0 HQIC 42.366
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1592 2.120 -0.075 0.940 -4.314 3.996
ma.L1 0.4098 1.546 0.265 0.791 -2.620 3.440
ar.S.L7 -0.5122 0.461 -1.110 0.267 -1.417 0.392
ma.S.L7 0.2442 0.859 0.284 0.776 -1.439 1.927
sigma2 0.7205 0.332 2.168 0.030 0.069 1.372
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 6.03
Prob(Q): 0.93 Prob(JB): 0.05
Heteroskedasticity (H): 1.04 Skew: -1.40
Prob(H) (two-sided): 0.97 Kurtosis: 4.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 105.2134953999767, Current Price: 107.31
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.257
Date: Wed, 09 Oct 2024 AIC 46.513
Time: 14:40:29 BIC 49.338
Sample: 0 HQIC 45.933
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0658 1.800 -0.037 0.971 -3.593 3.462
ma.L1 0.2748 1.702 0.162 0.872 -3.060 3.610
ar.S.L7 -0.3781 0.474 -0.798 0.425 -1.307 0.551
ma.S.L7 1.0001 1.2e+04 8.33e-05 1.000 -2.35e+04 2.35e+04
sigma2 0.5849 7021.813 8.33e-05 1.000 -1.38e+04 1.38e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.28
Prob(Q): 0.96 Prob(JB): 0.53
Heteroskedasticity (H): 2.02 Skew: -0.73
Prob(H) (two-sided): 0.51 Kurtosis: 3.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 107.60758649427015, Current Price: 108.41
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.374
Date: Wed, 09 Oct 2024 AIC 46.747
Time: 14:40:29 BIC 49.572
Sample: 0 HQIC 46.167
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3602 1.720 0.209 0.834 -3.012 3.732
ma.L1 -0.0300 1.635 -0.018 0.985 -3.235 3.175
ar.S.L7 -0.3088 0.423 -0.729 0.466 -1.139 0.521
ma.S.L7 0.3890 2.175 0.179 0.858 -3.874 4.652
sigma2 0.9244 0.925 0.999 0.318 -0.889 2.737
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 2.45
Prob(Q): 0.84 Prob(JB): 0.29
Heteroskedasticity (H): 2.66 Skew: -0.93
Prob(H) (two-sided): 0.37 Kurtosis: 4.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 107.20876047239598, Current Price: 109.21
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.074
Date: Wed, 09 Oct 2024 AIC 46.148
Time: 14:40:29 BIC 48.973
Sample: 0 HQIC 45.568
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5742 1.199 0.479 0.632 -1.776 2.924
ma.L1 -0.1247 1.828 -0.068 0.946 -3.707 3.458
ar.S.L7 -0.2692 1.146 -0.235 0.814 -2.515 1.977
ma.S.L7 -0.3026 0.996 -0.304 0.761 -2.255 1.649
sigma2 0.9000 0.721 1.249 0.212 -0.513 2.313
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 5.77
Prob(Q): 0.98 Prob(JB): 0.06
Heteroskedasticity (H): 7.68 Skew: -1.08
Prob(H) (two-sided): 0.07 Kurtosis: 5.45
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.06014688015914, Current Price: 108.53
BUY EXECUTED at 108.53
BUY ORDER COMPLETED at 107.58
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.176
Date: Wed, 09 Oct 2024 AIC 48.352
Time: 14:40:29 BIC 51.177
Sample: 0 HQIC 47.772
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4632 1.299 0.357 0.721 -2.082 3.009
ma.L1 -0.0604 1.989 -0.030 0.976 -3.958 3.837
ar.S.L7 -0.4419 1.245 -0.355 0.723 -2.883 1.999
ma.S.L7 -0.1076 1.616 -0.067 0.947 -3.275 3.060
sigma2 1.1102 0.535 2.075 0.038 0.062 2.159
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 2.12
Prob(Q): 0.99 Prob(JB): 0.35
Heteroskedasticity (H): 17.09 Skew: -0.80
Prob(H) (two-sided): 0.02 Kurtosis: 4.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 108.29933407241136, Current Price: 107.79
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.170
Date: Wed, 09 Oct 2024 AIC 48.340
Time: 14:40:29 BIC 51.165
Sample: 0 HQIC 47.760
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4626 0.994 0.465 0.642 -1.486 2.411
ma.L1 -0.0173 1.480 -0.012 0.991 -2.918 2.884
ar.S.L7 -0.4568 1.158 -0.395 0.693 -2.726 1.812
ma.S.L7 -0.1154 1.305 -0.088 0.930 -2.674 2.443
sigma2 1.1096 0.689 1.609 0.108 -0.242 2.461
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.15
Prob(Q): 1.00 Prob(JB): 0.56
Heteroskedasticity (H): 0.31 Skew: -0.58
Prob(H) (two-sided): 0.28 Kurtosis: 3.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 107.07782942974939, Current Price: 108.22
SELL EXECUTED at 108.22
SELL ORDER COMPLETED at 109.67
OPERATION PROFIT, GROSS 2.0900000000000034, NET 1.8727500000000035
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.554
Date: Wed, 09 Oct 2024 AIC 49.109
Time: 14:40:29 BIC 51.933
Sample: 0 HQIC 48.528
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3012 1.329 0.227 0.821 -2.303 2.905
ma.L1 0.0436 1.880 0.023 0.981 -3.640 3.727
ar.S.L7 -0.3074 1.193 -0.258 0.797 -2.647 2.032
ma.S.L7 -0.2194 1.094 -0.201 0.841 -2.363 1.924
sigma2 1.1632 0.932 1.248 0.212 -0.663 2.990
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.06
Prob(Q): 1.00 Prob(JB): 0.59
Heteroskedasticity (H): 0.50 Skew: -0.66
Prob(H) (two-sided): 0.52 Kurtosis: 3.43
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 107.86825354893453, Current Price: 110.49
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.863
Date: Wed, 09 Oct 2024 AIC 53.726
Time: 14:40:29 BIC 56.550
Sample: 0 HQIC 53.145
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5969 0.462 1.292 0.196 -0.308 1.502
ma.L1 -0.4980 0.803 -0.620 0.535 -2.072 1.076
ar.S.L7 0.3486 0.515 0.677 0.499 -0.661 1.358
ma.S.L7 -1.0000 4.54e+04 -2.2e-05 1.000 -8.91e+04 8.91e+04
sigma2 0.9801 4.45e+04 2.2e-05 1.000 -8.73e+04 8.73e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.14
Prob(Q): 0.87 Prob(JB): 0.93
Heteroskedasticity (H): 1.31 Skew: -0.09
Prob(H) (two-sided): 0.80 Kurtosis: 2.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.7128123370048, Current Price: 109.81
BUY EXECUTED at 109.81
BUY ORDER COMPLETED at 108.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.335
Date: Wed, 09 Oct 2024 AIC 54.671
Time: 14:40:29 BIC 57.496
Sample: 0 HQIC 54.090
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.1077 0.240 -4.607 0.000 -1.579 -0.636
ma.L1 1.0000 3.92e+04 2.55e-05 1.000 -7.68e+04 7.68e+04
ar.S.L7 5.458e-05 0.097 0.001 1.000 -0.191 0.191
ma.S.L7 -0.0626 0.391 -0.160 0.873 -0.829 0.703
sigma2 1.7054 6.69e+04 2.55e-05 1.000 -1.31e+05 1.31e+05
===================================================================================
Ljung-Box (L1) (Q): 0.63 Jarque-Bera (JB): 0.82
Prob(Q): 0.43 Prob(JB): 0.66
Heteroskedasticity (H): 1.27 Skew: -0.50
Prob(H) (two-sided): 0.82 Kurtosis: 2.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.0946581206215, Current Price: 108.42
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.988
Date: Wed, 09 Oct 2024 AIC 51.975
Time: 14:40:30 BIC 54.800
Sample: 0 HQIC 51.395
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0932 0.543 -0.172 0.864 -1.158 0.972
ma.L1 1.0001 2041.710 0.000 1.000 -4000.679 4002.679
ar.S.L7 -1.5436 0.276 -5.591 0.000 -2.085 -1.002
ma.S.L7 0.6690 1.422 0.471 0.638 -2.117 3.455
sigma2 1.0122 2066.321 0.000 1.000 -4048.902 4050.926
===================================================================================
Ljung-Box (L1) (Q): 0.55 Jarque-Bera (JB): 0.42
Prob(Q): 0.46 Prob(JB): 0.81
Heteroskedasticity (H): 3.73 Skew: 0.29
Prob(H) (two-sided): 0.23 Kurtosis: 2.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 105.90657830376598, Current Price: 107.98
SELL EXECUTED at 107.98
SELL ORDER COMPLETED at 106.78
OPERATION PROFIT, GROSS -1.5900000000000034, NET -1.8051500000000034
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.286
Date: Wed, 09 Oct 2024 AIC 52.571
Time: 14:40:30 BIC 55.396
Sample: 0 HQIC 51.991
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0080 0.965 0.008 0.993 -1.883 1.899
ma.L1 0.3780 0.900 0.420 0.675 -1.386 2.142
ar.S.L7 -0.3932 0.817 -0.482 0.630 -1.994 1.207
ma.S.L7 -0.5832 1.998 -0.292 0.770 -4.499 3.333
sigma2 1.3198 1.794 0.736 0.462 -2.196 4.836
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.84
Prob(Q): 0.99 Prob(JB): 0.66
Heteroskedasticity (H): 2.16 Skew: 0.55
Prob(H) (two-sided): 0.47 Kurtosis: 2.43
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 108.32605002474611, Current Price: 106.86
BUY EXECUTED at 106.86
BUY ORDER COMPLETED at 106.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.750
Date: Wed, 09 Oct 2024 AIC 53.500
Time: 14:40:30 BIC 56.324
Sample: 0 HQIC 52.919
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2931 1.266 -0.232 0.817 -2.774 2.187
ma.L1 0.6829 1.259 0.543 0.587 -1.784 3.150
ar.S.L7 -0.7428 0.713 -1.041 0.298 -2.141 0.655
ma.S.L7 0.0837 0.674 0.124 0.901 -1.238 1.406
sigma2 1.6498 1.026 1.608 0.108 -0.361 3.661
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.36
Prob(Q): 0.83 Prob(JB): 0.83
Heteroskedasticity (H): 0.85 Skew: 0.30
Prob(H) (two-sided): 0.88 Kurtosis: 2.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 105.9166424705233, Current Price: 106.73
SELL EXECUTED at 106.73
SELL ORDER COMPLETED at 108.54
OPERATION PROFIT, GROSS 1.5600000000000023, NET 1.3444800000000023
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.770
Date: Wed, 09 Oct 2024 AIC 53.540
Time: 14:40:30 BIC 56.365
Sample: 0 HQIC 52.960
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1474 1.319 -0.112 0.911 -2.732 2.437
ma.L1 0.4817 1.179 0.409 0.683 -1.828 2.792
ar.S.L7 -0.5680 0.485 -1.172 0.241 -1.518 0.382
ma.S.L7 -0.0799 0.686 -0.116 0.907 -1.424 1.264
sigma2 1.6627 1.010 1.647 0.100 -0.316 3.642
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.51
Prob(Q): 0.84 Prob(JB): 0.78
Heteroskedasticity (H): 0.51 Skew: 0.30
Prob(H) (two-sided): 0.53 Kurtosis: 2.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 107.17016088033381, Current Price: 108.99
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.724
Date: Wed, 09 Oct 2024 AIC 53.448
Time: 14:40:30 BIC 56.273
Sample: 0 HQIC 52.867
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4602 0.478 -0.963 0.335 -1.397 0.476
ma.L1 1.0000 2.43e+04 4.11e-05 1.000 -4.77e+04 4.77e+04
ar.S.L7 -0.7982 0.345 -2.317 0.021 -1.473 -0.123
ma.S.L7 0.1944 0.568 0.342 0.732 -0.918 1.307
sigma2 1.3719 3.34e+04 4.11e-05 1.000 -6.54e+04 6.54e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.40
Prob(Q): 0.95 Prob(JB): 0.82
Heteroskedasticity (H): 0.63 Skew: 0.05
Prob(H) (two-sided): 0.67 Kurtosis: 2.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.06856646545548, Current Price: 108.77
BUY EXECUTED at 108.77
BUY ORDER COMPLETED at 109.8
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.003
Date: Wed, 09 Oct 2024 AIC 50.005
Time: 14:40:30 BIC 52.830
Sample: 0 HQIC 49.425
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5115 0.197 2.592 0.010 0.125 0.898
ma.L1 -1.0000 2.19e+04 -4.57e-05 1.000 -4.29e+04 4.28e+04
ar.S.L7 -0.6289 0.355 -1.774 0.076 -1.324 0.066
ma.S.L7 -0.2361 0.651 -0.363 0.717 -1.512 1.039
sigma2 1.0346 2.26e+04 4.57e-05 1.000 -4.43e+04 4.43e+04
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 0.83
Prob(Q): 0.71 Prob(JB): 0.66
Heteroskedasticity (H): 2.34 Skew: 0.60
Prob(H) (two-sided): 0.43 Kurtosis: 2.72
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 109.27298974558937, Current Price: 109.86
SELL EXECUTED at 109.86
SELL ORDER COMPLETED at 109.75
OPERATION PROFIT, GROSS -0.04999999999999716, NET -0.2695499999999972
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.912
Date: Wed, 09 Oct 2024 AIC 49.823
Time: 14:40:30 BIC 52.648
Sample: 0 HQIC 49.243
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3927 0.123 3.181 0.001 0.151 0.635
ma.L1 -1.0000 5537.686 -0.000 1.000 -1.09e+04 1.09e+04
ar.S.L7 -0.4380 0.277 -1.580 0.114 -0.981 0.105
ma.S.L7 -1.0016 527.496 -0.002 0.998 -1034.874 1032.871
sigma2 0.6393 3730.599 0.000 1.000 -7311.200 7312.478
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 0.48
Prob(Q): 0.68 Prob(JB): 0.79
Heteroskedasticity (H): 1.60 Skew: 0.07
Prob(H) (two-sided): 0.66 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.00345978466589, Current Price: 109.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.431
Date: Wed, 09 Oct 2024 AIC 48.862
Time: 14:40:30 BIC 51.687
Sample: 0 HQIC 48.282
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3126 0.772 0.405 0.686 -1.201 1.826
ma.L1 -1.0000 1.24e+04 -8.09e-05 1.000 -2.42e+04 2.42e+04
ar.S.L7 -0.6036 0.331 -1.823 0.068 -1.252 0.045
ma.S.L7 -0.0529 1.024 -0.052 0.959 -2.059 1.953
sigma2 1.0329 1.28e+04 8.09e-05 1.000 -2.5e+04 2.5e+04
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 3.07
Prob(Q): 0.62 Prob(JB): 0.22
Heteroskedasticity (H): 0.31 Skew: 1.10
Prob(H) (two-sided): 0.29 Kurtosis: 3.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 109.78416251560691, Current Price: 109.14
BUY EXECUTED at 109.14
BUY ORDER COMPLETED at 110.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.604
Date: Wed, 09 Oct 2024 AIC 47.208
Time: 14:40:30 BIC 50.033
Sample: 0 HQIC 46.627
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1142 0.525 0.218 0.828 -0.914 1.143
ma.L1 -1.0000 1e+04 -9.95e-05 1.000 -1.97e+04 1.97e+04
ar.S.L7 -0.6937 0.123 -5.650 0.000 -0.934 -0.453
ma.S.L7 1.0001 8928.439 0.000 1.000 -1.75e+04 1.75e+04
sigma2 0.5803 6976.397 8.32e-05 1.000 -1.37e+04 1.37e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.88
Prob(Q): 0.97 Prob(JB): 0.39
Heteroskedasticity (H): 0.21 Skew: 0.93
Prob(H) (two-sided): 0.16 Kurtosis: 2.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 108.37458258494961, Current Price: 110.87
SELL EXECUTED at 110.87
SELL ORDER COMPLETED at 111.67
OPERATION PROFIT, GROSS 1.1299999999999955, NET 0.9077899999999954
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.656
Date: Wed, 09 Oct 2024 AIC 51.311
Time: 14:40:30 BIC 54.136
Sample: 0 HQIC 50.731
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2008 0.466 -0.431 0.667 -1.115 0.713
ma.L1 1.0000 2.42e+04 4.12e-05 1.000 -4.75e+04 4.75e+04
ar.S.L7 -0.8189 0.169 -4.841 0.000 -1.150 -0.487
ma.S.L7 -1.0001 9237.239 -0.000 1.000 -1.81e+04 1.81e+04
sigma2 0.7993 1.85e+04 4.31e-05 1.000 -3.63e+04 3.63e+04
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.69
Prob(Q): 0.82 Prob(JB): 0.71
Heteroskedasticity (H): 0.58 Skew: -0.29
Prob(H) (two-sided): 0.61 Kurtosis: 2.02
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.150720054822, Current Price: 111.31
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.242
Date: Wed, 09 Oct 2024 AIC 50.483
Time: 14:40:30 BIC 53.308
Sample: 0 HQIC 49.903
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1803 0.449 -0.401 0.688 -1.061 0.700
ma.L1 1.0000 1.1e+04 9.13e-05 1.000 -2.15e+04 2.15e+04
ar.S.L7 -0.8220 0.152 -5.396 0.000 -1.121 -0.523
ma.S.L7 -1.0001 4835.853 -0.000 1.000 -9479.098 9477.098
sigma2 0.7491 9473.822 7.91e-05 1.000 -1.86e+04 1.86e+04
===================================================================================
Ljung-Box (L1) (Q): 0.50 Jarque-Bera (JB): 0.66
Prob(Q): 0.48 Prob(JB): 0.72
Heteroskedasticity (H): 0.77 Skew: -0.27
Prob(H) (two-sided): 0.80 Kurtosis: 2.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.29648207867969, Current Price: 111.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.127
Date: Wed, 09 Oct 2024 AIC 48.255
Time: 14:40:30 BIC 51.079
Sample: 0 HQIC 47.674
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3465 0.280 -1.238 0.216 -0.895 0.202
ma.L1 1.0000 1.4e+04 7.14e-05 1.000 -2.74e+04 2.74e+04
ar.S.L7 -0.7845 0.230 -3.405 0.001 -1.236 -0.333
ma.S.L7 -0.2979 0.445 -0.669 0.503 -1.170 0.574
sigma2 0.9855 1.38e+04 7.14e-05 1.000 -2.7e+04 2.7e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.42
Prob(Q): 0.90 Prob(JB): 0.81
Heteroskedasticity (H): 0.90 Skew: -0.04
Prob(H) (two-sided): 0.92 Kurtosis: 2.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.9475166875346, Current Price: 113.81
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.003
Date: Wed, 09 Oct 2024 AIC 46.007
Time: 14:40:30 BIC 48.831
Sample: 0 HQIC 45.426
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3404 0.283 -1.204 0.229 -0.895 0.214
ma.L1 1.0000 1.35e+04 7.38e-05 1.000 -2.66e+04 2.66e+04
ar.S.L7 -0.7524 0.262 -2.869 0.004 -1.266 -0.238
ma.S.L7 -0.3527 0.529 -0.667 0.505 -1.390 0.685
sigma2 0.8187 1.11e+04 7.38e-05 1.000 -2.17e+04 2.17e+04
===================================================================================
Ljung-Box (L1) (Q): 0.45 Jarque-Bera (JB): 0.20
Prob(Q): 0.50 Prob(JB): 0.90
Heteroskedasticity (H): 1.27 Skew: -0.18
Prob(H) (two-sided): 0.82 Kurtosis: 2.51
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.42395178421785, Current Price: 113.29
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.793
Date: Wed, 09 Oct 2024 AIC 47.585
Time: 14:40:30 BIC 50.410
Sample: 0 HQIC 47.005
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4135 0.305 1.355 0.175 -0.185 1.012
ma.L1 -0.5501 0.412 -1.336 0.181 -1.357 0.257
ar.S.L7 -0.6267 0.697 -0.899 0.368 -1.992 0.739
ma.S.L7 -0.4342 1.663 -0.261 0.794 -3.694 2.825
sigma2 0.9616 1.240 0.776 0.438 -1.468 3.392
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.95
Prob(Q): 0.98 Prob(JB): 0.62
Heteroskedasticity (H): 0.47 Skew: 0.54
Prob(H) (two-sided): 0.48 Kurtosis: 2.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.70690369438366, Current Price: 112.49
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.660
Date: Wed, 09 Oct 2024 AIC 47.321
Time: 14:40:30 BIC 50.146
Sample: 0 HQIC 46.740
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4555 0.554 0.823 0.411 -0.630 1.541
ma.L1 -0.4278 0.441 -0.971 0.332 -1.291 0.436
ar.S.L7 -0.6855 0.627 -1.093 0.274 -1.915 0.544
ma.S.L7 -0.6933 2.640 -0.263 0.793 -5.867 4.481
sigma2 0.7926 1.944 0.408 0.684 -3.018 4.603
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.67
Prob(Q): 0.97 Prob(JB): 0.43
Heteroskedasticity (H): 0.08 Skew: 0.85
Prob(H) (two-sided): 0.03 Kurtosis: 2.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.3497798224363, Current Price: 112.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.488
Date: Wed, 09 Oct 2024 AIC 42.975
Time: 14:40:30 BIC 45.800
Sample: 0 HQIC 42.395
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3782 0.141 -2.676 0.007 -0.655 -0.101
ma.L1 1.0000 2.48e+04 4.04e-05 1.000 -4.86e+04 4.86e+04
ar.S.L7 -0.7577 0.234 -3.239 0.001 -1.216 -0.299
ma.S.L7 -0.9998 7385.328 -0.000 1.000 -1.45e+04 1.45e+04
sigma2 0.4181 8458.212 4.94e-05 1.000 -1.66e+04 1.66e+04
===================================================================================
Ljung-Box (L1) (Q): 1.03 Jarque-Bera (JB): 0.35
Prob(Q): 0.31 Prob(JB): 0.84
Heteroskedasticity (H): 0.12 Skew: -0.19
Prob(H) (two-sided): 0.06 Kurtosis: 2.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.35128821572994, Current Price: 112.73
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.974
Date: Wed, 09 Oct 2024 AIC 47.948
Time: 14:40:30 BIC 50.773
Sample: 0 HQIC 47.367
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2374 2.134 0.111 0.911 -3.945 4.419
ma.L1 -0.4600 2.242 -0.205 0.837 -4.854 3.934
ar.S.L7 -0.6166 0.531 -1.161 0.246 -1.658 0.425
ma.S.L7 -0.1231 0.832 -0.148 0.882 -1.754 1.508
sigma2 1.0779 0.530 2.034 0.042 0.039 2.117
===================================================================================
Ljung-Box (L1) (Q): 0.32 Jarque-Bera (JB): 1.08
Prob(Q): 0.57 Prob(JB): 0.58
Heteroskedasticity (H): 0.25 Skew: 0.60
Prob(H) (two-sided): 0.21 Kurtosis: 2.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.47403311645594, Current Price: 111.73
BUY EXECUTED at 111.73
BUY ORDER COMPLETED at 111.52
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.232
Date: Wed, 09 Oct 2024 AIC 44.464
Time: 14:40:30 BIC 47.289
Sample: 0 HQIC 43.884
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1957 2.171 0.090 0.928 -4.059 4.451
ma.L1 -0.4592 2.358 -0.195 0.846 -5.081 4.163
ar.S.L7 -0.6874 0.492 -1.397 0.162 -1.652 0.277
ma.S.L7 0.0492 0.825 0.060 0.952 -1.567 1.666
sigma2 0.8286 0.424 1.955 0.051 -0.002 1.659
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 1.26
Prob(Q): 0.76 Prob(JB): 0.53
Heteroskedasticity (H): 1.09 Skew: 0.76
Prob(H) (two-sided): 0.94 Kurtosis: 3.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.61103414889578, Current Price: 111.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.470
Date: Wed, 09 Oct 2024 AIC 46.941
Time: 14:40:30 BIC 49.765
Sample: 0 HQIC 46.360
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3621 1.032 -0.351 0.726 -2.386 1.661
ma.L1 0.5636 0.915 0.616 0.538 -1.230 2.357
ar.S.L7 -0.3644 0.707 -0.516 0.606 -1.750 1.021
ma.S.L7 -1.0001 1.42e+04 -7.04e-05 1.000 -2.79e+04 2.79e+04
sigma2 0.6098 8667.507 7.04e-05 1.000 -1.7e+04 1.7e+04
===================================================================================
Ljung-Box (L1) (Q): 0.27 Jarque-Bera (JB): 1.03
Prob(Q): 0.60 Prob(JB): 0.60
Heteroskedasticity (H): 0.63 Skew: 0.67
Prob(H) (two-sided): 0.66 Kurtosis: 2.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.42341718938667, Current Price: 111.5
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.955
Date: Wed, 09 Oct 2024 AIC 47.910
Time: 14:40:30 BIC 50.734
Sample: 0 HQIC 47.329
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2003 2.253 0.089 0.929 -4.215 4.616
ma.L1 16.4314 621.870 0.026 0.979 -1202.412 1235.275
ar.S.L7 -0.7470 0.285 -2.621 0.009 -1.306 -0.188
ma.S.L7 2.1011 7.391 0.284 0.776 -12.385 16.587
sigma2 0.0008 0.062 0.013 0.989 -0.121 0.123
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 3.48
Prob(Q): 0.80 Prob(JB): 0.18
Heteroskedasticity (H): 0.54 Skew: 1.08
Prob(H) (two-sided): 0.56 Kurtosis: 4.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.8418150543942, Current Price: 111.43
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.545
Date: Wed, 09 Oct 2024 AIC 47.089
Time: 14:40:30 BIC 49.914
Sample: 0 HQIC 46.509
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3325 2.107 0.158 0.875 -3.796 4.461
ma.L1 -14.0015 432.320 -0.032 0.974 -861.333 833.330
ar.S.L7 -0.7003 0.305 -2.299 0.022 -1.297 -0.103
ma.S.L7 1.4778 4.590 0.322 0.747 -7.519 10.474
sigma2 0.0019 0.113 0.016 0.987 -0.219 0.223
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 4.43
Prob(Q): 0.86 Prob(JB): 0.11
Heteroskedasticity (H): 0.50 Skew: 1.19
Prob(H) (two-sided): 0.52 Kurtosis: 4.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.23692041074797, Current Price: 111.68
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.451
Date: Wed, 09 Oct 2024 AIC 44.902
Time: 14:40:30 BIC 47.726
Sample: 0 HQIC 44.321
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3404 0.429 -0.793 0.428 -1.182 0.501
ma.L1 1.0000 8229.539 0.000 1.000 -1.61e+04 1.61e+04
ar.S.L7 -0.7422 0.239 -3.105 0.002 -1.211 -0.274
ma.S.L7 1.0001 1.69e+04 5.91e-05 1.000 -3.32e+04 3.32e+04
sigma2 0.4406 8398.379 5.25e-05 1.000 -1.65e+04 1.65e+04
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 4.13
Prob(Q): 0.72 Prob(JB): 0.13
Heteroskedasticity (H): 0.21 Skew: 1.03
Prob(H) (two-sided): 0.17 Kurtosis: 4.84
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.63417552111915, Current Price: 110.78
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.229
Date: Wed, 09 Oct 2024 AIC 36.458
Time: 14:40:30 BIC 39.283
Sample: 0 HQIC 35.878
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3002 0.575 -0.522 0.601 -1.426 0.826
ma.L1 0.7254 0.520 1.395 0.163 -0.294 1.744
ar.S.L7 -0.6864 0.184 -3.736 0.000 -1.046 -0.326
ma.S.L7 0.3949 0.855 0.462 0.644 -1.281 2.071
sigma2 0.4149 0.218 1.907 0.057 -0.012 0.841
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.38
Prob(Q): 0.97 Prob(JB): 0.83
Heteroskedasticity (H): 2.54 Skew: -0.32
Prob(H) (two-sided): 0.39 Kurtosis: 2.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.841660180902, Current Price: 109.72
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.122
Date: Wed, 09 Oct 2024 AIC 44.244
Time: 14:40:30 BIC 47.069
Sample: 0 HQIC 43.664
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1171 0.785 0.149 0.881 -1.421 1.655
ma.L1 0.3970 0.770 0.516 0.606 -1.112 1.906
ar.S.L7 -0.6218 0.177 -3.516 0.000 -0.968 -0.275
ma.S.L7 1.0000 4.03e+04 2.48e-05 1.000 -7.89e+04 7.89e+04
sigma2 0.4911 1.98e+04 2.48e-05 1.000 -3.88e+04 3.88e+04
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 0.17
Prob(Q): 0.69 Prob(JB): 0.92
Heteroskedasticity (H): 2.44 Skew: -0.20
Prob(H) (two-sided): 0.41 Kurtosis: 2.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 107.60614234833055, Current Price: 109.3
SELL EXECUTED at 109.3
SELL ORDER COMPLETED at 108.64
OPERATION PROFIT, GROSS -2.8799999999999955, NET -3.1001599999999954
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.307
Date: Wed, 09 Oct 2024 AIC 42.614
Time: 14:40:31 BIC 45.439
Sample: 0 HQIC 42.034
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6119 0.505 -1.211 0.226 -1.602 0.378
ma.L1 1.0000 2.59e+05 3.87e-06 1.000 -5.07e+05 5.07e+05
ar.S.L7 -0.5712 0.322 -1.776 0.076 -1.202 0.059
ma.S.L7 -0.3010 1.929 -0.156 0.876 -4.083 3.481
sigma2 0.6052 1.56e+05 3.87e-06 1.000 -3.07e+05 3.07e+05
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.83
Prob(Q): 0.82 Prob(JB): 0.66
Heteroskedasticity (H): 19.39 Skew: -0.59
Prob(H) (two-sided): 0.01 Kurtosis: 2.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.30159301039373, Current Price: 108.59
BUY EXECUTED at 108.59
BUY ORDER COMPLETED at 107.79
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.380
Date: Wed, 09 Oct 2024 AIC 42.759
Time: 14:40:31 BIC 45.584
Sample: 0 HQIC 42.179
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.0218 0.191 5.340 0.000 0.647 1.397
ma.L1 -1.0000 3.96e+04 -2.53e-05 1.000 -7.75e+04 7.75e+04
ar.S.L7 -0.3747 0.318 -1.179 0.239 -0.998 0.248
ma.S.L7 -0.1971 0.626 -0.315 0.753 -1.424 1.029
sigma2 0.6029 2.39e+04 2.53e-05 1.000 -4.68e+04 4.68e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.10
Prob(Q): 0.91 Prob(JB): 0.95
Heteroskedasticity (H): 3.56 Skew: 0.07
Prob(H) (two-sided): 0.25 Kurtosis: 2.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 108.69370554327476, Current Price: 106.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.121
Date: Wed, 09 Oct 2024 AIC 46.242
Time: 14:40:31 BIC 49.066
Sample: 0 HQIC 45.661
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1394 0.776 0.180 0.857 -1.382 1.661
ma.L1 2.7208 4.564 0.596 0.551 -6.225 11.666
ar.S.L7 -0.2471 0.433 -0.571 0.568 -1.095 0.601
ma.S.L7 -0.2210 1.008 -0.219 0.827 -2.197 1.755
sigma2 0.1240 0.427 0.290 0.772 -0.713 0.961
===================================================================================
Ljung-Box (L1) (Q): 0.35 Jarque-Bera (JB): 0.97
Prob(Q): 0.55 Prob(JB): 0.62
Heteroskedasticity (H): 5.42 Skew: 0.02
Prob(H) (two-sided): 0.13 Kurtosis: 1.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 105.93914864207748, Current Price: 105.97
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.226
Date: Wed, 09 Oct 2024 AIC 44.453
Time: 14:40:31 BIC 47.277
Sample: 0 HQIC 43.872
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.0093 0.169 5.973 0.000 0.678 1.340
ma.L1 -1.0000 8416.105 -0.000 1.000 -1.65e+04 1.65e+04
ar.S.L7 -0.2764 0.294 -0.941 0.347 -0.852 0.299
ma.S.L7 0.1571 0.740 0.212 0.832 -1.294 1.608
sigma2 0.7112 5985.244 0.000 1.000 -1.17e+04 1.17e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.46
Prob(Q): 0.98 Prob(JB): 0.80
Heteroskedasticity (H): 1.95 Skew: 0.08
Prob(H) (two-sided): 0.53 Kurtosis: 2.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 105.4017601990798, Current Price: 105.64
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.272
Date: Wed, 09 Oct 2024 AIC 46.544
Time: 14:40:31 BIC 49.369
Sample: 0 HQIC 45.964
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5233 1.275 0.411 0.681 -1.975 3.022
ma.L1 -5.1171 33.455 -0.153 0.878 -70.688 60.454
ar.S.L7 -0.2480 0.260 -0.954 0.340 -0.758 0.262
ma.S.L7 3.6926 12.920 0.286 0.775 -21.630 29.015
sigma2 0.0026 0.034 0.076 0.939 -0.065 0.070
===================================================================================
Ljung-Box (L1) (Q): 0.48 Jarque-Bera (JB): 0.59
Prob(Q): 0.49 Prob(JB): 0.75
Heteroskedasticity (H): 0.79 Skew: 0.38
Prob(H) (two-sided): 0.83 Kurtosis: 2.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 104.46214023983433, Current Price: 104.1
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.315
Date: Wed, 09 Oct 2024 AIC 46.631
Time: 14:40:31 BIC 49.455
Sample: 0 HQIC 46.050
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3408 0.909 0.375 0.708 -1.440 2.121
ma.L1 12.3311 139.200 0.089 0.929 -260.496 285.159
ar.S.L7 -0.2187 0.251 -0.871 0.384 -0.711 0.273
ma.S.L7 9.7602 63.431 0.154 0.878 -114.562 134.083
sigma2 6.731e-05 0.002 0.036 0.971 -0.004 0.004
===================================================================================
Ljung-Box (L1) (Q): 0.80 Jarque-Bera (JB): 0.88
Prob(Q): 0.37 Prob(JB): 0.64
Heteroskedasticity (H): 0.61 Skew: 0.45
Prob(H) (two-sided): 0.65 Kurtosis: 2.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 102.94849893626285, Current Price: 104.4
SELL EXECUTED at 104.4
SELL ORDER COMPLETED at 104.09
OPERATION PROFIT, GROSS -3.700000000000003, NET -3.9118800000000027
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.371
Date: Wed, 09 Oct 2024 AIC 46.742
Time: 14:40:31 BIC 49.567
Sample: 0 HQIC 46.162
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4859 0.372 -1.306 0.192 -1.215 0.243
ma.L1 1.0746 1.766 0.609 0.543 -2.386 4.535
ar.S.L7 -0.3773 0.287 -1.313 0.189 -0.940 0.186
ma.S.L7 0.3004 0.553 0.543 0.587 -0.784 1.384
sigma2 0.7292 1.559 0.468 0.640 -2.326 3.784
===================================================================================
Ljung-Box (L1) (Q): 0.33 Jarque-Bera (JB): 1.01
Prob(Q): 0.57 Prob(JB): 0.61
Heteroskedasticity (H): 1.26 Skew: 0.66
Prob(H) (two-sided): 0.83 Kurtosis: 2.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 104.54660939255584, Current Price: 104.18
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.765
Date: Wed, 09 Oct 2024 AIC 45.530
Time: 14:40:31 BIC 48.354
Sample: 0 HQIC 44.949
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8759 0.280 3.128 0.002 0.327 1.425
ma.L1 -1.0000 6693.008 -0.000 1.000 -1.31e+04 1.31e+04
ar.S.L7 -0.2983 0.651 -0.458 0.647 -1.575 0.978
ma.S.L7 -0.0868 0.964 -0.090 0.928 -1.976 1.803
sigma2 0.7632 5108.644 0.000 1.000 -1e+04 1e+04
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 0.43
Prob(Q): 0.62 Prob(JB): 0.80
Heteroskedasticity (H): 0.45 Skew: -0.31
Prob(H) (two-sided): 0.46 Kurtosis: 2.35
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 103.53729380898258, Current Price: 103.83
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.069
Date: Wed, 09 Oct 2024 AIC 42.137
Time: 14:40:31 BIC 44.962
Sample: 0 HQIC 41.556
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9028 0.158 5.720 0.000 0.593 1.212
ma.L1 -1.0095 10.862 -0.093 0.926 -22.298 20.279
ar.S.L7 -2.287e-07 0.071 -3.21e-06 1.000 -0.140 0.140
ma.S.L7 -1.0363 10.761 -0.096 0.923 -22.128 20.055
sigma2 0.4024 7.519 0.054 0.957 -14.335 15.140
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 0.75
Prob(Q): 0.65 Prob(JB): 0.69
Heteroskedasticity (H): 0.13 Skew: -0.55
Prob(H) (two-sided): 0.08 Kurtosis: 2.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 103.06323164825334, Current Price: 103.85
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.361
Date: Wed, 09 Oct 2024 AIC 44.722
Time: 14:40:31 BIC 47.547
Sample: 0 HQIC 44.142
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1812 1.481 -0.122 0.903 -3.084 2.722
ma.L1 0.5746 0.908 0.633 0.527 -1.205 2.354
ar.S.L7 -0.0975 0.821 -0.119 0.906 -1.707 1.512
ma.S.L7 -0.3205 0.678 -0.473 0.636 -1.649 1.008
sigma2 0.8103 0.528 1.535 0.125 -0.225 1.845
===================================================================================
Ljung-Box (L1) (Q): 0.30 Jarque-Bera (JB): 0.81
Prob(Q): 0.58 Prob(JB): 0.67
Heteroskedasticity (H): 0.35 Skew: -0.18
Prob(H) (two-sided): 0.34 Kurtosis: 1.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 103.47451070434875, Current Price: 103.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.112
Date: Wed, 09 Oct 2024 AIC 40.224
Time: 14:40:31 BIC 43.048
Sample: 0 HQIC 39.643
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5495 1.717 0.320 0.749 -2.816 3.915
ma.L1 -0.4219 1.858 -0.227 0.820 -4.064 3.220
ar.S.L7 -0.0114 0.376 -0.030 0.976 -0.748 0.726
ma.S.L7 -1.0001 1.1e+04 -9.13e-05 1.000 -2.15e+04 2.15e+04
sigma2 0.3610 3954.769 9.13e-05 1.000 -7750.844 7751.566
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.68
Prob(Q): 0.98 Prob(JB): 0.71
Heteroskedasticity (H): 0.29 Skew: -0.30
Prob(H) (two-sided): 0.26 Kurtosis: 2.05
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 103.33903909352352, Current Price: 103.71
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.014
Date: Wed, 09 Oct 2024 AIC 40.028
Time: 14:40:31 BIC 42.853
Sample: 0 HQIC 39.448
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5008 1.171 0.428 0.669 -1.793 2.795
ma.L1 -0.2761 1.215 -0.227 0.820 -2.658 2.106
ar.S.L7 -0.0279 0.281 -0.099 0.921 -0.579 0.523
ma.S.L7 -1.0001 9371.161 -0.000 1.000 -1.84e+04 1.84e+04
sigma2 0.3552 3328.907 0.000 1.000 -6524.183 6524.894
===================================================================================
Ljung-Box (L1) (Q): 0.46 Jarque-Bera (JB): 0.89
Prob(Q): 0.50 Prob(JB): 0.64
Heteroskedasticity (H): 0.18 Skew: -0.47
Prob(H) (two-sided): 0.12 Kurtosis: 2.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 102.89442147382118, Current Price: 102.34
BUY EXECUTED at 102.34
BUY ORDER COMPLETED at 102.39
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.609
Date: Wed, 09 Oct 2024 AIC 33.218
Time: 14:40:31 BIC 36.043
Sample: 0 HQIC 32.638
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5677 0.378 1.500 0.133 -0.174 1.309
ma.L1 -0.3527 0.509 -0.693 0.489 -1.351 0.646
ar.S.L7 -0.1988 0.307 -0.647 0.518 -0.801 0.404
ma.S.L7 -1.0001 9293.258 -0.000 1.000 -1.82e+04 1.82e+04
sigma2 0.2038 1894.103 0.000 1.000 -3712.170 3712.577
===================================================================================
Ljung-Box (L1) (Q): 0.51 Jarque-Bera (JB): 1.34
Prob(Q): 0.47 Prob(JB): 0.51
Heteroskedasticity (H): 0.10 Skew: -0.74
Prob(H) (two-sided): 0.05 Kurtosis: 3.51
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 102.12466287179062, Current Price: 102.43
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.967
Date: Wed, 09 Oct 2024 AIC 31.934
Time: 14:40:31 BIC 34.758
Sample: 0 HQIC 31.353
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6418 0.283 2.269 0.023 0.087 1.196
ma.L1 -0.3345 0.525 -0.638 0.524 -1.363 0.694
ar.S.L7 -0.0035 0.014 -0.255 0.798 -0.031 0.024
ma.S.L7 -1.0000 3.22e+04 -3.1e-05 1.000 -6.32e+04 6.32e+04
sigma2 0.1921 6194.261 3.1e-05 1.000 -1.21e+04 1.21e+04
===================================================================================
Ljung-Box (L1) (Q): 0.97 Jarque-Bera (JB): 0.10
Prob(Q): 0.32 Prob(JB): 0.95
Heteroskedasticity (H): 0.09 Skew: 0.11
Prob(H) (two-sided): 0.04 Kurtosis: 2.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 101.89329032150835, Current Price: 103.56
SELL EXECUTED at 103.56
SELL ORDER COMPLETED at 103.58
OPERATION PROFIT, GROSS 1.1899999999999977, NET 0.9840299999999977
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.946
Date: Wed, 09 Oct 2024 AIC 35.892
Time: 14:40:31 BIC 38.717
Sample: 0 HQIC 35.311
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0905 0.645 -0.140 0.888 -1.355 1.174
ma.L1 1.0000 6796.834 0.000 1.000 -1.33e+04 1.33e+04
ar.S.L7 -0.3216 0.118 -2.722 0.006 -0.553 -0.090
ma.S.L7 -0.3585 0.694 -0.516 0.606 -1.719 1.002
sigma2 0.3703 2516.584 0.000 1.000 -4932.043 4932.783
===================================================================================
Ljung-Box (L1) (Q): 0.54 Jarque-Bera (JB): 0.26
Prob(Q): 0.46 Prob(JB): 0.88
Heteroskedasticity (H): 0.77 Skew: -0.32
Prob(H) (two-sided): 0.81 Kurtosis: 2.72
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 103.7202149610939, Current Price: 103.09
BUY EXECUTED at 103.09
BUY ORDER COMPLETED at 102.48
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.524
Date: Wed, 09 Oct 2024 AIC 29.049
Time: 14:40:31 BIC 31.874
Sample: 0 HQIC 28.468
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3264 0.539 -0.606 0.545 -1.383 0.730
ma.L1 1.0000 5739.173 0.000 1.000 -1.12e+04 1.12e+04
ar.S.L7 -0.4349 0.185 -2.347 0.019 -0.798 -0.072
ma.S.L7 -0.2372 0.406 -0.585 0.559 -1.033 0.558
sigma2 0.2267 1300.915 0.000 1.000 -2549.521 2549.974
===================================================================================
Ljung-Box (L1) (Q): 0.69 Jarque-Bera (JB): 0.96
Prob(Q): 0.41 Prob(JB): 0.62
Heteroskedasticity (H): 2.06 Skew: 0.37
Prob(H) (two-sided): 0.50 Kurtosis: 1.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 102.00096569736674, Current Price: 102.26
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.633
Date: Wed, 09 Oct 2024 AIC 29.266
Time: 14:40:31 BIC 32.090
Sample: 0 HQIC 28.685
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3210 0.350 -0.917 0.359 -1.007 0.365
ma.L1 1.0000 4131.751 0.000 1.000 -8097.083 8099.083
ar.S.L7 -0.4195 0.196 -2.141 0.032 -0.803 -0.036
ma.S.L7 -0.2712 0.484 -0.560 0.575 -1.220 0.677
sigma2 0.2304 951.826 0.000 1.000 -1865.315 1865.776
===================================================================================
Ljung-Box (L1) (Q): 0.89 Jarque-Bera (JB): 0.81
Prob(Q): 0.35 Prob(JB): 0.67
Heteroskedasticity (H): 1.91 Skew: 0.24
Prob(H) (two-sided): 0.55 Kurtosis: 1.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 101.88917064990959, Current Price: 102.94
SELL EXECUTED at 102.94
SELL ORDER COMPLETED at 102.47
OPERATION PROFIT, GROSS -0.010000000000005116, NET -0.21495000000000514
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.083
Date: Wed, 09 Oct 2024 AIC 34.167
Time: 14:40:31 BIC 36.992
Sample: 0 HQIC 33.586
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4316 0.180 -2.394 0.017 -0.785 -0.078
ma.L1 1.0000 4.01e+04 2.5e-05 1.000 -7.86e+04 7.86e+04
ar.S.L7 -0.5157 0.274 -1.880 0.060 -1.053 0.022
ma.S.L7 0.4036 1.366 0.296 0.768 -2.273 3.081
sigma2 0.2922 1.17e+04 2.5e-05 1.000 -2.3e+04 2.3e+04
===================================================================================
Ljung-Box (L1) (Q): 1.86 Jarque-Bera (JB): 0.45
Prob(Q): 0.17 Prob(JB): 0.80
Heteroskedasticity (H): 3.18 Skew: 0.14
Prob(H) (two-sided): 0.29 Kurtosis: 2.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 103.4773056399729, Current Price: 102.46
BUY EXECUTED at 102.46
BUY ORDER COMPLETED at 101.01
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.089
Date: Wed, 09 Oct 2024 AIC 34.178
Time: 14:40:31 BIC 37.002
Sample: 0 HQIC 33.597
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7867 0.872 0.903 0.367 -0.922 2.495
ma.L1 -1.5347 2.527 -0.607 0.544 -6.488 3.418
ar.S.L7 -0.6549 0.197 -3.325 0.001 -1.041 -0.269
ma.S.L7 1.0005 2079.520 0.000 1.000 -4074.784 4076.785
sigma2 0.0925 192.531 0.000 1.000 -377.261 377.446
===================================================================================
Ljung-Box (L1) (Q): 3.16 Jarque-Bera (JB): 0.69
Prob(Q): 0.08 Prob(JB): 0.71
Heteroskedasticity (H): 2.39 Skew: 0.46
Prob(H) (two-sided): 0.42 Kurtosis: 2.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 101.16245968211437, Current Price: 101.25
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.008
Date: Wed, 09 Oct 2024 AIC 34.015
Time: 14:40:31 BIC 36.840
Sample: 0 HQIC 33.435
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3725 0.548 0.679 0.497 -0.703 1.447
ma.L1 -0.3542 0.805 -0.440 0.660 -1.932 1.224
ar.S.L7 -0.5546 0.174 -3.179 0.001 -0.897 -0.213
ma.S.L7 0.9998 5295.372 0.000 1.000 -1.04e+04 1.04e+04
sigma2 0.2219 1174.766 0.000 1.000 -2302.278 2302.722
===================================================================================
Ljung-Box (L1) (Q): 3.70 Jarque-Bera (JB): 0.80
Prob(Q): 0.05 Prob(JB): 0.67
Heteroskedasticity (H): 2.58 Skew: 0.59
Prob(H) (two-sided): 0.38 Kurtosis: 2.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 101.67239264645107, Current Price: 101.92
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.890
Date: Wed, 09 Oct 2024 AIC 31.780
Time: 14:40:32 BIC 34.605
Sample: 0 HQIC 31.200
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8252 0.173 4.777 0.000 0.487 1.164
ma.L1 -1.0000 4.18e+04 -2.39e-05 1.000 -8.19e+04 8.19e+04
ar.S.L7 -0.1710 0.255 -0.672 0.502 -0.670 0.328
ma.S.L7 -1.0018 449.535 -0.002 0.998 -882.075 880.071
sigma2 0.1512 6314.198 2.39e-05 1.000 -1.24e+04 1.24e+04
===================================================================================
Ljung-Box (L1) (Q): 3.41 Jarque-Bera (JB): 1.19
Prob(Q): 0.06 Prob(JB): 0.55
Heteroskedasticity (H): 2.16 Skew: 0.61
Prob(H) (two-sided): 0.47 Kurtosis: 2.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 102.28129131680572, Current Price: 102.28
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.977
Date: Wed, 09 Oct 2024 AIC 31.953
Time: 14:40:32 BIC 34.778
Sample: 0 HQIC 31.373
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8931 0.249 3.591 0.000 0.406 1.381
ma.L1 -1.0000 8762.950 -0.000 1.000 -1.72e+04 1.72e+04
ar.S.L7 -0.4133 0.285 -1.449 0.147 -0.972 0.146
ma.S.L7 -0.2218 1.230 -0.180 0.857 -2.632 2.188
sigma2 0.2608 2285.741 0.000 1.000 -4479.709 4480.231
===================================================================================
Ljung-Box (L1) (Q): 2.09 Jarque-Bera (JB): 1.37
Prob(Q): 0.15 Prob(JB): 0.50
Heteroskedasticity (H): 0.89 Skew: 0.75
Prob(H) (two-sided): 0.91 Kurtosis: 2.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 102.04031892362117, Current Price: 100.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.202
Date: Wed, 09 Oct 2024 AIC 36.405
Time: 14:40:32 BIC 39.229
Sample: 0 HQIC 35.824
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2060 11.665 0.018 0.986 -22.658 23.070
ma.L1 -6.2156 447.849 -0.014 0.989 -883.984 871.553
ar.S.L7 -0.2572 1.136 -0.226 0.821 -2.484 1.969
ma.S.L7 -4.0231 19.754 -0.204 0.839 -42.741 34.695
sigma2 0.0007 0.104 0.007 0.995 -0.202 0.204
===================================================================================
Ljung-Box (L1) (Q): 0.62 Jarque-Bera (JB): 0.04
Prob(Q): 0.43 Prob(JB): 0.98
Heteroskedasticity (H): 6.25 Skew: 0.11
Prob(H) (two-sided): 0.10 Kurtosis: 3.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 100.06028035847147, Current Price: 101.76
SELL EXECUTED at 101.76
SELL ORDER COMPLETED at 102.74
OPERATION PROFIT, GROSS 1.7299999999999898, NET 1.52624999999999
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.743
Date: Wed, 09 Oct 2024 AIC 39.487
Time: 14:40:32 BIC 42.312
Sample: 0 HQIC 38.906
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2839 1.835 -0.155 0.877 -3.879 3.312
ma.L1 -0.1338 1.618 -0.083 0.934 -3.305 3.037
ar.S.L7 -0.2243 0.527 -0.426 0.670 -1.256 0.808
ma.S.L7 -0.1222 1.029 -0.119 0.905 -2.138 1.894
sigma2 0.5624 0.299 1.879 0.060 -0.024 1.149
===================================================================================
Ljung-Box (L1) (Q): 1.29 Jarque-Bera (JB): 0.44
Prob(Q): 0.26 Prob(JB): 0.80
Heteroskedasticity (H): 1.30 Skew: -0.44
Prob(H) (two-sided): 0.80 Kurtosis: 3.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 101.44594404193624, Current Price: 104.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.488
Date: Wed, 09 Oct 2024 AIC 42.975
Time: 14:40:32 BIC 45.800
Sample: 0 HQIC 42.395
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3193 1.061 -0.301 0.763 -2.398 1.760
ma.L1 0.6581 0.932 0.706 0.480 -1.168 2.485
ar.S.L7 -0.5807 0.291 -1.992 0.046 -1.152 -0.009
ma.S.L7 0.9998 6041.367 0.000 1.000 -1.18e+04 1.18e+04
sigma2 0.4422 2671.227 0.000 1.000 -5235.067 5235.951
===================================================================================
Ljung-Box (L1) (Q): 0.63 Jarque-Bera (JB): 0.62
Prob(Q): 0.43 Prob(JB): 0.73
Heteroskedasticity (H): 3.02 Skew: 0.02
Prob(H) (two-sided): 0.31 Kurtosis: 1.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 103.67441749533351, Current Price: 102.67
BUY EXECUTED at 102.67
BUY ORDER COMPLETED at 103.13
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.895
Date: Wed, 09 Oct 2024 AIC 41.791
Time: 14:40:32 BIC 44.616
Sample: 0 HQIC 41.210
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2038 0.878 0.232 0.816 -1.517 1.924
ma.L1 -1.0000 7.67e+04 -1.3e-05 1.000 -1.5e+05 1.5e+05
ar.S.L7 0.2908 0.239 1.218 0.223 -0.177 0.759
ma.S.L7 -0.9999 7686.504 -0.000 1.000 -1.51e+04 1.51e+04
sigma2 0.3461 2.7e+04 1.28e-05 1.000 -5.28e+04 5.28e+04
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 0.26
Prob(Q): 0.71 Prob(JB): 0.88
Heteroskedasticity (H): 2.83 Skew: 0.32
Prob(H) (two-sided): 0.34 Kurtosis: 3.27
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 101.02395873011241, Current Price: 102.84
SELL EXECUTED at 102.84
SELL ORDER COMPLETED at 103.63
OPERATION PROFIT, GROSS 0.5, NET 0.29324
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.090
Date: Wed, 09 Oct 2024 AIC 48.179
Time: 14:40:32 BIC 51.004
Sample: 0 HQIC 47.599
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4761 0.491 -0.969 0.332 -1.439 0.487
ma.L1 11.1751 122.895 0.091 0.928 -229.695 252.045
ar.S.L7 0.3482 0.339 1.027 0.304 -0.316 1.013
ma.S.L7 -0.8219 6.176 -0.133 0.894 -12.927 11.283
sigma2 0.0061 0.112 0.054 0.957 -0.214 0.226
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.21
Prob(Q): 0.81 Prob(JB): 0.90
Heteroskedasticity (H): 2.70 Skew: 0.26
Prob(H) (two-sided): 0.36 Kurtosis: 2.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 102.86727116602685, Current Price: 102.64
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.602
Date: Wed, 09 Oct 2024 AIC 45.205
Time: 14:40:32 BIC 48.030
Sample: 0 HQIC 44.624
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3165 2.092 -0.151 0.880 -4.416 3.783
ma.L1 7.1581 107.000 0.067 0.947 -202.559 216.875
ar.S.L7 -0.7001 0.361 -1.937 0.053 -1.408 0.008
ma.S.L7 1.0011 762.381 0.001 0.999 -1493.239 1495.241
sigma2 0.0100 7.732 0.001 0.999 -15.145 15.165
===================================================================================
Ljung-Box (L1) (Q): 0.82 Jarque-Bera (JB): 0.28
Prob(Q): 0.37 Prob(JB): 0.87
Heteroskedasticity (H): 2.71 Skew: -0.01
Prob(H) (two-sided): 0.36 Kurtosis: 2.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 103.28192291485544, Current Price: 102.55
BUY EXECUTED at 102.55
BUY ORDER COMPLETED at 101.91
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.560
Date: Wed, 09 Oct 2024 AIC 45.121
Time: 14:40:32 BIC 47.945
Sample: 0 HQIC 44.540
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4317 0.130 3.313 0.001 0.176 0.687
ma.L1 -0.6913 0.389 -1.779 0.075 -1.453 0.070
ar.S.L7 -0.4821 0.739 -0.653 0.514 -1.930 0.966
ma.S.L7 1.0001 2.31e+04 4.32e-05 1.000 -4.53e+04 4.53e+04
sigma2 0.5129 1.19e+04 4.32e-05 1.000 -2.33e+04 2.33e+04
===================================================================================
Ljung-Box (L1) (Q): 0.92 Jarque-Bera (JB): 1.08
Prob(Q): 0.34 Prob(JB): 0.58
Heteroskedasticity (H): 2.02 Skew: 0.31
Prob(H) (two-sided): 0.51 Kurtosis: 1.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 100.88690264950817, Current Price: 103.11
SELL EXECUTED at 103.11
SELL ORDER COMPLETED at 102.58
OPERATION PROFIT, GROSS 0.6700000000000017, NET 0.4655100000000017
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.069
Date: Wed, 09 Oct 2024 AIC 48.137
Time: 14:40:32 BIC 50.962
Sample: 0 HQIC 47.557
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1329 0.798 -0.167 0.868 -1.697 1.431
ma.L1 -0.3539 0.750 -0.472 0.637 -1.825 1.117
ar.S.L7 -0.5143 0.441 -1.166 0.244 -1.379 0.350
ma.S.L7 0.2809 0.836 0.336 0.737 -1.358 1.920
sigma2 1.0653 0.715 1.490 0.136 -0.336 2.466
===================================================================================
Ljung-Box (L1) (Q): 0.61 Jarque-Bera (JB): 0.16
Prob(Q): 0.44 Prob(JB): 0.92
Heteroskedasticity (H): 2.11 Skew: -0.00
Prob(H) (two-sided): 0.49 Kurtosis: 2.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 102.84205384149874, Current Price: 101.79
BUY EXECUTED at 101.79
BUY ORDER COMPLETED at 101.71
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.336
Date: Wed, 09 Oct 2024 AIC 44.672
Time: 14:40:32 BIC 47.497
Sample: 0 HQIC 44.091
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3030 0.748 -0.405 0.685 -1.769 1.163
ma.L1 -0.2592 0.643 -0.403 0.687 -1.520 1.002
ar.S.L7 -1.0213 0.496 -2.060 0.039 -1.993 -0.049
ma.S.L7 1.0001 5459.309 0.000 1.000 -1.07e+04 1.07e+04
sigma2 0.5084 2775.214 0.000 1.000 -5438.812 5439.829
===================================================================================
Ljung-Box (L1) (Q): 1.26 Jarque-Bera (JB): 0.45
Prob(Q): 0.26 Prob(JB): 0.80
Heteroskedasticity (H): 2.01 Skew: -0.33
Prob(H) (two-sided): 0.52 Kurtosis: 3.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 103.91454931799, Current Price: 101.52
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.060
Date: Wed, 09 Oct 2024 AIC 46.120
Time: 14:40:32 BIC 48.945
Sample: 0 HQIC 45.539
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5144 0.497 -1.036 0.300 -1.488 0.459
ma.L1 0.0400 1.129 0.035 0.972 -2.174 2.254
ar.S.L7 -0.7752 1.215 -0.638 0.524 -3.157 1.607
ma.S.L7 -1.0001 1.81e+04 -5.52e-05 1.000 -3.55e+04 3.55e+04
sigma2 0.5426 9824.672 5.52e-05 1.000 -1.93e+04 1.93e+04
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 3.85
Prob(Q): 0.77 Prob(JB): 0.15
Heteroskedasticity (H): 0.95 Skew: 1.00
Prob(H) (two-sided): 0.96 Kurtosis: 4.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 101.4363092584598, Current Price: 102.75
SELL EXECUTED at 102.75
SELL ORDER COMPLETED at 100.92
OPERATION PROFIT, GROSS -0.789999999999992, NET -0.992629999999992
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.150
Date: Wed, 09 Oct 2024 AIC 46.300
Time: 14:40:32 BIC 49.125
Sample: 0 HQIC 45.720
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1109 0.579 -0.192 0.848 -1.246 1.024
ma.L1 -0.3930 0.616 -0.638 0.524 -1.601 0.815
ar.S.L7 -0.7369 1.027 -0.718 0.473 -2.749 1.275
ma.S.L7 -1.0000 2.04e+04 -4.91e-05 1.000 -3.99e+04 3.99e+04
sigma2 0.5753 1.17e+04 4.91e-05 1.000 -2.3e+04 2.3e+04
===================================================================================
Ljung-Box (L1) (Q): 0.78 Jarque-Bera (JB): 1.44
Prob(Q): 0.38 Prob(JB): 0.49
Heteroskedasticity (H): 0.65 Skew: 0.78
Prob(H) (two-sided): 0.69 Kurtosis: 3.45
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 100.3722047681674, Current Price: 100.5
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.037
Date: Wed, 09 Oct 2024 AIC 46.073
Time: 14:40:32 BIC 48.898
Sample: 0 HQIC 45.493
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1061 0.752 -0.141 0.888 -1.580 1.368
ma.L1 -0.3907 0.661 -0.591 0.554 -1.685 0.904
ar.S.L7 -0.7230 0.916 -0.790 0.430 -2.518 1.072
ma.S.L7 -1.0001 1.49e+04 -6.7e-05 1.000 -2.93e+04 2.93e+04
sigma2 0.5653 8443.431 6.7e-05 1.000 -1.65e+04 1.65e+04
===================================================================================
Ljung-Box (L1) (Q): 0.42 Jarque-Bera (JB): 1.24
Prob(Q): 0.52 Prob(JB): 0.54
Heteroskedasticity (H): 0.16 Skew: 0.75
Prob(H) (two-sided): 0.10 Kurtosis: 3.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 101.07665019601974, Current Price: 102.04
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.932
Date: Wed, 09 Oct 2024 AIC 45.864
Time: 14:40:32 BIC 48.689
Sample: 0 HQIC 45.284
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2504 1.180 -0.212 0.832 -2.562 2.062
ma.L1 -0.2345 1.351 -0.174 0.862 -2.881 2.412
ar.S.L7 -0.8328 2.519 -0.331 0.741 -5.770 4.105
ma.S.L7 -1.0001 1.07e+04 -9.34e-05 1.000 -2.1e+04 2.1e+04
sigma2 0.5564 5960.769 9.33e-05 1.000 -1.17e+04 1.17e+04
===================================================================================
Ljung-Box (L1) (Q): 0.29 Jarque-Bera (JB): 1.70
Prob(Q): 0.59 Prob(JB): 0.43
Heteroskedasticity (H): 0.28 Skew: 0.81
Prob(H) (two-sided): 0.24 Kurtosis: 3.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 102.53309709091894, Current Price: 103.15
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.650
Date: Wed, 09 Oct 2024 AIC 45.300
Time: 14:40:32 BIC 48.125
Sample: 0 HQIC 44.720
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1724 0.850 -0.203 0.839 -1.837 1.493
ma.L1 -0.2104 0.920 -0.229 0.819 -2.013 1.593
ar.S.L7 -0.8680 1.066 -0.814 0.416 -2.958 1.222
ma.S.L7 -1.0001 1.66e+04 -6.01e-05 1.000 -3.26e+04 3.26e+04
sigma2 0.5328 8870.070 6.01e-05 1.000 -1.74e+04 1.74e+04
===================================================================================
Ljung-Box (L1) (Q): 0.60 Jarque-Bera (JB): 1.88
Prob(Q): 0.44 Prob(JB): 0.39
Heteroskedasticity (H): 0.28 Skew: 0.82
Prob(H) (two-sided): 0.25 Kurtosis: 3.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 101.33545050128066, Current Price: 102.61
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.258
Date: Wed, 09 Oct 2024 AIC 46.515
Time: 14:40:32 BIC 49.340
Sample: 0 HQIC 45.935
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1766 1.089 -0.162 0.871 -2.311 1.957
ma.L1 -0.1315 1.189 -0.111 0.912 -2.461 2.198
ar.S.L7 -0.7279 0.715 -1.018 0.309 -2.130 0.674
ma.S.L7 -1.0001 1.39e+04 -7.2e-05 1.000 -2.72e+04 2.72e+04
sigma2 0.5850 8126.580 7.2e-05 1.000 -1.59e+04 1.59e+04
===================================================================================
Ljung-Box (L1) (Q): 1.53 Jarque-Bera (JB): 0.65
Prob(Q): 0.22 Prob(JB): 0.72
Heteroskedasticity (H): 0.36 Skew: 0.51
Prob(H) (two-sided): 0.35 Kurtosis: 2.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 102.96311171596733, Current Price: 102.31
BUY EXECUTED at 102.31
BUY ORDER COMPLETED at 102.82
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.268
Date: Wed, 09 Oct 2024 AIC 38.536
Time: 14:40:32 BIC 41.361
Sample: 0 HQIC 37.956
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3152 0.442 -0.714 0.475 -1.181 0.550
ma.L1 -0.2147 0.393 -0.547 0.584 -0.984 0.555
ar.S.L7 -0.7321 0.466 -1.572 0.116 -1.645 0.181
ma.S.L7 -1.0000 8.13e+04 -1.23e-05 1.000 -1.59e+05 1.59e+05
sigma2 0.3182 2.59e+04 1.23e-05 1.000 -5.07e+04 5.07e+04
===================================================================================
Ljung-Box (L1) (Q): 0.53 Jarque-Bera (JB): 0.63
Prob(Q): 0.47 Prob(JB): 0.73
Heteroskedasticity (H): 1.80 Skew: -0.03
Prob(H) (two-sided): 0.58 Kurtosis: 1.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 104.44582723564766, Current Price: 103.05
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.101
Date: Wed, 09 Oct 2024 AIC 44.203
Time: 14:40:32 BIC 47.027
Sample: 0 HQIC 43.622
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2115 0.452 0.468 0.640 -0.675 1.097
ma.L1 -1.0000 4108.704 -0.000 1.000 -8053.912 8051.912
ar.S.L7 -0.6752 0.307 -2.197 0.028 -1.278 -0.073
ma.S.L7 -0.3485 0.657 -0.530 0.596 -1.637 0.940
sigma2 0.6678 2744.104 0.000 1.000 -5377.676 5379.012
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 1.12
Prob(Q): 0.87 Prob(JB): 0.57
Heteroskedasticity (H): 1.16 Skew: -0.09
Prob(H) (two-sided): 0.89 Kurtosis: 1.57
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 102.37548077873876, Current Price: 102.27
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.123
Date: Wed, 09 Oct 2024 AIC 42.245
Time: 14:40:32 BIC 45.070
Sample: 0 HQIC 41.665
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1695 0.579 0.292 0.770 -0.966 1.305
ma.L1 -1.0000 8264.337 -0.000 1.000 -1.62e+04 1.62e+04
ar.S.L7 -0.7718 0.286 -2.694 0.007 -1.333 -0.210
ma.S.L7 -0.1946 0.696 -0.280 0.780 -1.558 1.169
sigma2 0.6007 4964.767 0.000 1.000 -9730.164 9731.366
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.42
Prob(Q): 0.94 Prob(JB): 0.81
Heteroskedasticity (H): 1.93 Skew: 0.06
Prob(H) (two-sided): 0.54 Kurtosis: 2.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 102.39054853068292, Current Price: 102.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.133
Date: Wed, 09 Oct 2024 AIC 42.266
Time: 14:40:32 BIC 45.091
Sample: 0 HQIC 41.686
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1495 0.466 0.321 0.748 -0.764 1.063
ma.L1 -1.0000 4218.288 -0.000 1.000 -8268.693 8266.693
ar.S.L7 -0.7838 0.157 -4.987 0.000 -1.092 -0.476
ma.S.L7 -0.0134 0.498 -0.027 0.978 -0.989 0.962
sigma2 0.6194 2612.941 0.000 1.000 -5120.650 5121.889
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.48
Prob(Q): 1.00 Prob(JB): 0.79
Heteroskedasticity (H): 0.14 Skew: -0.04
Prob(H) (two-sided): 0.09 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 102.42483111682978, Current Price: 101.42
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.443
Date: Wed, 09 Oct 2024 AIC 42.886
Time: 14:40:32 BIC 45.710
Sample: 0 HQIC 42.305
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2902 0.499 0.582 0.561 -0.687 1.268
ma.L1 -1.0000 9620.578 -0.000 1.000 -1.89e+04 1.89e+04
ar.S.L7 -0.8737 0.182 -4.791 0.000 -1.231 -0.516
ma.S.L7 0.1347 0.514 0.262 0.793 -0.873 1.142
sigma2 0.6584 6334.463 0.000 1.000 -1.24e+04 1.24e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.80
Prob(Q): 0.90 Prob(JB): 0.67
Heteroskedasticity (H): 0.53 Skew: 0.09
Prob(H) (two-sided): 0.56 Kurtosis: 1.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 102.35070764391583, Current Price: 101.46
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.429
Date: Wed, 09 Oct 2024 AIC 42.858
Time: 14:40:32 BIC 45.683
Sample: 0 HQIC 42.278
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3443 0.243 1.419 0.156 -0.131 0.820
ma.L1 -1.0000 2875.268 -0.000 1.000 -5636.421 5634.421
ar.S.L7 -0.8579 0.197 -4.350 0.000 -1.244 -0.471
ma.S.L7 0.0912 0.502 0.182 0.856 -0.892 1.074
sigma2 0.6569 1889.111 0.000 1.000 -3701.932 3703.246
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 1.14
Prob(Q): 0.70 Prob(JB): 0.57
Heteroskedasticity (H): 0.44 Skew: 0.41
Prob(H) (two-sided): 0.45 Kurtosis: 1.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 102.58936990269416, Current Price: 102.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.466
Date: Wed, 09 Oct 2024 AIC 42.933
Time: 14:40:32 BIC 45.757
Sample: 0 HQIC 42.352
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2290 2.264 0.101 0.919 -4.208 4.666
ma.L1 -0.3770 2.260 -0.167 0.868 -4.807 4.053
ar.S.L7 -1.0009 0.163 -6.133 0.000 -1.321 -0.681
ma.S.L7 1.0001 9562.101 0.000 1.000 -1.87e+04 1.87e+04
sigma2 0.4441 4246.702 0.000 1.000 -8322.939 8323.827
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 1.13
Prob(Q): 0.77 Prob(JB): 0.57
Heteroskedasticity (H): 0.41 Skew: 0.28
Prob(H) (two-sided): 0.41 Kurtosis: 1.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 100.77495698507946, Current Price: 103.18
SELL EXECUTED at 103.18
SELL ORDER COMPLETED at 104.37
OPERATION PROFIT, GROSS 1.5500000000000114, NET 1.3428100000000114
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.198
Date: Wed, 09 Oct 2024 AIC 42.396
Time: 14:40:32 BIC 45.221
Sample: 0 HQIC 41.816
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2297 0.433 0.531 0.596 -0.619 1.078
ma.L1 -1.0000 5012.490 -0.000 1.000 -9825.300 9823.300
ar.S.L7 -0.6864 0.311 -2.211 0.027 -1.295 -0.078
ma.S.L7 0.1178 0.715 0.165 0.869 -1.284 1.520
sigma2 0.6324 3169.990 0.000 1.000 -6212.434 6213.699
===================================================================================
Ljung-Box (L1) (Q): 0.23 Jarque-Bera (JB): 1.00
Prob(Q): 0.63 Prob(JB): 0.61
Heteroskedasticity (H): 1.28 Skew: -0.33
Prob(H) (two-sided): 0.81 Kurtosis: 1.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 102.21568578837687, Current Price: 104.67
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.856
Date: Wed, 09 Oct 2024 AIC 37.713
Time: 14:40:32 BIC 40.537
Sample: 0 HQIC 37.132
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6273 0.125 -5.029 0.000 -0.872 -0.383
ma.L1 1.0000 5426.917 0.000 1.000 -1.06e+04 1.06e+04
ar.S.L7 -0.7317 0.222 -3.292 0.001 -1.167 -0.296
ma.S.L7 -1.0009 1276.296 -0.001 0.999 -2502.494 2500.493
sigma2 0.2624 1545.402 0.000 1.000 -3028.670 3029.195
===================================================================================
Ljung-Box (L1) (Q): 1.87 Jarque-Bera (JB): 1.17
Prob(Q): 0.17 Prob(JB): 0.56
Heteroskedasticity (H): 2.51 Skew: -0.20
Prob(H) (two-sided): 0.39 Kurtosis: 1.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 105.39939806050788, Current Price: 106.15
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.085
Date: Wed, 09 Oct 2024 AIC 38.171
Time: 14:40:32 BIC 40.996
Sample: 0 HQIC 37.590
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8409 0.546 1.540 0.123 -0.229 1.911
ma.L1 -0.4643 0.425 -1.094 0.274 -1.296 0.368
ar.S.L7 -0.6251 0.211 -2.966 0.003 -1.038 -0.212
ma.S.L7 -0.6543 1.262 -0.518 0.604 -3.129 1.820
sigma2 0.4052 0.468 0.866 0.386 -0.511 1.322
===================================================================================
Ljung-Box (L1) (Q): 2.52 Jarque-Bera (JB): 0.40
Prob(Q): 0.11 Prob(JB): 0.82
Heteroskedasticity (H): 1.38 Skew: 0.20
Prob(H) (two-sided): 0.76 Kurtosis: 2.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 105.6913825154305, Current Price: 105.68
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.224
Date: Wed, 09 Oct 2024 AIC 32.448
Time: 14:40:33 BIC 35.273
Sample: 0 HQIC 31.868
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3240 0.436 0.742 0.458 -0.531 1.179
ma.L1 0.2702 0.518 0.521 0.602 -0.746 1.286
ar.S.L7 -0.6750 0.115 -5.866 0.000 -0.901 -0.449
ma.S.L7 -1.0001 4423.499 -0.000 1.000 -8670.898 8668.898
sigma2 0.2001 885.107 0.000 1.000 -1734.578 1734.978
===================================================================================
Ljung-Box (L1) (Q): 0.89 Jarque-Bera (JB): 0.59
Prob(Q): 0.35 Prob(JB): 0.74
Heteroskedasticity (H): 1.97 Skew: 0.39
Prob(H) (two-sided): 0.53 Kurtosis: 2.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 107.36063779234584, Current Price: 104.74
BUY EXECUTED at 104.74
BUY ORDER COMPLETED at 104.09
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.486
Date: Wed, 09 Oct 2024 AIC 42.973
Time: 14:40:33 BIC 45.797
Sample: 0 HQIC 42.392
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2687 0.665 0.404 0.686 -1.034 1.572
ma.L1 0.4815 0.402 1.197 0.231 -0.307 1.270
ar.S.L7 -0.6417 0.123 -5.198 0.000 -0.884 -0.400
ma.S.L7 1.0001 8548.451 0.000 1.000 -1.68e+04 1.68e+04
sigma2 0.4446 3801.042 0.000 1.000 -7449.460 7450.349
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 2.63
Prob(Q): 0.93 Prob(JB): 0.27
Heteroskedasticity (H): 7.81 Skew: -1.06
Prob(H) (two-sided): 0.07 Kurtosis: 3.57
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 104.40488505749661, Current Price: 104.21
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.022
Date: Wed, 09 Oct 2024 AIC 42.045
Time: 14:40:33 BIC 44.869
Sample: 0 HQIC 41.464
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1606 0.631 0.255 0.799 -1.076 1.397
ma.L1 0.5719 0.440 1.301 0.193 -0.290 1.434
ar.S.L7 -0.6370 0.127 -5.012 0.000 -0.886 -0.388
ma.S.L7 1.0000 2.02e+04 4.94e-05 1.000 -3.97e+04 3.97e+04
sigma2 0.4129 8356.151 4.94e-05 1.000 -1.64e+04 1.64e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.66
Prob(Q): 0.93 Prob(JB): 0.44
Heteroskedasticity (H): 2.43 Skew: -0.87
Prob(H) (two-sided): 0.41 Kurtosis: 3.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 104.99844349366958, Current Price: 104.72
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.542
Date: Wed, 09 Oct 2024 AIC 41.084
Time: 14:40:33 BIC 43.909
Sample: 0 HQIC 40.504
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3234 0.631 0.513 0.608 -0.913 1.560
ma.L1 0.4127 0.475 0.868 0.385 -0.519 1.345
ar.S.L7 -0.6373 0.078 -8.177 0.000 -0.790 -0.485
ma.S.L7 1.0000 3.53e+04 2.84e-05 1.000 -6.91e+04 6.91e+04
sigma2 0.3851 1.36e+04 2.84e-05 1.000 -2.66e+04 2.66e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.81
Prob(Q): 0.91 Prob(JB): 0.40
Heteroskedasticity (H): 0.65 Skew: -0.91
Prob(H) (two-sided): 0.69 Kurtosis: 2.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 105.49368859895947, Current Price: 103.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.477
Date: Wed, 09 Oct 2024 AIC 46.955
Time: 14:40:33 BIC 49.780
Sample: 0 HQIC 46.374
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6649 0.715 0.930 0.352 -0.737 2.066
ma.L1 -0.1356 0.776 -0.175 0.861 -1.656 1.385
ar.S.L7 -0.6089 0.131 -4.662 0.000 -0.865 -0.353
ma.S.L7 1.0001 1.34e+04 7.48e-05 1.000 -2.62e+04 2.62e+04
sigma2 0.5864 7835.721 7.48e-05 1.000 -1.54e+04 1.54e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.81
Prob(Q): 0.88 Prob(JB): 0.67
Heteroskedasticity (H): 2.22 Skew: -0.50
Prob(H) (two-sided): 0.46 Kurtosis: 2.28
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 103.65610413191214, Current Price: 104.08
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.474
Date: Wed, 09 Oct 2024 AIC 46.948
Time: 14:40:33 BIC 49.773
Sample: 0 HQIC 46.368
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5645 0.938 0.602 0.547 -1.273 2.402
ma.L1 -0.1144 0.929 -0.123 0.902 -1.934 1.705
ar.S.L7 -0.6092 0.136 -4.493 0.000 -0.875 -0.343
ma.S.L7 1.0002 7834.929 0.000 1.000 -1.54e+04 1.54e+04
sigma2 0.5855 4587.706 0.000 1.000 -8991.153 8992.324
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.16
Prob(Q): 0.98 Prob(JB): 0.56
Heteroskedasticity (H): 1.11 Skew: -0.67
Prob(H) (two-sided): 0.92 Kurtosis: 2.40
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 104.38282105163701, Current Price: 103.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.089
Date: Wed, 09 Oct 2024 AIC 46.179
Time: 14:40:33 BIC 49.003
Sample: 0 HQIC 45.598
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5764 1.000 0.576 0.564 -1.384 2.537
ma.L1 -0.1028 0.862 -0.119 0.905 -1.792 1.586
ar.S.L7 -0.5840 0.141 -4.138 0.000 -0.861 -0.307
ma.S.L7 1.0003 4117.706 0.000 1.000 -8069.556 8071.556
sigma2 0.5521 2273.896 0.000 1.000 -4456.202 4457.306
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.56
Prob(Q): 0.75 Prob(JB): 0.76
Heteroskedasticity (H): 1.04 Skew: -0.43
Prob(H) (two-sided): 0.97 Kurtosis: 2.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 103.44383782620378, Current Price: 105.37
SELL EXECUTED at 105.37
SELL ORDER COMPLETED at 104.99
OPERATION PROFIT, GROSS 0.8999999999999915, NET 0.6909199999999915
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.397
Date: Wed, 09 Oct 2024 AIC 48.795
Time: 14:40:33 BIC 51.619
Sample: 0 HQIC 48.214
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9532 0.205 -4.639 0.000 -1.356 -0.550
ma.L1 0.9996 113.874 0.009 0.993 -222.190 224.189
ar.S.L7 -7.296e-06 0.080 -9.17e-05 1.000 -0.156 0.156
ma.S.L7 -0.7032 1.133 -0.621 0.535 -2.924 1.518
sigma2 1.0070 113.520 0.009 0.993 -221.488 223.502
===================================================================================
Ljung-Box (L1) (Q): 0.51 Jarque-Bera (JB): 0.97
Prob(Q): 0.48 Prob(JB): 0.62
Heteroskedasticity (H): 1.08 Skew: 0.15
Prob(H) (two-sided): 0.94 Kurtosis: 1.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 105.09469213009427, Current Price: 105.49
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.858
Date: Wed, 09 Oct 2024 AIC 47.715
Time: 14:40:33 BIC 50.540
Sample: 0 HQIC 47.135
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3247 1.511 0.215 0.830 -2.637 3.286
ma.L1 7.2665 49.009 0.148 0.882 -88.789 103.322
ar.S.L7 -0.5159 0.152 -3.387 0.001 -0.814 -0.217
ma.S.L7 0.3170 1.538 0.206 0.837 -2.697 3.331
sigma2 0.0193 0.263 0.074 0.941 -0.495 0.534
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.66
Prob(Q): 0.95 Prob(JB): 0.72
Heteroskedasticity (H): 1.19 Skew: -0.52
Prob(H) (two-sided): 0.87 Kurtosis: 2.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 105.43645525334675, Current Price: 105.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.709
Date: Wed, 09 Oct 2024 AIC 45.418
Time: 14:40:33 BIC 48.243
Sample: 0 HQIC 44.837
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4711 0.895 0.526 0.599 -1.283 2.225
ma.L1 -0.1031 1.048 -0.098 0.922 -2.156 1.950
ar.S.L7 -0.3593 0.210 -1.714 0.087 -0.770 0.052
ma.S.L7 -0.1091 0.907 -0.120 0.904 -1.886 1.668
sigma2 0.8867 0.545 1.626 0.104 -0.182 1.955
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.16
Prob(Q): 0.74 Prob(JB): 0.93
Heteroskedasticity (H): 2.54 Skew: 0.16
Prob(H) (two-sided): 0.39 Kurtosis: 2.57
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 105.78357579605297, Current Price: 106.08
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.364
Date: Wed, 09 Oct 2024 AIC 44.727
Time: 14:40:33 BIC 47.552
Sample: 0 HQIC 44.147
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4246 0.628 0.677 0.499 -0.805 1.654
ma.L1 -0.1800 0.899 -0.200 0.841 -1.943 1.583
ar.S.L7 -0.3040 0.271 -1.124 0.261 -0.834 0.226
ma.S.L7 -0.4264 1.869 -0.228 0.819 -4.089 3.236
sigma2 0.7801 0.705 1.107 0.268 -0.601 2.161
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.13
Prob(Q): 0.75 Prob(JB): 0.94
Heteroskedasticity (H): 1.50 Skew: 0.18
Prob(H) (two-sided): 0.70 Kurtosis: 2.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 105.69962021153013, Current Price: 107.29
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.869
Date: Wed, 09 Oct 2024 AIC 45.738
Time: 14:40:33 BIC 48.563
Sample: 0 HQIC 45.157
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1375 1.803 0.076 0.939 -3.395 3.670
ma.L1 0.1335 1.686 0.079 0.937 -3.170 3.437
ar.S.L7 -0.3637 0.354 -1.028 0.304 -1.057 0.330
ma.S.L7 -1.0001 7670.505 -0.000 1.000 -1.5e+04 1.5e+04
sigma2 0.5510 4226.794 0.000 1.000 -8283.813 8284.915
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.53
Prob(Q): 0.76 Prob(JB): 0.77
Heteroskedasticity (H): 1.02 Skew: 0.35
Prob(H) (two-sided): 0.99 Kurtosis: 2.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 108.58895191538208, Current Price: 107.69
BUY EXECUTED at 107.69
BUY ORDER COMPLETED at 106.55
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.571
Date: Wed, 09 Oct 2024 AIC 45.141
Time: 14:40:33 BIC 47.966
Sample: 0 HQIC 44.560
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0506 3.324 -0.015 0.988 -6.566 6.465
ma.L1 0.1478 3.444 0.043 0.966 -6.603 6.898
ar.S.L7 -0.2936 0.395 -0.743 0.458 -1.068 0.481
ma.S.L7 -1.0001 1.64e+04 -6.11e-05 1.000 -3.21e+04 3.21e+04
sigma2 0.5263 8611.976 6.11e-05 1.000 -1.69e+04 1.69e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.75
Prob(Q): 0.88 Prob(JB): 0.69
Heteroskedasticity (H): 2.76 Skew: 0.58
Prob(H) (two-sided): 0.35 Kurtosis: 2.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 108.03420359852248, Current Price: 106.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.680
Date: Wed, 09 Oct 2024 AIC 49.360
Time: 14:40:33 BIC 52.185
Sample: 0 HQIC 48.779
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0594 2.260 -0.026 0.979 -4.489 4.370
ma.L1 3.8969 31.978 0.122 0.903 -58.778 66.572
ar.S.L7 -0.3530 0.465 -0.760 0.447 -1.264 0.558
ma.S.L7 -3.9437 11.920 -0.331 0.741 -27.307 19.419
sigma2 0.0044 0.061 0.071 0.943 -0.116 0.124
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.89
Prob(Q): 0.99 Prob(JB): 0.64
Heteroskedasticity (H): 1.48 Skew: 0.60
Prob(H) (two-sided): 0.71 Kurtosis: 2.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 106.54371401514526, Current Price: 106.9492
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.189
Date: Wed, 09 Oct 2024 AIC 48.378
Time: 14:40:33 BIC 51.203
Sample: 0 HQIC 47.798
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3250 1.616 -0.201 0.841 -3.492 2.842
ma.L1 0.5651 1.646 0.343 0.731 -2.660 3.791
ar.S.L7 -0.6201 0.708 -0.875 0.381 -2.009 0.768
ma.S.L7 -0.1084 0.620 -0.175 0.861 -1.323 1.106
sigma2 1.1173 0.599 1.866 0.062 -0.056 2.291
===================================================================================
Ljung-Box (L1) (Q): 0.64 Jarque-Bera (JB): 0.34
Prob(Q): 0.42 Prob(JB): 0.84
Heteroskedasticity (H): 1.79 Skew: 0.11
Prob(H) (two-sided): 0.59 Kurtosis: 2.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 106.55742197703908, Current Price: 108.05
SELL EXECUTED at 108.05
SELL ORDER COMPLETED at 107.92
OPERATION PROFIT, GROSS 1.3700000000000045, NET 1.1555300000000046
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.365
Date: Wed, 09 Oct 2024 AIC 48.730
Time: 14:40:33 BIC 51.555
Sample: 0 HQIC 48.149
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4129 0.167 2.474 0.013 0.086 0.740
ma.L1 -1.0000 4763.677 -0.000 1.000 -9337.635 9335.635
ar.S.L7 -0.6778 0.967 -0.701 0.484 -2.574 1.218
ma.S.L7 -0.1161 0.668 -0.174 0.862 -1.425 1.193
sigma2 1.0023 4775.380 0.000 1.000 -9358.571 9360.575
===================================================================================
Ljung-Box (L1) (Q): 0.78 Jarque-Bera (JB): 0.48
Prob(Q): 0.38 Prob(JB): 0.79
Heteroskedasticity (H): 1.56 Skew: -0.21
Prob(H) (two-sided): 0.68 Kurtosis: 2.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 106.99115448850462, Current Price: 108.09
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.978
Date: Wed, 09 Oct 2024 AIC 49.955
Time: 14:40:33 BIC 52.780
Sample: 0 HQIC 49.375
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2476 2.612 -0.095 0.924 -5.367 4.872
ma.L1 0.4553 2.370 0.192 0.848 -4.190 5.101
ar.S.L7 -0.5579 1.105 -0.505 0.614 -2.725 1.609
ma.S.L7 -3.9511 21.906 -0.180 0.857 -46.886 38.984
sigma2 0.0784 0.820 0.096 0.924 -1.529 1.686
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.65
Prob(Q): 0.87 Prob(JB): 0.72
Heteroskedasticity (H): 0.91 Skew: -0.19
Prob(H) (two-sided): 0.93 Kurtosis: 1.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 108.79004279466047, Current Price: 109.25
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.514
Date: Wed, 09 Oct 2024 AIC 47.028
Time: 14:40:33 BIC 49.853
Sample: 0 HQIC 46.448
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2308 2.099 -0.110 0.912 -4.346 3.884
ma.L1 0.5441 1.972 0.276 0.783 -3.321 4.410
ar.S.L7 -0.6337 0.955 -0.664 0.507 -2.505 1.238
ma.S.L7 -0.1854 0.937 -0.198 0.843 -2.023 1.652
sigma2 0.9963 0.686 1.452 0.146 -0.348 2.341
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.46
Prob(Q): 0.83 Prob(JB): 0.80
Heteroskedasticity (H): 0.83 Skew: -0.36
Prob(H) (two-sided): 0.86 Kurtosis: 2.42
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 108.52980207949088, Current Price: 110.57
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.282
Date: Wed, 09 Oct 2024 AIC 48.563
Time: 14:40:33 BIC 51.388
Sample: 0 HQIC 47.983
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0381 0.816 -0.047 0.963 -1.638 1.562
ma.L1 1.0000 5536.215 0.000 1.000 -1.08e+04 1.09e+04
ar.S.L7 -0.8566 0.341 -2.509 0.012 -1.526 -0.187
ma.S.L7 0.9999 7703.888 0.000 1.000 -1.51e+04 1.51e+04
sigma2 0.5797 6653.689 8.71e-05 1.000 -1.3e+04 1.3e+04
===================================================================================
Ljung-Box (L1) (Q): 0.32 Jarque-Bera (JB): 1.30
Prob(Q): 0.57 Prob(JB): 0.52
Heteroskedasticity (H): 1.23 Skew: -0.75
Prob(H) (two-sided): 0.84 Kurtosis: 3.40
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.7542541238852, Current Price: 112.32
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.328
Date: Wed, 09 Oct 2024 AIC 44.655
Time: 14:40:33 BIC 47.480
Sample: 0 HQIC 44.075
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1607 0.718 0.224 0.823 -1.246 1.568
ma.L1 1.0000 1.67e+04 5.98e-05 1.000 -3.28e+04 3.28e+04
ar.S.L7 -0.7767 0.195 -3.983 0.000 -1.159 -0.395
ma.S.L7 1.0001 1.42e+04 7.02e-05 1.000 -2.79e+04 2.79e+04
sigma2 0.4268 1.01e+04 4.24e-05 1.000 -1.97e+04 1.98e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.93
Prob(Q): 0.96 Prob(JB): 0.38
Heteroskedasticity (H): 1.38 Skew: -0.92
Prob(H) (two-sided): 0.76 Kurtosis: 3.43
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.90627802739267, Current Price: 113.83
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.224
Date: Wed, 09 Oct 2024 AIC 48.448
Time: 14:40:33 BIC 51.273
Sample: 0 HQIC 47.868
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0591 1.282 0.046 0.963 -2.453 2.571
ma.L1 0.5803 1.213 0.478 0.632 -1.797 2.958
ar.S.L7 -0.4984 0.265 -1.880 0.060 -1.018 0.021
ma.S.L7 0.2183 0.692 0.315 0.752 -1.139 1.575
sigma2 1.1013 0.477 2.306 0.021 0.165 2.037
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.07
Prob(Q): 0.85 Prob(JB): 0.97
Heteroskedasticity (H): 1.85 Skew: -0.17
Prob(H) (two-sided): 0.57 Kurtosis: 2.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.00875370153749, Current Price: 113.58
BUY EXECUTED at 113.58
BUY ORDER COMPLETED at 113.92
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.635
Date: Wed, 09 Oct 2024 AIC 51.270
Time: 14:40:33 BIC 54.095
Sample: 0 HQIC 50.690
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2680 2.329 -0.115 0.908 -4.832 4.296
ma.L1 0.5141 2.243 0.229 0.819 -3.883 4.911
ar.S.L7 -0.3236 0.379 -0.853 0.393 -1.067 0.420
ma.S.L7 -0.1245 0.515 -0.242 0.809 -1.135 0.886
sigma2 1.3916 0.831 1.674 0.094 -0.237 3.021
===================================================================================
Ljung-Box (L1) (Q): 0.43 Jarque-Bera (JB): 0.53
Prob(Q): 0.51 Prob(JB): 0.77
Heteroskedasticity (H): 1.28 Skew: -0.02
Prob(H) (two-sided): 0.82 Kurtosis: 2.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.69772322024787, Current Price: 114.46
SELL EXECUTED at 114.46
SELL ORDER COMPLETED at 118.59
OPERATION PROFIT, GROSS 4.670000000000002, NET 4.437490000000002
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.659
Date: Wed, 09 Oct 2024 AIC 51.318
Time: 14:40:33 BIC 54.143
Sample: 0 HQIC 50.738
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3729 1.573 -0.237 0.813 -3.456 2.710
ma.L1 0.6662 1.620 0.411 0.681 -2.508 3.840
ar.S.L7 -0.3056 0.419 -0.730 0.466 -1.126 0.515
ma.S.L7 0.1341 0.541 0.248 0.804 -0.926 1.195
sigma2 1.3930 0.982 1.419 0.156 -0.531 3.317
===================================================================================
Ljung-Box (L1) (Q): 0.41 Jarque-Bera (JB): 0.39
Prob(Q): 0.52 Prob(JB): 0.82
Heteroskedasticity (H): 1.23 Skew: -0.01
Prob(H) (two-sided): 0.85 Kurtosis: 2.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.81104766288904, Current Price: 119.0592
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.410
Date: Wed, 09 Oct 2024 AIC 58.820
Time: 14:40:33 BIC 61.644
Sample: 0 HQIC 58.239
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2799 0.927 -0.302 0.763 -2.096 1.536
ma.L1 1.0027 42.650 0.024 0.981 -82.590 84.596
ar.S.L7 -0.4179 0.369 -1.131 0.258 -1.142 0.306
ma.S.L7 7.4406 54.795 0.136 0.892 -99.955 114.837
sigma2 0.0393 1.941 0.020 0.984 -3.766 3.844
===================================================================================
Ljung-Box (L1) (Q): 0.34 Jarque-Bera (JB): 0.25
Prob(Q): 0.56 Prob(JB): 0.88
Heteroskedasticity (H): 3.26 Skew: -0.16
Prob(H) (two-sided): 0.28 Kurtosis: 2.40
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.93260215363193, Current Price: 118.36
BUY EXECUTED at 118.36
BUY ORDER COMPLETED at 116.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.261
Date: Wed, 09 Oct 2024 AIC 60.522
Time: 14:40:34 BIC 63.347
Sample: 0 HQIC 59.941
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8999 0.408 -2.207 0.027 -1.699 -0.101
ma.L1 1.0017 33.749 0.030 0.976 -65.145 67.148
ar.S.L7 2.026e-05 0.413 4.9e-05 1.000 -0.810 0.810
ma.S.L7 -4.2475 15.670 -0.271 0.786 -34.959 26.464
sigma2 0.1445 5.472 0.026 0.979 -10.581 10.870
===================================================================================
Ljung-Box (L1) (Q): 0.93 Jarque-Bera (JB): 2.35
Prob(Q): 0.34 Prob(JB): 0.31
Heteroskedasticity (H): 6.23 Skew: 0.96
Prob(H) (two-sided): 0.10 Kurtosis: 3.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.30119135946954, Current Price: 114.77
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -56.464
Date: Wed, 09 Oct 2024 AIC 122.927
Time: 14:40:34 BIC 125.752
Sample: 0 HQIC 122.346
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.2876 0.422 3.050 0.002 0.460 2.115
ma.L1 -28.2901 267.480 -0.106 0.916 -552.541 495.961
ar.S.L7 -7.2421 2.418 -2.996 0.003 -11.980 -2.504
ma.S.L7 -26.2670 340.957 -0.077 0.939 -694.530 641.996
sigma2 0.0001 0.004 0.034 0.973 -0.008 0.009
===================================================================================
Ljung-Box (L1) (Q): 1.20 Jarque-Bera (JB): 0.07
Prob(Q): 0.27 Prob(JB): 0.97
Heteroskedasticity (H): 0.42 Skew: 0.16
Prob(H) (two-sided): 0.42 Kurtosis: 3.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 102.68069065854084, Current Price: 115.48
SELL EXECUTED at 115.48
SELL ORDER COMPLETED at 115.3
OPERATION PROFIT, GROSS -0.7000000000000028, NET -0.9313000000000029
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.608
Date: Wed, 09 Oct 2024 AIC 61.217
Time: 14:40:34 BIC 64.041
Sample: 0 HQIC 60.636
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2580 0.447 -0.578 0.563 -1.133 0.617
ma.L1 1.0000 7015.961 0.000 1.000 -1.38e+04 1.38e+04
ar.S.L7 -0.2963 0.453 -0.654 0.513 -1.185 0.592
ma.S.L7 -0.5301 1.647 -0.322 0.747 -3.757 2.697
sigma2 2.4668 1.73e+04 0.000 1.000 -3.39e+04 3.39e+04
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 0.50
Prob(Q): 0.62 Prob(JB): 0.78
Heteroskedasticity (H): 21.04 Skew: -0.46
Prob(H) (two-sided): 0.01 Kurtosis: 2.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.7021904679188, Current Price: 118.29
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.465
Date: Wed, 09 Oct 2024 AIC 62.930
Time: 14:40:34 BIC 65.755
Sample: 0 HQIC 62.349
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2460 0.651 -0.378 0.706 -1.523 1.031
ma.L1 1.0000 1.53e+04 6.55e-05 1.000 -2.99e+04 2.99e+04
ar.S.L7 -0.2305 0.424 -0.543 0.587 -1.062 0.601
ma.S.L7 -0.1260 0.962 -0.131 0.896 -2.012 1.760
sigma2 3.0714 4.69e+04 6.55e-05 1.000 -9.18e+04 9.18e+04
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 0.87
Prob(Q): 0.68 Prob(JB): 0.65
Heteroskedasticity (H): 15.01 Skew: -0.62
Prob(H) (two-sided): 0.02 Kurtosis: 2.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.72307101878688, Current Price: 117.58
BUY EXECUTED at 117.58
BUY ORDER COMPLETED at 115.44
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.820
Date: Wed, 09 Oct 2024 AIC 63.641
Time: 14:40:34 BIC 66.465
Sample: 0 HQIC 63.060
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3251 0.981 -0.331 0.740 -2.248 1.598
ma.L1 1.1086 2.234 0.496 0.620 -3.269 5.486
ar.S.L7 -0.1194 0.967 -0.123 0.902 -2.014 1.776
ma.S.L7 0.1017 1.565 0.065 0.948 -2.966 3.169
sigma2 2.7981 7.214 0.388 0.698 -11.341 16.937
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 0.05
Prob(Q): 0.64 Prob(JB): 0.97
Heteroskedasticity (H): 5.98 Skew: -0.06
Prob(H) (two-sided): 0.11 Kurtosis: 2.72
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.37975156190139, Current Price: 115.49
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.201
Date: Wed, 09 Oct 2024 AIC 64.402
Time: 14:40:34 BIC 67.227
Sample: 0 HQIC 63.821
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2705 0.678 -0.399 0.690 -1.598 1.057
ma.L1 1.1109 1.035 1.073 0.283 -0.918 3.139
ar.S.L7 0.0016 0.015 0.103 0.918 -0.029 0.032
ma.S.L7 -0.3042 1.247 -0.244 0.807 -2.748 2.140
sigma2 3.0425 5.574 0.546 0.585 -7.882 13.967
===================================================================================
Ljung-Box (L1) (Q): 0.23 Jarque-Bera (JB): 0.20
Prob(Q): 0.63 Prob(JB): 0.91
Heteroskedasticity (H): 2.36 Skew: -0.07
Prob(H) (two-sided): 0.43 Kurtosis: 2.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.28326091153973, Current Price: 117.22
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.331
Date: Wed, 09 Oct 2024 AIC 64.662
Time: 14:40:34 BIC 67.487
Sample: 0 HQIC 64.081
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2378 0.447 -0.532 0.595 -1.114 0.639
ma.L1 1.0000 5501.463 0.000 1.000 -1.08e+04 1.08e+04
ar.S.L7 -0.2380 0.553 -0.430 0.667 -1.322 0.846
ma.S.L7 -0.0220 0.788 -0.028 0.978 -1.567 1.523
sigma2 3.4956 1.92e+04 0.000 1.000 -3.77e+04 3.77e+04
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.64
Prob(Q): 0.73 Prob(JB): 0.73
Heteroskedasticity (H): 1.09 Skew: -0.00
Prob(H) (two-sided): 0.94 Kurtosis: 1.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.4091001045539, Current Price: 117.61
SELL EXECUTED at 117.61
SELL ORDER COMPLETED at 117.62
OPERATION PROFIT, GROSS 2.180000000000007, NET 1.9469400000000068
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.224
Date: Wed, 09 Oct 2024 AIC 64.449
Time: 14:40:34 BIC 67.273
Sample: 0 HQIC 63.868
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2925 0.554 -0.528 0.597 -1.377 0.793
ma.L1 1.0000 2.74e+04 3.65e-05 1.000 -5.37e+04 5.37e+04
ar.S.L7 -0.3432 0.686 -0.501 0.617 -1.687 1.001
ma.S.L7 -0.1830 1.132 -0.162 0.872 -2.401 2.035
sigma2 3.4555 9.47e+04 3.65e-05 1.000 -1.86e+05 1.86e+05
===================================================================================
Ljung-Box (L1) (Q): 0.34 Jarque-Bera (JB): 0.65
Prob(Q): 0.56 Prob(JB): 0.72
Heteroskedasticity (H): 0.66 Skew: -0.01
Prob(H) (two-sided): 0.69 Kurtosis: 1.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.77250354392119, Current Price: 117.92
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.308
Date: Wed, 09 Oct 2024 AIC 64.616
Time: 14:40:34 BIC 67.441
Sample: 0 HQIC 64.036
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3283 0.664 -0.494 0.621 -1.630 0.973
ma.L1 1.0000 4.8e+05 2.08e-06 1.000 -9.4e+05 9.4e+05
ar.S.L7 -0.3045 1.166 -0.261 0.794 -2.590 1.981
ma.S.L7 -0.3249 1.760 -0.185 0.854 -3.773 3.124
sigma2 3.4453 1.65e+06 2.08e-06 1.000 -3.24e+06 3.24e+06
===================================================================================
Ljung-Box (L1) (Q): 0.54 Jarque-Bera (JB): 0.57
Prob(Q): 0.46 Prob(JB): 0.75
Heteroskedasticity (H): 0.10 Skew: 0.03
Prob(H) (two-sided): 0.05 Kurtosis: 1.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.59438625450528, Current Price: 117.11
BUY EXECUTED at 117.11
BUY ORDER COMPLETED at 117.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.234
Date: Wed, 09 Oct 2024 AIC 64.468
Time: 14:40:34 BIC 67.292
Sample: 0 HQIC 63.887
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4358 0.485 -0.898 0.369 -1.387 0.515
ma.L1 1.0000 4189.725 0.000 1.000 -8210.710 8212.710
ar.S.L7 -0.0412 1.208 -0.034 0.973 -2.409 2.326
ma.S.L7 -1.0000 7.7e+05 -1.3e-06 1.000 -1.51e+06 1.51e+06
sigma2 2.2324 1.72e+06 1.3e-06 1.000 -3.38e+06 3.38e+06
===================================================================================
Ljung-Box (L1) (Q): 0.52 Jarque-Bera (JB): 0.80
Prob(Q): 0.47 Prob(JB): 0.67
Heteroskedasticity (H): 0.32 Skew: 0.51
Prob(H) (two-sided): 0.29 Kurtosis: 2.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.75956100714504, Current Price: 118.64
SELL EXECUTED at 118.64
SELL ORDER COMPLETED at 118.74
OPERATION PROFIT, GROSS 1.1499999999999915, NET 0.9136699999999915
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.472
Date: Wed, 09 Oct 2024 AIC 64.943
Time: 14:40:34 BIC 67.768
Sample: 0 HQIC 64.363
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4737 0.420 -1.127 0.260 -1.297 0.350
ma.L1 1.0000 1.6e+04 6.27e-05 1.000 -3.13e+04 3.13e+04
ar.S.L7 -0.0047 0.032 -0.147 0.884 -0.068 0.058
ma.S.L7 -0.6822 1.477 -0.462 0.644 -3.578 2.213
sigma2 3.2023 5.11e+04 6.27e-05 1.000 -1e+05 1e+05
===================================================================================
Ljung-Box (L1) (Q): 0.44 Jarque-Bera (JB): 0.69
Prob(Q): 0.51 Prob(JB): 0.71
Heteroskedasticity (H): 0.33 Skew: 0.29
Prob(H) (two-sided): 0.30 Kurtosis: 2.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.73979013125452, Current Price: 117.77
BUY EXECUTED at 117.77
BUY ORDER COMPLETED at 118.34
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.806
Date: Wed, 09 Oct 2024 AIC 65.612
Time: 14:40:34 BIC 68.437
Sample: 0 HQIC 65.032
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6936 0.438 -1.585 0.113 -1.551 0.164
ma.L1 1.0000 1237.320 0.001 0.999 -2424.102 2426.103
ar.S.L7 -0.0123 0.094 -0.131 0.896 -0.196 0.172
ma.S.L7 -1.0001 1.7e+04 -5.89e-05 1.000 -3.33e+04 3.33e+04
sigma2 2.4708 4.12e+04 6e-05 1.000 -8.08e+04 8.08e+04
===================================================================================
Ljung-Box (L1) (Q): 0.51 Jarque-Bera (JB): 1.03
Prob(Q): 0.48 Prob(JB): 0.60
Heteroskedasticity (H): 0.33 Skew: 0.68
Prob(H) (two-sided): 0.31 Kurtosis: 2.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.90943535832702, Current Price: 118.68
SELL EXECUTED at 118.68
SELL ORDER COMPLETED at 118.86
OPERATION PROFIT, GROSS 0.519999999999996, NET 0.282799999999996
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.231
Date: Wed, 09 Oct 2024 AIC 60.463
Time: 14:40:34 BIC 63.288
Sample: 0 HQIC 59.882
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5585 0.261 -2.139 0.032 -1.070 -0.047
ma.L1 0.7324 0.471 1.556 0.120 -0.190 1.655
ar.S.L7 -0.2362 0.669 -0.353 0.724 -1.547 1.075
ma.S.L7 -1.0000 5.7e+04 -1.75e-05 1.000 -1.12e+05 1.12e+05
sigma2 1.6383 9.34e+04 1.75e-05 1.000 -1.83e+05 1.83e+05
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 1.11
Prob(Q): 0.76 Prob(JB): 0.57
Heteroskedasticity (H): 0.37 Skew: -0.71
Prob(H) (two-sided): 0.36 Kurtosis: 3.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.48592197716611, Current Price: 120.73
BUY EXECUTED at 120.73
BUY ORDER COMPLETED at 121.13
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.798
Date: Wed, 09 Oct 2024 AIC 57.596
Time: 14:40:34 BIC 60.421
Sample: 0 HQIC 57.015
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0112 1.246 0.009 0.993 -2.430 2.453
ma.L1 0.4043 0.953 0.424 0.671 -1.463 2.271
ar.S.L7 -0.1444 0.527 -0.274 0.784 -1.177 0.888
ma.S.L7 -1.0001 1.05e+04 -9.56e-05 1.000 -2.05e+04 2.05e+04
sigma2 1.3720 1.44e+04 9.56e-05 1.000 -2.81e+04 2.81e+04
===================================================================================
Ljung-Box (L1) (Q): 2.47 Jarque-Bera (JB): 0.61
Prob(Q): 0.12 Prob(JB): 0.74
Heteroskedasticity (H): 0.47 Skew: -0.37
Prob(H) (two-sided): 0.48 Kurtosis: 2.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.73635851189148, Current Price: 120.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.508
Date: Wed, 09 Oct 2024 AIC 53.016
Time: 14:40:34 BIC 55.840
Sample: 0 HQIC 52.435
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2397 2.294 -0.104 0.917 -4.736 4.257
ma.L1 0.4320 1.935 0.223 0.823 -3.361 4.225
ar.S.L7 -0.2820 0.338 -0.834 0.404 -0.945 0.381
ma.S.L7 -1.0003 2315.033 -0.000 1.000 -4538.382 4536.381
sigma2 0.9644 2233.028 0.000 1.000 -4375.691 4377.620
===================================================================================
Ljung-Box (L1) (Q): 0.59 Jarque-Bera (JB): 0.26
Prob(Q): 0.44 Prob(JB): 0.88
Heteroskedasticity (H): 0.42 Skew: -0.08
Prob(H) (two-sided): 0.42 Kurtosis: 2.33
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.73515840596629, Current Price: 121.14
SELL EXECUTED at 121.14
SELL ORDER COMPLETED at 121.79
OPERATION PROFIT, GROSS 0.6600000000000108, NET 0.4170800000000108
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.875
Date: Wed, 09 Oct 2024 AIC 53.750
Time: 14:40:34 BIC 56.575
Sample: 0 HQIC 53.170
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2997 1.231 -0.244 0.808 -2.712 2.112
ma.L1 0.5391 1.018 0.530 0.596 -1.456 2.535
ar.S.L7 -0.2749 0.344 -0.800 0.424 -0.949 0.399
ma.S.L7 -1.0000 1.34e+04 -7.46e-05 1.000 -2.63e+04 2.63e+04
sigma2 1.0221 1.37e+04 7.46e-05 1.000 -2.69e+04 2.69e+04
===================================================================================
Ljung-Box (L1) (Q): 0.66 Jarque-Bera (JB): 0.77
Prob(Q): 0.42 Prob(JB): 0.68
Heteroskedasticity (H): 0.57 Skew: -0.27
Prob(H) (two-sided): 0.60 Kurtosis: 1.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.41317021631944, Current Price: 120.58
BUY EXECUTED at 120.58
BUY ORDER COMPLETED at 119.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.952
Date: Wed, 09 Oct 2024 AIC 55.904
Time: 14:40:34 BIC 58.729
Sample: 0 HQIC 55.324
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3792 2.769 -0.137 0.891 -5.806 5.048
ma.L1 0.4488 2.846 0.158 0.875 -5.130 6.027
ar.S.L7 -0.4783 0.245 -1.954 0.051 -0.958 0.002
ma.S.L7 0.0034 0.480 0.007 0.994 -0.938 0.945
sigma2 2.0010 1.184 1.690 0.091 -0.319 4.321
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.14
Prob(Q): 0.75 Prob(JB): 0.93
Heteroskedasticity (H): 0.62 Skew: 0.02
Prob(H) (two-sided): 0.66 Kurtosis: 2.49
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.63112667753643, Current Price: 119.58
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.558
Date: Wed, 09 Oct 2024 AIC 59.116
Time: 14:40:34 BIC 61.940
Sample: 0 HQIC 58.535
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2696 2.237 -0.121 0.904 -4.654 4.115
ma.L1 0.5117 2.019 0.253 0.800 -3.445 4.468
ar.S.L7 -0.4375 0.358 -1.222 0.222 -1.139 0.264
ma.S.L7 -0.0516 0.905 -0.057 0.955 -1.825 1.722
sigma2 2.5571 2.135 1.198 0.231 -1.628 6.742
===================================================================================
Ljung-Box (L1) (Q): 0.53 Jarque-Bera (JB): 0.70
Prob(Q): 0.47 Prob(JB): 0.70
Heteroskedasticity (H): 1.23 Skew: -0.06
Prob(H) (two-sided): 0.84 Kurtosis: 1.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.2111802810852, Current Price: 121.5
SELL EXECUTED at 121.5
SELL ORDER COMPLETED at 121.19
OPERATION PROFIT, GROSS 1.9899999999999949, NET 1.7496099999999948
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.157
Date: Wed, 09 Oct 2024 AIC 58.314
Time: 14:40:34 BIC 61.139
Sample: 0 HQIC 57.733
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9179 0.235 -3.901 0.000 -1.379 -0.457
ma.L1 1.0000 1.28e+04 7.78e-05 1.000 -2.52e+04 2.52e+04
ar.S.L7 -0.4907 0.217 -2.263 0.024 -0.916 -0.066
ma.S.L7 0.3987 0.666 0.598 0.550 -0.907 1.705
sigma2 1.8566 2.39e+04 7.78e-05 1.000 -4.68e+04 4.68e+04
===================================================================================
Ljung-Box (L1) (Q): 1.09 Jarque-Bera (JB): 0.55
Prob(Q): 0.30 Prob(JB): 0.76
Heteroskedasticity (H): 3.25 Skew: 0.03
Prob(H) (two-sided): 0.28 Kurtosis: 2.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.39326167169285, Current Price: 119.41
BUY EXECUTED at 119.41
BUY ORDER COMPLETED at 120.27
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.760
Date: Wed, 09 Oct 2024 AIC 51.519
Time: 14:40:34 BIC 54.344
Sample: 0 HQIC 50.939
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1060 0.626 -0.169 0.866 -1.334 1.122
ma.L1 -1.0000 1.89e+04 -5.28e-05 1.000 -3.71e+04 3.71e+04
ar.S.L7 -0.2841 0.165 -1.725 0.085 -0.607 0.039
ma.S.L7 -0.0883 0.385 -0.229 0.819 -0.844 0.667
sigma2 1.2368 2.34e+04 5.28e-05 1.000 -4.59e+04 4.59e+04
===================================================================================
Ljung-Box (L1) (Q): 0.63 Jarque-Bera (JB): 1.16
Prob(Q): 0.43 Prob(JB): 0.56
Heteroskedasticity (H): 1.09 Skew: -0.02
Prob(H) (two-sided): 0.93 Kurtosis: 1.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.67023972846297, Current Price: 117.87
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.325
Date: Wed, 09 Oct 2024 AIC 58.649
Time: 14:40:34 BIC 61.474
Sample: 0 HQIC 58.069
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0244 0.495 0.049 0.961 -0.945 0.994
ma.L1 -0.8006 0.352 -2.276 0.023 -1.490 -0.111
ar.S.L7 -0.5702 0.147 -3.876 0.000 -0.859 -0.282
ma.S.L7 1.0001 1.27e+04 7.87e-05 1.000 -2.49e+04 2.49e+04
sigma2 1.4877 1.89e+04 7.87e-05 1.000 -3.71e+04 3.71e+04
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 0.31
Prob(Q): 0.66 Prob(JB): 0.86
Heteroskedasticity (H): 3.09 Skew: -0.03
Prob(H) (two-sided): 0.30 Kurtosis: 2.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.45077150239236, Current Price: 117.96
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.957
Date: Wed, 09 Oct 2024 AIC 59.914
Time: 14:40:35 BIC 62.739
Sample: 0 HQIC 59.334
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3093 0.661 0.468 0.640 -0.986 1.605
ma.L1 -0.7937 0.524 -1.514 0.130 -1.821 0.233
ar.S.L7 -0.5774 0.156 -3.693 0.000 -0.884 -0.271
ma.S.L7 1.0001 2.26e+04 4.43e-05 1.000 -4.43e+04 4.43e+04
sigma2 1.6516 3.73e+04 4.43e-05 1.000 -7.31e+04 7.31e+04
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.65
Prob(Q): 0.73 Prob(JB): 0.72
Heteroskedasticity (H): 4.20 Skew: 0.40
Prob(H) (two-sided): 0.19 Kurtosis: 2.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.90863902467716, Current Price: 120.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.479
Date: Wed, 09 Oct 2024 AIC 58.958
Time: 14:40:35 BIC 61.783
Sample: 0 HQIC 58.377
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3209 0.644 0.498 0.618 -0.941 1.583
ma.L1 -0.7765 0.464 -1.674 0.094 -1.685 0.132
ar.S.L7 -0.6220 0.178 -3.504 0.000 -0.970 -0.274
ma.S.L7 1.0000 4.07e+04 2.46e-05 1.000 -7.98e+04 7.98e+04
sigma2 1.5337 6.24e+04 2.46e-05 1.000 -1.22e+05 1.22e+05
===================================================================================
Ljung-Box (L1) (Q): 0.42 Jarque-Bera (JB): 0.49
Prob(Q): 0.52 Prob(JB): 0.78
Heteroskedasticity (H): 3.05 Skew: 0.31
Prob(H) (two-sided): 0.31 Kurtosis: 2.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.58221551001121, Current Price: 120.13
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.967
Date: Wed, 09 Oct 2024 AIC 57.934
Time: 14:40:35 BIC 60.759
Sample: 0 HQIC 57.354
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0994 0.626 0.159 0.874 -1.127 1.326
ma.L1 -0.6891 0.495 -1.391 0.164 -1.660 0.282
ar.S.L7 -0.7532 0.178 -4.239 0.000 -1.101 -0.405
ma.S.L7 1.0000 1.26e+05 7.93e-06 1.000 -2.47e+05 2.47e+05
sigma2 1.4104 1.78e+05 7.93e-06 1.000 -3.49e+05 3.49e+05
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 0.54
Prob(Q): 0.62 Prob(JB): 0.76
Heteroskedasticity (H): 2.22 Skew: 0.08
Prob(H) (two-sided): 0.46 Kurtosis: 2.02
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.9346150057379, Current Price: 119.8
SELL EXECUTED at 119.8
SELL ORDER COMPLETED at 119.0
OPERATION PROFIT, GROSS -1.269999999999996, NET -1.5092699999999961
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.588
Date: Wed, 09 Oct 2024 AIC 59.176
Time: 14:40:35 BIC 62.001
Sample: 0 HQIC 58.596
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2343 1.000 0.234 0.815 -1.726 2.194
ma.L1 -0.7765 0.872 -0.890 0.373 -2.486 0.933
ar.S.L7 -0.7397 0.232 -3.190 0.001 -1.194 -0.285
ma.S.L7 0.6334 2.411 0.263 0.793 -4.092 5.359
sigma2 2.1285 4.452 0.478 0.633 -6.598 10.855
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.22
Prob(Q): 0.85 Prob(JB): 0.89
Heteroskedasticity (H): 0.49 Skew: -0.03
Prob(H) (two-sided): 0.51 Kurtosis: 2.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.05121286180484, Current Price: 118.96
BUY EXECUTED at 118.96
BUY ORDER COMPLETED at 119.73
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.205
Date: Wed, 09 Oct 2024 AIC 60.410
Time: 14:40:35 BIC 63.235
Sample: 0 HQIC 59.829
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1561 1.299 0.120 0.904 -2.390 2.703
ma.L1 -0.6977 1.154 -0.605 0.545 -2.959 1.563
ar.S.L7 -0.7349 0.279 -2.637 0.008 -1.281 -0.189
ma.S.L7 0.4129 0.993 0.416 0.678 -1.534 2.360
sigma2 2.6217 2.110 1.242 0.214 -1.515 6.758
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.25
Prob(Q): 0.91 Prob(JB): 0.88
Heteroskedasticity (H): 0.35 Skew: 0.16
Prob(H) (two-sided): 0.33 Kurtosis: 2.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.53769337832182, Current Price: 119.31
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.045
Date: Wed, 09 Oct 2024 AIC 58.089
Time: 14:40:35 BIC 60.914
Sample: 0 HQIC 57.508
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2223 1.312 0.169 0.865 -2.350 2.794
ma.L1 -0.7324 1.066 -0.687 0.492 -2.822 1.357
ar.S.L7 -0.9209 0.220 -4.190 0.000 -1.352 -0.490
ma.S.L7 1.0000 6.13e+04 1.63e-05 1.000 -1.2e+05 1.2e+05
sigma2 1.4307 8.78e+04 1.63e-05 1.000 -1.72e+05 1.72e+05
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.69
Prob(Q): 0.98 Prob(JB): 0.71
Heteroskedasticity (H): 0.19 Skew: 0.54
Prob(H) (two-sided): 0.13 Kurtosis: 3.35
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.18108620542382, Current Price: 116.61
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.811
Date: Wed, 09 Oct 2024 AIC 59.622
Time: 14:40:35 BIC 62.446
Sample: 0 HQIC 59.041
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0876 0.944 0.093 0.926 -1.763 1.938
ma.L1 -0.5999 0.889 -0.675 0.500 -2.342 1.142
ar.S.L7 -0.5744 0.237 -2.425 0.015 -1.039 -0.110
ma.S.L7 1.0000 5.33e+04 1.88e-05 1.000 -1.04e+05 1.04e+05
sigma2 1.6046 8.55e+04 1.88e-05 1.000 -1.67e+05 1.68e+05
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.77
Prob(Q): 0.75 Prob(JB): 0.68
Heteroskedasticity (H): 0.61 Skew: -0.19
Prob(H) (two-sided): 0.64 Kurtosis: 1.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.14232077004867, Current Price: 116.33
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.176
Date: Wed, 09 Oct 2024 AIC 58.353
Time: 14:40:35 BIC 61.178
Sample: 0 HQIC 57.772
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1489 0.828 0.180 0.857 -1.474 1.772
ma.L1 -0.5863 0.766 -0.765 0.444 -2.088 0.916
ar.S.L7 -0.6368 0.244 -2.606 0.009 -1.116 -0.158
ma.S.L7 1.0000 3.95e+05 2.53e-06 1.000 -7.73e+05 7.73e+05
sigma2 1.4557 5.74e+05 2.53e-06 1.000 -1.13e+06 1.13e+06
===================================================================================
Ljung-Box (L1) (Q): 1.06 Jarque-Bera (JB): 0.93
Prob(Q): 0.30 Prob(JB): 0.63
Heteroskedasticity (H): 0.89 Skew: -0.29
Prob(H) (two-sided): 0.91 Kurtosis: 1.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.67359476236388, Current Price: 116.6
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.108
Date: Wed, 09 Oct 2024 AIC 60.217
Time: 14:40:35 BIC 63.042
Sample: 0 HQIC 59.636
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2348 1.218 0.193 0.847 -2.153 2.622
ma.L1 -0.5042 1.209 -0.417 0.677 -2.874 1.866
ar.S.L7 -0.7549 0.273 -2.768 0.006 -1.289 -0.220
ma.S.L7 1.0000 1.75e+05 5.73e-06 1.000 -3.42e+05 3.42e+05
sigma2 1.6795 2.93e+05 5.73e-06 1.000 -5.75e+05 5.75e+05
===================================================================================
Ljung-Box (L1) (Q): 0.56 Jarque-Bera (JB): 0.75
Prob(Q): 0.45 Prob(JB): 0.69
Heteroskedasticity (H): 0.45 Skew: -0.09
Prob(H) (two-sided): 0.46 Kurtosis: 1.84
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.05314045951027, Current Price: 118.76
SELL EXECUTED at 118.76
SELL ORDER COMPLETED at 117.88
OPERATION PROFIT, GROSS -1.8500000000000085, NET -2.0876100000000086
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.472
Date: Wed, 09 Oct 2024 AIC 62.944
Time: 14:40:35 BIC 65.769
Sample: 0 HQIC 62.364
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9694 0.204 -4.743 0.000 -1.370 -0.569
ma.L1 0.9843 4.680 0.210 0.833 -8.189 10.158
ar.S.L7 -0.2847 1.120 -0.254 0.799 -2.480 1.911
ma.S.L7 -6.9302 58.554 -0.118 0.906 -121.694 107.833
sigma2 0.0600 1.071 0.056 0.955 -2.040 2.160
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 2.54
Prob(Q): 0.68 Prob(JB): 0.28
Heteroskedasticity (H): 0.41 Skew: -1.00
Prob(H) (two-sided): 0.41 Kurtosis: 3.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.65531070123144, Current Price: 117.1
BUY EXECUTED at 117.1
BUY ORDER COMPLETED at 118.161
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.725
Date: Wed, 09 Oct 2024 AIC 59.450
Time: 14:40:35 BIC 62.275
Sample: 0 HQIC 58.870
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2552 1.797 0.142 0.887 -3.266 3.776
ma.L1 -0.5180 1.290 -0.402 0.688 -3.046 2.010
ar.S.L7 -0.7686 0.395 -1.947 0.052 -1.542 0.005
ma.S.L7 0.6731 2.141 0.314 0.753 -3.523 4.869
sigma2 2.1117 4.064 0.520 0.603 -5.854 10.077
===================================================================================
Ljung-Box (L1) (Q): 0.54 Jarque-Bera (JB): 0.35
Prob(Q): 0.46 Prob(JB): 0.84
Heteroskedasticity (H): 0.81 Skew: 0.10
Prob(H) (two-sided): 0.84 Kurtosis: 2.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.38202672915449, Current Price: 117.64
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.702
Date: Wed, 09 Oct 2024 AIC 59.403
Time: 14:40:35 BIC 62.228
Sample: 0 HQIC 58.823
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3317 1.590 0.209 0.835 -2.784 3.448
ma.L1 -0.6273 1.192 -0.526 0.599 -2.963 1.708
ar.S.L7 -0.6349 0.471 -1.348 0.178 -1.558 0.288
ma.S.L7 0.4345 0.962 0.452 0.651 -1.451 2.320
sigma2 2.4118 1.934 1.247 0.212 -1.379 6.202
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 0.64
Prob(Q): 0.67 Prob(JB): 0.73
Heteroskedasticity (H): 0.70 Skew: -0.05
Prob(H) (two-sided): 0.74 Kurtosis: 1.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.73585990520546, Current Price: 116.93
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.356
Date: Wed, 09 Oct 2024 AIC 52.712
Time: 14:40:35 BIC 55.537
Sample: 0 HQIC 52.132
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2491 1.198 0.208 0.835 -2.099 2.597
ma.L1 -0.5245 0.971 -0.540 0.589 -2.428 1.379
ar.S.L7 -0.6419 0.343 -1.873 0.061 -1.314 0.030
ma.S.L7 0.9993 1263.241 0.001 0.999 -2474.908 2476.907
sigma2 0.9437 1191.468 0.001 0.999 -2334.290 2336.177
===================================================================================
Ljung-Box (L1) (Q): 1.27 Jarque-Bera (JB): 0.24
Prob(Q): 0.26 Prob(JB): 0.88
Heteroskedasticity (H): 0.94 Skew: -0.03
Prob(H) (two-sided): 0.95 Kurtosis: 2.33
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.79539403104015, Current Price: 116.15
SELL EXECUTED at 116.15
SELL ORDER COMPLETED at 117.76
OPERATION PROFIT, GROSS -0.40099999999999625, NET -0.6369209999999963
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.421
Date: Wed, 09 Oct 2024 AIC 50.843
Time: 14:40:35 BIC 53.668
Sample: 0 HQIC 50.262
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2837 0.994 -0.285 0.775 -2.231 1.664
ma.L1 -0.6451 0.511 -1.263 0.206 -1.646 0.356
ar.S.L7 -0.0010 0.004 -0.245 0.806 -0.009 0.007
ma.S.L7 -0.1089 0.395 -0.276 0.783 -0.882 0.664
sigma2 1.3462 1.196 1.126 0.260 -0.997 3.689
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.86
Prob(Q): 0.95 Prob(JB): 0.40
Heteroskedasticity (H): 0.55 Skew: -0.91
Prob(H) (two-sided): 0.58 Kurtosis: 3.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.51449912688628, Current Price: 117.66
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.908
Date: Wed, 09 Oct 2024 AIC 51.817
Time: 14:40:35 BIC 54.641
Sample: 0 HQIC 51.236
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3747 0.573 0.654 0.513 -0.749 1.498
ma.L1 -1.0000 6924.166 -0.000 1.000 -1.36e+04 1.36e+04
ar.S.L7 -0.2751 0.195 -1.414 0.157 -0.657 0.106
ma.S.L7 -1.0001 7194.391 -0.000 1.000 -1.41e+04 1.41e+04
sigma2 0.7519 9657.828 7.79e-05 1.000 -1.89e+04 1.89e+04
===================================================================================
Ljung-Box (L1) (Q): 0.46 Jarque-Bera (JB): 0.68
Prob(Q): 0.50 Prob(JB): 0.71
Heteroskedasticity (H): 1.02 Skew: 0.07
Prob(H) (two-sided): 0.98 Kurtosis: 1.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.22700963216255, Current Price: 116.94
BUY EXECUTED at 116.94
BUY ORDER COMPLETED at 118.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.021
Date: Wed, 09 Oct 2024 AIC 52.042
Time: 14:40:35 BIC 54.867
Sample: 0 HQIC 51.462
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1733 0.621 0.279 0.780 -1.043 1.390
ma.L1 -1.0000 5401.251 -0.000 1.000 -1.06e+04 1.06e+04
ar.S.L7 -0.1633 0.214 -0.764 0.445 -0.582 0.256
ma.S.L7 -1.0001 6376.425 -0.000 1.000 -1.25e+04 1.25e+04
sigma2 0.7605 7840.642 9.7e-05 1.000 -1.54e+04 1.54e+04
===================================================================================
Ljung-Box (L1) (Q): 0.24 Jarque-Bera (JB): 0.82
Prob(Q): 0.62 Prob(JB): 0.66
Heteroskedasticity (H): 1.04 Skew: 0.19
Prob(H) (two-sided): 0.97 Kurtosis: 1.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.17847185677135, Current Price: 118.61
SELL EXECUTED at 118.61
SELL ORDER COMPLETED at 118.07
OPERATION PROFIT, GROSS -0.5800000000000125, NET -0.8167200000000125
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.754
Date: Wed, 09 Oct 2024 AIC 53.508
Time: 14:40:35 BIC 56.333
Sample: 0 HQIC 52.928
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6053 0.485 -1.248 0.212 -1.556 0.346
ma.L1 -0.0975 0.615 -0.159 0.874 -1.303 1.108
ar.S.L7 -0.2450 0.250 -0.982 0.326 -0.734 0.244
ma.S.L7 -1.0019 513.823 -0.002 0.998 -1008.076 1006.072
sigma2 0.9643 496.019 0.002 0.998 -971.215 973.144
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.72
Prob(Q): 0.97 Prob(JB): 0.70
Heteroskedasticity (H): 1.15 Skew: 0.28
Prob(H) (two-sided): 0.89 Kurtosis: 1.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.85545853672524, Current Price: 118.43
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.826
Date: Wed, 09 Oct 2024 AIC 51.653
Time: 14:40:35 BIC 54.477
Sample: 0 HQIC 51.072
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3215 0.855 -0.376 0.707 -1.998 1.355
ma.L1 -0.2983 0.814 -0.367 0.714 -1.893 1.296
ar.S.L7 -0.1335 0.310 -0.430 0.667 -0.742 0.475
ma.S.L7 -0.6504 2.247 -0.289 0.772 -5.054 3.753
sigma2 1.1774 1.807 0.651 0.515 -2.365 4.720
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.09
Prob(Q): 0.96 Prob(JB): 0.96
Heteroskedasticity (H): 1.09 Skew: -0.09
Prob(H) (two-sided): 0.94 Kurtosis: 2.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.30491595200888, Current Price: 120.03
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.033
Date: Wed, 09 Oct 2024 AIC 52.067
Time: 14:40:35 BIC 54.892
Sample: 0 HQIC 51.486
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8201 0.362 -2.263 0.024 -1.530 -0.110
ma.L1 0.5833 0.568 1.028 0.304 -0.529 1.696
ar.S.L7 -0.0026 0.003 -0.790 0.430 -0.009 0.004
ma.S.L7 -1.0001 5588.928 -0.000 1.000 -1.1e+04 1.1e+04
sigma2 0.9459 5286.864 0.000 1.000 -1.04e+04 1.04e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.83
Prob(Q): 0.95 Prob(JB): 0.66
Heteroskedasticity (H): 1.05 Skew: -0.08
Prob(H) (two-sided): 0.96 Kurtosis: 1.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.0495002572308, Current Price: 120.05
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.792
Date: Wed, 09 Oct 2024 AIC 51.584
Time: 14:40:35 BIC 54.409
Sample: 0 HQIC 51.004
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7922 0.173 -4.573 0.000 -1.132 -0.453
ma.L1 1.0000 5.74e+04 1.74e-05 1.000 -1.13e+05 1.13e+05
ar.S.L7 -0.1714 0.387 -0.443 0.658 -0.930 0.587
ma.S.L7 -0.2645 0.994 -0.266 0.790 -2.212 1.683
sigma2 1.2156 6.98e+04 1.74e-05 1.000 -1.37e+05 1.37e+05
===================================================================================
Ljung-Box (L1) (Q): 0.63 Jarque-Bera (JB): 1.00
Prob(Q): 0.43 Prob(JB): 0.61
Heteroskedasticity (H): 0.57 Skew: -0.24
Prob(H) (two-sided): 0.59 Kurtosis: 1.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.3054797953585, Current Price: 118.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.130
Date: Wed, 09 Oct 2024 AIC 50.260
Time: 14:40:35 BIC 53.085
Sample: 0 HQIC 49.679
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7608 0.258 -2.945 0.003 -1.267 -0.254
ma.L1 1.0000 3445.682 0.000 1.000 -6752.414 6754.414
ar.S.L7 -0.2126 0.375 -0.567 0.571 -0.947 0.522
ma.S.L7 -0.1351 0.831 -0.163 0.871 -1.763 1.493
sigma2 1.1122 3831.622 0.000 1.000 -7508.729 7510.953
===================================================================================
Ljung-Box (L1) (Q): 2.61 Jarque-Bera (JB): 0.72
Prob(Q): 0.11 Prob(JB): 0.70
Heteroskedasticity (H): 0.62 Skew: -0.41
Prob(H) (two-sided): 0.66 Kurtosis: 2.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.94148980885754, Current Price: 117.11
BUY EXECUTED at 117.11
BUY ORDER COMPLETED at 117.33
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.319
Date: Wed, 09 Oct 2024 AIC 54.638
Time: 14:40:35 BIC 57.463
Sample: 0 HQIC 54.057
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0457 2.052 -0.022 0.982 -4.067 3.975
ma.L1 -0.3487 1.664 -0.210 0.834 -3.610 2.913
ar.S.L7 -0.3859 1.022 -0.377 0.706 -2.389 1.618
ma.S.L7 -0.1577 1.348 -0.117 0.907 -2.800 2.485
sigma2 1.7965 1.891 0.950 0.342 -1.910 5.503
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 0.82
Prob(Q): 0.72 Prob(JB): 0.66
Heteroskedasticity (H): 2.37 Skew: -0.55
Prob(H) (two-sided): 0.42 Kurtosis: 2.45
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.875552635352, Current Price: 117.92
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.941
Date: Wed, 09 Oct 2024 AIC 51.881
Time: 14:40:35 BIC 54.706
Sample: 0 HQIC 51.301
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1129 2.936 0.038 0.969 -5.642 5.868
ma.L1 -0.3856 2.501 -0.154 0.877 -5.287 4.516
ar.S.L7 -0.4735 0.544 -0.870 0.384 -1.540 0.593
ma.S.L7 -0.0604 0.761 -0.079 0.937 -1.552 1.431
sigma2 1.4655 1.382 1.060 0.289 -1.244 4.175
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.82
Prob(Q): 0.80 Prob(JB): 0.66
Heteroskedasticity (H): 2.50 Skew: -0.60
Prob(H) (two-sided): 0.40 Kurtosis: 2.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.7114842039237, Current Price: 117.74
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.565
Date: Wed, 09 Oct 2024 AIC 51.131
Time: 14:40:35 BIC 53.956
Sample: 0 HQIC 50.550
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4700 0.192 -2.447 0.014 -0.846 -0.093
ma.L1 0.3619 0.582 0.622 0.534 -0.779 1.503
ar.S.L7 -0.3540 0.370 -0.957 0.339 -1.079 0.371
ma.S.L7 -1.0001 1.87e+04 -5.34e-05 1.000 -3.67e+04 3.67e+04
sigma2 0.8241 1.54e+04 5.33e-05 1.000 -3.03e+04 3.03e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 1.13
Prob(Q): 0.85 Prob(JB): 0.57
Heteroskedasticity (H): 1.17 Skew: -0.53
Prob(H) (two-sided): 0.89 Kurtosis: 2.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.69779045630025, Current Price: 119.58
SELL EXECUTED at 119.58
SELL ORDER COMPLETED at 119.67
OPERATION PROFIT, GROSS 2.3400000000000034, NET 2.1030000000000033
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.611
Date: Wed, 09 Oct 2024 AIC 55.221
Time: 14:40:35 BIC 58.046
Sample: 0 HQIC 54.640
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4199 0.975 -0.431 0.667 -2.332 1.492
ma.L1 0.0734 1.096 0.067 0.947 -2.075 2.222
ar.S.L7 -0.2828 0.869 -0.325 0.745 -1.987 1.421
ma.S.L7 -0.4510 1.639 -0.275 0.783 -3.664 2.762
sigma2 1.7389 1.406 1.236 0.216 -1.018 4.495
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.78
Prob(Q): 0.81 Prob(JB): 0.68
Heteroskedasticity (H): 1.40 Skew: -0.25
Prob(H) (two-sided): 0.75 Kurtosis: 1.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.15553747232785, Current Price: 118.97
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.756
Date: Wed, 09 Oct 2024 AIC 51.513
Time: 14:40:35 BIC 54.337
Sample: 0 HQIC 50.932
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0787 0.120 -8.997 0.000 -1.314 -0.844
ma.L1 1.0000 8461.613 0.000 1.000 -1.66e+04 1.66e+04
ar.S.L7 -0.7650 0.320 -2.388 0.017 -1.393 -0.137
ma.S.L7 0.3780 0.922 0.410 0.682 -1.429 2.185
sigma2 1.1107 9397.995 0.000 1.000 -1.84e+04 1.84e+04
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.88
Prob(Q): 0.78 Prob(JB): 0.64
Heteroskedasticity (H): 0.21 Skew: -0.47
Prob(H) (two-sided): 0.16 Kurtosis: 2.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.0652538559207, Current Price: 119.42
BUY EXECUTED at 119.42
BUY ORDER COMPLETED at 118.71
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.787
Date: Wed, 09 Oct 2024 AIC 53.574
Time: 14:40:36 BIC 56.398
Sample: 0 HQIC 52.993
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7304 0.679 -1.075 0.282 -2.062 0.601
ma.L1 0.3927 0.862 0.456 0.649 -1.297 2.082
ar.S.L7 -0.0028 0.008 -0.368 0.713 -0.018 0.012
ma.S.L7 -1.0000 4.94e+04 -2.03e-05 1.000 -9.68e+04 9.68e+04
sigma2 1.0653 5.26e+04 2.03e-05 1.000 -1.03e+05 1.03e+05
===================================================================================
Ljung-Box (L1) (Q): 0.29 Jarque-Bera (JB): 0.47
Prob(Q): 0.59 Prob(JB): 0.79
Heteroskedasticity (H): 0.66 Skew: -0.03
Prob(H) (two-sided): 0.69 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.24079194452156, Current Price: 117.89
SELL EXECUTED at 117.89
SELL ORDER COMPLETED at 118.14
OPERATION PROFIT, GROSS -0.5699999999999932, NET -0.8068499999999932
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.691
Date: Wed, 09 Oct 2024 AIC 49.383
Time: 14:40:36 BIC 52.208
Sample: 0 HQIC 48.802
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7898 0.620 -1.275 0.202 -2.004 0.425
ma.L1 0.3005 0.678 0.443 0.658 -1.029 1.630
ar.S.L7 -0.0510 0.623 -0.082 0.935 -1.272 1.170
ma.S.L7 -1.0000 5.61e+04 -1.78e-05 1.000 -1.1e+05 1.1e+05
sigma2 0.7091 3.97e+04 1.78e-05 1.000 -7.79e+04 7.79e+04
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 0.55
Prob(Q): 0.72 Prob(JB): 0.76
Heteroskedasticity (H): 0.56 Skew: -0.10
Prob(H) (two-sided): 0.59 Kurtosis: 2.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.91718147721913, Current Price: 118.23
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.676
Date: Wed, 09 Oct 2024 AIC 45.352
Time: 14:40:36 BIC 48.176
Sample: 0 HQIC 44.771
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8761 0.103 -8.476 0.000 -1.079 -0.673
ma.L1 0.5539 0.347 1.597 0.110 -0.126 1.234
ar.S.L7 -0.6860 0.171 -4.008 0.000 -1.021 -0.351
ma.S.L7 1.0000 2.2e+04 4.55e-05 1.000 -4.31e+04 4.31e+04
sigma2 0.5152 1.13e+04 4.55e-05 1.000 -2.22e+04 2.22e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.75
Prob(Q): 0.94 Prob(JB): 0.69
Heteroskedasticity (H): 0.28 Skew: 0.18
Prob(H) (two-sided): 0.24 Kurtosis: 1.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.81115200366018, Current Price: 118.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.296
Date: Wed, 09 Oct 2024 AIC 46.592
Time: 14:40:36 BIC 49.416
Sample: 0 HQIC 46.011
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8477 0.144 -5.892 0.000 -1.130 -0.566
ma.L1 0.4864 0.339 1.435 0.151 -0.178 1.151
ar.S.L7 -0.6762 0.244 -2.774 0.006 -1.154 -0.198
ma.S.L7 1.0000 2.24e+04 4.47e-05 1.000 -4.38e+04 4.38e+04
sigma2 0.5687 1.27e+04 4.47e-05 1.000 -2.49e+04 2.49e+04
===================================================================================
Ljung-Box (L1) (Q): 0.39 Jarque-Bera (JB): 0.68
Prob(Q): 0.53 Prob(JB): 0.71
Heteroskedasticity (H): 0.34 Skew: -0.08
Prob(H) (two-sided): 0.32 Kurtosis: 1.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.94515332032854, Current Price: 119.04
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.514
Date: Wed, 09 Oct 2024 AIC 45.027
Time: 14:40:36 BIC 47.852
Sample: 0 HQIC 44.447
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8507 0.196 -4.349 0.000 -1.234 -0.467
ma.L1 0.4585 0.431 1.063 0.288 -0.387 1.304
ar.S.L7 -0.7054 0.203 -3.468 0.001 -1.104 -0.307
ma.S.L7 1.0001 1.21e+04 8.26e-05 1.000 -2.37e+04 2.37e+04
sigma2 0.5047 6110.151 8.26e-05 1.000 -1.2e+04 1.2e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.49
Prob(Q): 0.96 Prob(JB): 0.78
Heteroskedasticity (H): 0.27 Skew: -0.07
Prob(H) (two-sided): 0.23 Kurtosis: 2.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.43160030293632, Current Price: 121.29
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.010
Date: Wed, 09 Oct 2024 AIC 42.021
Time: 14:40:36 BIC 44.845
Sample: 0 HQIC 41.440
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8464 0.180 -4.704 0.000 -1.199 -0.494
ma.L1 0.3482 0.464 0.751 0.452 -0.560 1.257
ar.S.L7 -0.7197 0.163 -4.422 0.000 -1.039 -0.401
ma.S.L7 1.0000 1.8e+04 5.56e-05 1.000 -3.52e+04 3.52e+04
sigma2 0.4012 7210.561 5.56e-05 1.000 -1.41e+04 1.41e+04
===================================================================================
Ljung-Box (L1) (Q): 0.29 Jarque-Bera (JB): 0.83
Prob(Q): 0.59 Prob(JB): 0.66
Heteroskedasticity (H): 0.70 Skew: -0.16
Prob(H) (two-sided): 0.73 Kurtosis: 1.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.83952692879392, Current Price: 123.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.284
Date: Wed, 09 Oct 2024 AIC 48.568
Time: 14:40:36 BIC 51.393
Sample: 0 HQIC 47.988
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7021 0.347 -2.021 0.043 -1.383 -0.021
ma.L1 0.1431 0.526 0.272 0.786 -0.888 1.174
ar.S.L7 -0.8098 0.240 -3.376 0.001 -1.280 -0.340
ma.S.L7 1.0002 6085.647 0.000 1.000 -1.19e+04 1.19e+04
sigma2 0.6639 4040.308 0.000 1.000 -7918.195 7919.523
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.38
Prob(Q): 0.92 Prob(JB): 0.83
Heteroskedasticity (H): 1.60 Skew: 0.32
Prob(H) (two-sided): 0.66 Kurtosis: 2.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.77908113436246, Current Price: 123.24
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.681
Date: Wed, 09 Oct 2024 AIC 47.362
Time: 14:40:36 BIC 50.187
Sample: 0 HQIC 46.781
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8021 0.407 -1.971 0.049 -1.600 -0.004
ma.L1 0.2348 0.642 0.366 0.714 -1.023 1.493
ar.S.L7 -0.7837 0.196 -4.006 0.000 -1.167 -0.400
ma.S.L7 1.0000 2.58e+04 3.88e-05 1.000 -5.05e+04 5.05e+04
sigma2 0.6054 1.56e+04 3.88e-05 1.000 -3.06e+04 3.06e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.47
Prob(Q): 0.90 Prob(JB): 0.79
Heteroskedasticity (H): 0.95 Skew: 0.42
Prob(H) (two-sided): 0.96 Kurtosis: 2.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.14462713291263, Current Price: 122.96
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.401
Date: Wed, 09 Oct 2024 AIC 42.802
Time: 14:40:36 BIC 45.626
Sample: 0 HQIC 42.221
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9730 0.061 -16.058 0.000 -1.092 -0.854
ma.L1 1.0000 1.43e+04 7.01e-05 1.000 -2.8e+04 2.8e+04
ar.S.L7 0.2091 0.320 0.653 0.514 -0.419 0.837
ma.S.L7 -1.0001 8907.508 -0.000 1.000 -1.75e+04 1.75e+04
sigma2 0.3884 5381.969 7.22e-05 1.000 -1.05e+04 1.05e+04
===================================================================================
Ljung-Box (L1) (Q): 0.44 Jarque-Bera (JB): 0.70
Prob(Q): 0.51 Prob(JB): 0.70
Heteroskedasticity (H): 5.37 Skew: 0.55
Prob(H) (two-sided): 0.13 Kurtosis: 2.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.38681631791852, Current Price: 122.21
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.824
Date: Wed, 09 Oct 2024 AIC 43.648
Time: 14:40:36 BIC 46.473
Sample: 0 HQIC 43.067
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8623 0.080 -10.737 0.000 -1.020 -0.705
ma.L1 1.0000 5.71e+04 1.75e-05 1.000 -1.12e+05 1.12e+05
ar.S.L7 -0.2572 0.322 -0.799 0.424 -0.888 0.374
ma.S.L7 -0.0623 0.887 -0.070 0.944 -1.800 1.675
sigma2 0.6695 3.83e+04 1.75e-05 1.000 -7.5e+04 7.5e+04
===================================================================================
Ljung-Box (L1) (Q): 0.81 Jarque-Bera (JB): 1.07
Prob(Q): 0.37 Prob(JB): 0.59
Heteroskedasticity (H): 2.93 Skew: 0.41
Prob(H) (two-sided): 0.32 Kurtosis: 1.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.90091720481475, Current Price: 122.07
BUY EXECUTED at 122.07
BUY ORDER COMPLETED at 122.83
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.201
Date: Wed, 09 Oct 2024 AIC 44.402
Time: 14:40:36 BIC 47.227
Sample: 0 HQIC 43.822
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8185 0.120 -6.800 0.000 -1.054 -0.583
ma.L1 1.0000 2.53e+04 3.95e-05 1.000 -4.96e+04 4.96e+04
ar.S.L7 -0.3359 0.263 -1.277 0.202 -0.851 0.180
ma.S.L7 -0.1387 0.806 -0.172 0.863 -1.718 1.441
sigma2 0.7091 1.8e+04 3.95e-05 1.000 -3.52e+04 3.52e+04
===================================================================================
Ljung-Box (L1) (Q): 0.48 Jarque-Bera (JB): 1.30
Prob(Q): 0.49 Prob(JB): 0.52
Heteroskedasticity (H): 0.96 Skew: 0.41
Prob(H) (two-sided): 0.97 Kurtosis: 1.69
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.27284808850466, Current Price: 123.18
SELL EXECUTED at 123.18
SELL ORDER COMPLETED at 121.2
OPERATION PROFIT, GROSS -1.6299999999999955, NET -1.8740299999999954
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.713
Date: Wed, 09 Oct 2024 AIC 41.425
Time: 14:40:36 BIC 44.250
Sample: 0 HQIC 40.845
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5987 0.252 -2.377 0.017 -1.092 -0.105
ma.L1 1.0000 9431.938 0.000 1.000 -1.85e+04 1.85e+04
ar.S.L7 -0.5355 0.221 -2.420 0.016 -0.969 -0.102
ma.S.L7 -0.2927 1.479 -0.198 0.843 -3.192 2.607
sigma2 0.5527 5213.118 0.000 1.000 -1.02e+04 1.02e+04
===================================================================================
Ljung-Box (L1) (Q): 0.96 Jarque-Bera (JB): 1.29
Prob(Q): 0.33 Prob(JB): 0.53
Heteroskedasticity (H): 4.11 Skew: 0.75
Prob(H) (two-sided): 0.20 Kurtosis: 2.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.85097461412533, Current Price: 120.65
BUY EXECUTED at 120.65
BUY ORDER COMPLETED at 120.74
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.518
Date: Wed, 09 Oct 2024 AIC 53.037
Time: 14:40:36 BIC 55.862
Sample: 0 HQIC 52.456
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4324 0.150 -2.891 0.004 -0.725 -0.139
ma.L1 0.1737 0.692 0.251 0.802 -1.183 1.531
ar.S.L7 -0.6989 1.214 -0.576 0.565 -3.078 1.681
ma.S.L7 -0.9999 2.14e+04 -4.67e-05 1.000 -4.2e+04 4.2e+04
sigma2 0.9474 2.03e+04 4.67e-05 1.000 -3.97e+04 3.98e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.50
Prob(Q): 0.88 Prob(JB): 0.47
Heteroskedasticity (H): 10.58 Skew: -0.62
Prob(H) (two-sided): 0.04 Kurtosis: 4.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.00336579748385, Current Price: 120.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.610
Date: Wed, 09 Oct 2024 AIC 51.220
Time: 14:40:36 BIC 54.045
Sample: 0 HQIC 50.640
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3200 1.509 -0.212 0.832 -3.278 2.638
ma.L1 -0.0519 2.234 -0.023 0.981 -4.430 4.327
ar.S.L7 -0.9062 0.362 -2.503 0.012 -1.616 -0.197
ma.S.L7 -1.0000 2e+04 -5e-05 1.000 -3.92e+04 3.92e+04
sigma2 0.8408 1.68e+04 5e-05 1.000 -3.3e+04 3.3e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 3.97
Prob(Q): 0.86 Prob(JB): 0.14
Heteroskedasticity (H): 4.76 Skew: -1.12
Prob(H) (two-sided): 0.16 Kurtosis: 4.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.02309064478443, Current Price: 122.12
SELL EXECUTED at 122.12
SELL ORDER COMPLETED at 122.02
OPERATION PROFIT, GROSS 1.2800000000000011, NET 1.037240000000001
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.227
Date: Wed, 09 Oct 2024 AIC 52.454
Time: 14:40:36 BIC 55.279
Sample: 0 HQIC 51.874
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1638 1.113 -0.147 0.883 -2.345 2.017
ma.L1 -0.2659 1.153 -0.231 0.818 -2.526 1.994
ar.S.L7 -0.9526 0.361 -2.637 0.008 -1.661 -0.245
ma.S.L7 -1.0000 3.68e+05 -2.72e-06 1.000 -7.22e+05 7.22e+05
sigma2 0.9239 3.4e+05 2.72e-06 1.000 -6.67e+05 6.67e+05
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 4.31
Prob(Q): 0.99 Prob(JB): 0.12
Heteroskedasticity (H): 2.09 Skew: -1.25
Prob(H) (two-sided): 0.49 Kurtosis: 4.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.84330971407967, Current Price: 121.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.100
Date: Wed, 09 Oct 2024 AIC 52.200
Time: 14:40:36 BIC 55.025
Sample: 0 HQIC 51.619
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7245 0.334 -2.172 0.030 -1.378 -0.071
ma.L1 0.2521 0.495 0.509 0.611 -0.719 1.223
ar.S.L7 -1.3221 0.583 -2.267 0.023 -2.465 -0.179
ma.S.L7 -1.0000 9.45e+04 -1.06e-05 1.000 -1.85e+05 1.85e+05
sigma2 0.8784 8.3e+04 1.06e-05 1.000 -1.63e+05 1.63e+05
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 2.91
Prob(Q): 0.77 Prob(JB): 0.23
Heteroskedasticity (H): 1.56 Skew: -1.08
Prob(H) (two-sided): 0.68 Kurtosis: 3.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.86342371888897, Current Price: 121.71
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.561
Date: Wed, 09 Oct 2024 AIC 53.122
Time: 14:40:36 BIC 55.947
Sample: 0 HQIC 52.542
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3023 1.937 -0.156 0.876 -4.100 3.495
ma.L1 0.0123 2.118 0.006 0.995 -4.138 4.163
ar.S.L7 -1.0136 0.607 -1.670 0.095 -2.203 0.176
ma.S.L7 -1.0000 3.54e+04 -2.83e-05 1.000 -6.94e+04 6.94e+04
sigma2 0.9728 3.44e+04 2.83e-05 1.000 -6.75e+04 6.75e+04
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 7.51
Prob(Q): 0.76 Prob(JB): 0.02
Heteroskedasticity (H): 0.56 Skew: -1.53
Prob(H) (two-sided): 0.59 Kurtosis: 5.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.3042940633097, Current Price: 121.8
BUY EXECUTED at 121.8
BUY ORDER COMPLETED at 121.58
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.528
Date: Wed, 09 Oct 2024 AIC 53.057
Time: 14:40:36 BIC 55.881
Sample: 0 HQIC 52.476
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2664 1.888 -0.141 0.888 -3.967 3.434
ma.L1 -0.0284 2.128 -0.013 0.989 -4.199 4.143
ar.S.L7 -0.9990 0.521 -1.917 0.055 -2.020 0.022
ma.S.L7 -1.0000 2.85e+04 -3.51e-05 1.000 -5.59e+04 5.59e+04
sigma2 0.9676 2.76e+04 3.51e-05 1.000 -5.41e+04 5.41e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 11.08
Prob(Q): 0.96 Prob(JB): 0.00
Heteroskedasticity (H): 0.61 Skew: -1.74
Prob(H) (two-sided): 0.64 Kurtosis: 5.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.90063236211687, Current Price: 122.22
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.446
Date: Wed, 09 Oct 2024 AIC 50.892
Time: 14:40:36 BIC 53.717
Sample: 0 HQIC 50.312
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2753 1.816 -0.152 0.880 -3.835 3.284
ma.L1 0.0203 1.907 0.011 0.992 -3.717 3.757
ar.S.L7 -1.1253 0.475 -2.371 0.018 -2.055 -0.195
ma.S.L7 -1.0001 7506.076 -0.000 1.000 -1.47e+04 1.47e+04
sigma2 0.8193 6149.859 0.000 1.000 -1.21e+04 1.21e+04
===================================================================================
Ljung-Box (L1) (Q): 0.36 Jarque-Bera (JB): 9.37
Prob(Q): 0.55 Prob(JB): 0.01
Heteroskedasticity (H): 1.07 Skew: -1.70
Prob(H) (two-sided): 0.95 Kurtosis: 5.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.90692826415025, Current Price: 120.1
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.653
Date: Wed, 09 Oct 2024 AIC 57.307
Time: 14:40:36 BIC 60.132
Sample: 0 HQIC 56.726
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3615 3.290 0.110 0.913 -6.086 6.809
ma.L1 -0.5370 3.083 -0.174 0.862 -6.579 5.505
ar.S.L7 -0.3797 2.530 -0.150 0.881 -5.339 4.580
ma.S.L7 -0.0894 2.707 -0.033 0.974 -5.395 5.216
sigma2 2.2225 0.961 2.312 0.021 0.339 4.106
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 7.09
Prob(Q): 0.93 Prob(JB): 0.03
Heteroskedasticity (H): 1.93 Skew: -1.50
Prob(H) (two-sided): 0.54 Kurtosis: 5.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.59679684426202, Current Price: 119.87
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.625
Date: Wed, 09 Oct 2024 AIC 53.251
Time: 14:40:36 BIC 56.075
Sample: 0 HQIC 52.670
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4670 0.803 -0.582 0.561 -2.041 1.107
ma.L1 1.0000 2.91e+04 3.44e-05 1.000 -5.69e+04 5.69e+04
ar.S.L7 0.0214 0.452 0.047 0.962 -0.865 0.907
ma.S.L7 -1.0000 3.8e+04 -2.63e-05 1.000 -7.44e+04 7.44e+04
sigma2 0.9458 6.25e+04 1.51e-05 1.000 -1.23e+05 1.23e+05
===================================================================================
Ljung-Box (L1) (Q): 1.82 Jarque-Bera (JB): 0.51
Prob(Q): 0.18 Prob(JB): 0.77
Heteroskedasticity (H): 0.34 Skew: -0.37
Prob(H) (two-sided): 0.32 Kurtosis: 2.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.6159337283992, Current Price: 119.71
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.074
Date: Wed, 09 Oct 2024 AIC 56.147
Time: 14:40:36 BIC 58.972
Sample: 0 HQIC 55.567
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4542 0.811 0.560 0.575 -1.135 2.043
ma.L1 -0.5705 0.823 -0.693 0.488 -2.184 1.043
ar.S.L7 -0.5825 0.264 -2.202 0.028 -1.101 -0.064
ma.S.L7 1.0000 5.05e+04 1.98e-05 1.000 -9.9e+04 9.9e+04
sigma2 1.2008 6.07e+04 1.98e-05 1.000 -1.19e+05 1.19e+05
===================================================================================
Ljung-Box (L1) (Q): 0.54 Jarque-Bera (JB): 4.59
Prob(Q): 0.46 Prob(JB): 0.10
Heteroskedasticity (H): 0.33 Skew: -1.25
Prob(H) (two-sided): 0.31 Kurtosis: 4.49
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.96915720994755, Current Price: 119.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.636
Date: Wed, 09 Oct 2024 AIC 55.272
Time: 14:40:36 BIC 58.097
Sample: 0 HQIC 54.692
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3511 3.015 0.116 0.907 -5.557 6.260
ma.L1 -0.4990 2.915 -0.171 0.864 -6.213 5.215
ar.S.L7 -0.5757 0.229 -2.510 0.012 -1.025 -0.126
ma.S.L7 1.0000 1.64e+05 6.1e-06 1.000 -3.21e+05 3.21e+05
sigma2 1.1477 1.88e+05 6.1e-06 1.000 -3.69e+05 3.69e+05
===================================================================================
Ljung-Box (L1) (Q): 0.60 Jarque-Bera (JB): 5.69
Prob(Q): 0.44 Prob(JB): 0.06
Heteroskedasticity (H): 0.26 Skew: -1.37
Prob(H) (two-sided): 0.22 Kurtosis: 4.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.6424467101905, Current Price: 117.3
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.803
Date: Wed, 09 Oct 2024 AIC 57.606
Time: 14:40:36 BIC 60.430
Sample: 0 HQIC 57.025
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4938 2.083 0.237 0.813 -3.588 4.576
ma.L1 -0.5027 2.505 -0.201 0.841 -5.413 4.407
ar.S.L7 -0.6443 0.357 -1.806 0.071 -1.344 0.055
ma.S.L7 1.0000 4.16e+04 2.4e-05 1.000 -8.15e+04 8.15e+04
sigma2 1.3353 5.55e+04 2.4e-05 1.000 -1.09e+05 1.09e+05
===================================================================================
Ljung-Box (L1) (Q): 0.83 Jarque-Bera (JB): 3.42
Prob(Q): 0.36 Prob(JB): 0.18
Heteroskedasticity (H): 0.49 Skew: -1.19
Prob(H) (two-sided): 0.51 Kurtosis: 3.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.30798834763412, Current Price: 116.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.387
Date: Wed, 09 Oct 2024 AIC 56.773
Time: 14:40:36 BIC 59.598
Sample: 0 HQIC 56.193
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.0159 0.221 4.596 0.000 0.583 1.449
ma.L1 -1.0000 2.84e+04 -3.52e-05 1.000 -5.57e+04 5.57e+04
ar.S.L7 -0.6650 0.279 -2.383 0.017 -1.212 -0.118
ma.S.L7 1.0000 8.86e+05 1.13e-06 1.000 -1.74e+06 1.74e+06
sigma2 1.1379 1.03e+06 1.1e-06 1.000 -2.02e+06 2.02e+06
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.78
Prob(Q): 0.96 Prob(JB): 0.41
Heteroskedasticity (H): 0.21 Skew: -0.90
Prob(H) (two-sided): 0.16 Kurtosis: 3.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.83514135030602, Current Price: 116.58
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.873
Date: Wed, 09 Oct 2024 AIC 45.746
Time: 14:40:36 BIC 48.570
Sample: 0 HQIC 45.165
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.0166 0.576 1.765 0.078 -0.112 2.146
ma.L1 -1.0000 2607.379 -0.000 1.000 -5111.369 5109.368
ar.S.L7 -2.809e-05 0.072 -0.000 1.000 -0.142 0.142
ma.S.L7 -0.4106 0.214 -1.922 0.055 -0.829 0.008
sigma2 0.8144 2123.598 0.000 1.000 -4161.361 4162.990
===================================================================================
Ljung-Box (L1) (Q): 0.44 Jarque-Bera (JB): 0.07
Prob(Q): 0.51 Prob(JB): 0.97
Heteroskedasticity (H): 1.03 Skew: 0.10
Prob(H) (two-sided): 0.98 Kurtosis: 2.71
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.4563170965216, Current Price: 115.62
SELL EXECUTED at 115.62
SELL ORDER COMPLETED at 115.76
OPERATION PROFIT, GROSS -5.819999999999993, NET -6.057339999999993
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.682
Date: Wed, 09 Oct 2024 AIC 47.363
Time: 14:40:36 BIC 50.188
Sample: 0 HQIC 46.782
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2536 1.455 -0.174 0.862 -3.106 2.599
ma.L1 0.1342 1.440 0.093 0.926 -2.688 2.956
ar.S.L7 -0.3640 0.637 -0.571 0.568 -1.612 0.884
ma.S.L7 0.2695 1.439 0.187 0.851 -2.550 3.089
sigma2 1.0066 0.614 1.640 0.101 -0.196 2.209
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.23
Prob(Q): 0.95 Prob(JB): 0.89
Heteroskedasticity (H): 3.98 Skew: -0.23
Prob(H) (two-sided): 0.21 Kurtosis: 2.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.13283480295568, Current Price: 116.06
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.732
Date: Wed, 09 Oct 2024 AIC 43.465
Time: 14:40:37 BIC 46.290
Sample: 0 HQIC 42.884
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5627 0.679 0.828 0.408 -0.769 1.894
ma.L1 -2.3251 4.572 -0.509 0.611 -11.286 6.636
ar.S.L7 -0.2750 0.204 -1.345 0.178 -0.676 0.126
ma.S.L7 -1.4637 7.410 -0.198 0.843 -15.987 13.060
sigma2 0.0513 0.291 0.176 0.860 -0.520 0.623
===================================================================================
Ljung-Box (L1) (Q): 0.99 Jarque-Bera (JB): 0.29
Prob(Q): 0.32 Prob(JB): 0.86
Heteroskedasticity (H): 2.04 Skew: -0.08
Prob(H) (two-sided): 0.51 Kurtosis: 2.28
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.22958827799636, Current Price: 115.94
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.119
Date: Wed, 09 Oct 2024 AIC 42.238
Time: 14:40:37 BIC 45.063
Sample: 0 HQIC 41.657
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3044 14.613 -0.021 0.983 -28.945 28.336
ma.L1 3.5227 185.563 0.019 0.985 -360.174 367.219
ar.S.L7 -0.2240 0.270 -0.829 0.407 -0.754 0.306
ma.S.L7 -1.0003 4405.013 -0.000 1.000 -8634.668 8632.667
sigma2 0.0339 151.910 0.000 1.000 -297.705 297.773
===================================================================================
Ljung-Box (L1) (Q): 0.23 Jarque-Bera (JB): 0.12
Prob(Q): 0.63 Prob(JB): 0.94
Heteroskedasticity (H): 1.87 Skew: -0.14
Prob(H) (two-sided): 0.56 Kurtosis: 2.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.28968532282346, Current Price: 115.67
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.317
Date: Wed, 09 Oct 2024 AIC 42.634
Time: 14:40:37 BIC 45.459
Sample: 0 HQIC 42.054
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1625 26.524 -0.006 0.995 -52.148 51.823
ma.L1 6.6143 1158.260 0.006 0.995 -2263.534 2276.763
ar.S.L7 -0.2161 0.223 -0.968 0.333 -0.654 0.222
ma.S.L7 -0.9820 50.358 -0.020 0.984 -99.682 97.718
sigma2 0.0102 3.430 0.003 0.998 -6.713 6.734
===================================================================================
Ljung-Box (L1) (Q): 1.54 Jarque-Bera (JB): 0.13
Prob(Q): 0.21 Prob(JB): 0.93
Heteroskedasticity (H): 1.21 Skew: -0.09
Prob(H) (two-sided): 0.86 Kurtosis: 2.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.36515632281967, Current Price: 118.88
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.190
Date: Wed, 09 Oct 2024 AIC 56.379
Time: 14:40:37 BIC 59.204
Sample: 0 HQIC 55.799
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3281 0.707 0.464 0.643 -1.058 1.714
ma.L1 34.9738 0.570 61.310 0.000 33.856 36.092
ar.S.L7 -0.4730 0.193 -2.447 0.014 -0.852 -0.094
ma.S.L7 -10.1696 67.744 -0.150 0.881 -142.946 122.607
sigma2 1.487e-05 0.000 0.079 0.937 -0.000 0.000
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 2.99
Prob(Q): 0.96 Prob(JB): 0.22
Heteroskedasticity (H): 3.85 Skew: 1.04
Prob(H) (two-sided): 0.22 Kurtosis: 4.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 2.43e+20. Standard errors may be unstable.
Predicted Price: 120.15361307858741, Current Price: 118.92
BUY EXECUTED at 118.92
BUY ORDER COMPLETED at 118.5
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.570
Date: Wed, 09 Oct 2024 AIC 53.141
Time: 14:40:37 BIC 55.965
Sample: 0 HQIC 52.560
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3331 2.846 0.117 0.907 -5.245 5.911
ma.L1 -0.1057 2.759 -0.038 0.969 -5.513 5.301
ar.S.L7 -0.5183 0.173 -2.990 0.003 -0.858 -0.179
ma.S.L7 -1.0000 5.71e+04 -1.75e-05 1.000 -1.12e+05 1.12e+05
sigma2 0.9738 5.56e+04 1.75e-05 1.000 -1.09e+05 1.09e+05
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 2.97
Prob(Q): 0.93 Prob(JB): 0.23
Heteroskedasticity (H): 2.37 Skew: 1.05
Prob(H) (two-sided): 0.42 Kurtosis: 4.02
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.87323947318058, Current Price: 118.82
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.199
Date: Wed, 09 Oct 2024 AIC 46.397
Time: 14:40:37 BIC 49.222
Sample: 0 HQIC 45.817
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0811 0.497 -0.163 0.870 -1.055 0.893
ma.L1 0.5512 0.397 1.389 0.165 -0.227 1.329
ar.S.L7 -1.2614 0.332 -3.798 0.000 -1.912 -0.610
ma.S.L7 -0.4216 0.471 -0.895 0.371 -1.345 0.502
sigma2 0.8902 0.679 1.312 0.190 -0.440 2.220
===================================================================================
Ljung-Box (L1) (Q): 1.00 Jarque-Bera (JB): 0.74
Prob(Q): 0.32 Prob(JB): 0.69
Heteroskedasticity (H): 2.57 Skew: 0.03
Prob(H) (two-sided): 0.38 Kurtosis: 1.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.05359883470794, Current Price: 120.58
SELL EXECUTED at 120.58
SELL ORDER COMPLETED at 120.61
OPERATION PROFIT, GROSS 2.1099999999999994, NET 1.8708899999999995
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.244
Date: Wed, 09 Oct 2024 AIC 56.488
Time: 14:40:37 BIC 59.313
Sample: 0 HQIC 55.907
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0453 2.322 -0.020 0.984 -4.597 4.507
ma.L1 -0.1623 2.013 -0.081 0.936 -4.108 3.784
ar.S.L7 -1.0422 0.631 -1.651 0.099 -2.279 0.195
ma.S.L7 -0.6836 2.207 -0.310 0.757 -5.009 3.642
sigma2 1.6676 3.414 0.488 0.625 -5.024 8.359
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 5.83
Prob(Q): 0.85 Prob(JB): 0.05
Heteroskedasticity (H): 11.15 Skew: 1.50
Prob(H) (two-sided): 0.04 Kurtosis: 4.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.29640883703257, Current Price: 121.25
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.958
Date: Wed, 09 Oct 2024 AIC 57.916
Time: 14:40:37 BIC 60.740
Sample: 0 HQIC 57.335
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7234 0.671 1.078 0.281 -0.592 2.039
ma.L1 -1.5177 2.619 -0.579 0.562 -6.651 3.616
ar.S.L7 -1.0374 0.378 -2.747 0.006 -1.778 -0.297
ma.S.L7 0.3246 0.936 0.347 0.729 -1.511 2.160
sigma2 0.9500 3.003 0.316 0.752 -4.936 6.836
===================================================================================
Ljung-Box (L1) (Q): 0.62 Jarque-Bera (JB): 0.78
Prob(Q): 0.43 Prob(JB): 0.68
Heteroskedasticity (H): 4.78 Skew: 0.57
Prob(H) (two-sided): 0.16 Kurtosis: 2.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.77632310113458, Current Price: 121.74
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.819
Date: Wed, 09 Oct 2024 AIC 57.637
Time: 14:40:37 BIC 60.462
Sample: 0 HQIC 57.057
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6666 0.679 -0.982 0.326 -1.997 0.664
ma.L1 0.9959 32.903 0.030 0.976 -63.493 65.485
ar.S.L7 -0.7073 0.726 -0.974 0.330 -2.130 0.716
ma.S.L7 -5.5393 42.745 -0.130 0.897 -89.318 78.240
sigma2 0.0619 2.334 0.027 0.979 -4.512 4.636
===================================================================================
Ljung-Box (L1) (Q): 0.34 Jarque-Bera (JB): 1.81
Prob(Q): 0.56 Prob(JB): 0.41
Heteroskedasticity (H): 2.09 Skew: 0.91
Prob(H) (two-sided): 0.49 Kurtosis: 2.84
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.72383499639713, Current Price: 122.64
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.281
Date: Wed, 09 Oct 2024 AIC 58.561
Time: 14:40:37 BIC 61.386
Sample: 0 HQIC 57.981
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7834 1.368 0.573 0.567 -1.897 3.464
ma.L1 -1.6849 5.187 -0.325 0.745 -11.851 8.481
ar.S.L7 -0.0105 0.316 -0.033 0.974 -0.630 0.609
ma.S.L7 -1.4400 4.189 -0.344 0.731 -9.651 6.771
sigma2 0.3278 3.409 0.096 0.923 -6.354 7.010
===================================================================================
Ljung-Box (L1) (Q): 1.93 Jarque-Bera (JB): 4.15
Prob(Q): 0.16 Prob(JB): 0.13
Heteroskedasticity (H): 4.14 Skew: 1.34
Prob(H) (two-sided): 0.20 Kurtosis: 3.69
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.93308458542165, Current Price: 122.77
BUY EXECUTED at 122.77
BUY ORDER COMPLETED at 122.52
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.670
Date: Wed, 09 Oct 2024 AIC 55.340
Time: 14:40:37 BIC 58.165
Sample: 0 HQIC 54.759
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6524 0.807 0.808 0.419 -0.929 2.234
ma.L1 -1.9660 4.588 -0.429 0.668 -10.957 7.025
ar.S.L7 -0.9515 0.636 -1.497 0.134 -2.197 0.294
ma.S.L7 1.0000 4.5e+04 2.22e-05 1.000 -8.82e+04 8.82e+04
sigma2 0.2885 1.3e+04 2.22e-05 1.000 -2.54e+04 2.54e+04
===================================================================================
Ljung-Box (L1) (Q): 1.62 Jarque-Bera (JB): 0.98
Prob(Q): 0.20 Prob(JB): 0.61
Heteroskedasticity (H): 0.20 Skew: 0.58
Prob(H) (two-sided): 0.15 Kurtosis: 2.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.25450813161513, Current Price: 123.68
SELL EXECUTED at 123.68
SELL ORDER COMPLETED at 125.17
OPERATION PROFIT, GROSS 2.6500000000000057, NET 2.4023100000000057
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.748
Date: Wed, 09 Oct 2024 AIC 53.495
Time: 14:40:37 BIC 56.320
Sample: 0 HQIC 52.915
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.0993 0.959 1.146 0.252 -0.781 2.979
ma.L1 -1.0000 1.41e+04 -7.11e-05 1.000 -2.76e+04 2.76e+04
ar.S.L7 -0.9750 0.370 -2.637 0.008 -1.700 -0.250
ma.S.L7 1.0000 9.09e+04 1.1e-05 1.000 -1.78e+05 1.78e+05
sigma2 0.8843 8.89e+04 9.95e-06 1.000 -1.74e+05 1.74e+05
===================================================================================
Ljung-Box (L1) (Q): 0.31 Jarque-Bera (JB): 1.83
Prob(Q): 0.58 Prob(JB): 0.40
Heteroskedasticity (H): 0.07 Skew: 0.89
Prob(H) (two-sided): 0.02 Kurtosis: 2.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.80070592545648, Current Price: 122.38
BUY EXECUTED at 122.38
BUY ORDER COMPLETED at 123.26
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.337
Date: Wed, 09 Oct 2024 AIC 52.673
Time: 14:40:37 BIC 55.498
Sample: 0 HQIC 52.093
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7846 0.607 1.292 0.196 -0.406 1.975
ma.L1 -1.7626 3.815 -0.462 0.644 -9.241 5.716
ar.S.L7 -0.9757 0.261 -3.740 0.000 -1.487 -0.464
ma.S.L7 0.9999 1.73e+04 5.78e-05 1.000 -3.39e+04 3.39e+04
sigma2 0.2921 5056.185 5.78e-05 1.000 -9909.649 9910.233
===================================================================================
Ljung-Box (L1) (Q): 0.91 Jarque-Bera (JB): 1.14
Prob(Q): 0.34 Prob(JB): 0.56
Heteroskedasticity (H): 0.32 Skew: 0.73
Prob(H) (two-sided): 0.30 Kurtosis: 2.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.37350206653788, Current Price: 123.95
SELL EXECUTED at 123.95
SELL ORDER COMPLETED at 122.26
OPERATION PROFIT, GROSS -1.0, NET -1.24552
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.850
Date: Wed, 09 Oct 2024 AIC 53.700
Time: 14:40:37 BIC 56.525
Sample: 0 HQIC 53.119
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.0198 0.297 3.433 0.001 0.438 1.602
ma.L1 -1.0000 7509.282 -0.000 1.000 -1.47e+04 1.47e+04
ar.S.L7 -0.9311 0.283 -3.295 0.001 -1.485 -0.377
ma.S.L7 1.0001 2.12e+04 4.72e-05 1.000 -4.15e+04 4.15e+04
sigma2 0.8983 1.64e+04 5.47e-05 1.000 -3.22e+04 3.22e+04
===================================================================================
Ljung-Box (L1) (Q): 0.45 Jarque-Bera (JB): 0.94
Prob(Q): 0.50 Prob(JB): 0.63
Heteroskedasticity (H): 0.35 Skew: 0.65
Prob(H) (two-sided): 0.33 Kurtosis: 2.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.60972756835459, Current Price: 123.21
BUY EXECUTED at 123.21
BUY ORDER COMPLETED at 121.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.843
Date: Wed, 09 Oct 2024 AIC 57.685
Time: 14:40:37 BIC 60.510
Sample: 0 HQIC 57.105
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8993 0.419 2.146 0.032 0.078 1.721
ma.L1 -1.0186 12.306 -0.083 0.934 -25.139 23.102
ar.S.L7 -0.5756 0.314 -1.831 0.067 -1.192 0.040
ma.S.L7 -14.7764 165.729 -0.089 0.929 -339.600 310.047
sigma2 0.0087 0.276 0.032 0.975 -0.533 0.550
===================================================================================
Ljung-Box (L1) (Q): 2.09 Jarque-Bera (JB): 1.24
Prob(Q): 0.15 Prob(JB): 0.54
Heteroskedasticity (H): 0.51 Skew: 0.75
Prob(H) (two-sided): 0.53 Kurtosis: 2.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.58742995275745, Current Price: 120.84
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.134
Date: Wed, 09 Oct 2024 AIC 60.267
Time: 14:40:37 BIC 63.092
Sample: 0 HQIC 59.687
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8262 0.282 2.935 0.003 0.274 1.378
ma.L1 -0.9965 33.339 -0.030 0.976 -66.339 64.346
ar.S.L7 -0.5595 0.419 -1.336 0.181 -1.380 0.261
ma.S.L7 -13.3852 128.259 -0.104 0.917 -264.768 237.997
sigma2 0.0130 0.486 0.027 0.979 -0.940 0.966
===================================================================================
Ljung-Box (L1) (Q): 0.23 Jarque-Bera (JB): 0.19
Prob(Q): 0.63 Prob(JB): 0.91
Heteroskedasticity (H): 0.56 Skew: 0.25
Prob(H) (two-sided): 0.59 Kurtosis: 2.69
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.32755179529636, Current Price: 120.9
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.148
Date: Wed, 09 Oct 2024 AIC 52.295
Time: 14:40:37 BIC 55.120
Sample: 0 HQIC 51.715
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6567 1.495 0.439 0.661 -2.274 3.588
ma.L1 -1.8457 6.036 -0.306 0.760 -13.677 9.985
ar.S.L7 0.0215 0.452 0.048 0.962 -0.863 0.907
ma.S.L7 -1.0002 4254.316 -0.000 1.000 -8339.305 8337.305
sigma2 0.2660 1130.325 0.000 1.000 -2215.129 2215.661
===================================================================================
Ljung-Box (L1) (Q): 0.37 Jarque-Bera (JB): 0.08
Prob(Q): 0.54 Prob(JB): 0.96
Heteroskedasticity (H): 1.93 Skew: -0.09
Prob(H) (two-sided): 0.54 Kurtosis: 2.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.2645002041047, Current Price: 120.11
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.575
Date: Wed, 09 Oct 2024 AIC 55.150
Time: 14:40:37 BIC 57.975
Sample: 0 HQIC 54.570
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7836 0.445 1.762 0.078 -0.088 1.655
ma.L1 -1.6021 1.046 -1.532 0.125 -3.652 0.447
ar.S.L7 -0.4157 0.435 -0.955 0.339 -1.269 0.437
ma.S.L7 0.3258 0.817 0.399 0.690 -1.275 1.927
sigma2 0.6907 0.865 0.799 0.424 -1.004 2.385
===================================================================================
Ljung-Box (L1) (Q): 2.37 Jarque-Bera (JB): 0.61
Prob(Q): 0.12 Prob(JB): 0.74
Heteroskedasticity (H): 1.28 Skew: 0.46
Prob(H) (two-sided): 0.82 Kurtosis: 2.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.56372521406348, Current Price: 126.01
SELL EXECUTED at 126.01
SELL ORDER COMPLETED at 126.44
OPERATION PROFIT, GROSS 4.789999999999992, NET 4.541909999999992
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.307
Date: Wed, 09 Oct 2024 AIC 64.614
Time: 14:40:38 BIC 67.438
Sample: 0 HQIC 64.033
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5711 0.629 0.908 0.364 -0.662 1.804
ma.L1 -1.0054 10.720 -0.094 0.925 -22.016 20.005
ar.S.L7 -0.3455 0.625 -0.553 0.580 -1.570 0.879
ma.S.L7 -14.0106 241.225 -0.058 0.954 -486.803 458.782
sigma2 0.0165 0.551 0.030 0.976 -1.063 1.096
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.26
Prob(Q): 0.99 Prob(JB): 0.88
Heteroskedasticity (H): 3.09 Skew: -0.03
Prob(H) (two-sided): 0.30 Kurtosis: 2.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.88414093551224, Current Price: 126.68
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.131
Date: Wed, 09 Oct 2024 AIC 62.263
Time: 14:40:38 BIC 65.088
Sample: 0 HQIC 61.682
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5948 0.656 0.907 0.365 -0.691 1.881
ma.L1 -1.0000 8273.770 -0.000 1.000 -1.62e+04 1.62e+04
ar.S.L7 -0.5062 0.240 -2.105 0.035 -0.977 -0.035
ma.S.L7 0.5088 2.079 0.245 0.807 -3.566 4.584
sigma2 2.5527 2.11e+04 0.000 1.000 -4.14e+04 4.14e+04
===================================================================================
Ljung-Box (L1) (Q): 0.41 Jarque-Bera (JB): 0.33
Prob(Q): 0.52 Prob(JB): 0.85
Heteroskedasticity (H): 20.17 Skew: -0.38
Prob(H) (two-sided): 0.01 Kurtosis: 2.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.99391161318603, Current Price: 125.32
BUY EXECUTED at 125.32
BUY ORDER COMPLETED at 125.91
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.027
Date: Wed, 09 Oct 2024 AIC 64.054
Time: 14:40:38 BIC 66.878
Sample: 0 HQIC 63.473
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5556 0.641 0.867 0.386 -0.700 1.812
ma.L1 -1.0013 85.451 -0.012 0.991 -168.482 166.480
ar.S.L7 0.0012 0.004 0.273 0.785 -0.007 0.010
ma.S.L7 -0.6450 1.475 -0.437 0.662 -3.537 2.247
sigma2 2.9440 252.239 0.012 0.991 -491.435 497.323
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 0.34
Prob(Q): 0.72 Prob(JB): 0.84
Heteroskedasticity (H): 6.75 Skew: 0.29
Prob(H) (two-sided): 0.09 Kurtosis: 2.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.51058515241648, Current Price: 125.84
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.845
Date: Wed, 09 Oct 2024 AIC 65.689
Time: 14:40:38 BIC 68.514
Sample: 0 HQIC 65.109
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6414 0.556 -1.153 0.249 -1.731 0.449
ma.L1 0.9973 33.624 0.030 0.976 -64.904 66.898
ar.S.L7 -0.2315 0.449 -0.516 0.606 -1.111 0.649
ma.S.L7 18.3108 457.508 0.040 0.968 -878.388 915.009
sigma2 0.0108 0.528 0.021 0.984 -1.025 1.047
===================================================================================
Ljung-Box (L1) (Q): 0.86 Jarque-Bera (JB): 6.49
Prob(Q): 0.35 Prob(JB): 0.04
Heteroskedasticity (H): 4.87 Skew: 1.45
Prob(H) (two-sided): 0.15 Kurtosis: 4.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.16784886015016, Current Price: 126.47
SELL EXECUTED at 126.47
SELL ORDER COMPLETED at 127.66
OPERATION PROFIT, GROSS 1.75, NET 1.4964300000000001
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.170
Date: Wed, 09 Oct 2024 AIC 66.339
Time: 14:40:38 BIC 69.164
Sample: 0 HQIC 65.759
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6620 0.982 -0.674 0.500 -2.587 1.263
ma.L1 1.1707 1.118 1.047 0.295 -1.021 3.362
ar.S.L7 -0.2822 0.582 -0.485 0.628 -1.423 0.859
ma.S.L7 -0.2354 1.621 -0.145 0.885 -3.413 2.942
sigma2 3.0298 6.014 0.504 0.614 -8.758 14.817
===================================================================================
Ljung-Box (L1) (Q): 0.69 Jarque-Bera (JB): 8.07
Prob(Q): 0.41 Prob(JB): 0.02
Heteroskedasticity (H): 1.64 Skew: 1.57
Prob(H) (two-sided): 0.64 Kurtosis: 5.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.21456587997007, Current Price: 128.41
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.658
Date: Wed, 09 Oct 2024 AIC 65.316
Time: 14:40:38 BIC 68.141
Sample: 0 HQIC 64.736
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5979 1.020 -0.586 0.558 -2.597 1.401
ma.L1 1.0000 3.53e+04 2.83e-05 1.000 -6.92e+04 6.92e+04
ar.S.L7 -0.0708 0.973 -0.073 0.942 -1.978 1.837
ma.S.L7 -0.1606 2.119 -0.076 0.940 -4.314 3.993
sigma2 3.6572 1.29e+05 2.83e-05 1.000 -2.53e+05 2.53e+05
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 3.89
Prob(Q): 0.83 Prob(JB): 0.14
Heteroskedasticity (H): 1.31 Skew: 1.22
Prob(H) (two-sided): 0.80 Kurtosis: 4.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.90780212245379, Current Price: 129.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.613
Date: Wed, 09 Oct 2024 AIC 65.226
Time: 14:40:38 BIC 68.051
Sample: 0 HQIC 64.645
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5712 0.954 -0.599 0.549 -2.440 1.298
ma.L1 1.0000 1.62e+04 6.18e-05 1.000 -3.17e+04 3.17e+04
ar.S.L7 -0.0052 0.058 -0.090 0.928 -0.119 0.109
ma.S.L7 -0.2380 1.004 -0.237 0.813 -2.206 1.730
sigma2 3.7652 6.09e+04 6.18e-05 1.000 -1.19e+05 1.19e+05
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 2.24
Prob(Q): 0.96 Prob(JB): 0.33
Heteroskedasticity (H): 0.73 Skew: 0.98
Prob(H) (two-sided): 0.77 Kurtosis: 3.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.59197389019852, Current Price: 130.23
BUY EXECUTED at 130.23
BUY ORDER COMPLETED at 129.82
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.677
Date: Wed, 09 Oct 2024 AIC 63.355
Time: 14:40:38 BIC 66.180
Sample: 0 HQIC 62.774
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1362 0.446 0.305 0.760 -0.739 1.011
ma.L1 -1.0000 8625.960 -0.000 1.000 -1.69e+04 1.69e+04
ar.S.L7 -0.9254 0.418 -2.215 0.027 -1.744 -0.107
ma.S.L7 -0.0924 0.595 -0.155 0.877 -1.259 1.074
sigma2 3.1034 2.68e+04 0.000 1.000 -5.25e+04 5.25e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.61
Prob(Q): 0.94 Prob(JB): 0.45
Heteroskedasticity (H): 0.27 Skew: -0.83
Prob(H) (two-sided): 0.23 Kurtosis: 3.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.22270784333824, Current Price: 129.74
SELL EXECUTED at 129.74
SELL ORDER COMPLETED at 129.85
OPERATION PROFIT, GROSS 0.030000000000001137, NET -0.22966999999999882
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.118
Date: Wed, 09 Oct 2024 AIC 62.236
Time: 14:40:38 BIC 65.060
Sample: 0 HQIC 61.655
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4395 0.252 1.742 0.082 -0.055 0.934
ma.L1 -1.1976 0.779 -1.538 0.124 -2.724 0.329
ar.S.L7 -0.5520 0.504 -1.096 0.273 -1.539 0.435
ma.S.L7 -1.0000 3e+04 -3.33e-05 1.000 -5.88e+04 5.88e+04
sigma2 1.2869 3.86e+04 3.33e-05 1.000 -7.57e+04 7.57e+04
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.13
Prob(Q): 0.76 Prob(JB): 0.94
Heteroskedasticity (H): 0.27 Skew: 0.17
Prob(H) (two-sided): 0.23 Kurtosis: 2.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 130.92443231522142, Current Price: 130.52
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.960
Date: Wed, 09 Oct 2024 AIC 61.921
Time: 14:40:38 BIC 64.745
Sample: 0 HQIC 61.340
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4455 0.293 1.523 0.128 -0.128 1.019
ma.L1 -1.1773 1.110 -1.061 0.289 -3.352 0.998
ar.S.L7 -0.5348 0.394 -1.356 0.175 -1.308 0.238
ma.S.L7 -1.0001 1.73e+04 -5.77e-05 1.000 -3.4e+04 3.4e+04
sigma2 1.2852 2.23e+04 5.77e-05 1.000 -4.37e+04 4.37e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.09
Prob(Q): 0.91 Prob(JB): 0.96
Heteroskedasticity (H): 0.10 Skew: -0.01
Prob(H) (two-sided): 0.05 Kurtosis: 2.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 130.18446574241926, Current Price: 129.29
BUY EXECUTED at 129.29
BUY ORDER COMPLETED at 128.52
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.987
Date: Wed, 09 Oct 2024 AIC 59.975
Time: 14:40:38 BIC 62.800
Sample: 0 HQIC 59.394
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3558 0.420 0.846 0.397 -0.468 1.180
ma.L1 -1.1918 1.122 -1.062 0.288 -3.391 1.008
ar.S.L7 -0.5145 0.351 -1.465 0.143 -1.203 0.174
ma.S.L7 -1.0000 2.71e+04 -3.69e-05 1.000 -5.32e+04 5.32e+04
sigma2 1.1098 3.01e+04 3.69e-05 1.000 -5.9e+04 5.9e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.13
Prob(Q): 0.93 Prob(JB): 0.94
Heteroskedasticity (H): 0.12 Skew: -0.24
Prob(H) (two-sided): 0.06 Kurtosis: 2.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.49228646982385, Current Price: 127.15
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.292
Date: Wed, 09 Oct 2024 AIC 60.585
Time: 14:40:38 BIC 63.410
Sample: 0 HQIC 60.004
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3269 0.481 0.680 0.496 -0.615 1.269
ma.L1 -1.2024 1.167 -1.031 0.303 -3.489 1.084
ar.S.L7 -0.5798 0.355 -1.633 0.102 -1.275 0.116
ma.S.L7 -1.0001 8801.285 -0.000 1.000 -1.73e+04 1.72e+04
sigma2 1.1451 1.01e+04 0.000 1.000 -1.98e+04 1.98e+04
===================================================================================
Ljung-Box (L1) (Q): 0.38 Jarque-Bera (JB): 0.14
Prob(Q): 0.54 Prob(JB): 0.93
Heteroskedasticity (H): 0.15 Skew: -0.23
Prob(H) (two-sided): 0.09 Kurtosis: 2.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.70658921048182, Current Price: 128.32
SELL EXECUTED at 128.32
SELL ORDER COMPLETED at 126.31
OPERATION PROFIT, GROSS -2.210000000000008, NET -2.464830000000008
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.709
Date: Wed, 09 Oct 2024 AIC 57.418
Time: 14:40:38 BIC 60.243
Sample: 0 HQIC 56.838
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0417 0.308 0.135 0.892 -0.561 0.645
ma.L1 -0.7732 0.601 -1.287 0.198 -1.951 0.405
ar.S.L7 -1.0150 0.332 -3.060 0.002 -1.665 -0.365
ma.S.L7 0.1379 0.426 0.324 0.746 -0.697 0.973
sigma2 2.1994 1.191 1.847 0.065 -0.135 4.534
===================================================================================
Ljung-Box (L1) (Q): 1.54 Jarque-Bera (JB): 1.01
Prob(Q): 0.21 Prob(JB): 0.60
Heteroskedasticity (H): 0.08 Skew: 0.64
Prob(H) (two-sided): 0.03 Kurtosis: 2.51
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.83958305670485, Current Price: 127.33
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.419
Date: Wed, 09 Oct 2024 AIC 42.839
Time: 14:40:38 BIC 45.664
Sample: 0 HQIC 42.258
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3258 0.195 -1.670 0.095 -0.708 0.057
ma.L1 0.6983 0.351 1.987 0.047 0.010 1.387
ar.S.L7 -0.7444 0.243 -3.067 0.002 -1.220 -0.269
ma.S.L7 -0.3155 0.448 -0.704 0.481 -1.194 0.563
sigma2 0.7093 0.455 1.560 0.119 -0.182 1.600
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 1.06
Prob(Q): 0.74 Prob(JB): 0.59
Heteroskedasticity (H): 0.39 Skew: -0.47
Prob(H) (two-sided): 0.38 Kurtosis: 1.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 131.3730474248781, Current Price: 126.84
BUY EXECUTED at 126.84
BUY ORDER COMPLETED at 127.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.306
Date: Wed, 09 Oct 2024 AIC 56.612
Time: 14:40:38 BIC 59.436
Sample: 0 HQIC 56.031
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3398 0.767 -0.443 0.658 -1.843 1.163
ma.L1 0.8758 0.335 2.616 0.009 0.220 1.532
ar.S.L7 -0.5302 0.626 -0.846 0.397 -1.758 0.697
ma.S.L7 -0.9998 4434.679 -0.000 1.000 -8692.811 8690.812
sigma2 1.2879 5711.069 0.000 1.000 -1.12e+04 1.12e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 1.16
Prob(Q): 0.87 Prob(JB): 0.56
Heteroskedasticity (H): 2.37 Skew: -0.66
Prob(H) (two-sided): 0.42 Kurtosis: 2.38
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.29373030331236, Current Price: 127.04
SELL EXECUTED at 127.04
SELL ORDER COMPLETED at 126.95
OPERATION PROFIT, GROSS -0.06999999999999318, NET -0.3239699999999932
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.461
Date: Wed, 09 Oct 2024 AIC 54.922
Time: 14:40:38 BIC 57.747
Sample: 0 HQIC 54.342
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4310 0.089 -4.841 0.000 -0.605 -0.256
ma.L1 1.0000 2877.423 0.000 1.000 -5638.645 5640.645
ar.S.L7 -0.6442 0.165 -3.897 0.000 -0.968 -0.320
ma.S.L7 1.0001 1.45e+04 6.87e-05 1.000 -2.85e+04 2.85e+04
sigma2 0.9206 1.4e+04 6.58e-05 1.000 -2.74e+04 2.74e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 1.59
Prob(Q): 0.85 Prob(JB): 0.45
Heteroskedasticity (H): 3.70 Skew: -0.65
Prob(H) (two-sided): 0.23 Kurtosis: 1.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.01521337827108, Current Price: 127.21
BUY EXECUTED at 127.21
BUY ORDER COMPLETED at 125.5
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.252
Date: Wed, 09 Oct 2024 AIC 54.505
Time: 14:40:38 BIC 57.329
Sample: 0 HQIC 53.924
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3524 0.325 -1.084 0.278 -0.990 0.285
ma.L1 1.0000 1.19e+04 8.44e-05 1.000 -2.32e+04 2.32e+04
ar.S.L7 -0.6083 0.139 -4.361 0.000 -0.882 -0.335
ma.S.L7 0.4802 1.060 0.453 0.650 -1.596 2.557
sigma2 1.3968 1.66e+04 8.44e-05 1.000 -3.24e+04 3.24e+04
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 0.90
Prob(Q): 0.70 Prob(JB): 0.64
Heteroskedasticity (H): 1.57 Skew: -0.29
Prob(H) (two-sided): 0.67 Kurtosis: 1.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.86007921140354, Current Price: 125.39
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.845
Date: Wed, 09 Oct 2024 AIC 53.691
Time: 14:40:38 BIC 56.515
Sample: 0 HQIC 53.110
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3840 1.074 -0.358 0.721 -2.489 1.721
ma.L1 1.0000 3.77e+04 2.65e-05 1.000 -7.38e+04 7.38e+04
ar.S.L7 -0.5913 0.127 -4.666 0.000 -0.840 -0.343
ma.S.L7 1.0000 8e+04 1.25e-05 1.000 -1.57e+05 1.57e+05
sigma2 0.8616 9.9e+04 8.71e-06 1.000 -1.94e+05 1.94e+05
===================================================================================
Ljung-Box (L1) (Q): 0.80 Jarque-Bera (JB): 1.07
Prob(Q): 0.37 Prob(JB): 0.59
Heteroskedasticity (H): 0.75 Skew: -0.23
Prob(H) (two-sided): 0.79 Kurtosis: 1.68
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.72432798427322, Current Price: 127.3
SELL EXECUTED at 127.3
SELL ORDER COMPLETED at 126.43
OPERATION PROFIT, GROSS 0.9300000000000068, NET 0.6780700000000068
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.911
Date: Wed, 09 Oct 2024 AIC 57.822
Time: 14:40:38 BIC 60.647
Sample: 0 HQIC 57.241
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5144 0.717 -0.717 0.473 -1.920 0.892
ma.L1 1.0000 3.51e+05 2.85e-06 1.000 -6.87e+05 6.87e+05
ar.S.L7 -0.5813 0.316 -1.838 0.066 -1.201 0.039
ma.S.L7 0.2876 0.855 0.336 0.737 -1.388 1.963
sigma2 1.8698 6.56e+05 2.85e-06 1.000 -1.29e+06 1.29e+06
===================================================================================
Ljung-Box (L1) (Q): 0.76 Jarque-Bera (JB): 0.12
Prob(Q): 0.38 Prob(JB): 0.94
Heteroskedasticity (H): 1.92 Skew: 0.18
Prob(H) (two-sided): 0.54 Kurtosis: 3.31
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.9809808263884, Current Price: 126.35
BUY EXECUTED at 126.35
BUY ORDER COMPLETED at 125.53
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.914
Date: Wed, 09 Oct 2024 AIC 59.829
Time: 14:40:38 BIC 62.654
Sample: 0 HQIC 59.248
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2130 3.055 -0.070 0.944 -6.201 5.775
ma.L1 -0.0579 3.186 -0.018 0.986 -6.303 6.187
ar.S.L7 -0.5434 0.350 -1.554 0.120 -1.228 0.142
ma.S.L7 0.8358 8.953 0.093 0.926 -16.712 18.384
sigma2 1.9045 15.013 0.127 0.899 -27.520 31.329
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 2.33
Prob(Q): 0.84 Prob(JB): 0.31
Heteroskedasticity (H): 2.47 Skew: 0.78
Prob(H) (two-sided): 0.40 Kurtosis: 4.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.93066051534217, Current Price: 125.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.255
Date: Wed, 09 Oct 2024 AIC 58.509
Time: 14:40:38 BIC 61.334
Sample: 0 HQIC 57.929
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0539 4.646 -0.012 0.991 -9.160 9.052
ma.L1 -0.1119 4.518 -0.025 0.980 -8.967 8.743
ar.S.L7 -0.4452 0.561 -0.794 0.427 -1.545 0.654
ma.S.L7 0.3948 2.361 0.167 0.867 -4.233 5.022
sigma2 2.2851 1.544 1.480 0.139 -0.741 5.311
===================================================================================
Ljung-Box (L1) (Q): 0.98 Jarque-Bera (JB): 3.52
Prob(Q): 0.32 Prob(JB): 0.17
Heteroskedasticity (H): 3.52 Skew: 1.05
Prob(H) (two-sided): 0.25 Kurtosis: 4.45
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.61610836253824, Current Price: 126.0
SELL EXECUTED at 126.0
SELL ORDER COMPLETED at 126.79
OPERATION PROFIT, GROSS 1.2600000000000051, NET 1.007680000000005
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.139
Date: Wed, 09 Oct 2024 AIC 58.278
Time: 14:40:38 BIC 61.102
Sample: 0 HQIC 57.697
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0953 1.913 -0.050 0.960 -3.845 3.654
ma.L1 -0.1370 1.941 -0.071 0.944 -3.941 3.667
ar.S.L7 -0.4092 0.276 -1.483 0.138 -0.950 0.131
ma.S.L7 0.3646 0.967 0.377 0.706 -1.532 2.261
sigma2 2.2689 1.175 1.931 0.053 -0.034 4.572
===================================================================================
Ljung-Box (L1) (Q): 0.47 Jarque-Bera (JB): 2.22
Prob(Q): 0.49 Prob(JB): 0.33
Heteroskedasticity (H): 3.33 Skew: 0.95
Prob(H) (two-sided): 0.27 Kurtosis: 3.72
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.73796919922522, Current Price: 128.03
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.865
Date: Wed, 09 Oct 2024 AIC 59.730
Time: 14:40:38 BIC 62.554
Sample: 0 HQIC 59.149
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2732 3.655 -0.075 0.940 -7.437 6.891
ma.L1 0.1317 4.003 0.033 0.974 -7.713 7.977
ar.S.L7 -0.1982 0.228 -0.871 0.384 -0.644 0.248
ma.S.L7 -0.5371 1.120 -0.480 0.632 -2.733 1.658
sigma2 2.3511 2.986 0.787 0.431 -3.501 8.203
===================================================================================
Ljung-Box (L1) (Q): 0.34 Jarque-Bera (JB): 1.71
Prob(Q): 0.56 Prob(JB): 0.43
Heteroskedasticity (H): 1.17 Skew: 0.87
Prob(H) (two-sided): 0.88 Kurtosis: 2.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.79718670200111, Current Price: 127.66
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.640
Date: Wed, 09 Oct 2024 AIC 59.281
Time: 14:40:38 BIC 62.105
Sample: 0 HQIC 58.700
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2997 3.806 -0.079 0.937 -7.759 7.160
ma.L1 0.1725 4.125 0.042 0.967 -7.912 8.257
ar.S.L7 -0.1913 0.221 -0.866 0.387 -0.624 0.242
ma.S.L7 -0.5826 1.134 -0.514 0.607 -2.806 1.640
sigma2 2.2125 2.601 0.851 0.395 -2.885 7.310
===================================================================================
Ljung-Box (L1) (Q): 0.36 Jarque-Bera (JB): 1.21
Prob(Q): 0.55 Prob(JB): 0.55
Heteroskedasticity (H): 0.53 Skew: 0.68
Prob(H) (two-sided): 0.55 Kurtosis: 2.38
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.8954913791398, Current Price: 128.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.271
Date: Wed, 09 Oct 2024 AIC 58.542
Time: 14:40:38 BIC 61.366
Sample: 0 HQIC 57.961
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9255 0.353 -2.621 0.009 -1.617 -0.234
ma.L1 0.7242 0.395 1.835 0.066 -0.049 1.498
ar.S.L7 -0.1588 0.260 -0.611 0.541 -0.668 0.351
ma.S.L7 -1.0001 4865.197 -0.000 1.000 -9536.611 9534.610
sigma2 1.4148 6883.497 0.000 1.000 -1.35e+04 1.35e+04
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.93
Prob(Q): 0.80 Prob(JB): 0.63
Heteroskedasticity (H): 0.76 Skew: 0.22
Prob(H) (two-sided): 0.80 Kurtosis: 1.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.82993663052038, Current Price: 129.22
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.743
Date: Wed, 09 Oct 2024 AIC 59.486
Time: 14:40:38 BIC 62.311
Sample: 0 HQIC 58.905
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3827 1.666 -0.230 0.818 -3.647 2.882
ma.L1 0.1970 1.763 0.112 0.911 -3.257 3.651
ar.S.L7 -0.1146 0.288 -0.398 0.690 -0.679 0.449
ma.S.L7 -2.1087 4.316 -0.489 0.625 -10.569 6.351
sigma2 0.5361 1.772 0.302 0.762 -2.938 4.010
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.99
Prob(Q): 0.86 Prob(JB): 0.61
Heteroskedasticity (H): 1.67 Skew: 0.46
Prob(H) (two-sided): 0.63 Kurtosis: 2.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.7114154809687, Current Price: 130.27
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.886
Date: Wed, 09 Oct 2024 AIC 59.772
Time: 14:40:38 BIC 62.596
Sample: 0 HQIC 59.191
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5604 1.229 -0.456 0.648 -2.968 1.848
ma.L1 0.2984 1.483 0.201 0.841 -2.609 3.206
ar.S.L7 -0.1365 0.251 -0.543 0.587 -0.629 0.356
ma.S.L7 -0.2379 0.848 -0.281 0.779 -1.900 1.424
sigma2 2.6254 1.488 1.765 0.078 -0.290 5.541
===================================================================================
Ljung-Box (L1) (Q): 0.60 Jarque-Bera (JB): 0.49
Prob(Q): 0.44 Prob(JB): 0.78
Heteroskedasticity (H): 1.18 Skew: 0.34
Prob(H) (two-sided): 0.87 Kurtosis: 2.35
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.11431946079364, Current Price: 129.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.004
Date: Wed, 09 Oct 2024 AIC 56.009
Time: 14:40:39 BIC 58.834
Sample: 0 HQIC 55.428
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4635 1.300 -0.357 0.721 -3.011 2.084
ma.L1 0.1323 1.134 0.117 0.907 -2.091 2.356
ar.S.L7 -0.3222 0.346 -0.930 0.352 -1.001 0.357
ma.S.L7 -0.2676 1.068 -0.251 0.802 -2.361 1.826
sigma2 1.9517 1.303 1.497 0.134 -0.603 4.507
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 0.78
Prob(Q): 0.67 Prob(JB): 0.68
Heteroskedasticity (H): 0.91 Skew: 0.26
Prob(H) (two-sided): 0.93 Kurtosis: 1.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.8983002353734, Current Price: 129.87
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.431
Date: Wed, 09 Oct 2024 AIC 54.861
Time: 14:40:39 BIC 57.686
Sample: 0 HQIC 54.281
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5038 0.297 -1.696 0.090 -1.086 0.079
ma.L1 0.1746 0.551 0.317 0.751 -0.905 1.254
ar.S.L7 -0.4125 0.318 -1.296 0.195 -1.037 0.212
ma.S.L7 -0.6932 1.680 -0.413 0.680 -3.985 2.599
sigma2 1.4327 1.605 0.893 0.372 -1.713 4.578
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.78
Prob(Q): 0.86 Prob(JB): 0.68
Heteroskedasticity (H): 0.60 Skew: 0.13
Prob(H) (two-sided): 0.63 Kurtosis: 1.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 130.10582557008166, Current Price: 127.55
BUY EXECUTED at 127.55
BUY ORDER COMPLETED at 127.29
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.005
Date: Wed, 09 Oct 2024 AIC 58.010
Time: 14:40:39 BIC 60.835
Sample: 0 HQIC 57.429
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2839 1.673 -0.170 0.865 -3.564 2.996
ma.L1 0.0223 1.967 0.011 0.991 -3.833 3.878
ar.S.L7 -0.5475 0.369 -1.484 0.138 -1.270 0.175
ma.S.L7 -1.0001 9303.790 -0.000 1.000 -1.82e+04 1.82e+04
sigma2 1.4164 1.32e+04 0.000 1.000 -2.58e+04 2.58e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.98
Prob(Q): 0.99 Prob(JB): 0.61
Heteroskedasticity (H): 0.39 Skew: 0.20
Prob(H) (two-sided): 0.38 Kurtosis: 1.72
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.3590108388887, Current Price: 127.44
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.905
Date: Wed, 09 Oct 2024 AIC 55.811
Time: 14:40:39 BIC 58.635
Sample: 0 HQIC 55.230
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9232 0.154 -6.004 0.000 -1.225 -0.622
ma.L1 1.0000 1.51e+04 6.61e-05 1.000 -2.96e+04 2.97e+04
ar.S.L7 -0.5925 0.363 -1.631 0.103 -1.304 0.119
ma.S.L7 -0.5723 1.913 -0.299 0.765 -4.321 3.177
sigma2 1.5014 2.27e+04 6.61e-05 1.000 -4.45e+04 4.45e+04
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 0.66
Prob(Q): 0.66 Prob(JB): 0.72
Heteroskedasticity (H): 0.69 Skew: -0.19
Prob(H) (two-sided): 0.73 Kurtosis: 1.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.48931858071879, Current Price: 127.96
SELL EXECUTED at 127.96
SELL ORDER COMPLETED at 129.12
OPERATION PROFIT, GROSS 1.8299999999999983, NET 1.5735899999999983
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.448
Date: Wed, 09 Oct 2024 AIC 56.897
Time: 14:40:39 BIC 59.722
Sample: 0 HQIC 56.316
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0639 2.007 0.032 0.975 -3.871 3.999
ma.L1 -0.2310 2.004 -0.115 0.908 -4.158 3.696
ar.S.L7 -0.3198 0.571 -0.560 0.575 -1.438 0.799
ma.S.L7 -0.5051 1.306 -0.387 0.699 -3.064 2.054
sigma2 1.9232 1.719 1.119 0.263 -1.445 5.291
===================================================================================
Ljung-Box (L1) (Q): 0.47 Jarque-Bera (JB): 0.45
Prob(Q): 0.49 Prob(JB): 0.80
Heteroskedasticity (H): 1.41 Skew: -0.44
Prob(H) (two-sided): 0.75 Kurtosis: 2.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.10227526918953, Current Price: 128.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.517
Date: Wed, 09 Oct 2024 AIC 55.033
Time: 14:40:39 BIC 57.858
Sample: 0 HQIC 54.453
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4672 0.234 -1.999 0.046 -0.925 -0.009
ma.L1 0.3723 0.385 0.966 0.334 -0.383 1.128
ar.S.L7 -0.2696 0.469 -0.575 0.566 -1.189 0.650
ma.S.L7 -1.0004 3391.449 -0.000 1.000 -6648.119 6646.118
sigma2 1.1114 3769.730 0.000 1.000 -7387.423 7389.646
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.57
Prob(Q): 0.95 Prob(JB): 0.46
Heteroskedasticity (H): 2.52 Skew: -0.75
Prob(H) (two-sided): 0.39 Kurtosis: 3.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.74057377744114, Current Price: 127.67
BUY EXECUTED at 127.67
BUY ORDER COMPLETED at 129.12
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.474
Date: Wed, 09 Oct 2024 AIC 54.948
Time: 14:40:39 BIC 57.773
Sample: 0 HQIC 54.367
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4260 0.623 -0.684 0.494 -1.647 0.795
ma.L1 0.2827 0.661 0.428 0.669 -1.013 1.579
ar.S.L7 -0.4130 0.556 -0.743 0.458 -1.503 0.677
ma.S.L7 -0.6725 2.222 -0.303 0.762 -5.027 3.682
sigma2 1.4844 2.648 0.561 0.575 -3.706 6.674
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.08
Prob(Q): 0.87 Prob(JB): 0.96
Heteroskedasticity (H): 0.56 Skew: -0.18
Prob(H) (two-sided): 0.58 Kurtosis: 2.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.12793964086013, Current Price: 127.4
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.394
Date: Wed, 09 Oct 2024 AIC 54.788
Time: 14:40:39 BIC 57.613
Sample: 0 HQIC 54.207
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0233 2.127 0.011 0.991 -4.145 4.192
ma.L1 -0.1740 1.926 -0.090 0.928 -3.949 3.601
ar.S.L7 -0.4554 0.541 -0.842 0.400 -1.516 0.605
ma.S.L7 -1.0001 1.38e+04 -7.22e-05 1.000 -2.71e+04 2.71e+04
sigma2 1.1054 1.53e+04 7.22e-05 1.000 -3e+04 3e+04
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.12
Prob(Q): 0.73 Prob(JB): 0.94
Heteroskedasticity (H): 0.42 Skew: -0.23
Prob(H) (two-sided): 0.42 Kurtosis: 2.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.45889504202123, Current Price: 127.84
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.337
Date: Wed, 09 Oct 2024 AIC 52.674
Time: 14:40:39 BIC 55.498
Sample: 0 HQIC 52.093
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0267 1.613 -0.017 0.987 -3.189 3.135
ma.L1 -0.1466 1.446 -0.101 0.919 -2.982 2.688
ar.S.L7 -0.4641 0.568 -0.817 0.414 -1.578 0.650
ma.S.L7 -1.0054 231.977 -0.004 0.997 -455.673 453.662
sigma2 0.9345 217.306 0.004 0.997 -424.977 426.846
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.28
Prob(Q): 0.97 Prob(JB): 0.87
Heteroskedasticity (H): 0.10 Skew: -0.29
Prob(H) (two-sided): 0.04 Kurtosis: 3.43
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.08677716853168, Current Price: 128.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.800
Date: Wed, 09 Oct 2024 AIC 49.600
Time: 14:40:39 BIC 52.425
Sample: 0 HQIC 49.020
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5654 0.278 -2.035 0.042 -1.110 -0.021
ma.L1 1.0000 1.67e+04 5.99e-05 1.000 -3.27e+04 3.27e+04
ar.S.L7 -0.7358 0.268 -2.747 0.006 -1.261 -0.211
ma.S.L7 0.1395 0.607 0.230 0.818 -1.050 1.329
sigma2 1.0311 1.72e+04 5.99e-05 1.000 -3.37e+04 3.37e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 5.54
Prob(Q): 0.94 Prob(JB): 0.06
Heteroskedasticity (H): 0.07 Skew: -1.27
Prob(H) (two-sided): 0.02 Kurtosis: 4.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.30311871271326, Current Price: 128.5
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.009
Date: Wed, 09 Oct 2024 AIC 44.018
Time: 14:40:39 BIC 46.843
Sample: 0 HQIC 43.438
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3075 0.511 -0.602 0.547 -1.309 0.694
ma.L1 1.0000 7804.193 0.000 1.000 -1.53e+04 1.53e+04
ar.S.L7 -0.8595 0.157 -5.464 0.000 -1.168 -0.551
ma.S.L7 1.0001 5357.294 0.000 1.000 -1.05e+04 1.05e+04
sigma2 0.4132 3119.744 0.000 1.000 -6114.173 6114.999
===================================================================================
Ljung-Box (L1) (Q): 3.13 Jarque-Bera (JB): 2.89
Prob(Q): 0.08 Prob(JB): 0.24
Heteroskedasticity (H): 0.49 Skew: -1.05
Prob(H) (two-sided): 0.51 Kurtosis: 3.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 130.00304314456451, Current Price: 129.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.277
Date: Wed, 09 Oct 2024 AIC 44.553
Time: 14:40:39 BIC 47.378
Sample: 0 HQIC 43.973
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5689 0.443 -1.285 0.199 -1.437 0.299
ma.L1 1.0000 1.12e+04 8.97e-05 1.000 -2.19e+04 2.19e+04
ar.S.L7 -0.6791 0.323 -2.102 0.036 -1.312 -0.046
ma.S.L7 -0.0940 0.602 -0.156 0.876 -1.273 1.085
sigma2 0.7179 8007.392 8.97e-05 1.000 -1.57e+04 1.57e+04
===================================================================================
Ljung-Box (L1) (Q): 0.62 Jarque-Bera (JB): 14.12
Prob(Q): 0.43 Prob(JB): 0.00
Heteroskedasticity (H): 0.03 Skew: -1.85
Prob(H) (two-sided): 0.00 Kurtosis: 6.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.37901751900884, Current Price: 127.97
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.355
Date: Wed, 09 Oct 2024 AIC 46.710
Time: 14:40:39 BIC 49.535
Sample: 0 HQIC 46.130
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3345 0.511 -0.655 0.512 -1.335 0.666
ma.L1 1.0000 5901.572 0.000 1.000 -1.16e+04 1.16e+04
ar.S.L7 -0.7866 0.143 -5.512 0.000 -1.066 -0.507
ma.S.L7 0.0836 0.867 0.096 0.923 -1.615 1.783
sigma2 0.8772 5176.535 0.000 1.000 -1.01e+04 1.01e+04
===================================================================================
Ljung-Box (L1) (Q): 1.79 Jarque-Bera (JB): 4.80
Prob(Q): 0.18 Prob(JB): 0.09
Heteroskedasticity (H): 0.16 Skew: -1.24
Prob(H) (two-sided): 0.10 Kurtosis: 4.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.3071768066123, Current Price: 127.78
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.020
Date: Wed, 09 Oct 2024 AIC 46.040
Time: 14:40:39 BIC 48.865
Sample: 0 HQIC 45.459
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4969 0.430 -1.155 0.248 -1.341 0.347
ma.L1 1.0000 1.53e+04 6.53e-05 1.000 -3e+04 3e+04
ar.S.L7 -0.7210 0.157 -4.580 0.000 -1.029 -0.412
ma.S.L7 0.1957 0.702 0.279 0.780 -1.180 1.571
sigma2 0.7747 1.19e+04 6.53e-05 1.000 -2.33e+04 2.33e+04
===================================================================================
Ljung-Box (L1) (Q): 0.83 Jarque-Bera (JB): 6.15
Prob(Q): 0.36 Prob(JB): 0.05
Heteroskedasticity (H): 0.21 Skew: -1.42
Prob(H) (two-sided): 0.16 Kurtosis: 4.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.32755518276177, Current Price: 127.76
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.906
Date: Wed, 09 Oct 2024 AIC 45.812
Time: 14:40:39 BIC 48.637
Sample: 0 HQIC 45.231
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4649 0.320 -1.454 0.146 -1.091 0.162
ma.L1 1.0000 7.08e+04 1.41e-05 1.000 -1.39e+05 1.39e+05
ar.S.L7 -0.7067 0.157 -4.511 0.000 -1.014 -0.400
ma.S.L7 0.1840 0.683 0.269 0.788 -1.155 1.523
sigma2 0.7641 5.41e+04 1.41e-05 1.000 -1.06e+05 1.06e+05
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 6.06
Prob(Q): 0.67 Prob(JB): 0.05
Heteroskedasticity (H): 0.20 Skew: -1.42
Prob(H) (two-sided): 0.15 Kurtosis: 4.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.2157246707498, Current Price: 126.34
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.393
Date: Wed, 09 Oct 2024 AIC 38.786
Time: 14:40:39 BIC 41.610
Sample: 0 HQIC 38.205
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4059 0.077 -5.291 0.000 -0.556 -0.256
ma.L1 1.0000 9228.657 0.000 1.000 -1.81e+04 1.81e+04
ar.S.L7 -0.6270 0.134 -4.690 0.000 -0.889 -0.365
ma.S.L7 0.0448 0.388 0.116 0.908 -0.715 0.804
sigma2 0.4650 4291.345 0.000 1.000 -8410.416 8411.346
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 1.61
Prob(Q): 0.83 Prob(JB): 0.45
Heteroskedasticity (H): 3.48 Skew: -0.85
Prob(H) (two-sided): 0.25 Kurtosis: 2.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.31637482016912, Current Price: 126.23
SELL EXECUTED at 126.23
SELL ORDER COMPLETED at 126.88
OPERATION PROFIT, GROSS -2.240000000000009, NET -2.4960000000000093
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.385
Date: Wed, 09 Oct 2024 AIC 42.770
Time: 14:40:39 BIC 45.595
Sample: 0 HQIC 42.189
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4104 0.083 -4.917 0.000 -0.574 -0.247
ma.L1 1.0000 1681.866 0.001 1.000 -3295.396 3297.396
ar.S.L7 -0.5339 0.122 -4.388 0.000 -0.772 -0.295
ma.S.L7 0.1792 0.418 0.429 0.668 -0.640 0.998
sigma2 0.6269 1054.326 0.001 1.000 -2065.814 2067.068
===================================================================================
Ljung-Box (L1) (Q): 1.83 Jarque-Bera (JB): 0.40
Prob(Q): 0.18 Prob(JB): 0.82
Heteroskedasticity (H): 2.94 Skew: -0.18
Prob(H) (two-sided): 0.32 Kurtosis: 2.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.13020896847331, Current Price: 126.05
BUY EXECUTED at 126.05
BUY ORDER COMPLETED at 126.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.981
Date: Wed, 09 Oct 2024 AIC 39.962
Time: 14:40:39 BIC 42.787
Sample: 0 HQIC 39.381
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3177 3.167 -0.100 0.920 -6.524 5.888
ma.L1 6.6203 142.839 0.046 0.963 -273.339 286.580
ar.S.L7 -0.5769 0.211 -2.730 0.006 -0.991 -0.163
ma.S.L7 3.6023 11.896 0.303 0.762 -19.714 26.918
sigma2 0.0010 0.042 0.024 0.981 -0.081 0.083
===================================================================================
Ljung-Box (L1) (Q): 0.27 Jarque-Bera (JB): 1.45
Prob(Q): 0.60 Prob(JB): 0.49
Heteroskedasticity (H): 2.94 Skew: -0.75
Prob(H) (two-sided): 0.32 Kurtosis: 2.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.49723072763292, Current Price: 126.3
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.512
Date: Wed, 09 Oct 2024 AIC 41.024
Time: 14:40:39 BIC 43.848
Sample: 0 HQIC 40.443
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1449 0.364 -0.398 0.691 -0.858 0.568
ma.L1 13.5036 1.206 11.197 0.000 11.140 15.867
ar.S.L7 -0.6015 0.251 -2.399 0.016 -1.093 -0.110
ma.S.L7 -8.8533 58.570 -0.151 0.880 -123.649 105.942
sigma2 4.483e-05 0.001 0.073 0.942 -0.001 0.001
===================================================================================
Ljung-Box (L1) (Q): 1.03 Jarque-Bera (JB): 1.02
Prob(Q): 0.31 Prob(JB): 0.60
Heteroskedasticity (H): 4.12 Skew: -0.63
Prob(H) (two-sided): 0.20 Kurtosis: 2.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 8.24e+20. Standard errors may be unstable.
Predicted Price: 126.40964760118445, Current Price: 125.03
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.584
Date: Wed, 09 Oct 2024 AIC 37.168
Time: 14:40:39 BIC 39.992
Sample: 0 HQIC 36.587
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3294 3.211 -0.103 0.918 -6.624 5.965
ma.L1 6.8891 155.345 0.044 0.965 -297.581 311.359
ar.S.L7 -0.5746 0.229 -2.506 0.012 -1.024 -0.125
ma.S.L7 0.9928 125.607 0.008 0.994 -245.191 247.177
sigma2 0.0061 0.666 0.009 0.993 -1.300 1.312
===================================================================================
Ljung-Box (L1) (Q): 0.33 Jarque-Bera (JB): 4.05
Prob(Q): 0.57 Prob(JB): 0.13
Heteroskedasticity (H): 0.88 Skew: -1.32
Prob(H) (two-sided): 0.90 Kurtosis: 3.72
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.4796031324261, Current Price: 124.78
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.973
Date: Wed, 09 Oct 2024 AIC 37.946
Time: 14:40:39 BIC 40.770
Sample: 0 HQIC 37.365
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2395 9.286 -0.026 0.979 -18.440 17.961
ma.L1 5.9709 335.960 0.018 0.986 -652.499 664.441
ar.S.L7 -0.5355 0.226 -2.369 0.018 -0.978 -0.093
ma.S.L7 0.9993 1531.334 0.001 0.999 -3000.360 3002.359
sigma2 0.0085 13.321 0.001 0.999 -26.099 26.116
===================================================================================
Ljung-Box (L1) (Q): 0.73 Jarque-Bera (JB): 4.51
Prob(Q): 0.39 Prob(JB): 0.10
Heteroskedasticity (H): 0.48 Skew: -1.38
Prob(H) (two-sided): 0.50 Kurtosis: 3.84
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.73380789474666, Current Price: 125.29
SELL EXECUTED at 125.29
SELL ORDER COMPLETED at 126.29
OPERATION PROFIT, GROSS 0.29000000000000625, NET 0.03771000000000624
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.896
Date: Wed, 09 Oct 2024 AIC 41.792
Time: 14:40:39 BIC 44.617
Sample: 0 HQIC 41.212
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5686 1.472 -0.386 0.699 -3.453 2.316
ma.L1 1.6682 4.266 0.391 0.696 -6.693 10.029
ar.S.L7 -0.4289 0.200 -2.146 0.032 -0.821 -0.037
ma.S.L7 -14.1058 88.874 -0.159 0.874 -188.295 160.083
sigma2 0.0012 0.017 0.069 0.945 -0.032 0.034
===================================================================================
Ljung-Box (L1) (Q): 0.47 Jarque-Bera (JB): 1.24
Prob(Q): 0.49 Prob(JB): 0.54
Heteroskedasticity (H): 0.45 Skew: -0.70
Prob(H) (two-sided): 0.46 Kurtosis: 2.42
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.79437911636327, Current Price: 126.57
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.810
Date: Wed, 09 Oct 2024 AIC 43.620
Time: 14:40:39 BIC 46.445
Sample: 0 HQIC 43.039
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6080 0.465 -1.308 0.191 -1.519 0.303
ma.L1 1.3558 1.274 1.064 0.287 -1.142 3.853
ar.S.L7 -0.1918 0.298 -0.644 0.520 -0.776 0.392
ma.S.L7 -0.5525 1.316 -0.420 0.675 -3.132 2.027
sigma2 0.3544 0.852 0.416 0.677 -1.316 2.024
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.04
Prob(Q): 1.00 Prob(JB): 0.98
Heteroskedasticity (H): 2.10 Skew: 0.01
Prob(H) (two-sided): 0.49 Kurtosis: 2.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.59213338398627, Current Price: 128.71
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.231
Date: Wed, 09 Oct 2024 AIC 46.463
Time: 14:40:40 BIC 49.287
Sample: 0 HQIC 45.882
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5315 0.359 -1.480 0.139 -1.236 0.173
ma.L1 1.0000 4533.464 0.000 1.000 -8884.425 8886.425
ar.S.L7 -0.1059 0.428 -0.247 0.805 -0.946 0.734
ma.S.L7 -0.3324 1.099 -0.302 0.762 -2.487 1.822
sigma2 0.8170 3704.131 0.000 1.000 -7259.146 7260.780
===================================================================================
Ljung-Box (L1) (Q): 0.36 Jarque-Bera (JB): 0.33
Prob(Q): 0.55 Prob(JB): 0.85
Heteroskedasticity (H): 2.25 Skew: 0.38
Prob(H) (two-sided): 0.45 Kurtosis: 2.78
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.5759017965445, Current Price: 128.27
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.138
Date: Wed, 09 Oct 2024 AIC 44.276
Time: 14:40:40 BIC 47.101
Sample: 0 HQIC 43.695
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3188 0.527 -0.605 0.545 -1.352 0.714
ma.L1 1.0000 1.6e+04 6.24e-05 1.000 -3.14e+04 3.14e+04
ar.S.L7 -0.0451 0.215 -0.210 0.834 -0.467 0.377
ma.S.L7 -1.0001 1.07e+04 -9.36e-05 1.000 -2.09e+04 2.09e+04
sigma2 0.4685 1.08e+04 4.34e-05 1.000 -2.12e+04 2.12e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.96
Prob(Q): 0.85 Prob(JB): 0.62
Heteroskedasticity (H): 0.89 Skew: 0.65
Prob(H) (two-sided): 0.91 Kurtosis: 2.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.5667261254609, Current Price: 127.59
BUY EXECUTED at 127.59
BUY ORDER COMPLETED at 127.24
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.073
Date: Wed, 09 Oct 2024 AIC 42.146
Time: 14:40:40 BIC 44.971
Sample: 0 HQIC 41.565
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2022 0.456 -0.443 0.657 -1.096 0.691
ma.L1 1.0000 4.66e+04 2.15e-05 1.000 -9.13e+04 9.13e+04
ar.S.L7 0.0022 0.005 0.467 0.640 -0.007 0.012
ma.S.L7 -0.5554 0.995 -0.558 0.577 -2.506 1.395
sigma2 0.5789 2.7e+04 2.15e-05 1.000 -5.28e+04 5.28e+04
===================================================================================
Ljung-Box (L1) (Q): 0.39 Jarque-Bera (JB): 1.52
Prob(Q): 0.53 Prob(JB): 0.47
Heteroskedasticity (H): 1.72 Skew: 0.83
Prob(H) (two-sided): 0.61 Kurtosis: 2.78
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.25524548883408, Current Price: 126.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.691
Date: Wed, 09 Oct 2024 AIC 47.381
Time: 14:40:40 BIC 50.206
Sample: 0 HQIC 46.801
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3615 0.092 3.918 0.000 0.181 0.542
ma.L1 -1.0000 3105.673 -0.000 1.000 -6088.007 6086.007
ar.S.L7 -1.0704 0.224 -4.778 0.000 -1.509 -0.631
ma.S.L7 0.2222 0.404 0.551 0.582 -0.569 1.013
sigma2 0.9233 2867.747 0.000 1.000 -5619.758 5621.605
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.86
Prob(Q): 0.84 Prob(JB): 0.65
Heteroskedasticity (H): 0.73 Skew: -0.61
Prob(H) (two-sided): 0.77 Kurtosis: 2.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.3512325120065, Current Price: 126.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.895
Date: Wed, 09 Oct 2024 AIC 39.789
Time: 14:40:40 BIC 42.614
Sample: 0 HQIC 39.208
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0342 0.644 0.053 0.958 -1.229 1.297
ma.L1 1.0875 0.543 2.003 0.045 0.023 2.152
ar.S.L7 0.1162 0.172 0.677 0.499 -0.220 0.453
ma.S.L7 -1.0002 3019.358 -0.000 1.000 -5918.834 5916.833
sigma2 0.2899 875.435 0.000 1.000 -1715.531 1716.110
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.17
Prob(Q): 0.94 Prob(JB): 0.92
Heteroskedasticity (H): 1.04 Skew: 0.28
Prob(H) (two-sided): 0.97 Kurtosis: 3.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.26128508802304, Current Price: 125.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.044
Date: Wed, 09 Oct 2024 AIC 36.087
Time: 14:40:40 BIC 38.912
Sample: 0 HQIC 35.506
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0344 0.624 0.055 0.956 -1.189 1.257
ma.L1 1.0000 1655.916 0.001 1.000 -3244.536 3246.536
ar.S.L7 0.1544 0.156 0.990 0.322 -0.151 0.460
ma.S.L7 -1.0000 2.03e+04 -4.93e-05 1.000 -3.97e+04 3.97e+04
sigma2 0.2451 4939.230 4.96e-05 1.000 -9680.468 9680.958
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 1.33
Prob(Q): 0.75 Prob(JB): 0.51
Heteroskedasticity (H): 13.24 Skew: 0.78
Prob(H) (two-sided): 0.03 Kurtosis: 2.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.68059293150935, Current Price: 126.18
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.899
Date: Wed, 09 Oct 2024 AIC 37.798
Time: 14:40:40 BIC 40.623
Sample: 0 HQIC 37.217
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0569 0.778 -0.073 0.942 -1.583 1.469
ma.L1 1.0000 9554.532 0.000 1.000 -1.87e+04 1.87e+04
ar.S.L7 0.1329 0.323 0.412 0.680 -0.500 0.765
ma.S.L7 -0.7236 3.217 -0.225 0.822 -7.028 5.581
sigma2 0.3585 3424.690 0.000 1.000 -6711.911 6712.628
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.06
Prob(Q): 0.89 Prob(JB): 0.59
Heteroskedasticity (H): 8.38 Skew: 0.69
Prob(H) (two-sided): 0.06 Kurtosis: 2.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.95159347557706, Current Price: 125.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.880
Date: Wed, 09 Oct 2024 AIC 43.760
Time: 14:40:40 BIC 46.585
Sample: 0 HQIC 43.180
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2378 0.498 0.478 0.633 -0.737 1.213
ma.L1 -0.7835 0.328 -2.387 0.017 -1.427 -0.140
ar.S.L7 -1.0966 0.310 -3.542 0.000 -1.703 -0.490
ma.S.L7 1.0001 2603.395 0.000 1.000 -5101.559 5103.560
sigma2 0.4757 1238.570 0.000 1.000 -2427.078 2428.029
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.75
Prob(Q): 0.87 Prob(JB): 0.69
Heteroskedasticity (H): 0.83 Skew: -0.40
Prob(H) (two-sided): 0.86 Kurtosis: 2.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.99338051814865, Current Price: 125.06
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.077
Date: Wed, 09 Oct 2024 AIC 46.154
Time: 14:40:40 BIC 48.979
Sample: 0 HQIC 45.573
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2866 4.602 -0.062 0.950 -9.306 8.733
ma.L1 0.4222 4.413 0.096 0.924 -8.227 9.071
ar.S.L7 -0.5485 0.489 -1.121 0.262 -1.507 0.410
ma.S.L7 -0.8315 5.163 -0.161 0.872 -10.951 9.288
sigma2 0.6679 2.847 0.235 0.815 -4.911 6.247
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.98
Prob(Q): 0.85 Prob(JB): 0.61
Heteroskedasticity (H): 1.27 Skew: 0.33
Prob(H) (two-sided): 0.82 Kurtosis: 1.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.76085683675679, Current Price: 125.32
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.641
Date: Wed, 09 Oct 2024 AIC 41.282
Time: 14:40:40 BIC 44.107
Sample: 0 HQIC 40.701
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2901 0.879 0.330 0.741 -1.433 2.013
ma.L1 -0.8271 0.425 -1.947 0.052 -1.660 0.006
ar.S.L7 -1.0945 0.330 -3.319 0.001 -1.741 -0.448
ma.S.L7 0.2391 0.800 0.299 0.765 -1.330 1.808
sigma2 0.6297 0.392 1.605 0.109 -0.139 1.399
===================================================================================
Ljung-Box (L1) (Q): 0.51 Jarque-Bera (JB): 0.42
Prob(Q): 0.47 Prob(JB): 0.81
Heteroskedasticity (H): 0.65 Skew: 0.42
Prob(H) (two-sided): 0.69 Kurtosis: 2.72
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.9767861978262, Current Price: 125.44
SELL EXECUTED at 125.44
SELL ORDER COMPLETED at 126.33
OPERATION PROFIT, GROSS -0.9099999999999966, NET -1.1635699999999964
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.708
Date: Wed, 09 Oct 2024 AIC 45.417
Time: 14:40:40 BIC 48.242
Sample: 0 HQIC 44.836
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2103 89.708 -0.002 0.998 -176.036 175.615
ma.L1 0.2046 89.926 0.002 0.998 -176.047 176.456
ar.S.L7 -0.7105 0.531 -1.338 0.181 -1.751 0.330
ma.S.L7 -1.0007 1381.211 -0.001 0.999 -2708.124 2706.123
sigma2 0.5372 742.259 0.001 0.999 -1454.264 1455.338
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.18
Prob(Q): 0.98 Prob(JB): 0.55
Heteroskedasticity (H): 0.38 Skew: 0.41
Prob(H) (two-sided): 0.37 Kurtosis: 1.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.0325023299483, Current Price: 127.27
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -75.837
Date: Wed, 09 Oct 2024 AIC 161.674
Time: 14:40:40 BIC 164.498
Sample: 0 HQIC 161.093
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -86.0302 23.936 -3.594 0.000 -132.944 -39.116
ma.L1 -15.6596 132.100 -0.119 0.906 -274.571 243.252
ar.S.L7 -0.9244 0.505 -1.830 0.067 -1.915 0.066
ma.S.L7 -54.7892 3195.158 -0.017 0.986 -6317.184 6207.606
sigma2 0.0092 0.999 0.009 0.993 -1.949 1.968
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.78
Prob(Q): 0.83 Prob(JB): 0.68
Heteroskedasticity (H): 0.55 Skew: 0.06
Prob(H) (two-sided): 0.58 Kurtosis: 1.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: -58.3786641334682, Current Price: 127.57
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.705
Date: Wed, 09 Oct 2024 AIC 47.409
Time: 14:40:40 BIC 50.234
Sample: 0 HQIC 46.829
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3375 0.994 -0.339 0.734 -2.286 1.611
ma.L1 0.5749 0.882 0.652 0.515 -1.154 2.304
ar.S.L7 -0.4757 1.787 -0.266 0.790 -3.977 3.026
ma.S.L7 -0.4232 3.203 -0.132 0.895 -6.701 5.854
sigma2 0.9625 1.259 0.764 0.445 -1.505 3.430
===================================================================================
Ljung-Box (L1) (Q): 0.70 Jarque-Bera (JB): 0.67
Prob(Q): 0.40 Prob(JB): 0.72
Heteroskedasticity (H): 1.46 Skew: 0.03
Prob(H) (two-sided): 0.72 Kurtosis: 1.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.84128290039426, Current Price: 127.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.102
Date: Wed, 09 Oct 2024 AIC 44.204
Time: 14:40:40 BIC 47.029
Sample: 0 HQIC 43.624
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4963 0.764 -0.650 0.516 -1.993 1.001
ma.L1 0.5992 0.893 0.671 0.502 -1.151 2.350
ar.S.L7 -0.3482 0.886 -0.393 0.694 -2.084 1.388
ma.S.L7 -1.0004 3593.827 -0.000 1.000 -7044.773 7042.772
sigma2 0.4714 1694.461 0.000 1.000 -3320.612 3321.555
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 1.02
Prob(Q): 0.73 Prob(JB): 0.60
Heteroskedasticity (H): 5.78 Skew: 0.68
Prob(H) (two-sided): 0.12 Kurtosis: 2.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.51295831438318, Current Price: 127.55
BUY EXECUTED at 127.55
BUY ORDER COMPLETED at 126.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.038
Date: Wed, 09 Oct 2024 AIC 44.077
Time: 14:40:40 BIC 46.901
Sample: 0 HQIC 43.496
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1530 1.672 0.091 0.927 -3.125 3.431
ma.L1 0.2459 1.361 0.181 0.857 -2.421 2.913
ar.S.L7 -0.1665 1.059 -0.157 0.875 -2.242 1.909
ma.S.L7 -1.0007 2650.898 -0.000 1.000 -5196.665 5194.663
sigma2 0.4846 1284.992 0.000 1.000 -2518.054 2519.023
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.28
Prob(Q): 0.90 Prob(JB): 0.87
Heteroskedasticity (H): 1.84 Skew: 0.13
Prob(H) (two-sided): 0.57 Kurtosis: 2.33
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.99472671771194, Current Price: 126.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.863
Date: Wed, 09 Oct 2024 AIC 45.726
Time: 14:40:40 BIC 48.551
Sample: 0 HQIC 45.146
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3398 1.938 -0.175 0.861 -4.138 3.458
ma.L1 0.5042 1.749 0.288 0.773 -2.924 3.932
ar.S.L7 -0.5437 0.304 -1.787 0.074 -1.140 0.053
ma.S.L7 0.0921 0.787 0.117 0.907 -1.451 1.635
sigma2 0.9109 0.553 1.648 0.099 -0.172 1.994
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.10
Prob(Q): 0.77 Prob(JB): 0.95
Heteroskedasticity (H): 0.75 Skew: -0.11
Prob(H) (two-sided): 0.79 Kurtosis: 2.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.35710602141505, Current Price: 126.22
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.597
Date: Wed, 09 Oct 2024 AIC 45.195
Time: 14:40:40 BIC 48.019
Sample: 0 HQIC 44.614
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2864 1.791 0.160 0.873 -3.225 3.798
ma.L1 -0.0358 1.765 -0.020 0.984 -3.495 3.424
ar.S.L7 -0.5214 0.309 -1.687 0.092 -1.127 0.085
ma.S.L7 0.0843 0.741 0.114 0.909 -1.368 1.536
sigma2 0.8751 0.504 1.736 0.083 -0.113 1.863
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.11
Prob(Q): 0.99 Prob(JB): 0.94
Heteroskedasticity (H): 0.25 Skew: -0.12
Prob(H) (two-sided): 0.21 Kurtosis: 2.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.87738480378943, Current Price: 126.07
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.559
Date: Wed, 09 Oct 2024 AIC 45.119
Time: 14:40:40 BIC 47.944
Sample: 0 HQIC 44.538
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2314 2.083 0.111 0.912 -3.852 4.314
ma.L1 -0.0033 2.092 -0.002 0.999 -4.105 4.098
ar.S.L7 -0.5364 0.290 -1.852 0.064 -1.104 0.031
ma.S.L7 0.1977 1.031 0.192 0.848 -1.824 2.219
sigma2 0.8590 0.439 1.956 0.050 -0.002 1.720
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.08
Prob(Q): 0.99 Prob(JB): 0.96
Heteroskedasticity (H): 0.06 Skew: -0.10
Prob(H) (two-sided): 0.02 Kurtosis: 2.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.23780530042629, Current Price: 125.64
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.778
Date: Wed, 09 Oct 2024 AIC 45.556
Time: 14:40:40 BIC 48.381
Sample: 0 HQIC 44.976
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2537 2.404 0.106 0.916 -4.458 4.965
ma.L1 -0.0326 2.266 -0.014 0.989 -4.475 4.410
ar.S.L7 -0.5092 0.343 -1.485 0.137 -1.181 0.163
ma.S.L7 -0.1832 0.529 -0.346 0.729 -1.220 0.854
sigma2 0.8904 0.667 1.335 0.182 -0.416 2.197
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.12
Prob(Q): 0.77 Prob(JB): 0.94
Heteroskedasticity (H): 0.28 Skew: -0.09
Prob(H) (two-sided): 0.24 Kurtosis: 2.57
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.12192639429264, Current Price: 125.32
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.098
Date: Wed, 09 Oct 2024 AIC 44.197
Time: 14:40:40 BIC 47.022
Sample: 0 HQIC 43.616
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3253 2.617 0.124 0.901 -4.803 5.454
ma.L1 0.0239 2.196 0.011 0.991 -4.280 4.327
ar.S.L7 -0.4329 0.697 -0.621 0.534 -1.798 0.932
ma.S.L7 -1.0011 1157.436 -0.001 0.999 -2269.535 2267.532
sigma2 0.4889 566.478 0.001 0.999 -1109.787 1110.764
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.66
Prob(Q): 0.81 Prob(JB): 0.72
Heteroskedasticity (H): 0.23 Skew: -0.48
Prob(H) (two-sided): 0.18 Kurtosis: 2.45
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.88265118568404, Current Price: 120.97
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.338
Date: Wed, 09 Oct 2024 AIC 56.676
Time: 14:40:40 BIC 59.501
Sample: 0 HQIC 56.095
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4029 7.517 0.054 0.957 -14.330 15.135
ma.L1 -0.1384 7.249 -0.019 0.985 -14.345 14.069
ar.S.L7 -0.6198 0.720 -0.860 0.390 -2.032 0.792
ma.S.L7 1.9456 5.920 0.329 0.742 -9.656 13.548
sigma2 0.4954 2.469 0.201 0.841 -4.344 5.335
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 6.12
Prob(Q): 0.90 Prob(JB): 0.05
Heteroskedasticity (H): 5.44 Skew: -1.40
Prob(H) (two-sided): 0.13 Kurtosis: 4.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.11069385831196, Current Price: 120.78
SELL EXECUTED at 120.78
SELL ORDER COMPLETED at 119.69
OPERATION PROFIT, GROSS -7.170000000000002, NET -7.416550000000002
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.675
Date: Wed, 09 Oct 2024 AIC 57.350
Time: 14:40:40 BIC 60.174
Sample: 0 HQIC 56.769
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4436 2.201 0.202 0.840 -3.871 4.758
ma.L1 -0.2373 2.332 -0.102 0.919 -4.808 4.334
ar.S.L7 -0.2686 1.897 -0.142 0.887 -3.986 3.449
ma.S.L7 0.0252 1.953 0.013 0.990 -3.802 3.852
sigma2 2.2373 1.337 1.673 0.094 -0.384 4.858
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 7.20
Prob(Q): 0.65 Prob(JB): 0.03
Heteroskedasticity (H): 4.81 Skew: -1.48
Prob(H) (two-sided): 0.16 Kurtosis: 5.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.79297103856142, Current Price: 119.66
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.170
Date: Wed, 09 Oct 2024 AIC 56.339
Time: 14:40:40 BIC 59.164
Sample: 0 HQIC 55.759
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7982 1.217 0.656 0.512 -1.587 3.183
ma.L1 -0.5497 1.658 -0.332 0.740 -3.799 2.700
ar.S.L7 -0.1549 1.266 -0.122 0.903 -2.637 2.327
ma.S.L7 0.1699 1.497 0.113 0.910 -2.764 3.104
sigma2 2.0258 1.096 1.848 0.065 -0.123 4.175
===================================================================================
Ljung-Box (L1) (Q): 0.68 Jarque-Bera (JB): 3.31
Prob(Q): 0.41 Prob(JB): 0.19
Heteroskedasticity (H): 4.32 Skew: -1.13
Prob(H) (two-sided): 0.19 Kurtosis: 4.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.80017150836495, Current Price: 119.74
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.039
Date: Wed, 09 Oct 2024 AIC 56.077
Time: 14:40:40 BIC 58.902
Sample: 0 HQIC 55.497
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7205 0.898 0.802 0.423 -1.040 2.481
ma.L1 -0.5363 1.218 -0.440 0.660 -2.923 1.850
ar.S.L7 -0.2476 1.454 -0.170 0.865 -3.098 2.603
ma.S.L7 0.1766 1.914 0.092 0.926 -3.574 3.928
sigma2 1.9843 1.146 1.732 0.083 -0.261 4.230
===================================================================================
Ljung-Box (L1) (Q): 1.00 Jarque-Bera (JB): 5.79
Prob(Q): 0.32 Prob(JB): 0.06
Heteroskedasticity (H): 5.77 Skew: -1.38
Prob(H) (two-sided): 0.12 Kurtosis: 4.74
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.54294707934851, Current Price: 120.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.511
Date: Wed, 09 Oct 2024 AIC 55.022
Time: 14:40:40 BIC 57.847
Sample: 0 HQIC 54.441
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5806 1.474 0.394 0.694 -2.308 3.469
ma.L1 -0.4343 1.544 -0.281 0.778 -3.460 2.591
ar.S.L7 -0.3031 1.447 -0.210 0.834 -3.138 2.532
ma.S.L7 0.1774 2.057 0.086 0.931 -3.854 4.209
sigma2 1.8357 1.179 1.557 0.120 -0.476 4.147
===================================================================================
Ljung-Box (L1) (Q): 1.50 Jarque-Bera (JB): 12.57
Prob(Q): 0.22 Prob(JB): 0.00
Heteroskedasticity (H): 0.97 Skew: -1.88
Prob(H) (two-sided): 0.98 Kurtosis: 6.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.14575665857465, Current Price: 119.55
BUY EXECUTED at 119.55
BUY ORDER COMPLETED at 119.72
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.146
Date: Wed, 09 Oct 2024 AIC 54.292
Time: 14:40:40 BIC 57.117
Sample: 0 HQIC 53.711
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5999 0.723 0.830 0.407 -0.817 2.016
ma.L1 -0.4425 1.049 -0.422 0.673 -2.499 1.614
ar.S.L7 -0.2785 0.578 -0.482 0.630 -1.412 0.855
ma.S.L7 0.8564 12.958 0.066 0.947 -24.541 26.254
sigma2 1.1743 14.205 0.083 0.934 -26.667 29.016
===================================================================================
Ljung-Box (L1) (Q): 1.39 Jarque-Bera (JB): 7.94
Prob(Q): 0.24 Prob(JB): 0.02
Heteroskedasticity (H): 0.55 Skew: -1.59
Prob(H) (two-sided): 0.57 Kurtosis: 5.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.49885851837378, Current Price: 119.74
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.842
Date: Wed, 09 Oct 2024 AIC 53.684
Time: 14:40:41 BIC 56.508
Sample: 0 HQIC 53.103
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6178 1.961 0.315 0.753 -3.226 4.462
ma.L1 -0.4400 2.500 -0.176 0.860 -5.339 4.459
ar.S.L7 -0.2565 0.553 -0.464 0.643 -1.341 0.828
ma.S.L7 1.0011 1740.547 0.001 1.000 -3410.407 3412.410
sigma2 0.9811 1708.121 0.001 1.000 -3346.875 3348.837
===================================================================================
Ljung-Box (L1) (Q): 0.40 Jarque-Bera (JB): 14.30
Prob(Q): 0.53 Prob(JB): 0.00
Heteroskedasticity (H): 2.64 Skew: -1.94
Prob(H) (two-sided): 0.37 Kurtosis: 6.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.05839288379137, Current Price: 120.03
SELL EXECUTED at 120.03
SELL ORDER COMPLETED at 119.37
OPERATION PROFIT, GROSS -0.3499999999999943, NET -0.5890899999999943
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.648
Date: Wed, 09 Oct 2024 AIC 55.296
Time: 14:40:41 BIC 58.120
Sample: 0 HQIC 54.715
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7727 0.497 1.555 0.120 -0.201 1.747
ma.L1 -1.0000 9.54e+04 -1.05e-05 1.000 -1.87e+05 1.87e+05
ar.S.L7 -0.5023 0.686 -0.732 0.464 -1.847 0.842
ma.S.L7 -0.5772 1.849 -0.312 0.755 -4.201 3.046
sigma2 1.3309 1.27e+05 1.05e-05 1.000 -2.49e+05 2.49e+05
===================================================================================
Ljung-Box (L1) (Q): 1.19 Jarque-Bera (JB): 16.74
Prob(Q): 0.27 Prob(JB): 0.00
Heteroskedasticity (H): 3.22 Skew: -2.10
Prob(H) (two-sided): 0.28 Kurtosis: 6.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.47714014123206, Current Price: 119.36
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.471
Date: Wed, 09 Oct 2024 AIC 54.941
Time: 14:40:41 BIC 57.766
Sample: 0 HQIC 54.360
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3634 5.287 -0.069 0.945 -10.726 9.999
ma.L1 0.2526 5.891 0.043 0.966 -11.294 11.799
ar.S.L7 -0.4572 0.599 -0.763 0.446 -1.632 0.717
ma.S.L7 -1.0001 1.32e+04 -7.59e-05 1.000 -2.58e+04 2.58e+04
sigma2 1.1181 1.47e+04 7.59e-05 1.000 -2.89e+04 2.89e+04
===================================================================================
Ljung-Box (L1) (Q): 0.52 Jarque-Bera (JB): 11.54
Prob(Q): 0.47 Prob(JB): 0.00
Heteroskedasticity (H): 2.70 Skew: -1.82
Prob(H) (two-sided): 0.36 Kurtosis: 5.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.89917185397117, Current Price: 119.68
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.593
Date: Wed, 09 Oct 2024 AIC 55.186
Time: 14:40:41 BIC 58.011
Sample: 0 HQIC 54.605
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3558 3.659 -0.097 0.923 -7.527 6.816
ma.L1 0.2146 3.447 0.062 0.950 -6.542 6.971
ar.S.L7 -0.4881 0.685 -0.713 0.476 -1.830 0.854
ma.S.L7 -1.0001 1.23e+04 -8.13e-05 1.000 -2.41e+04 2.41e+04
sigma2 1.1397 1.4e+04 8.13e-05 1.000 -2.75e+04 2.75e+04
===================================================================================
Ljung-Box (L1) (Q): 0.50 Jarque-Bera (JB): 10.13
Prob(Q): 0.48 Prob(JB): 0.01
Heteroskedasticity (H): 0.05 Skew: -1.73
Prob(H) (two-sided): 0.01 Kurtosis: 5.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.36033180259408, Current Price: 120.42
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.019
Date: Wed, 09 Oct 2024 AIC 56.038
Time: 14:40:41 BIC 58.862
Sample: 0 HQIC 55.457
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3130 34.246 0.009 0.993 -66.807 67.433
ma.L1 -0.3002 34.064 -0.009 0.993 -67.064 66.463
ar.S.L7 -0.4468 0.710 -0.629 0.529 -1.839 0.945
ma.S.L7 -1.0001 1.64e+04 -6.09e-05 1.000 -3.22e+04 3.22e+04
sigma2 1.2170 2e+04 6.09e-05 1.000 -3.92e+04 3.92e+04
===================================================================================
Ljung-Box (L1) (Q): 0.30 Jarque-Bera (JB): 7.27
Prob(Q): 0.58 Prob(JB): 0.03
Heteroskedasticity (H): 0.14 Skew: -1.55
Prob(H) (two-sided): 0.09 Kurtosis: 4.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.24801707042825, Current Price: 121.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.874
Date: Wed, 09 Oct 2024 AIC 55.749
Time: 14:40:41 BIC 58.574
Sample: 0 HQIC 55.168
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6678 0.906 0.737 0.461 -1.108 2.443
ma.L1 -0.5849 0.856 -0.683 0.494 -2.262 1.092
ar.S.L7 -0.3321 0.918 -0.362 0.717 -2.131 1.466
ma.S.L7 -1.0002 6669.929 -0.000 1.000 -1.31e+04 1.31e+04
sigma2 1.1443 7632.534 0.000 1.000 -1.5e+04 1.5e+04
===================================================================================
Ljung-Box (L1) (Q): 0.30 Jarque-Bera (JB): 11.38
Prob(Q): 0.58 Prob(JB): 0.00
Heteroskedasticity (H): 0.24 Skew: -1.85
Prob(H) (two-sided): 0.20 Kurtosis: 5.71
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.71936355397068, Current Price: 120.74
BUY EXECUTED at 120.74
BUY ORDER COMPLETED at 120.9
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.520
Date: Wed, 09 Oct 2024 AIC 53.039
Time: 14:40:41 BIC 55.864
Sample: 0 HQIC 52.459
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5847 0.768 0.762 0.446 -0.920 2.089
ma.L1 -0.6742 0.732 -0.921 0.357 -2.108 0.760
ar.S.L7 -0.4713 0.757 -0.622 0.534 -1.956 1.013
ma.S.L7 -1.0000 3.05e+04 -3.28e-05 1.000 -5.98e+04 5.98e+04
sigma2 0.9154 2.79e+04 3.28e-05 1.000 -5.48e+04 5.48e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 14.29
Prob(Q): 0.98 Prob(JB): 0.00
Heteroskedasticity (H): 0.33 Skew: -1.90
Prob(H) (two-sided): 0.31 Kurtosis: 6.45
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.07869089910025, Current Price: 120.83
SELL EXECUTED at 120.83
SELL ORDER COMPLETED at 121.28
OPERATION PROFIT, GROSS 0.37999999999999545, NET 0.13781999999999545
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.542
Date: Wed, 09 Oct 2024 AIC 35.085
Time: 14:40:41 BIC 37.909
Sample: 0 HQIC 34.504
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1108 5.890 0.019 0.985 -11.434 11.656
ma.L1 -0.1394 5.819 -0.024 0.981 -11.544 11.265
ar.S.L7 -0.4167 0.226 -1.845 0.065 -0.859 0.026
ma.S.L7 -1.0001 6416.185 -0.000 1.000 -1.26e+04 1.26e+04
sigma2 0.2428 1557.934 0.000 1.000 -3053.251 3053.736
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.30
Prob(Q): 1.00 Prob(JB): 0.86
Heteroskedasticity (H): 5.04 Skew: -0.13
Prob(H) (two-sided): 0.15 Kurtosis: 2.31
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.84340843190263, Current Price: 120.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.586
Date: Wed, 09 Oct 2024 AIC 41.171
Time: 14:40:41 BIC 43.996
Sample: 0 HQIC 40.591
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2768 1.819 -0.152 0.879 -3.842 3.289
ma.L1 0.3925 1.642 0.239 0.811 -2.825 3.610
ar.S.L7 -0.3397 0.277 -1.227 0.220 -0.882 0.203
ma.S.L7 -1.0000 1.33e+04 -7.51e-05 1.000 -2.61e+04 2.61e+04
sigma2 0.3884 5169.088 7.51e-05 1.000 -1.01e+04 1.01e+04
===================================================================================
Ljung-Box (L1) (Q): 0.30 Jarque-Bera (JB): 0.46
Prob(Q): 0.59 Prob(JB): 0.79
Heteroskedasticity (H): 2.98 Skew: 0.21
Prob(H) (two-sided): 0.32 Kurtosis: 2.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.51425707831457, Current Price: 121.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.175
Date: Wed, 09 Oct 2024 AIC 46.351
Time: 14:40:41 BIC 49.176
Sample: 0 HQIC 45.770
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.1503 0.315 3.648 0.000 0.532 1.768
ma.L1 -1.0000 6573.256 -0.000 1.000 -1.29e+04 1.29e+04
ar.S.L7 -0.5691 0.137 -4.157 0.000 -0.837 -0.301
ma.S.L7 0.4921 0.822 0.599 0.549 -1.118 2.102
sigma2 0.7562 4970.919 0.000 1.000 -9742.065 9743.578
===================================================================================
Ljung-Box (L1) (Q): 1.94 Jarque-Bera (JB): 0.09
Prob(Q): 0.16 Prob(JB): 0.95
Heteroskedasticity (H): 0.48 Skew: 0.21
Prob(H) (two-sided): 0.49 Kurtosis: 2.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.95903764519481, Current Price: 120.79
BUY EXECUTED at 120.79
BUY ORDER COMPLETED at 121.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.909
Date: Wed, 09 Oct 2024 AIC 47.819
Time: 14:40:41 BIC 50.644
Sample: 0 HQIC 47.238
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6060 1.318 0.460 0.646 -1.977 3.189
ma.L1 -0.5098 1.575 -0.324 0.746 -3.596 2.577
ar.S.L7 -0.5870 0.145 -4.040 0.000 -0.872 -0.302
ma.S.L7 0.7373 1.754 0.420 0.674 -2.700 4.175
sigma2 0.7972 1.421 0.561 0.575 -1.989 3.583
===================================================================================
Ljung-Box (L1) (Q): 1.79 Jarque-Bera (JB): 0.50
Prob(Q): 0.18 Prob(JB): 0.78
Heteroskedasticity (H): 0.79 Skew: -0.28
Prob(H) (two-sided): 0.82 Kurtosis: 2.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.51612324957043, Current Price: 121.01
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.006
Date: Wed, 09 Oct 2024 AIC 48.011
Time: 14:40:41 BIC 50.836
Sample: 0 HQIC 47.431
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6716 1.873 0.359 0.720 -3.000 4.343
ma.L1 -0.5616 2.285 -0.246 0.806 -5.040 3.917
ar.S.L7 -0.5838 0.148 -3.950 0.000 -0.874 -0.294
ma.S.L7 0.6517 1.383 0.471 0.637 -2.059 3.362
sigma2 0.8639 1.305 0.662 0.508 -1.695 3.423
===================================================================================
Ljung-Box (L1) (Q): 0.34 Jarque-Bera (JB): 0.59
Prob(Q): 0.56 Prob(JB): 0.74
Heteroskedasticity (H): 0.75 Skew: -0.13
Prob(H) (two-sided): 0.79 Kurtosis: 1.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.67788366950451, Current Price: 121.58
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.874
Date: Wed, 09 Oct 2024 AIC 45.748
Time: 14:40:41 BIC 48.573
Sample: 0 HQIC 45.167
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6202 1.245 0.498 0.618 -1.820 3.060
ma.L1 -0.4465 1.495 -0.299 0.765 -3.377 2.484
ar.S.L7 -0.6326 0.144 -4.387 0.000 -0.915 -0.350
ma.S.L7 0.4707 0.829 0.568 0.570 -1.154 2.096
sigma2 0.8155 0.804 1.015 0.310 -0.759 2.391
===================================================================================
Ljung-Box (L1) (Q): 0.38 Jarque-Bera (JB): 0.58
Prob(Q): 0.54 Prob(JB): 0.75
Heteroskedasticity (H): 0.49 Skew: 0.03
Prob(H) (two-sided): 0.51 Kurtosis: 1.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.3179806435599, Current Price: 121.94
SELL EXECUTED at 121.94
SELL ORDER COMPLETED at 122.8
OPERATION PROFIT, GROSS 1.6899999999999977, NET 1.4460899999999977
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.024
Date: Wed, 09 Oct 2024 AIC 46.047
Time: 14:40:41 BIC 48.872
Sample: 0 HQIC 45.467
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4058 0.330 1.229 0.219 -0.241 1.053
ma.L1 -0.2211 0.508 -0.435 0.663 -1.216 0.774
ar.S.L7 -0.6377 0.132 -4.846 0.000 -0.896 -0.380
ma.S.L7 1.0003 2898.693 0.000 1.000 -5680.333 5682.334
sigma2 0.5571 1614.820 0.000 1.000 -3164.432 3165.546
===================================================================================
Ljung-Box (L1) (Q): 0.29 Jarque-Bera (JB): 0.75
Prob(Q): 0.59 Prob(JB): 0.69
Heteroskedasticity (H): 0.37 Skew: -0.20
Prob(H) (two-sided): 0.36 Kurtosis: 1.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.19672664839726, Current Price: 122.73
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.585
Date: Wed, 09 Oct 2024 AIC 35.170
Time: 14:40:41 BIC 37.995
Sample: 0 HQIC 34.590
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7939 0.260 3.049 0.002 0.284 1.304
ma.L1 -1.0012 77.274 -0.013 0.990 -152.455 150.453
ar.S.L7 -0.0048 0.015 -0.325 0.745 -0.034 0.024
ma.S.L7 -0.3041 0.376 -0.808 0.419 -1.042 0.434
sigma2 0.3718 28.785 0.013 0.990 -56.047 56.790
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 0.65
Prob(Q): 0.65 Prob(JB): 0.72
Heteroskedasticity (H): 0.54 Skew: 0.11
Prob(H) (two-sided): 0.57 Kurtosis: 1.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.31736490218773, Current Price: 123.64
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.730
Date: Wed, 09 Oct 2024 AIC 31.460
Time: 14:40:41 BIC 34.285
Sample: 0 HQIC 30.880
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6679 0.202 3.307 0.001 0.272 1.064
ma.L1 -0.3551 0.175 -2.034 0.042 -0.697 -0.013
ar.S.L7 -0.1010 0.405 -0.249 0.803 -0.895 0.693
ma.S.L7 -1.8309 3.213 -0.570 0.569 -8.129 4.467
sigma2 0.0767 0.248 0.309 0.757 -0.410 0.563
===================================================================================
Ljung-Box (L1) (Q): 0.92 Jarque-Bera (JB): 0.34
Prob(Q): 0.34 Prob(JB): 0.84
Heteroskedasticity (H): 4.08 Skew: -0.39
Prob(H) (two-sided): 0.20 Kurtosis: 3.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.7041802287916, Current Price: 124.3
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -8.670
Date: Wed, 09 Oct 2024 AIC 27.339
Time: 14:40:41 BIC 30.164
Sample: 0 HQIC 26.759
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.0172 0.107 9.529 0.000 0.808 1.226
ma.L1 -1.0000 1.93e+04 -5.19e-05 1.000 -3.77e+04 3.77e+04
ar.S.L7 -0.2492 0.213 -1.168 0.243 -0.668 0.169
ma.S.L7 -1.0001 1.69e+04 -5.91e-05 1.000 -3.32e+04 3.32e+04
sigma2 0.1076 3151.490 3.41e-05 1.000 -6176.700 6176.915
===================================================================================
Ljung-Box (L1) (Q): 0.67 Jarque-Bera (JB): 0.50
Prob(Q): 0.41 Prob(JB): 0.78
Heteroskedasticity (H): 2.53 Skew: 0.06
Prob(H) (two-sided): 0.39 Kurtosis: 2.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.73905360633688, Current Price: 124.39
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.257
Date: Wed, 09 Oct 2024 AIC 32.515
Time: 14:40:41 BIC 35.340
Sample: 0 HQIC 31.934
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4554 1.451 0.314 0.754 -2.389 3.300
ma.L1 0.3366 0.883 0.381 0.703 -1.394 2.067
ar.S.L7 -0.4608 0.130 -3.546 0.000 -0.715 -0.206
ma.S.L7 0.2851 0.689 0.414 0.679 -1.066 1.636
sigma2 0.3152 0.154 2.050 0.040 0.014 0.617
===================================================================================
Ljung-Box (L1) (Q): 0.27 Jarque-Bera (JB): 0.96
Prob(Q): 0.60 Prob(JB): 0.62
Heteroskedasticity (H): 0.14 Skew: 0.27
Prob(H) (two-sided): 0.08 Kurtosis: 4.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.0961652460928, Current Price: 122.15
BUY EXECUTED at 122.15
BUY ORDER COMPLETED at 122.12
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.231
Date: Wed, 09 Oct 2024 AIC 44.462
Time: 14:40:41 BIC 47.287
Sample: 0 HQIC 43.881
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2330 1.291 0.180 0.857 -2.298 2.764
ma.L1 -0.5811 0.815 -0.713 0.476 -2.178 1.016
ar.S.L7 -0.1770 0.210 -0.841 0.400 -0.589 0.235
ma.S.L7 1.0003 6857.497 0.000 1.000 -1.34e+04 1.34e+04
sigma2 0.5001 3429.340 0.000 1.000 -6720.883 6721.883
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 1.42
Prob(Q): 0.69 Prob(JB): 0.49
Heteroskedasticity (H): 2.35 Skew: -0.77
Prob(H) (two-sided): 0.43 Kurtosis: 3.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.10160419784822, Current Price: 121.64
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.051
Date: Wed, 09 Oct 2024 AIC 46.102
Time: 14:40:41 BIC 48.927
Sample: 0 HQIC 45.522
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1423 2.725 0.052 0.958 -5.198 5.483
ma.L1 0.1762 3.001 0.059 0.953 -5.706 6.058
ar.S.L7 -0.3835 0.164 -2.338 0.019 -0.705 -0.062
ma.S.L7 0.2583 1.419 0.182 0.856 -2.523 3.040
sigma2 0.9159 0.450 2.036 0.042 0.034 1.798
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 9.75
Prob(Q): 1.00 Prob(JB): 0.01
Heteroskedasticity (H): 2.68 Skew: -1.64
Prob(H) (two-sided): 0.36 Kurtosis: 5.69
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.72285892966532, Current Price: 121.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.050
Date: Wed, 09 Oct 2024 AIC 46.100
Time: 14:40:41 BIC 48.925
Sample: 0 HQIC 45.520
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2132 2.683 0.079 0.937 -5.045 5.472
ma.L1 0.1242 3.018 0.041 0.967 -5.791 6.039
ar.S.L7 -0.3806 0.169 -2.246 0.025 -0.713 -0.048
ma.S.L7 0.2100 1.322 0.159 0.874 -2.381 2.801
sigma2 0.9245 0.381 2.429 0.015 0.179 1.670
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 9.93
Prob(Q): 0.99 Prob(JB): 0.01
Heteroskedasticity (H): 2.63 Skew: -1.66
Prob(H) (two-sided): 0.37 Kurtosis: 5.72
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.14104852171525, Current Price: 119.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.636
Date: Wed, 09 Oct 2024 AIC 45.273
Time: 14:40:41 BIC 48.097
Sample: 0 HQIC 44.692
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2352 0.940 -0.250 0.803 -2.078 1.608
ma.L1 1.0000 1.04e+04 9.64e-05 1.000 -2.03e+04 2.03e+04
ar.S.L7 -0.7799 0.243 -3.204 0.001 -1.257 -0.303
ma.S.L7 0.0994 0.680 0.146 0.884 -1.232 1.431
sigma2 0.7754 8042.900 9.64e-05 1.000 -1.58e+04 1.58e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 4.23
Prob(Q): 0.86 Prob(JB): 0.12
Heteroskedasticity (H): 13.55 Skew: -1.33
Prob(H) (two-sided): 0.03 Kurtosis: 3.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.87671557493357, Current Price: 117.1
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.908
Date: Wed, 09 Oct 2024 AIC 45.815
Time: 14:40:41 BIC 48.640
Sample: 0 HQIC 45.235
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1836 0.369 0.498 0.618 -0.539 0.906
ma.L1 1.0000 4667.270 0.000 1.000 -9146.681 9148.681
ar.S.L7 -0.9543 0.098 -9.749 0.000 -1.146 -0.762
ma.S.L7 0.1983 0.659 0.301 0.764 -1.094 1.490
sigma2 0.7789 3635.656 0.000 1.000 -7124.976 7126.533
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.82
Prob(Q): 0.77 Prob(JB): 0.66
Heteroskedasticity (H): 2.97 Skew: -0.22
Prob(H) (two-sided): 0.32 Kurtosis: 1.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.0379489460132, Current Price: 116.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.420
Date: Wed, 09 Oct 2024 AIC 50.840
Time: 14:40:41 BIC 53.665
Sample: 0 HQIC 50.260
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7380 0.941 0.784 0.433 -1.107 2.583
ma.L1 -8.0663 37.377 -0.216 0.829 -81.323 65.190
ar.S.L7 -0.5656 2.238 -0.253 0.801 -4.952 3.821
ma.S.L7 -9.4530 235.942 -0.040 0.968 -471.890 452.984
sigma2 0.0002 0.011 0.021 0.983 -0.021 0.021
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 2.94
Prob(Q): 0.98 Prob(JB): 0.23
Heteroskedasticity (H): 9.58 Skew: -1.16
Prob(H) (two-sided): 0.05 Kurtosis: 3.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.46376460489319, Current Price: 117.12
SELL EXECUTED at 117.12
SELL ORDER COMPLETED at 117.27
OPERATION PROFIT, GROSS -4.8500000000000085, NET -5.089390000000009
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.275
Date: Wed, 09 Oct 2024 AIC 50.550
Time: 14:40:42 BIC 53.374
Sample: 0 HQIC 49.969
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0666 0.513 -0.130 0.897 -1.073 0.939
ma.L1 1.0000 1751.751 0.001 1.000 -3432.368 3434.368
ar.S.L7 -0.9365 0.274 -3.421 0.001 -1.473 -0.400
ma.S.L7 -0.6632 2.698 -0.246 0.806 -5.952 4.626
sigma2 0.9974 1747.380 0.001 1.000 -3423.804 3425.799
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.08
Prob(Q): 0.98 Prob(JB): 0.96
Heteroskedasticity (H): 8.93 Skew: -0.19
Prob(H) (two-sided): 0.06 Kurtosis: 2.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.65326290860067, Current Price: 116.77
BUY EXECUTED at 116.77
BUY ORDER COMPLETED at 116.91
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.430
Date: Wed, 09 Oct 2024 AIC 52.860
Time: 14:40:42 BIC 55.685
Sample: 0 HQIC 52.280
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1063 0.619 0.172 0.864 -1.108 1.320
ma.L1 0.6181 0.481 1.284 0.199 -0.326 1.562
ar.S.L7 -0.5606 0.457 -1.228 0.219 -1.455 0.334
ma.S.L7 0.1118 1.071 0.104 0.917 -1.988 2.211
sigma2 1.5655 0.804 1.948 0.051 -0.009 3.140
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.43
Prob(Q): 0.83 Prob(JB): 0.81
Heteroskedasticity (H): 5.59 Skew: -0.41
Prob(H) (two-sided): 0.12 Kurtosis: 2.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.5199808168452, Current Price: 116.17
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.945
Date: Wed, 09 Oct 2024 AIC 51.890
Time: 14:40:42 BIC 54.714
Sample: 0 HQIC 51.309
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0241 0.517 -0.047 0.963 -1.038 0.989
ma.L1 1.0000 3249.545 0.000 1.000 -6367.990 6369.990
ar.S.L7 -0.6281 0.342 -1.834 0.067 -1.299 0.043
ma.S.L7 0.2867 1.019 0.281 0.779 -1.711 2.284
sigma2 1.2224 3972.246 0.000 1.000 -7784.237 7786.682
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 0.24
Prob(Q): 0.72 Prob(JB): 0.89
Heteroskedasticity (H): 6.47 Skew: -0.25
Prob(H) (two-sided): 0.10 Kurtosis: 2.58
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.33191466518174, Current Price: 115.15
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.291
Date: Wed, 09 Oct 2024 AIC 52.583
Time: 14:40:42 BIC 55.407
Sample: 0 HQIC 52.002
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1366 0.394 0.346 0.729 -0.637 0.910
ma.L1 1.0000 8259.578 0.000 1.000 -1.62e+04 1.62e+04
ar.S.L7 -0.5857 0.207 -2.823 0.005 -0.992 -0.179
ma.S.L7 1.0002 4822.950 0.000 1.000 -9451.808 9453.808
sigma2 0.7857 9023.810 8.71e-05 1.000 -1.77e+04 1.77e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.07
Prob(Q): 0.84 Prob(JB): 0.97
Heteroskedasticity (H): 0.62 Skew: -0.01
Prob(H) (two-sided): 0.66 Kurtosis: 2.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.49544780012202, Current Price: 115.58
SELL EXECUTED at 115.58
SELL ORDER COMPLETED at 115.72
OPERATION PROFIT, GROSS -1.1899999999999977, NET -1.4226299999999976
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.621
Date: Wed, 09 Oct 2024 AIC 53.242
Time: 14:40:42 BIC 56.066
Sample: 0 HQIC 52.661
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0668 0.780 0.086 0.932 -1.462 1.596
ma.L1 0.4742 0.752 0.631 0.528 -1.000 1.948
ar.S.L7 -0.4907 1.282 -0.383 0.702 -3.004 2.023
ma.S.L7 -0.4171 1.973 -0.211 0.833 -4.284 3.450
sigma2 1.5099 1.498 1.008 0.314 -1.427 4.447
===================================================================================
Ljung-Box (L1) (Q): 0.82 Jarque-Bera (JB): 0.09
Prob(Q): 0.36 Prob(JB): 0.96
Heteroskedasticity (H): 0.43 Skew: 0.02
Prob(H) (two-sided): 0.43 Kurtosis: 2.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.07831069054471, Current Price: 115.54
BUY EXECUTED at 115.54
BUY ORDER COMPLETED at 113.87
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.690
Date: Wed, 09 Oct 2024 AIC 53.381
Time: 14:40:42 BIC 56.206
Sample: 0 HQIC 52.800
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0648 0.868 0.075 0.941 -1.636 1.766
ma.L1 0.4765 0.775 0.615 0.539 -1.043 1.996
ar.S.L7 -0.4631 0.946 -0.489 0.625 -2.318 1.392
ma.S.L7 -0.3740 1.460 -0.256 0.798 -3.236 2.488
sigma2 1.5506 1.148 1.350 0.177 -0.700 3.801
===================================================================================
Ljung-Box (L1) (Q): 0.87 Jarque-Bera (JB): 0.06
Prob(Q): 0.35 Prob(JB): 0.97
Heteroskedasticity (H): 0.26 Skew: 0.07
Prob(H) (two-sided): 0.21 Kurtosis: 2.69
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.69344010230917, Current Price: 113.25
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.208
Date: Wed, 09 Oct 2024 AIC 54.417
Time: 14:40:42 BIC 57.241
Sample: 0 HQIC 53.836
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0976 0.658 -0.148 0.882 -1.387 1.191
ma.L1 1.0000 6351.997 0.000 1.000 -1.24e+04 1.25e+04
ar.S.L7 -0.3289 0.356 -0.924 0.356 -1.027 0.369
ma.S.L7 -0.1862 0.645 -0.289 0.773 -1.450 1.078
sigma2 1.5798 1e+04 0.000 1.000 -1.97e+04 1.97e+04
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.38
Prob(Q): 0.73 Prob(JB): 0.83
Heteroskedasticity (H): 0.65 Skew: 0.25
Prob(H) (two-sided): 0.68 Kurtosis: 2.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.57383297389799, Current Price: 112.61
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.911
Date: Wed, 09 Oct 2024 AIC 45.822
Time: 14:40:42 BIC 48.647
Sample: 0 HQIC 45.241
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1526 0.236 0.647 0.518 -0.310 0.615
ma.L1 1.0000 1.35e+04 7.41e-05 1.000 -2.65e+04 2.65e+04
ar.S.L7 -0.0938 0.193 -0.486 0.627 -0.472 0.284
ma.S.L7 -1.0000 2.12e+04 -4.72e-05 1.000 -4.15e+04 4.15e+04
sigma2 0.5159 1.74e+04 2.97e-05 1.000 -3.41e+04 3.41e+04
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 1.15
Prob(Q): 0.80 Prob(JB): 0.56
Heteroskedasticity (H): 0.81 Skew: 0.32
Prob(H) (two-sided): 0.84 Kurtosis: 1.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.21020428374644, Current Price: 113.8
SELL EXECUTED at 113.8
SELL ORDER COMPLETED at 112.76
OPERATION PROFIT, GROSS -1.1099999999999994, NET -1.3366299999999995
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.080
Date: Wed, 09 Oct 2024 AIC 48.160
Time: 14:40:42 BIC 50.984
Sample: 0 HQIC 47.579
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2535 0.424 0.597 0.550 -0.578 1.085
ma.L1 1.0000 752.117 0.001 0.999 -1473.123 1475.123
ar.S.L7 0.0016 0.002 0.762 0.446 -0.002 0.006
ma.S.L7 -0.9998 2926.207 -0.000 1.000 -5736.259 5734.260
sigma2 0.6773 2223.553 0.000 1.000 -4357.406 4358.761
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 0.85
Prob(Q): 0.62 Prob(JB): 0.65
Heteroskedasticity (H): 1.42 Skew: 0.17
Prob(H) (two-sided): 0.74 Kurtosis: 1.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.59179066200504, Current Price: 113.27
BUY EXECUTED at 113.27
BUY ORDER COMPLETED at 112.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.560
Date: Wed, 09 Oct 2024 AIC 51.120
Time: 14:40:42 BIC 53.945
Sample: 0 HQIC 50.539
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -8.207e-05 0.455 -0.000 1.000 -0.892 0.892
ma.L1 1.0000 487.962 0.002 0.998 -955.389 957.389
ar.S.L7 -0.0006 0.001 -1.038 0.299 -0.002 0.001
ma.S.L7 -1.0393 18.094 -0.057 0.954 -36.502 34.423
sigma2 0.8804 428.900 0.002 0.998 -839.748 841.508
===================================================================================
Ljung-Box (L1) (Q): 0.28 Jarque-Bera (JB): 0.68
Prob(Q): 0.59 Prob(JB): 0.71
Heteroskedasticity (H): 1.40 Skew: -0.19
Prob(H) (two-sided): 0.75 Kurtosis: 1.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.54882597676487, Current Price: 111.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.017
Date: Wed, 09 Oct 2024 AIC 52.035
Time: 14:40:42 BIC 54.859
Sample: 0 HQIC 51.454
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1088 0.458 -0.238 0.812 -1.006 0.789
ma.L1 0.9157 0.684 1.338 0.181 -0.426 2.257
ar.S.L7 -0.1083 0.390 -0.277 0.781 -0.873 0.657
ma.S.L7 -0.3429 0.564 -0.608 0.543 -1.449 0.763
sigma2 1.3649 0.967 1.412 0.158 -0.530 3.260
===================================================================================
Ljung-Box (L1) (Q): 0.71 Jarque-Bera (JB): 0.54
Prob(Q): 0.40 Prob(JB): 0.76
Heteroskedasticity (H): 1.33 Skew: 0.11
Prob(H) (two-sided): 0.79 Kurtosis: 2.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.05315700861358, Current Price: 111.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.628
Date: Wed, 09 Oct 2024 AIC 49.256
Time: 14:40:42 BIC 52.080
Sample: 0 HQIC 48.675
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4759 0.463 -1.027 0.304 -1.384 0.432
ma.L1 1.0000 3.35e+04 2.99e-05 1.000 -6.56e+04 6.56e+04
ar.S.L7 -0.2421 1.098 -0.221 0.825 -2.394 1.910
ma.S.L7 -0.2242 1.523 -0.147 0.883 -3.208 2.760
sigma2 1.0396 3.48e+04 2.99e-05 1.000 -6.82e+04 6.82e+04
===================================================================================
Ljung-Box (L1) (Q): 0.91 Jarque-Bera (JB): 0.48
Prob(Q): 0.34 Prob(JB): 0.79
Heteroskedasticity (H): 1.91 Skew: 0.37
Prob(H) (two-sided): 0.55 Kurtosis: 2.42
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.36274392851188, Current Price: 112.14
SELL EXECUTED at 112.14
SELL ORDER COMPLETED at 111.15
OPERATION PROFIT, GROSS -1.539999999999992, NET -1.763839999999992
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.260
Date: Wed, 09 Oct 2024 AIC 50.520
Time: 14:40:42 BIC 53.345
Sample: 0 HQIC 49.940
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3251 0.676 -0.481 0.630 -1.649 0.999
ma.L1 1.2240 0.751 1.631 0.103 -0.247 2.695
ar.S.L7 -0.2337 0.381 -0.613 0.540 -0.981 0.513
ma.S.L7 -0.1117 0.693 -0.161 0.872 -1.469 1.246
sigma2 0.8671 1.012 0.857 0.391 -1.116 2.850
===================================================================================
Ljung-Box (L1) (Q): 0.53 Jarque-Bera (JB): 0.50
Prob(Q): 0.47 Prob(JB): 0.78
Heteroskedasticity (H): 1.39 Skew: 0.01
Prob(H) (two-sided): 0.76 Kurtosis: 2.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.19321551626166, Current Price: 111.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.784
Date: Wed, 09 Oct 2024 AIC 49.568
Time: 14:40:42 BIC 52.392
Sample: 0 HQIC 48.987
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4605 0.093 -4.937 0.000 -0.643 -0.278
ma.L1 1.0002 566.255 0.002 0.999 -1108.840 1110.840
ar.S.L7 -0.3421 0.228 -1.501 0.133 -0.789 0.105
ma.S.L7 0.3007 1.059 0.284 0.776 -1.775 2.376
sigma2 1.0089 570.742 0.002 0.999 -1117.625 1119.642
===================================================================================
Ljung-Box (L1) (Q): 0.45 Jarque-Bera (JB): 0.85
Prob(Q): 0.50 Prob(JB): 0.65
Heteroskedasticity (H): 1.05 Skew: 0.05
Prob(H) (two-sided): 0.96 Kurtosis: 1.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.01113379563485, Current Price: 111.43
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.536
Date: Wed, 09 Oct 2024 AIC 49.071
Time: 14:40:42 BIC 51.896
Sample: 0 HQIC 48.491
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4938 0.420 -1.176 0.240 -1.317 0.329
ma.L1 1.0000 2.07e+04 4.83e-05 1.000 -4.06e+04 4.06e+04
ar.S.L7 -0.3438 0.231 -1.491 0.136 -0.796 0.108
ma.S.L7 0.3010 0.924 0.326 0.745 -1.510 2.112
sigma2 0.9489 1.96e+04 4.83e-05 1.000 -3.85e+04 3.85e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.55
Prob(Q): 0.86 Prob(JB): 0.76
Heteroskedasticity (H): 1.03 Skew: -0.05
Prob(H) (two-sided): 0.98 Kurtosis: 2.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.6997527303101, Current Price: 111.83
BUY EXECUTED at 111.83
BUY ORDER COMPLETED at 111.72
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.242
Date: Wed, 09 Oct 2024 AIC 48.485
Time: 14:40:42 BIC 51.309
Sample: 0 HQIC 47.904
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3043 0.828 -0.368 0.713 -1.926 1.318
ma.L1 1.1941 0.798 1.497 0.134 -0.369 2.757
ar.S.L7 -0.3415 0.274 -1.248 0.212 -0.878 0.195
ma.S.L7 0.2348 0.818 0.287 0.774 -1.368 1.837
sigma2 0.7512 0.880 0.853 0.393 -0.974 2.476
===================================================================================
Ljung-Box (L1) (Q): 0.54 Jarque-Bera (JB): 0.37
Prob(Q): 0.46 Prob(JB): 0.83
Heteroskedasticity (H): 0.57 Skew: 0.08
Prob(H) (two-sided): 0.60 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.90173074209066, Current Price: 111.57
SELL EXECUTED at 111.57
SELL ORDER COMPLETED at 111.18
OPERATION PROFIT, GROSS -0.539999999999992, NET -0.762899999999992
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.505
Date: Wed, 09 Oct 2024 AIC 49.011
Time: 14:40:42 BIC 51.835
Sample: 0 HQIC 48.430
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3601 0.670 -0.538 0.591 -1.673 0.953
ma.L1 0.8054 0.661 1.218 0.223 -0.490 2.101
ar.S.L7 -0.3689 0.263 -1.400 0.161 -0.885 0.148
ma.S.L7 0.0685 1.035 0.066 0.947 -1.960 2.097
sigma2 1.1545 0.887 1.302 0.193 -0.584 2.893
===================================================================================
Ljung-Box (L1) (Q): 0.26 Jarque-Bera (JB): 0.08
Prob(Q): 0.61 Prob(JB): 0.96
Heteroskedasticity (H): 0.11 Skew: 0.03
Prob(H) (two-sided): 0.06 Kurtosis: 2.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.46064591820128, Current Price: 110.4
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.499
Date: Wed, 09 Oct 2024 AIC 44.998
Time: 14:40:42 BIC 47.822
Sample: 0 HQIC 44.417
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2509 0.641 -0.391 0.696 -1.508 1.006
ma.L1 0.7508 0.662 1.134 0.257 -0.547 2.048
ar.S.L7 0.0017 0.005 0.344 0.731 -0.008 0.011
ma.S.L7 -0.4934 2.033 -0.243 0.808 -4.478 3.491
sigma2 0.8038 0.626 1.285 0.199 -0.423 2.030
===================================================================================
Ljung-Box (L1) (Q): 1.20 Jarque-Bera (JB): 0.09
Prob(Q): 0.27 Prob(JB): 0.96
Heteroskedasticity (H): 0.01 Skew: 0.20
Prob(H) (two-sided): 0.00 Kurtosis: 3.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.03941238424909, Current Price: 110.82
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.449
Date: Wed, 09 Oct 2024 AIC 42.898
Time: 14:40:42 BIC 45.723
Sample: 0 HQIC 42.318
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4279 0.998 -0.429 0.668 -2.385 1.529
ma.L1 0.7621 0.888 0.858 0.391 -0.979 2.503
ar.S.L7 0.1043 0.497 0.210 0.834 -0.869 1.078
ma.S.L7 -0.3547 0.705 -0.503 0.615 -1.737 1.028
sigma2 0.6976 0.481 1.449 0.147 -0.246 1.641
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.33
Prob(Q): 0.95 Prob(JB): 0.85
Heteroskedasticity (H): 0.20 Skew: -0.07
Prob(H) (two-sided): 0.15 Kurtosis: 2.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.30393599559027, Current Price: 110.45
BUY EXECUTED at 110.45
BUY ORDER COMPLETED at 110.95
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.417
Date: Wed, 09 Oct 2024 AIC 38.833
Time: 14:40:42 BIC 41.658
Sample: 0 HQIC 38.252
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3532 0.933 -0.379 0.705 -2.182 1.476
ma.L1 0.7696 0.672 1.145 0.252 -0.548 2.087
ar.S.L7 -0.0140 1.059 -0.013 0.989 -2.090 2.062
ma.S.L7 -0.4535 0.792 -0.573 0.567 -2.005 1.099
sigma2 0.4920 0.373 1.319 0.187 -0.239 1.223
===================================================================================
Ljung-Box (L1) (Q): 1.80 Jarque-Bera (JB): 2.33
Prob(Q): 0.18 Prob(JB): 0.31
Heteroskedasticity (H): 0.39 Skew: 1.04
Prob(H) (two-sided): 0.39 Kurtosis: 3.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 108.97703010184284, Current Price: 108.83
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.218
Date: Wed, 09 Oct 2024 AIC 32.436
Time: 14:40:42 BIC 35.260
Sample: 0 HQIC 31.855
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7838 0.176 -4.462 0.000 -1.128 -0.440
ma.L1 1.0000 2.21e+04 4.53e-05 1.000 -4.33e+04 4.33e+04
ar.S.L7 -0.0146 0.195 -0.075 0.940 -0.396 0.367
ma.S.L7 -1.0000 2.54e+04 -3.94e-05 1.000 -4.98e+04 4.98e+04
sigma2 0.1759 7170.565 2.45e-05 1.000 -1.41e+04 1.41e+04
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.49
Prob(Q): 0.81 Prob(JB): 0.78
Heteroskedasticity (H): 0.43 Skew: 0.40
Prob(H) (two-sided): 0.43 Kurtosis: 2.49
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 108.91391266920598, Current Price: 107.34
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.731
Date: Wed, 09 Oct 2024 AIC 35.461
Time: 14:40:42 BIC 38.286
Sample: 0 HQIC 34.881
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0324 1.109 0.029 0.977 -2.141 2.206
ma.L1 3.2755 10.076 0.325 0.745 -16.474 23.025
ar.S.L7 -0.1454 0.184 -0.791 0.429 -0.506 0.215
ma.S.L7 -0.3097 0.362 -0.855 0.393 -1.020 0.401
sigma2 0.0372 0.244 0.153 0.879 -0.440 0.515
===================================================================================
Ljung-Box (L1) (Q): 0.36 Jarque-Bera (JB): 0.16
Prob(Q): 0.55 Prob(JB): 0.92
Heteroskedasticity (H): 1.44 Skew: 0.09
Prob(H) (two-sided): 0.73 Kurtosis: 2.49
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 107.43605387254424, Current Price: 108.05
SELL EXECUTED at 108.05
SELL ORDER COMPLETED at 108.6
OPERATION PROFIT, GROSS -2.3500000000000085, NET -2.5695500000000084
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.981
Date: Wed, 09 Oct 2024 AIC 33.961
Time: 14:40:42 BIC 36.786
Sample: 0 HQIC 33.380
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0475 1.053 0.045 0.964 -2.017 2.112
ma.L1 0.3138 0.811 0.387 0.699 -1.275 1.903
ar.S.L7 -0.1176 0.164 -0.716 0.474 -0.439 0.204
ma.S.L7 -0.8647 3.519 -0.246 0.806 -7.761 6.032
sigma2 0.2537 0.850 0.298 0.765 -1.412 1.920
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 0.25
Prob(Q): 0.71 Prob(JB): 0.88
Heteroskedasticity (H): 0.99 Skew: -0.23
Prob(H) (two-sided): 0.99 Kurtosis: 2.51
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 107.80062443721822, Current Price: 108.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.039
Date: Wed, 09 Oct 2024 AIC 36.079
Time: 14:40:42 BIC 38.903
Sample: 0 HQIC 35.498
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4809 0.466 -1.033 0.302 -1.393 0.432
ma.L1 1.4114 0.811 1.740 0.082 -0.179 3.001
ar.S.L7 -0.2304 0.165 -1.399 0.162 -0.553 0.092
ma.S.L7 -1.0006 1739.997 -0.001 1.000 -3411.332 3409.331
sigma2 0.1269 220.854 0.001 1.000 -432.740 432.994
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.74
Prob(Q): 0.98 Prob(JB): 0.69
Heteroskedasticity (H): 1.14 Skew: -0.56
Prob(H) (two-sided): 0.90 Kurtosis: 3.35
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 107.41070307287741, Current Price: 107.79
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.633
Date: Wed, 09 Oct 2024 AIC 35.267
Time: 14:40:42 BIC 38.092
Sample: 0 HQIC 34.686
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0202 1.209 -0.017 0.987 -2.391 2.350
ma.L1 0.4282 0.789 0.543 0.587 -1.118 1.975
ar.S.L7 -0.2267 0.265 -0.855 0.392 -0.746 0.293
ma.S.L7 -1.0000 2.53e+04 -3.96e-05 1.000 -4.95e+04 4.95e+04
sigma2 0.2463 6225.643 3.96e-05 1.000 -1.22e+04 1.22e+04
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 1.02
Prob(Q): 0.72 Prob(JB): 0.60
Heteroskedasticity (H): 1.34 Skew: -0.68
Prob(H) (two-sided): 0.79 Kurtosis: 3.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 107.82296818986255, Current Price: 107.85
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.298
Date: Wed, 09 Oct 2024 AIC 28.597
Time: 14:40:42 BIC 31.421
Sample: 0 HQIC 28.016
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2281 0.815 -0.280 0.780 -1.826 1.370
ma.L1 0.5663 0.592 0.956 0.339 -0.594 1.727
ar.S.L7 -0.6082 0.328 -1.854 0.064 -1.251 0.035
ma.S.L7 -0.0586 0.267 -0.219 0.827 -0.583 0.466
sigma2 0.2442 0.097 2.515 0.012 0.054 0.435
===================================================================================
Ljung-Box (L1) (Q): 0.78 Jarque-Bera (JB): 3.47
Prob(Q): 0.38 Prob(JB): 0.18
Heteroskedasticity (H): 2.13 Skew: -1.16
Prob(H) (two-sided): 0.48 Kurtosis: 4.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 108.06842149062555, Current Price: 107.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.141
Date: Wed, 09 Oct 2024 AIC 28.283
Time: 14:40:42 BIC 31.107
Sample: 0 HQIC 27.702
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2684 1.234 -0.218 0.828 -2.687 2.150
ma.L1 0.4701 0.940 0.500 0.617 -1.373 2.313
ar.S.L7 -0.4660 0.478 -0.975 0.330 -1.403 0.471
ma.S.L7 -0.1246 0.366 -0.340 0.734 -0.843 0.594
sigma2 0.2376 0.089 2.660 0.008 0.063 0.413
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.16
Prob(Q): 0.90 Prob(JB): 0.56
Heteroskedasticity (H): 6.15 Skew: -0.65
Prob(H) (two-sided): 0.11 Kurtosis: 3.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 106.38894079262174, Current Price: 107.93
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.042
Date: Wed, 09 Oct 2024 AIC 30.084
Time: 14:40:42 BIC 32.909
Sample: 0 HQIC 29.504
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3056 0.719 0.425 0.671 -1.103 1.714
ma.L1 -0.7993 0.673 -1.188 0.235 -2.118 0.519
ar.S.L7 -0.9168 0.184 -4.969 0.000 -1.278 -0.555
ma.S.L7 0.6968 2.518 0.277 0.782 -4.238 5.632
sigma2 0.2174 0.378 0.575 0.566 -0.524 0.959
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 0.38
Prob(Q): 0.70 Prob(JB): 0.83
Heteroskedasticity (H): 8.25 Skew: -0.40
Prob(H) (two-sided): 0.07 Kurtosis: 2.74
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 106.99993379076857, Current Price: 108.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.589
Date: Wed, 09 Oct 2024 AIC 33.178
Time: 14:40:43 BIC 36.003
Sample: 0 HQIC 32.597
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3076 0.538 -0.572 0.567 -1.362 0.747
ma.L1 0.9999 824.209 0.001 0.999 -1614.421 1616.420
ar.S.L7 -0.8828 0.278 -3.181 0.001 -1.427 -0.339
ma.S.L7 0.6631 1.027 0.645 0.519 -1.350 2.676
sigma2 0.2429 200.325 0.001 0.999 -392.388 392.874
===================================================================================
Ljung-Box (L1) (Q): 0.97 Jarque-Bera (JB): 0.28
Prob(Q): 0.33 Prob(JB): 0.87
Heteroskedasticity (H): 10.23 Skew: -0.12
Prob(H) (two-sided): 0.04 Kurtosis: 2.33
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 108.73852742912868, Current Price: 108.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.449
Date: Wed, 09 Oct 2024 AIC 34.898
Time: 14:40:43 BIC 37.722
Sample: 0 HQIC 34.317
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3402 0.693 -0.491 0.623 -1.699 1.018
ma.L1 1.0000 4483.497 0.000 1.000 -8786.494 8788.494
ar.S.L7 -0.8641 0.251 -3.444 0.001 -1.356 -0.372
ma.S.L7 0.4502 0.997 0.451 0.652 -1.505 2.405
sigma2 0.3138 1406.949 0.000 1.000 -2757.255 2757.882
===================================================================================
Ljung-Box (L1) (Q): 0.85 Jarque-Bera (JB): 0.64
Prob(Q): 0.36 Prob(JB): 0.73
Heteroskedasticity (H): 2.82 Skew: -0.54
Prob(H) (two-sided): 0.34 Kurtosis: 3.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 109.08194575110569, Current Price: 110.29
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.713
Date: Wed, 09 Oct 2024 AIC 37.426
Time: 14:40:43 BIC 40.251
Sample: 0 HQIC 36.846
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3727 0.171 -2.177 0.029 -0.708 -0.037
ma.L1 1.0000 8349.053 0.000 1.000 -1.64e+04 1.64e+04
ar.S.L7 -0.9632 0.233 -4.140 0.000 -1.419 -0.507
ma.S.L7 1.0000 3.59e+04 2.79e-05 1.000 -7.04e+04 7.04e+04
sigma2 0.2427 9206.872 2.64e-05 1.000 -1.8e+04 1.8e+04
===================================================================================
Ljung-Box (L1) (Q): 0.76 Jarque-Bera (JB): 0.81
Prob(Q): 0.38 Prob(JB): 0.67
Heteroskedasticity (H): 1.48 Skew: -0.57
Prob(H) (two-sided): 0.71 Kurtosis: 2.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.1129835968849, Current Price: 109.61
BUY EXECUTED at 109.61
BUY ORDER COMPLETED at 109.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.814
Date: Wed, 09 Oct 2024 AIC 37.628
Time: 14:40:43 BIC 40.453
Sample: 0 HQIC 37.047
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5059 0.541 -0.935 0.350 -1.566 0.554
ma.L1 1.0001 1439.586 0.001 0.999 -2820.537 2822.537
ar.S.L7 -0.9578 0.210 -4.570 0.000 -1.369 -0.547
ma.S.L7 1.0019 563.563 0.002 0.999 -1103.561 1105.565
sigma2 0.2373 401.738 0.001 1.000 -787.154 787.629
===================================================================================
Ljung-Box (L1) (Q): 1.36 Jarque-Bera (JB): 0.68
Prob(Q): 0.24 Prob(JB): 0.71
Heteroskedasticity (H): 1.67 Skew: -0.30
Prob(H) (two-sided): 0.63 Kurtosis: 2.05
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 109.95673473344259, Current Price: 110.47
SELL EXECUTED at 110.47
SELL ORDER COMPLETED at 111.06
OPERATION PROFIT, GROSS 1.4399999999999977, NET 1.2193199999999977
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.985
Date: Wed, 09 Oct 2024 AIC 37.970
Time: 14:40:43 BIC 40.795
Sample: 0 HQIC 37.389
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2954 2.432 -0.121 0.903 -5.063 4.472
ma.L1 0.4564 2.409 0.189 0.850 -4.266 5.179
ar.S.L7 -0.9965 0.206 -4.838 0.000 -1.400 -0.593
ma.S.L7 1.0001 1.07e+04 9.39e-05 1.000 -2.09e+04 2.09e+04
sigma2 0.3030 3228.650 9.39e-05 1.000 -6327.735 6328.341
===================================================================================
Ljung-Box (L1) (Q): 0.53 Jarque-Bera (JB): 0.70
Prob(Q): 0.47 Prob(JB): 0.70
Heteroskedasticity (H): 0.76 Skew: -0.37
Prob(H) (two-sided): 0.80 Kurtosis: 2.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 109.71019750770847, Current Price: 110.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.350
Date: Wed, 09 Oct 2024 AIC 38.700
Time: 14:40:43 BIC 41.525
Sample: 0 HQIC 38.120
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3376 0.199 -1.696 0.090 -0.728 0.053
ma.L1 1.0000 1.07e+04 9.33e-05 1.000 -2.1e+04 2.1e+04
ar.S.L7 -0.9707 0.304 -3.191 0.001 -1.567 -0.374
ma.S.L7 0.4532 1.483 0.306 0.760 -2.453 3.359
sigma2 0.4206 4505.978 9.33e-05 1.000 -8831.133 8831.975
===================================================================================
Ljung-Box (L1) (Q): 1.60 Jarque-Bera (JB): 0.74
Prob(Q): 0.21 Prob(JB): 0.69
Heteroskedasticity (H): 1.38 Skew: -0.53
Prob(H) (two-sided): 0.76 Kurtosis: 2.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 109.74846201001002, Current Price: 112.58
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.458
Date: Wed, 09 Oct 2024 AIC 44.917
Time: 14:40:43 BIC 47.741
Sample: 0 HQIC 44.336
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1874 0.712 0.263 0.793 -1.209 1.584
ma.L1 0.2022 0.827 0.244 0.807 -1.419 1.823
ar.S.L7 0.4517 0.457 0.989 0.323 -0.444 1.347
ma.S.L7 -0.7343 1.741 -0.422 0.673 -4.147 2.678
sigma2 0.6588 1.213 0.543 0.587 -1.719 3.037
===================================================================================
Ljung-Box (L1) (Q): 0.52 Jarque-Bera (JB): 0.97
Prob(Q): 0.47 Prob(JB): 0.61
Heteroskedasticity (H): 1.63 Skew: -0.44
Prob(H) (two-sided): 0.65 Kurtosis: 1.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.46966592306985, Current Price: 111.75
BUY EXECUTED at 111.75
BUY ORDER COMPLETED at 112.39
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.981
Date: Wed, 09 Oct 2024 AIC 45.961
Time: 14:40:43 BIC 48.786
Sample: 0 HQIC 45.380
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4993 0.708 0.705 0.481 -0.889 1.887
ma.L1 -0.2990 0.855 -0.350 0.726 -1.974 1.376
ar.S.L7 -0.6383 0.366 -1.746 0.081 -1.355 0.078
ma.S.L7 0.5940 1.744 0.341 0.733 -2.825 4.013
sigma2 0.7674 1.015 0.756 0.449 -1.221 2.756
===================================================================================
Ljung-Box (L1) (Q): 1.65 Jarque-Bera (JB): 0.49
Prob(Q): 0.20 Prob(JB): 0.78
Heteroskedasticity (H): 3.79 Skew: -0.26
Prob(H) (two-sided): 0.23 Kurtosis: 2.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.07331607100762, Current Price: 112.67
SELL EXECUTED at 112.67
SELL ORDER COMPLETED at 112.94
OPERATION PROFIT, GROSS 0.5499999999999972, NET 0.3246699999999971
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.896
Date: Wed, 09 Oct 2024 AIC 43.792
Time: 14:40:43 BIC 46.616
Sample: 0 HQIC 43.211
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3576 1.907 0.187 0.851 -3.381 4.096
ma.L1 -0.2133 2.077 -0.103 0.918 -4.284 3.857
ar.S.L7 -0.6173 0.288 -2.143 0.032 -1.182 -0.053
ma.S.L7 1.0000 2.58e+04 3.88e-05 1.000 -5.06e+04 5.06e+04
sigma2 0.4741 1.22e+04 3.88e-05 1.000 -2.4e+04 2.4e+04
===================================================================================
Ljung-Box (L1) (Q): 1.76 Jarque-Bera (JB): 0.20
Prob(Q): 0.18 Prob(JB): 0.90
Heteroskedasticity (H): 2.95 Skew: -0.17
Prob(H) (two-sided): 0.32 Kurtosis: 2.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.20899757560929, Current Price: 113.15
BUY EXECUTED at 113.15
BUY ORDER COMPLETED at 112.87
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.603
Date: Wed, 09 Oct 2024 AIC 45.207
Time: 14:40:43 BIC 48.032
Sample: 0 HQIC 44.626
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3133 3.710 0.084 0.933 -6.958 7.584
ma.L1 -0.2242 3.849 -0.058 0.954 -7.768 7.319
ar.S.L7 -0.6031 0.272 -2.216 0.027 -1.136 -0.070
ma.S.L7 0.5665 1.352 0.419 0.675 -2.083 3.216
sigma2 0.7574 0.898 0.843 0.399 -1.003 2.518
===================================================================================
Ljung-Box (L1) (Q): 1.12 Jarque-Bera (JB): 0.50
Prob(Q): 0.29 Prob(JB): 0.78
Heteroskedasticity (H): 1.97 Skew: 0.03
Prob(H) (two-sided): 0.53 Kurtosis: 2.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.37341839970931, Current Price: 113.5
SELL EXECUTED at 113.5
SELL ORDER COMPLETED at 114.52
OPERATION PROFIT, GROSS 1.6499999999999915, NET 1.4226099999999915
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.631
Date: Wed, 09 Oct 2024 AIC 47.262
Time: 14:40:43 BIC 50.087
Sample: 0 HQIC 46.682
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4173 1.930 0.216 0.829 -3.365 4.200
ma.L1 -0.3165 1.890 -0.168 0.867 -4.020 3.387
ar.S.L7 -0.5536 0.362 -1.528 0.126 -1.264 0.156
ma.S.L7 3.3748 13.021 0.259 0.795 -22.146 28.895
sigma2 0.0870 0.612 0.142 0.887 -1.113 1.287
===================================================================================
Ljung-Box (L1) (Q): 2.84 Jarque-Bera (JB): 0.73
Prob(Q): 0.09 Prob(JB): 0.69
Heteroskedasticity (H): 0.82 Skew: -0.13
Prob(H) (two-sided): 0.85 Kurtosis: 1.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.18353863673299, Current Price: 113.91
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.019
Date: Wed, 09 Oct 2024 AIC 46.038
Time: 14:40:43 BIC 48.863
Sample: 0 HQIC 45.457
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0195 0.397 -2.568 0.010 -1.797 -0.242
ma.L1 1.0000 1.43e+04 6.98e-05 1.000 -2.81e+04 2.81e+04
ar.S.L7 -0.4464 0.203 -2.202 0.028 -0.844 -0.049
ma.S.L7 1.0006 1647.799 0.001 1.000 -3228.626 3230.627
sigma2 0.4532 6772.694 6.69e-05 1.000 -1.33e+04 1.33e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.52
Prob(Q): 1.00 Prob(JB): 0.77
Heteroskedasticity (H): 0.12 Skew: -0.17
Prob(H) (two-sided): 0.06 Kurtosis: 2.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.43041881472433, Current Price: 114.21
BUY EXECUTED at 114.21
BUY ORDER COMPLETED at 115.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.497
Date: Wed, 09 Oct 2024 AIC 44.995
Time: 14:40:43 BIC 47.819
Sample: 0 HQIC 44.414
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3814 1.513 -0.252 0.801 -3.346 2.583
ma.L1 0.2765 1.540 0.179 0.858 -2.743 3.296
ar.S.L7 -0.4361 0.317 -1.377 0.169 -1.057 0.185
ma.S.L7 0.3957 1.179 0.336 0.737 -1.914 2.706
sigma2 0.8081 0.725 1.115 0.265 -0.612 2.228
===================================================================================
Ljung-Box (L1) (Q): 1.50 Jarque-Bera (JB): 0.43
Prob(Q): 0.22 Prob(JB): 0.81
Heteroskedasticity (H): 0.40 Skew: -0.01
Prob(H) (two-sided): 0.40 Kurtosis: 2.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.98887964536605, Current Price: 115.85
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.263
Date: Wed, 09 Oct 2024 AIC 36.525
Time: 14:40:43 BIC 39.350
Sample: 0 HQIC 35.944
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0131 0.218 -4.643 0.000 -1.441 -0.585
ma.L1 1.0000 3349.021 0.000 1.000 -6562.961 6564.961
ar.S.L7 0.0849 0.733 0.116 0.908 -1.352 1.522
ma.S.L7 -0.0594 0.711 -0.083 0.933 -1.453 1.335
sigma2 0.3871 1296.348 0.000 1.000 -2540.407 2541.182
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 0.79
Prob(Q): 0.71 Prob(JB): 0.68
Heteroskedasticity (H): 1.17 Skew: -0.54
Prob(H) (two-sided): 0.88 Kurtosis: 2.45
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.52587420218975, Current Price: 114.87
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.795
Date: Wed, 09 Oct 2024 AIC 31.590
Time: 14:40:43 BIC 34.415
Sample: 0 HQIC 31.010
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3329 0.566 -0.588 0.556 -1.442 0.776
ma.L1 0.0583 0.709 0.082 0.934 -1.331 1.447
ar.S.L7 0.2331 0.163 1.428 0.153 -0.087 0.553
ma.S.L7 -1.0001 5887.743 -0.000 1.000 -1.15e+04 1.15e+04
sigma2 0.1868 1099.874 0.000 1.000 -2155.526 2155.899
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.82
Prob(Q): 0.76 Prob(JB): 0.66
Heteroskedasticity (H): 0.09 Skew: -0.33
Prob(H) (two-sided): 0.04 Kurtosis: 1.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.69849619844825, Current Price: 114.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.196
Date: Wed, 09 Oct 2024 AIC 36.391
Time: 14:40:43 BIC 39.216
Sample: 0 HQIC 35.811
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9835 0.111 -8.882 0.000 -1.201 -0.766
ma.L1 1.0000 2839.531 0.000 1.000 -5564.379 5566.379
ar.S.L7 -0.0015 0.005 -0.302 0.763 -0.011 0.008
ma.S.L7 0.0954 0.357 0.267 0.789 -0.604 0.795
sigma2 0.3911 1110.466 0.000 1.000 -2176.082 2176.864
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.68
Prob(Q): 0.99 Prob(JB): 0.71
Heteroskedasticity (H): 0.52 Skew: -0.15
Prob(H) (two-sided): 0.54 Kurtosis: 1.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.64418825338376, Current Price: 115.05
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.971
Date: Wed, 09 Oct 2024 AIC 35.941
Time: 14:40:43 BIC 38.766
Sample: 0 HQIC 35.361
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9218 0.117 -7.856 0.000 -1.152 -0.692
ma.L1 1.0000 6.57e+04 1.52e-05 1.000 -1.29e+05 1.29e+05
ar.S.L7 -0.0761 0.187 -0.406 0.684 -0.443 0.291
ma.S.L7 0.2699 0.620 0.436 0.663 -0.944 1.484
sigma2 0.3494 2.3e+04 1.52e-05 1.000 -4.5e+04 4.5e+04
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 0.83
Prob(Q): 0.71 Prob(JB): 0.66
Heteroskedasticity (H): 0.26 Skew: 0.49
Prob(H) (two-sided): 0.22 Kurtosis: 2.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.20413692795118, Current Price: 115.79
SELL EXECUTED at 115.79
SELL ORDER COMPLETED at 115.69
OPERATION PROFIT, GROSS -0.20000000000000284, NET -0.43158000000000285
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.374
Date: Wed, 09 Oct 2024 AIC 36.748
Time: 14:40:43 BIC 39.573
Sample: 0 HQIC 36.168
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9173 0.154 -5.941 0.000 -1.220 -0.615
ma.L1 1.0000 5.2e+05 1.92e-06 1.000 -1.02e+06 1.02e+06
ar.S.L7 -0.0440 0.172 -0.256 0.798 -0.381 0.293
ma.S.L7 0.3052 0.692 0.441 0.659 -1.051 1.662
sigma2 0.3673 1.91e+05 1.92e-06 1.000 -3.74e+05 3.74e+05
===================================================================================
Ljung-Box (L1) (Q): 0.24 Jarque-Bera (JB): 0.52
Prob(Q): 0.62 Prob(JB): 0.77
Heteroskedasticity (H): 0.33 Skew: 0.36
Prob(H) (two-sided): 0.31 Kurtosis: 2.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.36991994799362, Current Price: 115.27
BUY EXECUTED at 115.27
BUY ORDER COMPLETED at 114.14
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.213
Date: Wed, 09 Oct 2024 AIC 36.425
Time: 14:40:43 BIC 39.250
Sample: 0 HQIC 35.845
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8731 0.224 -3.900 0.000 -1.312 -0.434
ma.L1 0.6734 0.466 1.446 0.148 -0.240 1.586
ar.S.L7 0.0369 0.153 0.242 0.809 -0.263 0.336
ma.S.L7 0.0113 0.546 0.021 0.984 -1.059 1.082
sigma2 0.4388 0.268 1.639 0.101 -0.086 0.964
===================================================================================
Ljung-Box (L1) (Q): 2.84 Jarque-Bera (JB): 0.57
Prob(Q): 0.09 Prob(JB): 0.75
Heteroskedasticity (H): 0.80 Skew: 0.41
Prob(H) (two-sided): 0.84 Kurtosis: 2.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.71243453570911, Current Price: 114.32
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.911
Date: Wed, 09 Oct 2024 AIC 39.822
Time: 14:40:43 BIC 42.647
Sample: 0 HQIC 39.242
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7295 1.080 -0.675 0.499 -2.846 1.387
ma.L1 0.5448 1.365 0.399 0.690 -2.130 3.220
ar.S.L7 -0.0011 0.003 -0.353 0.724 -0.007 0.005
ma.S.L7 -0.9787 31.637 -0.031 0.975 -62.987 61.029
sigma2 0.3909 12.336 0.032 0.975 -23.787 24.569
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.58
Prob(Q): 0.94 Prob(JB): 0.75
Heteroskedasticity (H): 4.39 Skew: 0.29
Prob(H) (two-sided): 0.18 Kurtosis: 2.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.2306362327099, Current Price: 113.26
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.457
Date: Wed, 09 Oct 2024 AIC 46.914
Time: 14:40:43 BIC 49.738
Sample: 0 HQIC 46.333
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0778 2.665 0.029 0.977 -5.145 5.300
ma.L1 5.8896 88.839 0.066 0.947 -168.232 180.012
ar.S.L7 -0.2425 1.442 -0.168 0.866 -3.070 2.585
ma.S.L7 8.5020 157.943 0.054 0.957 -301.061 318.065
sigma2 0.0004 0.025 0.016 0.987 -0.049 0.049
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.23
Prob(Q): 0.84 Prob(JB): 0.89
Heteroskedasticity (H): 2.54 Skew: -0.33
Prob(H) (two-sided): 0.39 Kurtosis: 3.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.64110058484225, Current Price: 113.49
SELL EXECUTED at 113.49
SELL ORDER COMPLETED at 113.61
OPERATION PROFIT, GROSS -0.5300000000000011, NET -0.7577500000000011
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.693
Date: Wed, 09 Oct 2024 AIC 47.386
Time: 14:40:44 BIC 50.211
Sample: 0 HQIC 46.805
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7332 0.909 -0.807 0.420 -2.515 1.048
ma.L1 0.6723 1.162 0.578 0.563 -1.606 2.951
ar.S.L7 -0.0414 1.398 -0.030 0.976 -2.781 2.698
ma.S.L7 -10.8801 332.013 -0.033 0.974 -661.614 639.854
sigma2 0.0085 0.515 0.017 0.987 -1.000 1.017
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 2.02
Prob(Q): 0.81 Prob(JB): 0.36
Heteroskedasticity (H): 21.98 Skew: -0.88
Prob(H) (two-sided): 0.01 Kurtosis: 3.78
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.35524906214582, Current Price: 113.97
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.374
Date: Wed, 09 Oct 2024 AIC 46.747
Time: 14:40:44 BIC 49.572
Sample: 0 HQIC 46.167
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6087 0.703 -0.866 0.386 -1.986 0.769
ma.L1 1.0000 3177.200 0.000 1.000 -6226.199 6228.198
ar.S.L7 0.3308 0.848 0.390 0.696 -1.331 1.993
ma.S.L7 0.3844 1.609 0.239 0.811 -2.769 3.538
sigma2 0.7665 2435.008 0.000 1.000 -4771.762 4773.295
===================================================================================
Ljung-Box (L1) (Q): 0.42 Jarque-Bera (JB): 0.11
Prob(Q): 0.52 Prob(JB): 0.94
Heteroskedasticity (H): 12.08 Skew: -0.18
Prob(H) (two-sided): 0.03 Kurtosis: 3.28
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.94726689046549, Current Price: 115.55
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.016
Date: Wed, 09 Oct 2024 AIC 48.032
Time: 14:40:44 BIC 50.857
Sample: 0 HQIC 47.452
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1051 1.831 0.057 0.954 -3.484 3.694
ma.L1 8.3650 137.820 0.061 0.952 -261.756 278.486
ar.S.L7 0.0944 0.814 0.116 0.908 -1.501 1.690
ma.S.L7 3.0535 14.304 0.213 0.831 -24.983 31.089
sigma2 0.0016 0.060 0.026 0.979 -0.116 0.120
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.07
Prob(Q): 0.98 Prob(JB): 0.97
Heteroskedasticity (H): 17.60 Skew: -0.17
Prob(H) (two-sided): 0.02 Kurtosis: 3.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.58506959474019, Current Price: 115.2
BUY EXECUTED at 115.2
BUY ORDER COMPLETED at 116.26
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.789
Date: Wed, 09 Oct 2024 AIC 47.577
Time: 14:40:44 BIC 50.402
Sample: 0 HQIC 46.997
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5829 1.082 -0.539 0.590 -2.704 1.538
ma.L1 2.0005 5.264 0.380 0.704 -8.316 12.317
ar.S.L7 -0.5303 0.908 -0.584 0.559 -2.311 1.250
ma.S.L7 -1.0002 9789.015 -0.000 1.000 -1.92e+04 1.92e+04
sigma2 0.1534 1501.554 0.000 1.000 -2942.839 2943.145
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 0.71
Prob(Q): 0.72 Prob(JB): 0.70
Heteroskedasticity (H): 0.50 Skew: -0.56
Prob(H) (two-sided): 0.51 Kurtosis: 2.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.80775441055656, Current Price: 115.84
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.205
Date: Wed, 09 Oct 2024 AIC 46.410
Time: 14:40:44 BIC 49.235
Sample: 0 HQIC 45.829
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0172 0.363 -2.801 0.005 -1.729 -0.305
ma.L1 1.0000 7534.835 0.000 1.000 -1.48e+04 1.48e+04
ar.S.L7 -0.6904 0.983 -0.702 0.483 -2.617 1.236
ma.S.L7 -0.6592 2.116 -0.312 0.755 -4.806 3.487
sigma2 0.6895 5195.202 0.000 1.000 -1.02e+04 1.02e+04
===================================================================================
Ljung-Box (L1) (Q): 0.45 Jarque-Bera (JB): 0.61
Prob(Q): 0.50 Prob(JB): 0.74
Heteroskedasticity (H): 0.32 Skew: -0.42
Prob(H) (two-sided): 0.29 Kurtosis: 2.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.93931531643307, Current Price: 116.13
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.056
Date: Wed, 09 Oct 2024 AIC 44.113
Time: 14:40:44 BIC 46.938
Sample: 0 HQIC 43.532
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9913 0.177 -5.613 0.000 -1.337 -0.645
ma.L1 1.0000 5146.306 0.000 1.000 -1.01e+04 1.01e+04
ar.S.L7 -0.8419 0.920 -0.915 0.360 -2.645 0.961
ma.S.L7 -1.0000 6.39e+04 -1.56e-05 1.000 -1.25e+05 1.25e+05
sigma2 0.4297 2.77e+04 1.55e-05 1.000 -5.42e+04 5.42e+04
===================================================================================
Ljung-Box (L1) (Q): 0.89 Jarque-Bera (JB): 0.70
Prob(Q): 0.35 Prob(JB): 0.70
Heteroskedasticity (H): 0.26 Skew: -0.56
Prob(H) (two-sided): 0.22 Kurtosis: 2.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.27802913185009, Current Price: 117.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.110
Date: Wed, 09 Oct 2024 AIC 46.221
Time: 14:40:44 BIC 49.045
Sample: 0 HQIC 45.640
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9851 0.593 -1.662 0.097 -2.147 0.177
ma.L1 1.0000 1.85e+04 5.42e-05 1.000 -3.62e+04 3.62e+04
ar.S.L7 -0.5826 1.177 -0.495 0.621 -2.889 1.724
ma.S.L7 -0.5094 1.354 -0.376 0.707 -3.164 2.145
sigma2 0.7425 1.37e+04 5.42e-05 1.000 -2.69e+04 2.69e+04
===================================================================================
Ljung-Box (L1) (Q): 0.89 Jarque-Bera (JB): 1.80
Prob(Q): 0.35 Prob(JB): 0.41
Heteroskedasticity (H): 0.21 Skew: -0.91
Prob(H) (two-sided): 0.16 Kurtosis: 2.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.52775553261283, Current Price: 117.46
SELL EXECUTED at 117.46
SELL ORDER COMPLETED at 118.09
OPERATION PROFIT, GROSS 1.8299999999999983, NET 1.5956499999999982
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.132
Date: Wed, 09 Oct 2024 AIC 44.264
Time: 14:40:44 BIC 47.089
Sample: 0 HQIC 43.684
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9662 0.418 -2.312 0.021 -1.785 -0.147
ma.L1 1.0000 4.19e+04 2.39e-05 1.000 -8.21e+04 8.21e+04
ar.S.L7 -0.5022 0.880 -0.571 0.568 -2.226 1.222
ma.S.L7 -1.0002 5392.523 -0.000 1.000 -1.06e+04 1.06e+04
sigma2 0.4346 1.71e+04 2.54e-05 1.000 -3.36e+04 3.36e+04
===================================================================================
Ljung-Box (L1) (Q): 0.30 Jarque-Bera (JB): 1.54
Prob(Q): 0.58 Prob(JB): 0.46
Heteroskedasticity (H): 0.34 Skew: -0.84
Prob(H) (two-sided): 0.32 Kurtosis: 3.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.10650870116353, Current Price: 118.19
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.154
Date: Wed, 09 Oct 2024 AIC 44.307
Time: 14:40:44 BIC 47.132
Sample: 0 HQIC 43.727
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9647 0.507 -1.901 0.057 -1.959 0.030
ma.L1 1.0000 1.68e+04 5.97e-05 1.000 -3.28e+04 3.28e+04
ar.S.L7 -0.4578 1.041 -0.440 0.660 -2.498 1.583
ma.S.L7 -1.0000 4.98e+04 -2.01e-05 1.000 -9.76e+04 9.76e+04
sigma2 0.4362 2.7e+04 1.62e-05 1.000 -5.29e+04 5.29e+04
===================================================================================
Ljung-Box (L1) (Q): 0.43 Jarque-Bera (JB): 2.59
Prob(Q): 0.51 Prob(JB): 0.27
Heteroskedasticity (H): 0.10 Skew: -1.07
Prob(H) (two-sided): 0.04 Kurtosis: 3.45
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.30503484888614, Current Price: 117.29
BUY EXECUTED at 117.29
BUY ORDER COMPLETED at 116.68
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.428
Date: Wed, 09 Oct 2024 AIC 44.857
Time: 14:40:44 BIC 47.682
Sample: 0 HQIC 44.276
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9368 0.196 -4.787 0.000 -1.320 -0.553
ma.L1 1.0000 6.31e+05 1.58e-06 1.000 -1.24e+06 1.24e+06
ar.S.L7 -0.5619 0.636 -0.884 0.377 -1.808 0.684
ma.S.L7 -1.0001 1.74e+04 -5.74e-05 1.000 -3.41e+04 3.41e+04
sigma2 0.4550 2.85e+05 1.6e-06 1.000 -5.58e+05 5.58e+05
===================================================================================
Ljung-Box (L1) (Q): 1.52 Jarque-Bera (JB): 1.33
Prob(Q): 0.22 Prob(JB): 0.51
Heteroskedasticity (H): 0.31 Skew: -0.75
Prob(H) (two-sided): 0.28 Kurtosis: 2.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.09092594312526, Current Price: 117.6
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.277
Date: Wed, 09 Oct 2024 AIC 46.555
Time: 14:40:44 BIC 49.379
Sample: 0 HQIC 45.974
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0491 5.683 -0.009 0.993 -11.187 11.089
ma.L1 9.5358 517.359 0.018 0.985 -1004.469 1023.541
ar.S.L7 -0.5643 0.743 -0.759 0.448 -2.021 0.892
ma.S.L7 -0.9963 332.581 -0.003 0.998 -652.844 650.851
sigma2 0.0065 2.100 0.003 0.998 -4.110 4.123
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 0.99
Prob(Q): 0.70 Prob(JB): 0.61
Heteroskedasticity (H): 0.30 Skew: -0.68
Prob(H) (two-sided): 0.27 Kurtosis: 3.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.55103667889541, Current Price: 116.8
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.921
Date: Wed, 09 Oct 2024 AIC 41.843
Time: 14:40:44 BIC 44.667
Sample: 0 HQIC 41.262
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9169 0.185 -4.948 0.000 -1.280 -0.554
ma.L1 1.0000 1.65e+04 6.05e-05 1.000 -3.24e+04 3.24e+04
ar.S.L7 -0.5932 0.612 -0.969 0.333 -1.793 0.607
ma.S.L7 -1.0003 5800.755 -0.000 1.000 -1.14e+04 1.14e+04
sigma2 0.3607 6909.365 5.22e-05 1.000 -1.35e+04 1.35e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 2.16
Prob(Q): 1.00 Prob(JB): 0.34
Heteroskedasticity (H): 0.41 Skew: -0.96
Prob(H) (two-sided): 0.41 Kurtosis: 3.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.68444671131088, Current Price: 116.93
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.740
Date: Wed, 09 Oct 2024 AIC 31.480
Time: 14:40:44 BIC 34.305
Sample: 0 HQIC 30.899
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9445 0.067 -14.137 0.000 -1.075 -0.814
ma.L1 1.0000 1.34e+05 7.48e-06 1.000 -2.62e+05 2.62e+05
ar.S.L7 -0.6424 0.285 -2.250 0.024 -1.202 -0.083
ma.S.L7 -0.3704 0.598 -0.619 0.536 -1.543 0.802
sigma2 0.2524 3.38e+04 7.48e-06 1.000 -6.62e+04 6.62e+04
===================================================================================
Ljung-Box (L1) (Q): 0.46 Jarque-Bera (JB): 0.64
Prob(Q): 0.50 Prob(JB): 0.72
Heteroskedasticity (H): 2.05 Skew: -0.51
Prob(H) (two-sided): 0.50 Kurtosis: 2.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.56516477521099, Current Price: 117.45
SELL EXECUTED at 117.45
SELL ORDER COMPLETED at 117.93
OPERATION PROFIT, GROSS 1.25, NET 1.01539
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.245
Date: Wed, 09 Oct 2024 AIC 36.489
Time: 14:40:44 BIC 39.314
Sample: 0 HQIC 35.909
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7457 0.104 -7.202 0.000 -0.949 -0.543
ma.L1 1.0000 3031.618 0.000 1.000 -5940.861 5942.861
ar.S.L7 -0.8130 0.163 -4.978 0.000 -1.133 -0.493
ma.S.L7 0.1947 0.773 0.252 0.801 -1.320 1.709
sigma2 0.3724 1129.089 0.000 1.000 -2212.601 2213.346
===================================================================================
Ljung-Box (L1) (Q): 0.23 Jarque-Bera (JB): 2.00
Prob(Q): 0.63 Prob(JB): 0.37
Heteroskedasticity (H): 1.98 Skew: -0.94
Prob(H) (two-sided): 0.52 Kurtosis: 3.42
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.71432777659733, Current Price: 118.08
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.423
Date: Wed, 09 Oct 2024 AIC 34.846
Time: 14:40:44 BIC 37.671
Sample: 0 HQIC 34.265
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8744 0.136 -6.413 0.000 -1.142 -0.607
ma.L1 1.0000 2.14e+04 4.67e-05 1.000 -4.2e+04 4.2e+04
ar.S.L7 -0.7043 0.189 -3.736 0.000 -1.074 -0.335
ma.S.L7 0.2531 1.099 0.230 0.818 -1.900 2.407
sigma2 0.3229 6918.527 4.67e-05 1.000 -1.36e+04 1.36e+04
===================================================================================
Ljung-Box (L1) (Q): 0.60 Jarque-Bera (JB): 3.62
Prob(Q): 0.44 Prob(JB): 0.16
Heteroskedasticity (H): 1.19 Skew: -1.16
Prob(H) (two-sided): 0.87 Kurtosis: 4.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.56539489802314, Current Price: 117.68
BUY EXECUTED at 117.68
BUY ORDER COMPLETED at 117.04
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.571
Date: Wed, 09 Oct 2024 AIC 37.142
Time: 14:40:44 BIC 39.967
Sample: 0 HQIC 36.561
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0268 2.018 0.013 0.989 -3.928 3.982
ma.L1 3.2446 21.428 0.151 0.880 -38.753 45.242
ar.S.L7 -0.9302 0.600 -1.550 0.121 -2.107 0.246
ma.S.L7 -1.0006 2799.937 -0.000 1.000 -5488.776 5486.775
sigma2 0.0270 75.293 0.000 1.000 -147.545 147.599
===================================================================================
Ljung-Box (L1) (Q): 0.23 Jarque-Bera (JB): 0.59
Prob(Q): 0.63 Prob(JB): 0.74
Heteroskedasticity (H): 2.18 Skew: -0.09
Prob(H) (two-sided): 0.47 Kurtosis: 1.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.36323421498004, Current Price: 117.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.215
Date: Wed, 09 Oct 2024 AIC 36.431
Time: 14:40:44 BIC 39.255
Sample: 0 HQIC 35.850
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8383 0.156 -5.378 0.000 -1.144 -0.533
ma.L1 1.0000 5.25e+04 1.9e-05 1.000 -1.03e+05 1.03e+05
ar.S.L7 -0.6543 0.157 -4.161 0.000 -0.963 -0.346
ma.S.L7 0.4770 1.769 0.270 0.787 -2.990 3.944
sigma2 0.3314 1.74e+04 1.9e-05 1.000 -3.41e+04 3.41e+04
===================================================================================
Ljung-Box (L1) (Q): 0.42 Jarque-Bera (JB): 1.04
Prob(Q): 0.52 Prob(JB): 0.60
Heteroskedasticity (H): 1.06 Skew: -0.69
Prob(H) (two-sided): 0.96 Kurtosis: 2.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.42731773255468, Current Price: 117.91
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.869
Date: Wed, 09 Oct 2024 AIC 35.737
Time: 14:40:44 BIC 38.562
Sample: 0 HQIC 35.156
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8802 0.215 -4.100 0.000 -1.301 -0.459
ma.L1 1.0000 1.64e+04 6.09e-05 1.000 -3.22e+04 3.22e+04
ar.S.L7 -0.6367 0.142 -4.497 0.000 -0.914 -0.359
ma.S.L7 1.0003 3924.163 0.000 1.000 -7690.218 7692.218
sigma2 0.2053 3529.295 5.82e-05 1.000 -6917.085 6917.496
===================================================================================
Ljung-Box (L1) (Q): 0.44 Jarque-Bera (JB): 1.38
Prob(Q): 0.51 Prob(JB): 0.50
Heteroskedasticity (H): 1.04 Skew: -0.77
Prob(H) (two-sided): 0.97 Kurtosis: 2.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.80959009024794, Current Price: 118.94
SELL EXECUTED at 118.94
SELL ORDER COMPLETED at 119.74
OPERATION PROFIT, GROSS 2.6999999999999886, NET 2.4632199999999886
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.619
Date: Wed, 09 Oct 2024 AIC 37.238
Time: 14:40:44 BIC 40.063
Sample: 0 HQIC 36.657
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9343 0.170 -5.493 0.000 -1.268 -0.601
ma.L1 1.0000 3.12e+04 3.2e-05 1.000 -6.12e+04 6.12e+04
ar.S.L7 -0.5969 0.170 -3.505 0.000 -0.931 -0.263
ma.S.L7 0.3101 0.771 0.402 0.688 -1.202 1.822
sigma2 0.3807 1.19e+04 3.2e-05 1.000 -2.33e+04 2.33e+04
===================================================================================
Ljung-Box (L1) (Q): 0.90 Jarque-Bera (JB): 0.88
Prob(Q): 0.34 Prob(JB): 0.64
Heteroskedasticity (H): 0.68 Skew: -0.56
Prob(H) (two-sided): 0.72 Kurtosis: 2.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.9454604153177, Current Price: 119.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.662
Date: Wed, 09 Oct 2024 AIC 37.324
Time: 14:40:44 BIC 40.149
Sample: 0 HQIC 36.744
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9326 0.209 -4.457 0.000 -1.343 -0.523
ma.L1 1.0089 15.547 0.065 0.948 -29.463 31.481
ar.S.L7 -0.4213 0.613 -0.687 0.492 -1.622 0.780
ma.S.L7 -12.8555 184.437 -0.070 0.944 -374.346 348.635
sigma2 0.0024 0.094 0.025 0.980 -0.183 0.187
===================================================================================
Ljung-Box (L1) (Q): 0.89 Jarque-Bera (JB): 1.33
Prob(Q): 0.34 Prob(JB): 0.51
Heteroskedasticity (H): 0.72 Skew: -0.78
Prob(H) (two-sided): 0.76 Kurtosis: 3.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.85872681187809, Current Price: 119.12
BUY EXECUTED at 119.12
BUY ORDER COMPLETED at 119.71
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.988
Date: Wed, 09 Oct 2024 AIC 39.977
Time: 14:40:45 BIC 42.801
Sample: 0 HQIC 39.396
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8329 0.401 -2.078 0.038 -1.619 -0.047
ma.L1 1.0000 1.31e+04 7.63e-05 1.000 -2.57e+04 2.57e+04
ar.S.L7 -0.3862 0.823 -0.469 0.639 -1.999 1.227
ma.S.L7 -0.1454 1.580 -0.092 0.927 -3.242 2.952
sigma2 0.5044 6611.013 7.63e-05 1.000 -1.3e+04 1.3e+04
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.30
Prob(Q): 0.79 Prob(JB): 0.86
Heteroskedasticity (H): 1.83 Skew: -0.22
Prob(H) (two-sided): 0.57 Kurtosis: 2.40
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.15396026269345, Current Price: 119.23
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.544
Date: Wed, 09 Oct 2024 AIC 41.088
Time: 14:40:45 BIC 43.912
Sample: 0 HQIC 40.507
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8266 0.561 -1.474 0.140 -1.925 0.272
ma.L1 1.0000 1.62e+04 6.16e-05 1.000 -3.18e+04 3.18e+04
ar.S.L7 -0.4401 0.626 -0.703 0.482 -1.666 0.786
ma.S.L7 -0.1383 1.339 -0.103 0.918 -2.762 2.486
sigma2 0.5495 8922.993 6.16e-05 1.000 -1.75e+04 1.75e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.67
Prob(Q): 0.95 Prob(JB): 0.72
Heteroskedasticity (H): 1.44 Skew: -0.44
Prob(H) (two-sided): 0.73 Kurtosis: 2.33
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.59790030467936, Current Price: 119.06
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.019
Date: Wed, 09 Oct 2024 AIC 36.038
Time: 14:40:45 BIC 38.863
Sample: 0 HQIC 35.457
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7742 0.394 -1.967 0.049 -1.546 -0.003
ma.L1 1.0000 2.87e+04 3.48e-05 1.000 -5.63e+04 5.63e+04
ar.S.L7 -0.3448 0.565 -0.610 0.542 -1.453 0.763
ma.S.L7 -0.0531 0.903 -0.059 0.953 -1.823 1.717
sigma2 0.3728 1.07e+04 3.48e-05 1.000 -2.1e+04 2.1e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.11
Prob(Q): 0.95 Prob(JB): 0.94
Heteroskedasticity (H): 5.29 Skew: 0.05
Prob(H) (two-sided): 0.14 Kurtosis: 3.45
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.65890683774933, Current Price: 117.58
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.383
Date: Wed, 09 Oct 2024 AIC 36.765
Time: 14:40:45 BIC 39.590
Sample: 0 HQIC 36.185
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6728 0.310 -2.173 0.030 -1.280 -0.066
ma.L1 1.0000 1.46e+04 6.84e-05 1.000 -2.87e+04 2.87e+04
ar.S.L7 -0.4291 0.190 -2.256 0.024 -0.802 -0.056
ma.S.L7 -0.1918 0.753 -0.255 0.799 -1.667 1.283
sigma2 0.3926 5741.374 6.84e-05 1.000 -1.13e+04 1.13e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.03
Prob(Q): 0.93 Prob(JB): 0.98
Heteroskedasticity (H): 8.94 Skew: 0.09
Prob(H) (two-sided): 0.06 Kurtosis: 2.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.75395152851719, Current Price: 117.51
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.530
Date: Wed, 09 Oct 2024 AIC 37.059
Time: 14:40:45 BIC 39.884
Sample: 0 HQIC 36.479
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7185 0.423 -1.698 0.090 -1.548 0.111
ma.L1 1.0000 1.01e+04 9.9e-05 1.000 -1.98e+04 1.98e+04
ar.S.L7 -0.4050 0.244 -1.657 0.098 -0.884 0.074
ma.S.L7 -0.2937 1.015 -0.289 0.772 -2.283 1.696
sigma2 0.3954 3996.038 9.9e-05 1.000 -7831.695 7832.486
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.05
Prob(Q): 0.93 Prob(JB): 0.98
Heteroskedasticity (H): 1.36 Skew: 0.05
Prob(H) (two-sided): 0.77 Kurtosis: 2.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.45494924725793, Current Price: 116.72
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.418
Date: Wed, 09 Oct 2024 AIC 36.836
Time: 14:40:45 BIC 39.660
Sample: 0 HQIC 36.255
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6596 0.422 -1.563 0.118 -1.487 0.168
ma.L1 1.0000 1.69e+04 5.91e-05 1.000 -3.31e+04 3.31e+04
ar.S.L7 -0.4038 0.203 -1.985 0.047 -0.803 -0.005
ma.S.L7 -1.0007 982.591 -0.001 0.999 -1926.844 1924.842
sigma2 0.2453 4180.666 5.87e-05 1.000 -8193.710 8194.201
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.31
Prob(Q): 0.85 Prob(JB): 0.86
Heteroskedasticity (H): 2.20 Skew: 0.38
Prob(H) (two-sided): 0.46 Kurtosis: 2.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.88525541455184, Current Price: 115.78
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.638
Date: Wed, 09 Oct 2024 AIC 43.275
Time: 14:40:45 BIC 46.100
Sample: 0 HQIC 42.695
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9091 0.193 -4.716 0.000 -1.287 -0.531
ma.L1 0.9998 224.270 0.004 0.996 -438.561 440.560
ar.S.L7 -0.0011 0.004 -0.291 0.771 -0.009 0.006
ma.S.L7 -1.0002 4508.385 -0.000 1.000 -8837.272 8835.271
sigma2 0.4832 2236.693 0.000 1.000 -4383.354 4384.321
===================================================================================
Ljung-Box (L1) (Q): 0.23 Jarque-Bera (JB): 0.91
Prob(Q): 0.63 Prob(JB): 0.64
Heteroskedasticity (H): 3.66 Skew: 0.33
Prob(H) (two-sided): 0.24 Kurtosis: 1.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.96300204189642, Current Price: 115.06
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.402
Date: Wed, 09 Oct 2024 AIC 38.804
Time: 14:40:45 BIC 41.629
Sample: 0 HQIC 38.224
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4924 0.304 -1.619 0.106 -1.089 0.104
ma.L1 1.0000 3303.578 0.000 1.000 -6473.893 6475.893
ar.S.L7 -0.3796 0.132 -2.885 0.004 -0.637 -0.122
ma.S.L7 -0.5975 0.811 -0.737 0.461 -2.187 0.992
sigma2 0.3939 1301.387 0.000 1.000 -2550.277 2551.065
===================================================================================
Ljung-Box (L1) (Q): 0.33 Jarque-Bera (JB): 2.41
Prob(Q): 0.57 Prob(JB): 0.30
Heteroskedasticity (H): 0.96 Skew: 1.03
Prob(H) (two-sided): 0.97 Kurtosis: 3.43
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.17567621442498, Current Price: 114.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.108
Date: Wed, 09 Oct 2024 AIC 36.216
Time: 14:40:45 BIC 39.040
Sample: 0 HQIC 35.635
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0782 0.424 -0.185 0.853 -0.908 0.752
ma.L1 1.0000 4.58e+04 2.19e-05 1.000 -8.97e+04 8.97e+04
ar.S.L7 -0.4106 0.144 -2.855 0.004 -0.693 -0.129
ma.S.L7 -1.0001 1.84e+04 -5.45e-05 1.000 -3.6e+04 3.6e+04
sigma2 0.2487 1.49e+04 1.66e-05 1.000 -2.93e+04 2.93e+04
===================================================================================
Ljung-Box (L1) (Q): 0.89 Jarque-Bera (JB): 3.35
Prob(Q): 0.35 Prob(JB): 0.19
Heteroskedasticity (H): 0.48 Skew: 1.17
Prob(H) (two-sided): 0.49 Kurtosis: 3.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.266869413397, Current Price: 114.72
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.118
Date: Wed, 09 Oct 2024 AIC 36.237
Time: 14:40:45 BIC 39.061
Sample: 0 HQIC 35.656
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0048 0.706 -0.007 0.995 -1.389 1.379
ma.L1 1.0000 2.47e+04 4.04e-05 1.000 -4.85e+04 4.85e+04
ar.S.L7 -0.3823 0.052 -7.337 0.000 -0.484 -0.280
ma.S.L7 -1.0001 7694.455 -0.000 1.000 -1.51e+04 1.51e+04
sigma2 0.2483 7157.739 3.47e-05 1.000 -1.4e+04 1.4e+04
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 2.95
Prob(Q): 0.64 Prob(JB): 0.23
Heteroskedasticity (H): 0.67 Skew: 1.15
Prob(H) (two-sided): 0.71 Kurtosis: 3.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.10922274442576, Current Price: 114.74
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.076
Date: Wed, 09 Oct 2024 AIC 36.152
Time: 14:40:45 BIC 38.976
Sample: 0 HQIC 35.571
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0677 0.670 -0.101 0.920 -1.380 1.245
ma.L1 1.0000 1.89e+04 5.3e-05 1.000 -3.69e+04 3.7e+04
ar.S.L7 -0.3538 0.055 -6.421 0.000 -0.462 -0.246
ma.S.L7 -1.0000 2.24e+04 -4.47e-05 1.000 -4.39e+04 4.39e+04
sigma2 0.2474 4183.606 5.91e-05 1.000 -8199.470 8199.965
===================================================================================
Ljung-Box (L1) (Q): 0.59 Jarque-Bera (JB): 1.47
Prob(Q): 0.44 Prob(JB): 0.48
Heteroskedasticity (H): 0.53 Skew: 0.75
Prob(H) (two-sided): 0.55 Kurtosis: 2.33
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.5947003757719, Current Price: 114.12
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.199
Date: Wed, 09 Oct 2024 AIC 34.398
Time: 14:40:45 BIC 37.223
Sample: 0 HQIC 33.818
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0687 0.586 -0.117 0.907 -1.218 1.081
ma.L1 1.0000 1.94e+04 5.14e-05 1.000 -3.81e+04 3.81e+04
ar.S.L7 -0.3568 0.070 -5.084 0.000 -0.494 -0.219
ma.S.L7 -1.0001 7589.844 -0.000 1.000 -1.49e+04 1.49e+04
sigma2 0.2162 5522.530 3.91e-05 1.000 -1.08e+04 1.08e+04
===================================================================================
Ljung-Box (L1) (Q): 1.79 Jarque-Bera (JB): 1.41
Prob(Q): 0.18 Prob(JB): 0.49
Heteroskedasticity (H): 0.49 Skew: 0.78
Prob(H) (two-sided): 0.50 Kurtosis: 2.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.92404431936501, Current Price: 116.25
SELL EXECUTED at 116.25
SELL ORDER COMPLETED at 117.27
OPERATION PROFIT, GROSS -2.4399999999999977, NET -2.6769799999999977
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.829
Date: Wed, 09 Oct 2024 AIC 45.657
Time: 14:40:45 BIC 48.482
Sample: 0 HQIC 45.076
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3338 4.360 0.077 0.939 -8.211 8.878
ma.L1 -0.2359 4.761 -0.050 0.960 -9.567 9.095
ar.S.L7 -0.7547 0.381 -1.979 0.048 -1.502 -0.007
ma.S.L7 -0.0738 0.552 -0.134 0.894 -1.156 1.009
sigma2 0.9083 0.537 1.693 0.090 -0.143 1.960
===================================================================================
Ljung-Box (L1) (Q): 0.32 Jarque-Bera (JB): 0.55
Prob(Q): 0.57 Prob(JB): 0.76
Heteroskedasticity (H): 0.76 Skew: 0.50
Prob(H) (two-sided): 0.79 Kurtosis: 3.05
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.81372786100694, Current Price: 116.73
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.046
Date: Wed, 09 Oct 2024 AIC 38.091
Time: 14:40:45 BIC 40.916
Sample: 0 HQIC 37.511
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8706 0.230 3.780 0.000 0.419 1.322
ma.L1 -1.0000 7063.152 -0.000 1.000 -1.38e+04 1.38e+04
ar.S.L7 -0.9261 0.248 -3.730 0.000 -1.413 -0.439
ma.S.L7 -0.0743 0.287 -0.259 0.796 -0.636 0.488
sigma2 0.4315 3047.929 0.000 1.000 -5973.400 5974.263
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.73
Prob(Q): 0.84 Prob(JB): 0.69
Heteroskedasticity (H): 2.75 Skew: 0.49
Prob(H) (two-sided): 0.35 Kurtosis: 2.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.09283407057458, Current Price: 116.99
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.416
Date: Wed, 09 Oct 2024 AIC 40.832
Time: 14:40:45 BIC 43.657
Sample: 0 HQIC 40.252
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2734 3.420 -0.080 0.936 -6.976 6.429
ma.L1 0.2265 3.418 0.066 0.947 -6.472 6.925
ar.S.L7 -1.0566 0.224 -4.707 0.000 -1.497 -0.617
ma.S.L7 0.3511 0.735 0.477 0.633 -1.090 1.792
sigma2 0.5959 0.439 1.357 0.175 -0.265 1.457
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.81
Prob(Q): 0.89 Prob(JB): 0.67
Heteroskedasticity (H): 1.97 Skew: 0.32
Prob(H) (two-sided): 0.53 Kurtosis: 1.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.61193985037012, Current Price: 117.5645
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.540
Date: Wed, 09 Oct 2024 AIC 37.080
Time: 14:40:45 BIC 39.905
Sample: 0 HQIC 36.500
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8260 0.296 2.789 0.005 0.245 1.406
ma.L1 -0.9999 1691.257 -0.001 1.000 -3315.803 3313.803
ar.S.L7 -0.9984 0.371 -2.691 0.007 -1.725 -0.271
ma.S.L7 -0.7877 3.362 -0.234 0.815 -7.376 5.801
sigma2 0.2784 471.096 0.001 1.000 -923.052 923.609
===================================================================================
Ljung-Box (L1) (Q): 0.79 Jarque-Bera (JB): 0.96
Prob(Q): 0.37 Prob(JB): 0.62
Heteroskedasticity (H): 2.79 Skew: 0.66
Prob(H) (two-sided): 0.34 Kurtosis: 2.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.9450709720172, Current Price: 118.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.725
Date: Wed, 09 Oct 2024 AIC 39.451
Time: 14:40:45 BIC 42.276
Sample: 0 HQIC 38.870
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8437 0.351 2.400 0.016 0.155 1.533
ma.L1 -0.5620 0.687 -0.818 0.413 -1.909 0.785
ar.S.L7 -0.8903 0.201 -4.429 0.000 -1.284 -0.496
ma.S.L7 0.2836 0.759 0.374 0.709 -1.204 1.771
sigma2 0.5387 0.380 1.418 0.156 -0.206 1.283
===================================================================================
Ljung-Box (L1) (Q): 0.37 Jarque-Bera (JB): 0.61
Prob(Q): 0.55 Prob(JB): 0.74
Heteroskedasticity (H): 1.06 Skew: 0.24
Prob(H) (two-sided): 0.96 Kurtosis: 2.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.79361507068201, Current Price: 118.83
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.258
Date: Wed, 09 Oct 2024 AIC 40.516
Time: 14:40:45 BIC 43.341
Sample: 0 HQIC 39.935
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9343 0.264 3.538 0.000 0.417 1.452
ma.L1 -0.5588 0.530 -1.054 0.292 -1.598 0.480
ar.S.L7 -0.8069 0.203 -3.965 0.000 -1.206 -0.408
ma.S.L7 0.3896 1.347 0.289 0.772 -2.251 3.030
sigma2 0.5639 0.508 1.110 0.267 -0.432 1.560
===================================================================================
Ljung-Box (L1) (Q): 1.19 Jarque-Bera (JB): 0.59
Prob(Q): 0.28 Prob(JB): 0.74
Heteroskedasticity (H): 1.33 Skew: 0.44
Prob(H) (two-sided): 0.79 Kurtosis: 2.45
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.27028097989817, Current Price: 118.67
BUY EXECUTED at 118.67
BUY ORDER COMPLETED at 118.5
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.518
Date: Wed, 09 Oct 2024 AIC 41.035
Time: 14:40:45 BIC 43.860
Sample: 0 HQIC 40.455
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9187 0.310 2.959 0.003 0.310 1.527
ma.L1 -0.5841 0.664 -0.879 0.379 -1.886 0.718
ar.S.L7 -0.8096 0.228 -3.552 0.000 -1.256 -0.363
ma.S.L7 0.7304 3.966 0.184 0.854 -7.044 8.505
sigma2 0.4749 1.373 0.346 0.729 -2.216 3.165
===================================================================================
Ljung-Box (L1) (Q): 0.89 Jarque-Bera (JB): 0.80
Prob(Q): 0.35 Prob(JB): 0.67
Heteroskedasticity (H): 0.28 Skew: 0.50
Prob(H) (two-sided): 0.25 Kurtosis: 2.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.93900471741597, Current Price: 118.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.054
Date: Wed, 09 Oct 2024 AIC 38.109
Time: 14:40:45 BIC 40.933
Sample: 0 HQIC 37.528
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7891 0.413 1.912 0.056 -0.020 1.598
ma.L1 -1.9069 3.181 -0.600 0.549 -8.141 4.327
ar.S.L7 -0.8231 0.156 -5.287 0.000 -1.128 -0.518
ma.S.L7 1.0002 3938.781 0.000 1.000 -7718.868 7720.869
sigma2 0.0815 320.766 0.000 1.000 -628.608 628.771
===================================================================================
Ljung-Box (L1) (Q): 0.88 Jarque-Bera (JB): 1.15
Prob(Q): 0.35 Prob(JB): 0.56
Heteroskedasticity (H): 0.73 Skew: 0.21
Prob(H) (two-sided): 0.77 Kurtosis: 1.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.3959074907329, Current Price: 119.53
SELL EXECUTED at 119.53
SELL ORDER COMPLETED at 119.74
OPERATION PROFIT, GROSS 1.2399999999999949, NET 1.0017599999999949
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.653
Date: Wed, 09 Oct 2024 AIC 41.306
Time: 14:40:45 BIC 44.131
Sample: 0 HQIC 40.726
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7572 0.295 2.570 0.010 0.180 1.335
ma.L1 -1.9472 2.097 -0.929 0.353 -6.057 2.162
ar.S.L7 -0.7664 0.202 -3.799 0.000 -1.162 -0.371
ma.S.L7 0.3555 0.782 0.455 0.649 -1.177 1.888
sigma2 0.1605 0.331 0.485 0.628 -0.488 0.809
===================================================================================
Ljung-Box (L1) (Q): 3.97 Jarque-Bera (JB): 0.72
Prob(Q): 0.05 Prob(JB): 0.70
Heteroskedasticity (H): 1.08 Skew: 0.10
Prob(H) (two-sided): 0.94 Kurtosis: 1.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.72100228521658, Current Price: 119.04
BUY EXECUTED at 119.04
BUY ORDER COMPLETED at 119.22
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.663
Date: Wed, 09 Oct 2024 AIC 41.326
Time: 14:40:45 BIC 44.151
Sample: 0 HQIC 40.745
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5755 0.514 1.119 0.263 -0.433 1.584
ma.L1 -0.4094 0.830 -0.493 0.622 -2.036 1.217
ar.S.L7 -0.7719 0.185 -4.166 0.000 -1.135 -0.409
ma.S.L7 0.4145 1.082 0.383 0.702 -1.706 2.535
sigma2 0.5963 0.555 1.075 0.282 -0.491 1.683
===================================================================================
Ljung-Box (L1) (Q): 4.45 Jarque-Bera (JB): 0.74
Prob(Q): 0.03 Prob(JB): 0.69
Heteroskedasticity (H): 0.49 Skew: -0.08
Prob(H) (two-sided): 0.51 Kurtosis: 1.84
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.05141694434435, Current Price: 119.33
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.486
Date: Wed, 09 Oct 2024 AIC 38.973
Time: 14:40:45 BIC 41.797
Sample: 0 HQIC 38.392
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.0345 0.313 3.309 0.001 0.422 1.647
ma.L1 -1.0000 7682.413 -0.000 1.000 -1.51e+04 1.51e+04
ar.S.L7 -0.7321 0.312 -2.345 0.019 -1.344 -0.120
ma.S.L7 -0.0656 0.669 -0.098 0.922 -1.376 1.245
sigma2 0.4623 3551.724 0.000 1.000 -6960.788 6961.713
===================================================================================
Ljung-Box (L1) (Q): 2.22 Jarque-Bera (JB): 0.41
Prob(Q): 0.14 Prob(JB): 0.81
Heteroskedasticity (H): 0.27 Skew: 0.36
Prob(H) (two-sided): 0.23 Kurtosis: 2.51
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.35225932835998, Current Price: 118.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.541
Date: Wed, 09 Oct 2024 AIC 41.081
Time: 14:40:45 BIC 43.906
Sample: 0 HQIC 40.501
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8903 0.226 3.933 0.000 0.447 1.334
ma.L1 -1.0000 5229.741 -0.000 1.000 -1.03e+04 1.02e+04
ar.S.L7 -0.6398 0.448 -1.428 0.153 -1.518 0.239
ma.S.L7 -0.3769 1.152 -0.327 0.743 -2.634 1.881
sigma2 0.4980 2604.675 0.000 1.000 -5104.571 5105.567
===================================================================================
Ljung-Box (L1) (Q): 1.61 Jarque-Bera (JB): 0.57
Prob(Q): 0.20 Prob(JB): 0.75
Heteroskedasticity (H): 0.87 Skew: -0.45
Prob(H) (two-sided): 0.89 Kurtosis: 2.51
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.45372683733618, Current Price: 118.72
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.812
Date: Wed, 09 Oct 2024 AIC 39.625
Time: 14:40:45 BIC 42.449
Sample: 0 HQIC 39.044
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8619 0.178 4.844 0.000 0.513 1.211
ma.L1 -1.0000 1.36e+04 -7.35e-05 1.000 -2.67e+04 2.67e+04
ar.S.L7 -0.5587 0.443 -1.261 0.207 -1.427 0.310
ma.S.L7 -0.3912 0.882 -0.444 0.657 -2.119 1.337
sigma2 0.4424 6016.850 7.35e-05 1.000 -1.18e+04 1.18e+04
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 0.64
Prob(Q): 0.64 Prob(JB): 0.73
Heteroskedasticity (H): 0.75 Skew: -0.48
Prob(H) (two-sided): 0.79 Kurtosis: 3.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.67317368376062, Current Price: 119.35
SELL EXECUTED at 119.35
SELL ORDER COMPLETED at 119.59
OPERATION PROFIT, GROSS 0.37000000000000455, NET 0.13119000000000453
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.291
Date: Wed, 09 Oct 2024 AIC 34.582
Time: 14:40:45 BIC 37.407
Sample: 0 HQIC 34.002
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8381 0.291 2.882 0.004 0.268 1.408
ma.L1 -1.0001 1593.104 -0.001 0.999 -3123.427 3121.426
ar.S.L7 -0.4211 0.548 -0.769 0.442 -1.494 0.652
ma.S.L7 -0.8478 2.816 -0.301 0.763 -6.367 4.671
sigma2 0.2176 347.041 0.001 0.999 -679.970 680.405
===================================================================================
Ljung-Box (L1) (Q): 0.40 Jarque-Bera (JB): 4.45
Prob(Q): 0.53 Prob(JB): 0.11
Heteroskedasticity (H): 3.83 Skew: -1.37
Prob(H) (two-sided): 0.22 Kurtosis: 3.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.58251391462318, Current Price: 119.62
BUY EXECUTED at 119.62
BUY ORDER COMPLETED at 118.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.514
Date: Wed, 09 Oct 2024 AIC 39.029
Time: 14:40:45 BIC 41.853
Sample: 0 HQIC 38.448
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4139 0.452 0.915 0.360 -0.473 1.300
ma.L1 -0.3480 0.755 -0.461 0.645 -1.827 1.131
ar.S.L7 -0.1959 0.468 -0.419 0.675 -1.113 0.721
ma.S.L7 -0.7195 3.508 -0.205 0.838 -7.596 6.157
sigma2 0.4246 1.240 0.342 0.732 -2.006 2.855
===================================================================================
Ljung-Box (L1) (Q): 0.88 Jarque-Bera (JB): 2.09
Prob(Q): 0.35 Prob(JB): 0.35
Heteroskedasticity (H): 2.01 Skew: -0.98
Prob(H) (two-sided): 0.51 Kurtosis: 3.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.67729056193211, Current Price: 119.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.450
Date: Wed, 09 Oct 2024 AIC 36.899
Time: 14:40:46 BIC 39.724
Sample: 0 HQIC 36.318
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6484 0.298 2.174 0.030 0.064 1.233
ma.L1 -1.0000 6791.547 -0.000 1.000 -1.33e+04 1.33e+04
ar.S.L7 -0.4600 0.263 -1.746 0.081 -0.976 0.056
ma.S.L7 -0.3497 0.890 -0.393 0.694 -2.095 1.395
sigma2 0.3651 2479.715 0.000 1.000 -4859.787 4860.517
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 1.04
Prob(Q): 0.79 Prob(JB): 0.59
Heteroskedasticity (H): 1.50 Skew: -0.56
Prob(H) (two-sided): 0.71 Kurtosis: 2.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.81951190043117, Current Price: 119.18
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.518
Date: Wed, 09 Oct 2024 AIC 37.035
Time: 14:40:46 BIC 39.860
Sample: 0 HQIC 36.454
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5856 0.439 1.335 0.182 -0.274 1.446
ma.L1 -0.7909 0.529 -1.495 0.135 -1.828 0.246
ar.S.L7 -0.4350 0.284 -1.532 0.126 -0.992 0.122
ma.S.L7 -0.1160 0.867 -0.134 0.894 -1.815 1.583
sigma2 0.4464 0.355 1.257 0.209 -0.250 1.143
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 0.60
Prob(Q): 0.70 Prob(JB): 0.74
Heteroskedasticity (H): 1.65 Skew: -0.27
Prob(H) (two-sided): 0.64 Kurtosis: 2.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.7914530717277, Current Price: 119.46
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.088
Date: Wed, 09 Oct 2024 AIC 36.176
Time: 14:40:46 BIC 39.001
Sample: 0 HQIC 35.596
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4847 0.319 1.521 0.128 -0.140 1.109
ma.L1 -0.7030 0.507 -1.387 0.165 -1.697 0.291
ar.S.L7 -0.4377 0.246 -1.776 0.076 -0.921 0.045
ma.S.L7 -0.1851 0.899 -0.206 0.837 -1.947 1.577
sigma2 0.4208 0.276 1.526 0.127 -0.120 0.961
===================================================================================
Ljung-Box (L1) (Q): 0.46 Jarque-Bera (JB): 0.26
Prob(Q): 0.50 Prob(JB): 0.88
Heteroskedasticity (H): 0.95 Skew: -0.09
Prob(H) (two-sided): 0.96 Kurtosis: 2.33
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.83537978458736, Current Price: 119.46
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.108
Date: Wed, 09 Oct 2024 AIC 34.216
Time: 14:40:46 BIC 37.041
Sample: 0 HQIC 33.635
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1351 1.087 0.124 0.901 -1.996 2.266
ma.L1 -0.4138 1.063 -0.389 0.697 -2.497 1.670
ar.S.L7 -0.4188 0.220 -1.903 0.057 -0.850 0.013
ma.S.L7 -0.2349 0.641 -0.367 0.714 -1.490 1.021
sigma2 0.3688 0.250 1.475 0.140 -0.121 0.859
===================================================================================
Ljung-Box (L1) (Q): 0.78 Jarque-Bera (JB): 0.16
Prob(Q): 0.38 Prob(JB): 0.92
Heteroskedasticity (H): 0.74 Skew: 0.22
Prob(H) (two-sided): 0.78 Kurtosis: 2.68
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.76411459166643, Current Price: 121.19
SELL EXECUTED at 121.19
SELL ORDER COMPLETED at 121.38
OPERATION PROFIT, GROSS 2.759999999999991, NET 2.5199999999999907
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.309
Date: Wed, 09 Oct 2024 AIC 40.618
Time: 14:40:46 BIC 43.443
Sample: 0 HQIC 40.037
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7740 0.705 -1.098 0.272 -2.156 0.608
ma.L1 0.9996 670.606 0.001 0.999 -1313.364 1315.363
ar.S.L7 -0.3317 0.252 -1.318 0.187 -0.825 0.161
ma.S.L7 37.9472 1527.565 0.025 0.980 -2956.026 3031.920
sigma2 0.0004 0.229 0.002 0.999 -0.448 0.449
===================================================================================
Ljung-Box (L1) (Q): 0.28 Jarque-Bera (JB): 0.03
Prob(Q): 0.59 Prob(JB): 0.98
Heteroskedasticity (H): 1.32 Skew: -0.02
Prob(H) (two-sided): 0.79 Kurtosis: 2.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.75900923515445, Current Price: 122.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.539
Date: Wed, 09 Oct 2024 AIC 39.079
Time: 14:40:46 BIC 41.904
Sample: 0 HQIC 38.498
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3763 3.635 0.104 0.918 -6.749 7.501
ma.L1 -0.4292 3.621 -0.119 0.906 -7.527 6.668
ar.S.L7 -0.3148 0.383 -0.823 0.411 -1.065 0.435
ma.S.L7 0.0969 0.690 0.140 0.888 -1.256 1.450
sigma2 0.5462 0.272 2.006 0.045 0.012 1.080
===================================================================================
Ljung-Box (L1) (Q): 0.30 Jarque-Bera (JB): 0.11
Prob(Q): 0.58 Prob(JB): 0.95
Heteroskedasticity (H): 0.83 Skew: -0.19
Prob(H) (two-sided): 0.86 Kurtosis: 3.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.16755802903741, Current Price: 122.6
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.679
Date: Wed, 09 Oct 2024 AIC 37.357
Time: 14:40:46 BIC 40.182
Sample: 0 HQIC 36.777
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6751 0.539 1.253 0.210 -0.381 1.731
ma.L1 -0.5630 0.811 -0.695 0.487 -2.152 1.026
ar.S.L7 -0.0509 0.983 -0.052 0.959 -1.977 1.875
ma.S.L7 -0.4145 1.299 -0.319 0.750 -2.960 2.131
sigma2 0.4353 0.215 2.027 0.043 0.014 0.856
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 1.12
Prob(Q): 0.80 Prob(JB): 0.57
Heteroskedasticity (H): 1.06 Skew: -0.22
Prob(H) (two-sided): 0.96 Kurtosis: 4.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.84890078087817, Current Price: 122.24
BUY EXECUTED at 122.24
BUY ORDER COMPLETED at 122.43
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.074
Date: Wed, 09 Oct 2024 AIC 38.147
Time: 14:40:46 BIC 40.972
Sample: 0 HQIC 37.567
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0057 2.159 -0.003 0.998 -4.238 4.226
ma.L1 0.2406 1.751 0.137 0.891 -3.191 3.672
ar.S.L7 -0.1114 0.902 -0.123 0.902 -1.880 1.657
ma.S.L7 -0.2319 1.269 -0.183 0.855 -2.719 2.255
sigma2 0.4994 0.210 2.376 0.018 0.087 0.911
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.04
Prob(Q): 0.99 Prob(JB): 0.60
Heteroskedasticity (H): 0.68 Skew: -0.47
Prob(H) (two-sided): 0.72 Kurtosis: 4.02
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.68698260039773, Current Price: 122.82
SELL EXECUTED at 122.82
SELL ORDER COMPLETED at 122.25
OPERATION PROFIT, GROSS -0.18000000000000682, NET -0.42468000000000683
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.979
Date: Wed, 09 Oct 2024 AIC 39.958
Time: 14:40:46 BIC 42.783
Sample: 0 HQIC 39.378
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6396 0.482 1.327 0.184 -0.305 1.584
ma.L1 -0.6416 0.567 -1.132 0.258 -1.752 0.469
ar.S.L7 -0.1991 0.921 -0.216 0.829 -2.003 1.605
ma.S.L7 0.0194 1.254 0.015 0.988 -2.439 2.478
sigma2 0.5780 0.317 1.825 0.068 -0.043 1.199
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.14
Prob(Q): 0.93 Prob(JB): 0.93
Heteroskedasticity (H): 0.48 Skew: -0.23
Prob(H) (two-sided): 0.50 Kurtosis: 2.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.09755054190596, Current Price: 121.73
BUY EXECUTED at 121.73
BUY ORDER COMPLETED at 121.82
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -100977.642
Date: Wed, 09 Oct 2024 AIC 201965.283
Time: 14:40:46 BIC 201968.108
Sample: 0 HQIC 201964.703
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.1736 1.32e-05 -8.87e+04 0.000 -1.174 -1.174
ma.L1 1.1749 5.62e-05 2.09e+04 0.000 1.175 1.175
ar.S.L7 137.0265 0.015 8938.124 0.000 136.996 137.057
ma.S.L7 -0.0008 3.99e-05 -19.299 0.000 -0.001 -0.001
sigma2 0.7966 0.000 3517.268 0.000 0.796 0.797
===================================================================================
Ljung-Box (L1) (Q): 0.38 Jarque-Bera (JB): 0.54
Prob(Q): 0.54 Prob(JB): 0.76
Heteroskedasticity (H): 0.19 Skew: -0.50
Prob(H) (two-sided): 0.14 Kurtosis: 2.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 180.47690687238187, Current Price: 121.96
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.402
Date: Wed, 09 Oct 2024 AIC 38.804
Time: 14:40:46 BIC 41.629
Sample: 0 HQIC 38.224
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8804 0.315 -2.798 0.005 -1.497 -0.264
ma.L1 1.5376 1.114 1.380 0.167 -0.646 3.721
ar.S.L7 0.1915 0.580 0.330 0.741 -0.946 1.329
ma.S.L7 -1.0003 3419.896 -0.000 1.000 -6703.873 6701.872
sigma2 0.1316 450.142 0.000 1.000 -882.130 882.394
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 0.33
Prob(Q): 0.72 Prob(JB): 0.85
Heteroskedasticity (H): 1.00 Skew: 0.01
Prob(H) (two-sided): 1.00 Kurtosis: 2.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.75936400994824, Current Price: 122.31
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.696
Date: Wed, 09 Oct 2024 AIC 33.392
Time: 14:40:46 BIC 36.217
Sample: 0 HQIC 32.812
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0648 0.177 -6.004 0.000 -1.412 -0.717
ma.L1 1.0000 6238.995 0.000 1.000 -1.22e+04 1.22e+04
ar.S.L7 -0.5651 0.205 -2.760 0.006 -0.966 -0.164
ma.S.L7 1.0000 3.45e+04 2.9e-05 1.000 -6.77e+04 6.77e+04
sigma2 0.1714 6261.750 2.74e-05 1.000 -1.23e+04 1.23e+04
===================================================================================
Ljung-Box (L1) (Q): 2.38 Jarque-Bera (JB): 0.20
Prob(Q): 0.12 Prob(JB): 0.91
Heteroskedasticity (H): 0.43 Skew: -0.01
Prob(H) (two-sided): 0.43 Kurtosis: 2.40
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.44494140577207, Current Price: 121.48
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.367
Date: Wed, 09 Oct 2024 AIC 40.734
Time: 14:40:46 BIC 43.559
Sample: 0 HQIC 40.154
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3548 0.685 0.518 0.604 -0.987 1.697
ma.L1 -1.0000 8972.107 -0.000 1.000 -1.76e+04 1.76e+04
ar.S.L7 -0.5004 0.408 -1.227 0.220 -1.300 0.299
ma.S.L7 -1.0001 5555.281 -0.000 1.000 -1.09e+04 1.09e+04
sigma2 0.3211 3391.621 9.47e-05 1.000 -6647.134 6647.777
===================================================================================
Ljung-Box (L1) (Q): 0.26 Jarque-Bera (JB): 1.16
Prob(Q): 0.61 Prob(JB): 0.56
Heteroskedasticity (H): 1.66 Skew: 0.47
Prob(H) (two-sided): 0.63 Kurtosis: 1.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.37255154308195, Current Price: 120.25
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.635
Date: Wed, 09 Oct 2024 AIC 45.271
Time: 14:40:46 BIC 48.095
Sample: 0 HQIC 44.690
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3546 4.517 -0.078 0.937 -9.208 8.499
ma.L1 0.3254 4.482 0.073 0.942 -8.458 9.109
ar.S.L7 -0.4768 1.497 -0.318 0.750 -3.411 2.458
ma.S.L7 -3.1787 18.287 -0.174 0.862 -39.021 32.663
sigma2 0.0838 0.942 0.089 0.929 -1.762 1.930
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.51
Prob(Q): 0.88 Prob(JB): 0.77
Heteroskedasticity (H): 2.51 Skew: -0.09
Prob(H) (two-sided): 0.40 Kurtosis: 2.05
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.36253013513121, Current Price: 120.84
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.971
Date: Wed, 09 Oct 2024 AIC 43.941
Time: 14:40:46 BIC 46.766
Sample: 0 HQIC 43.361
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5834 0.795 -0.734 0.463 -2.142 0.975
ma.L1 0.4790 0.868 0.552 0.581 -1.223 2.181
ar.S.L7 -0.5588 0.882 -0.634 0.526 -2.287 1.169
ma.S.L7 -1.0002 9213.866 -0.000 1.000 -1.81e+04 1.81e+04
sigma2 0.4644 4279.202 0.000 1.000 -8386.617 8387.546
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.82
Prob(Q): 0.94 Prob(JB): 0.67
Heteroskedasticity (H): 2.03 Skew: -0.38
Prob(H) (two-sided): 0.51 Kurtosis: 2.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.33735628507166, Current Price: 120.39
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.666
Date: Wed, 09 Oct 2024 AIC 43.331
Time: 14:40:46 BIC 46.156
Sample: 0 HQIC 42.750
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3055 0.621 0.492 0.623 -0.911 1.522
ma.L1 -1.0000 2737.044 -0.000 1.000 -5365.507 5363.507
ar.S.L7 -1.0971 0.279 -3.930 0.000 -1.644 -0.550
ma.S.L7 -1.0001 8139.651 -0.000 1.000 -1.6e+04 1.6e+04
sigma2 0.3913 3244.119 0.000 1.000 -6357.965 6358.748
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 1.10
Prob(Q): 0.67 Prob(JB): 0.58
Heteroskedasticity (H): 0.65 Skew: -0.22
Prob(H) (two-sided): 0.69 Kurtosis: 1.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.01668909559102, Current Price: 120.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.738
Date: Wed, 09 Oct 2024 AIC 43.476
Time: 14:40:46 BIC 46.301
Sample: 0 HQIC 42.895
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9763 0.253 -3.856 0.000 -1.472 -0.480
ma.L1 1.0000 1.1e+04 9.09e-05 1.000 -2.16e+04 2.16e+04
ar.S.L7 -0.5820 0.672 -0.866 0.387 -1.899 0.735
ma.S.L7 -0.4440 1.658 -0.268 0.789 -3.694 2.806
sigma2 0.6190 6808.621 9.09e-05 1.000 -1.33e+04 1.33e+04
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.98
Prob(Q): 0.73 Prob(JB): 0.61
Heteroskedasticity (H): 0.78 Skew: -0.50
Prob(H) (two-sided): 0.82 Kurtosis: 2.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.32500601415475, Current Price: 119.67
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.991
Date: Wed, 09 Oct 2024 AIC 39.983
Time: 14:40:46 BIC 42.808
Sample: 0 HQIC 39.402
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9752 0.091 -10.738 0.000 -1.153 -0.797
ma.L1 1.0000 1.44e+05 6.92e-06 1.000 -2.83e+05 2.83e+05
ar.S.L7 -0.4893 0.364 -1.345 0.179 -1.202 0.224
ma.S.L7 -1.0001 7816.259 -0.000 1.000 -1.53e+04 1.53e+04
sigma2 0.3127 4.49e+04 6.96e-06 1.000 -8.8e+04 8.8e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.89
Prob(Q): 0.91 Prob(JB): 0.64
Heteroskedasticity (H): 0.28 Skew: -0.57
Prob(H) (two-sided): 0.24 Kurtosis: 2.43
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.96611441276669, Current Price: 119.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.505
Date: Wed, 09 Oct 2024 AIC 41.010
Time: 14:40:46 BIC 43.835
Sample: 0 HQIC 40.429
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9054 0.188 -4.814 0.000 -1.274 -0.537
ma.L1 1.0000 7297.037 0.000 1.000 -1.43e+04 1.43e+04
ar.S.L7 -0.6692 0.710 -0.943 0.346 -2.060 0.722
ma.S.L7 -1.0001 1.07e+04 -9.35e-05 1.000 -2.1e+04 2.1e+04
sigma2 0.3384 4643.512 7.29e-05 1.000 -9100.778 9101.455
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.29
Prob(Q): 0.96 Prob(JB): 0.53
Heteroskedasticity (H): 2.26 Skew: -0.34
Prob(H) (two-sided): 0.45 Kurtosis: 1.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.51879227185802, Current Price: 117.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.254
Date: Wed, 09 Oct 2024 AIC 46.509
Time: 14:40:46 BIC 49.334
Sample: 0 HQIC 45.928
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0075 0.151 -6.650 0.000 -1.304 -0.711
ma.L1 1.0000 4.87e+04 2.05e-05 1.000 -9.54e+04 9.54e+04
ar.S.L7 -0.1697 0.978 -0.174 0.862 -2.086 1.746
ma.S.L7 -0.1043 1.200 -0.087 0.931 -2.455 2.247
sigma2 0.8346 4.06e+04 2.05e-05 1.000 -7.96e+04 7.96e+04
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 0.20
Prob(Q): 0.65 Prob(JB): 0.90
Heteroskedasticity (H): 1.92 Skew: -0.19
Prob(H) (two-sided): 0.54 Kurtosis: 2.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.85486250991589, Current Price: 116.79
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.557
Date: Wed, 09 Oct 2024 AIC 43.113
Time: 14:40:46 BIC 45.938
Sample: 0 HQIC 42.533
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8804 0.181 -4.873 0.000 -1.235 -0.526
ma.L1 1.0000 5996.439 0.000 1.000 -1.18e+04 1.18e+04
ar.S.L7 -0.3382 0.361 -0.938 0.348 -1.045 0.369
ma.S.L7 1.0000 4.35e+04 2.3e-05 1.000 -8.52e+04 8.52e+04
sigma2 0.3622 1.59e+04 2.28e-05 1.000 -3.11e+04 3.12e+04
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 0.08
Prob(Q): 0.70 Prob(JB): 0.96
Heteroskedasticity (H): 2.01 Skew: 0.04
Prob(H) (two-sided): 0.52 Kurtosis: 2.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.96889135343818, Current Price: 117.01
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.272
Date: Wed, 09 Oct 2024 AIC 42.543
Time: 14:40:46 BIC 45.368
Sample: 0 HQIC 41.963
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8500 0.153 -5.559 0.000 -1.150 -0.550
ma.L1 1.0000 7.16e+04 1.4e-05 1.000 -1.4e+05 1.4e+05
ar.S.L7 -0.3553 0.348 -1.022 0.307 -1.037 0.326
ma.S.L7 1.0000 6.67e+04 1.5e-05 1.000 -1.31e+05 1.31e+05
sigma2 0.3466 3.22e+04 1.08e-05 1.000 -6.32e+04 6.32e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.01
Prob(Q): 0.93 Prob(JB): 1.00
Heteroskedasticity (H): 0.27 Skew: -0.06
Prob(H) (two-sided): 0.24 Kurtosis: 3.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.85179968570054, Current Price: 116.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.863
Date: Wed, 09 Oct 2024 AIC 41.726
Time: 14:40:46 BIC 44.551
Sample: 0 HQIC 41.146
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8064 0.179 -4.512 0.000 -1.157 -0.456
ma.L1 1.0000 3.53e+04 2.83e-05 1.000 -6.92e+04 6.92e+04
ar.S.L7 -0.3525 0.339 -1.038 0.299 -1.018 0.313
ma.S.L7 1.0000 2.24e+04 4.46e-05 1.000 -4.4e+04 4.4e+04
sigma2 0.3255 1.42e+04 2.29e-05 1.000 -2.78e+04 2.78e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.07
Prob(Q): 0.89 Prob(JB): 0.96
Heteroskedasticity (H): 0.03 Skew: -0.18
Prob(H) (two-sided): 0.00 Kurtosis: 3.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.12396323415771, Current Price: 116.05
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.379
Date: Wed, 09 Oct 2024 AIC 42.758
Time: 14:40:46 BIC 45.583
Sample: 0 HQIC 42.178
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6941 0.379 -1.829 0.067 -1.438 0.050
ma.L1 1.0000 8210.647 0.000 1.000 -1.61e+04 1.61e+04
ar.S.L7 -0.5541 0.249 -2.228 0.026 -1.042 -0.067
ma.S.L7 1.0001 1.1e+04 9.09e-05 1.000 -2.16e+04 2.16e+04
sigma2 0.3523 4822.794 7.31e-05 1.000 -9452.151 9452.856
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 0.29
Prob(Q): 0.65 Prob(JB): 0.87
Heteroskedasticity (H): 0.13 Skew: 0.17
Prob(H) (two-sided): 0.08 Kurtosis: 2.35
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.96058819893221, Current Price: 116.04
SELL EXECUTED at 116.04
SELL ORDER COMPLETED at 116.21
OPERATION PROFIT, GROSS -5.609999999999999, NET -5.84803
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.065
Date: Wed, 09 Oct 2024 AIC 44.131
Time: 14:40:46 BIC 46.956
Sample: 0 HQIC 43.550
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4682 0.547 -0.855 0.392 -1.541 0.605
ma.L1 1.0000 7823.483 0.000 1.000 -1.53e+04 1.53e+04
ar.S.L7 -0.7932 0.387 -2.048 0.041 -1.552 -0.034
ma.S.L7 1.0001 1.28e+04 7.79e-05 1.000 -2.52e+04 2.52e+04
sigma2 0.3912 7597.214 5.15e-05 1.000 -1.49e+04 1.49e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.87
Prob(Q): 1.00 Prob(JB): 0.65
Heteroskedasticity (H): 0.23 Skew: 0.10
Prob(H) (two-sided): 0.18 Kurtosis: 1.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.44958701518193, Current Price: 116.5
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.440
Date: Wed, 09 Oct 2024 AIC 38.881
Time: 14:40:47 BIC 41.705
Sample: 0 HQIC 38.300
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4840 0.419 1.156 0.248 -0.337 1.305
ma.L1 0.0957 0.494 0.194 0.846 -0.872 1.063
ar.S.L7 -0.8073 0.228 -3.541 0.000 -1.254 -0.360
ma.S.L7 1.0000 3.32e+04 3.01e-05 1.000 -6.51e+04 6.51e+04
sigma2 0.3147 1.05e+04 3.01e-05 1.000 -2.05e+04 2.05e+04
===================================================================================
Ljung-Box (L1) (Q): 0.47 Jarque-Bera (JB): 0.57
Prob(Q): 0.49 Prob(JB): 0.75
Heteroskedasticity (H): 0.44 Skew: 0.17
Prob(H) (two-sided): 0.45 Kurtosis: 2.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.14016304820898, Current Price: 116.83
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.485
Date: Wed, 09 Oct 2024 AIC 38.971
Time: 14:40:47 BIC 41.795
Sample: 0 HQIC 38.390
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0040 0.101 -9.939 0.000 -1.202 -0.806
ma.L1 1.0000 6903.243 0.000 1.000 -1.35e+04 1.35e+04
ar.S.L7 -6.897e-06 0.126 -5.46e-05 1.000 -0.248 0.248
ma.S.L7 -0.1744 0.300 -0.582 0.561 -0.762 0.413
sigma2 0.5127 3539.021 0.000 1.000 -6935.841 6936.866
===================================================================================
Ljung-Box (L1) (Q): 1.53 Jarque-Bera (JB): 0.71
Prob(Q): 0.22 Prob(JB): 0.70
Heteroskedasticity (H): 2.17 Skew: 0.22
Prob(H) (two-sided): 0.47 Kurtosis: 1.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.11487229482739, Current Price: 117.14
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -120.109
Date: Wed, 09 Oct 2024 AIC 250.217
Time: 14:40:47 BIC 253.042
Sample: 0 HQIC 249.637
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -57.9229 1839.336 -0.031 0.975 -3662.956 3547.110
ma.L1 -40.4010 960.913 -0.042 0.966 -1923.756 1842.954
ar.S.L7 -37.3564 1173.410 -0.032 0.975 -2337.197 2262.485
ma.S.L7 -86.8993 8634.431 -0.010 0.992 -1.7e+04 1.68e+04
sigma2 0.5122 82.409 0.006 0.995 -161.007 162.032
===================================================================================
Ljung-Box (L1) (Q): 1.43 Jarque-Bera (JB): 1.15
Prob(Q): 0.23 Prob(JB): 0.56
Heteroskedasticity (H): 1.59 Skew: 0.51
Prob(H) (two-sided): 0.66 Kurtosis: 1.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 46.45629222361791, Current Price: 117.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.830
Date: Wed, 09 Oct 2024 AIC 35.660
Time: 14:40:47 BIC 38.485
Sample: 0 HQIC 35.080
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5316 0.193 -2.761 0.006 -0.909 -0.154
ma.L1 1.0000 2.91e+04 3.44e-05 1.000 -5.7e+04 5.7e+04
ar.S.L7 -0.5430 0.249 -2.184 0.029 -1.030 -0.056
ma.S.L7 -1.0000 1.91e+04 -5.25e-05 1.000 -3.74e+04 3.74e+04
sigma2 0.2236 9687.607 2.31e-05 1.000 -1.9e+04 1.9e+04
===================================================================================
Ljung-Box (L1) (Q): 2.48 Jarque-Bera (JB): 0.08
Prob(Q): 0.12 Prob(JB): 0.96
Heteroskedasticity (H): 0.36 Skew: -0.12
Prob(H) (two-sided): 0.35 Kurtosis: 2.68
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.41548110170449, Current Price: 119.79
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.687
Date: Wed, 09 Oct 2024 AIC 43.374
Time: 14:40:47 BIC 46.199
Sample: 0 HQIC 42.794
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9421 0.571 1.650 0.099 -0.177 2.061
ma.L1 -2.0573 2.717 -0.757 0.449 -7.382 3.267
ar.S.L7 -0.3154 0.543 -0.581 0.561 -1.379 0.748
ma.S.L7 -1.0006 2829.621 -0.000 1.000 -5546.956 5544.955
sigma2 0.1049 296.780 0.000 1.000 -581.574 581.783
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.04
Prob(Q): 0.84 Prob(JB): 0.98
Heteroskedasticity (H): 2.38 Skew: 0.11
Prob(H) (two-sided): 0.42 Kurtosis: 2.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.69931097735741, Current Price: 118.81
BUY EXECUTED at 118.81
BUY ORDER COMPLETED at 119.39
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.736
Date: Wed, 09 Oct 2024 AIC 45.472
Time: 14:40:47 BIC 48.297
Sample: 0 HQIC 44.892
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3834 1.957 0.196 0.845 -3.453 4.220
ma.L1 -0.2257 2.247 -0.100 0.920 -4.629 4.178
ar.S.L7 -0.3177 0.444 -0.716 0.474 -1.188 0.553
ma.S.L7 -1.0002 6236.060 -0.000 1.000 -1.22e+04 1.22e+04
sigma2 0.5406 3371.749 0.000 1.000 -6607.966 6609.047
===================================================================================
Ljung-Box (L1) (Q): 0.27 Jarque-Bera (JB): 2.47
Prob(Q): 0.60 Prob(JB): 0.29
Heteroskedasticity (H): 5.41 Skew: 1.00
Prob(H) (two-sided): 0.13 Kurtosis: 3.74
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.39984420227422, Current Price: 119.4
SELL EXECUTED at 119.4
SELL ORDER COMPLETED at 119.63
OPERATION PROFIT, GROSS 0.23999999999999488, NET 0.0009799999999948739
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.583
Date: Wed, 09 Oct 2024 AIC 47.165
Time: 14:40:47 BIC 49.990
Sample: 0 HQIC 46.585
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3511 2.913 0.121 0.904 -5.357 6.060
ma.L1 -0.2743 3.163 -0.087 0.931 -6.474 5.925
ar.S.L7 -0.4027 0.377 -1.068 0.286 -1.142 0.337
ma.S.L7 -1.0002 6087.398 -0.000 1.000 -1.19e+04 1.19e+04
sigma2 0.6158 3748.885 0.000 1.000 -7347.063 7348.294
===================================================================================
Ljung-Box (L1) (Q): 0.86 Jarque-Bera (JB): 0.85
Prob(Q): 0.35 Prob(JB): 0.65
Heteroskedasticity (H): 4.52 Skew: 0.62
Prob(H) (two-sided): 0.17 Kurtosis: 2.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.82321245035166, Current Price: 119.9
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.914
Date: Wed, 09 Oct 2024 AIC 45.828
Time: 14:40:47 BIC 48.652
Sample: 0 HQIC 45.247
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3438 3.556 0.097 0.923 -6.626 7.313
ma.L1 -0.2957 3.785 -0.078 0.938 -7.714 7.122
ar.S.L7 -0.5896 0.682 -0.864 0.388 -1.927 0.748
ma.S.L7 -1.0004 3974.062 -0.000 1.000 -7790.019 7788.019
sigma2 0.5546 2204.262 0.000 1.000 -4319.720 4320.829
===================================================================================
Ljung-Box (L1) (Q): 3.49 Jarque-Bera (JB): 1.05
Prob(Q): 0.06 Prob(JB): 0.59
Heteroskedasticity (H): 10.04 Skew: 0.69
Prob(H) (two-sided): 0.05 Kurtosis: 3.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.66823716662607, Current Price: 119.14
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.203
Date: Wed, 09 Oct 2024 AIC 44.407
Time: 14:40:47 BIC 47.232
Sample: 0 HQIC 43.826
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3269 1.115 -0.293 0.769 -2.512 1.859
ma.L1 0.1573 1.297 0.121 0.903 -2.385 2.700
ar.S.L7 -0.7907 0.566 -1.397 0.162 -1.900 0.319
ma.S.L7 -1.0002 5436.181 -0.000 1.000 -1.07e+04 1.07e+04
sigma2 0.4992 2713.859 0.000 1.000 -5318.566 5319.565
===================================================================================
Ljung-Box (L1) (Q): 1.16 Jarque-Bera (JB): 1.34
Prob(Q): 0.28 Prob(JB): 0.51
Heteroskedasticity (H): 13.37 Skew: 0.73
Prob(H) (two-sided): 0.03 Kurtosis: 3.55
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.60393708651117, Current Price: 119.61
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.323
Date: Wed, 09 Oct 2024 AIC 46.645
Time: 14:40:47 BIC 49.470
Sample: 0 HQIC 46.065
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7432 0.641 1.159 0.247 -0.514 2.000
ma.L1 -0.5229 0.876 -0.597 0.551 -2.240 1.195
ar.S.L7 -0.3439 0.442 -0.777 0.437 -1.211 0.523
ma.S.L7 0.1041 0.848 0.123 0.902 -1.558 1.766
sigma2 0.9706 0.478 2.030 0.042 0.033 1.908
===================================================================================
Ljung-Box (L1) (Q): 2.56 Jarque-Bera (JB): 0.30
Prob(Q): 0.11 Prob(JB): 0.86
Heteroskedasticity (H): 1.41 Skew: 0.21
Prob(H) (two-sided): 0.75 Kurtosis: 2.38
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.13855487738815, Current Price: 119.48
BUY EXECUTED at 119.48
BUY ORDER COMPLETED at 120.49
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.494
Date: Wed, 09 Oct 2024 AIC 46.988
Time: 14:40:47 BIC 49.812
Sample: 0 HQIC 46.407
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7591 0.901 0.842 0.400 -1.007 2.525
ma.L1 -0.5510 1.229 -0.448 0.654 -2.960 1.858
ar.S.L7 -0.3552 0.498 -0.714 0.475 -1.331 0.620
ma.S.L7 0.1564 0.806 0.194 0.846 -1.423 1.736
sigma2 0.9889 0.524 1.886 0.059 -0.039 2.016
===================================================================================
Ljung-Box (L1) (Q): 2.27 Jarque-Bera (JB): 0.55
Prob(Q): 0.13 Prob(JB): 0.76
Heteroskedasticity (H): 0.41 Skew: 0.34
Prob(H) (two-sided): 0.41 Kurtosis: 2.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.08701767945763, Current Price: 120.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.508
Date: Wed, 09 Oct 2024 AIC 47.016
Time: 14:40:47 BIC 49.840
Sample: 0 HQIC 46.435
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7806 0.820 0.952 0.341 -0.826 2.387
ma.L1 -0.5736 1.172 -0.490 0.624 -2.870 1.723
ar.S.L7 -0.3213 0.602 -0.534 0.593 -1.500 0.858
ma.S.L7 0.0078 0.810 0.010 0.992 -1.580 1.595
sigma2 1.0006 0.534 1.874 0.061 -0.046 2.047
===================================================================================
Ljung-Box (L1) (Q): 1.73 Jarque-Bera (JB): 0.46
Prob(Q): 0.19 Prob(JB): 0.79
Heteroskedasticity (H): 0.30 Skew: 0.22
Prob(H) (two-sided): 0.27 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.5634826491029, Current Price: 120.14
SELL EXECUTED at 120.14
SELL ORDER COMPLETED at 120.31
OPERATION PROFIT, GROSS -0.1799999999999926, NET -0.4207999999999926
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.330
Date: Wed, 09 Oct 2024 AIC 44.660
Time: 14:40:47 BIC 47.484
Sample: 0 HQIC 44.079
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9142 0.180 5.067 0.000 0.561 1.268
ma.L1 -1.0000 4760.285 -0.000 1.000 -9330.986 9328.986
ar.S.L7 -0.5520 0.339 -1.628 0.104 -1.217 0.113
ma.S.L7 0.4562 0.940 0.485 0.627 -1.386 2.298
sigma2 0.6745 3211.012 0.000 1.000 -6292.793 6294.142
===================================================================================
Ljung-Box (L1) (Q): 1.70 Jarque-Bera (JB): 0.70
Prob(Q): 0.19 Prob(JB): 0.70
Heteroskedasticity (H): 0.52 Skew: 0.33
Prob(H) (two-sided): 0.54 Kurtosis: 2.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.05362956721794, Current Price: 120.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.232
Date: Wed, 09 Oct 2024 AIC 40.464
Time: 14:40:47 BIC 43.289
Sample: 0 HQIC 39.884
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7905 0.203 3.896 0.000 0.393 1.188
ma.L1 -1.0000 1.64e+05 -6.11e-06 1.000 -3.21e+05 3.21e+05
ar.S.L7 -0.0820 0.642 -0.128 0.898 -1.341 1.177
ma.S.L7 -1.0002 7925.733 -0.000 1.000 -1.55e+04 1.55e+04
sigma2 0.2949 4.91e+04 6e-06 1.000 -9.62e+04 9.63e+04
===================================================================================
Ljung-Box (L1) (Q): 0.44 Jarque-Bera (JB): 1.31
Prob(Q): 0.51 Prob(JB): 0.52
Heteroskedasticity (H): 0.17 Skew: 0.78
Prob(H) (two-sided): 0.11 Kurtosis: 2.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.51554751181476, Current Price: 120.72
BUY EXECUTED at 120.72
BUY ORDER COMPLETED at 121.31
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.153
Date: Wed, 09 Oct 2024 AIC 40.306
Time: 14:40:47 BIC 43.131
Sample: 0 HQIC 39.726
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0187 3.076 0.006 0.995 -6.010 6.048
ma.L1 4.7945 73.155 0.066 0.948 -138.586 148.175
ar.S.L7 0.2137 0.653 0.327 0.743 -1.066 1.493
ma.S.L7 -1.0194 47.482 -0.021 0.983 -94.083 92.044
sigma2 0.0154 1.050 0.015 0.988 -2.042 2.073
===================================================================================
Ljung-Box (L1) (Q): 1.86 Jarque-Bera (JB): 2.74
Prob(Q): 0.17 Prob(JB): 0.25
Heteroskedasticity (H): 0.12 Skew: 1.07
Prob(H) (two-sided): 0.07 Kurtosis: 3.71
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.95978013956369, Current Price: 121.61
SELL EXECUTED at 121.61
SELL ORDER COMPLETED at 121.91
OPERATION PROFIT, GROSS 0.5999999999999943, NET 0.3567799999999943
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.117
Date: Wed, 09 Oct 2024 AIC 38.233
Time: 14:40:47 BIC 41.058
Sample: 0 HQIC 37.652
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6198 0.145 4.266 0.000 0.335 0.905
ma.L1 -1.0000 1.18e+04 -8.5e-05 1.000 -2.3e+04 2.3e+04
ar.S.L7 -0.1349 0.361 -0.374 0.708 -0.842 0.572
ma.S.L7 -1.0002 6036.137 -0.000 1.000 -1.18e+04 1.18e+04
sigma2 0.2489 2176.920 0.000 1.000 -4266.436 4266.933
===================================================================================
Ljung-Box (L1) (Q): 3.20 Jarque-Bera (JB): 0.78
Prob(Q): 0.07 Prob(JB): 0.68
Heteroskedasticity (H): 0.30 Skew: 0.60
Prob(H) (two-sided): 0.27 Kurtosis: 3.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.62589295934958, Current Price: 121.73
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.742
Date: Wed, 09 Oct 2024 AIC 37.485
Time: 14:40:47 BIC 40.309
Sample: 0 HQIC 36.904
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5984 0.205 2.924 0.003 0.197 1.000
ma.L1 -1.0000 2.02e+04 -4.96e-05 1.000 -3.95e+04 3.95e+04
ar.S.L7 -0.1649 0.286 -0.577 0.564 -0.725 0.395
ma.S.L7 -1.0005 2626.025 -0.000 1.000 -5147.915 5145.914
sigma2 0.2332 4324.049 5.39e-05 1.000 -8474.748 8475.214
===================================================================================
Ljung-Box (L1) (Q): 1.43 Jarque-Bera (JB): 0.69
Prob(Q): 0.23 Prob(JB): 0.71
Heteroskedasticity (H): 0.40 Skew: 0.56
Prob(H) (two-sided): 0.39 Kurtosis: 3.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.21894533206175, Current Price: 123.1
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.787
Date: Wed, 09 Oct 2024 AIC 31.574
Time: 14:40:47 BIC 34.399
Sample: 0 HQIC 30.993
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5962 0.426 -1.400 0.161 -1.431 0.238
ma.L1 0.2723 0.712 0.383 0.702 -1.122 1.667
ar.S.L7 -0.3087 0.191 -1.613 0.107 -0.684 0.066
ma.S.L7 -3.4724 9.779 -0.355 0.723 -22.638 15.693
sigma2 0.0245 0.130 0.188 0.851 -0.231 0.280
===================================================================================
Ljung-Box (L1) (Q): 1.63 Jarque-Bera (JB): 0.19
Prob(Q): 0.20 Prob(JB): 0.91
Heteroskedasticity (H): 2.65 Skew: -0.06
Prob(H) (two-sided): 0.37 Kurtosis: 2.42
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.99507889948023, Current Price: 122.45
BUY EXECUTED at 122.45
BUY ORDER COMPLETED at 122.07
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.509
Date: Wed, 09 Oct 2024 AIC 37.018
Time: 14:40:47 BIC 39.843
Sample: 0 HQIC 36.438
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3793 0.490 -0.775 0.438 -1.339 0.580
ma.L1 -0.0096 0.565 -0.017 0.986 -1.116 1.097
ar.S.L7 -0.1697 0.269 -0.632 0.528 -0.696 0.357
ma.S.L7 -1.0001 6949.385 -0.000 1.000 -1.36e+04 1.36e+04
sigma2 0.2832 1968.337 0.000 1.000 -3857.586 3858.153
===================================================================================
Ljung-Box (L1) (Q): 0.76 Jarque-Bera (JB): 1.82
Prob(Q): 0.38 Prob(JB): 0.40
Heteroskedasticity (H): 3.81 Skew: -0.91
Prob(H) (two-sided): 0.22 Kurtosis: 2.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.34282086891041, Current Price: 121.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.752
Date: Wed, 09 Oct 2024 AIC 37.504
Time: 14:40:47 BIC 40.329
Sample: 0 HQIC 36.924
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2162 0.631 0.343 0.732 -1.020 1.453
ma.L1 -1.0000 5560.656 -0.000 1.000 -1.09e+04 1.09e+04
ar.S.L7 -0.2421 0.122 -1.984 0.047 -0.481 -0.003
ma.S.L7 -0.0510 1.149 -0.044 0.965 -2.303 2.201
sigma2 0.4291 2386.267 0.000 1.000 -4676.569 4677.427
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 2.50
Prob(Q): 0.75 Prob(JB): 0.29
Heteroskedasticity (H): 7.67 Skew: 1.06
Prob(H) (two-sided): 0.07 Kurtosis: 3.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.49898314442748, Current Price: 120.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.875
Date: Wed, 09 Oct 2024 AIC 43.750
Time: 14:40:47 BIC 46.574
Sample: 0 HQIC 43.169
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3251 0.712 0.456 0.648 -1.071 1.721
ma.L1 -1.0057 9.685 -0.104 0.917 -19.987 17.976
ar.S.L7 -0.2348 0.238 -0.988 0.323 -0.700 0.231
ma.S.L7 3.4398 15.445 0.223 0.824 -26.831 33.711
sigma2 0.0564 0.342 0.165 0.869 -0.613 0.726
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.45
Prob(Q): 0.90 Prob(JB): 0.80
Heteroskedasticity (H): 10.31 Skew: 0.38
Prob(H) (two-sided): 0.04 Kurtosis: 3.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.83011984803387, Current Price: 120.36
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.283
Date: Wed, 09 Oct 2024 AIC 42.567
Time: 14:40:48 BIC 45.391
Sample: 0 HQIC 41.986
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0145 0.374 -2.714 0.007 -1.747 -0.282
ma.L1 1.0000 9075.539 0.000 1.000 -1.78e+04 1.78e+04
ar.S.L7 -0.4356 0.305 -1.428 0.153 -1.033 0.162
ma.S.L7 0.0818 1.256 0.065 0.948 -2.379 2.543
sigma2 0.6081 5519.150 0.000 1.000 -1.08e+04 1.08e+04
===================================================================================
Ljung-Box (L1) (Q): 0.40 Jarque-Bera (JB): 0.67
Prob(Q): 0.53 Prob(JB): 0.72
Heteroskedasticity (H): 5.53 Skew: -0.22
Prob(H) (two-sided): 0.13 Kurtosis: 1.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.99981561662437, Current Price: 120.48
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.125
Date: Wed, 09 Oct 2024 AIC 42.250
Time: 14:40:48 BIC 45.075
Sample: 0 HQIC 41.670
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9697 0.434 -2.234 0.025 -1.820 -0.119
ma.L1 1.0000 9462.946 0.000 1.000 -1.85e+04 1.85e+04
ar.S.L7 -0.4384 0.265 -1.656 0.098 -0.957 0.081
ma.S.L7 0.2731 1.165 0.234 0.815 -2.011 2.557
sigma2 0.5670 5365.748 0.000 1.000 -1.05e+04 1.05e+04
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.49
Prob(Q): 0.74 Prob(JB): 0.78
Heteroskedasticity (H): 4.10 Skew: -0.16
Prob(H) (two-sided): 0.20 Kurtosis: 2.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.1799439287654, Current Price: 119.82
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.122
Date: Wed, 09 Oct 2024 AIC 44.245
Time: 14:40:48 BIC 47.069
Sample: 0 HQIC 43.664
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7209 0.578 -1.248 0.212 -1.853 0.411
ma.L1 0.4796 0.904 0.530 0.596 -1.293 2.252
ar.S.L7 -0.4387 0.392 -1.119 0.263 -1.207 0.330
ma.S.L7 0.0846 1.465 0.058 0.954 -2.787 2.957
sigma2 0.8096 0.633 1.279 0.201 -0.431 2.050
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 0.60
Prob(Q): 0.65 Prob(JB): 0.74
Heteroskedasticity (H): 5.19 Skew: 0.06
Prob(H) (two-sided): 0.14 Kurtosis: 1.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.80071294604909, Current Price: 119.32
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.505
Date: Wed, 09 Oct 2024 AIC 45.010
Time: 14:40:48 BIC 47.835
Sample: 0 HQIC 44.430
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3325 1.063 -0.313 0.754 -2.416 1.751
ma.L1 0.0684 1.135 0.060 0.952 -2.156 2.293
ar.S.L7 -0.9324 1.067 -0.874 0.382 -3.024 1.159
ma.S.L7 -1.0003 4610.616 -0.000 1.000 -9037.642 9035.642
sigma2 0.5212 2402.946 0.000 1.000 -4709.166 4710.208
===================================================================================
Ljung-Box (L1) (Q): 0.28 Jarque-Bera (JB): 0.98
Prob(Q): 0.60 Prob(JB): 0.61
Heteroskedasticity (H): 4.43 Skew: -0.50
Prob(H) (two-sided): 0.18 Kurtosis: 2.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.66684373065148, Current Price: 119.34
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.928
Date: Wed, 09 Oct 2024 AIC 45.857
Time: 14:40:48 BIC 48.681
Sample: 0 HQIC 45.276
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7464 0.690 -1.081 0.280 -2.100 0.607
ma.L1 0.5469 0.908 0.602 0.547 -1.233 2.327
ar.S.L7 -0.5266 0.480 -1.097 0.273 -1.467 0.414
ma.S.L7 -0.0859 0.943 -0.091 0.927 -1.934 1.762
sigma2 0.9138 0.879 1.039 0.299 -0.809 2.637
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.53
Prob(Q): 0.98 Prob(JB): 0.77
Heteroskedasticity (H): 2.37 Skew: 0.16
Prob(H) (two-sided): 0.42 Kurtosis: 2.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.78277503898732, Current Price: 118.43
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.309
Date: Wed, 09 Oct 2024 AIC 44.619
Time: 14:40:48 BIC 47.443
Sample: 0 HQIC 44.038
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9520 0.198 -4.808 0.000 -1.340 -0.564
ma.L1 1.0000 4.27e+04 2.34e-05 1.000 -8.36e+04 8.36e+04
ar.S.L7 -0.1177 0.328 -0.359 0.720 -0.761 0.526
ma.S.L7 -1.0004 2465.242 -0.000 1.000 -4832.787 4830.786
sigma2 0.4464 1.97e+04 2.26e-05 1.000 -3.87e+04 3.87e+04
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 0.67
Prob(Q): 0.70 Prob(JB): 0.71
Heteroskedasticity (H): 0.86 Skew: 0.47
Prob(H) (two-sided): 0.89 Kurtosis: 2.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.83434419269882, Current Price: 118.18
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.601
Date: Wed, 09 Oct 2024 AIC 43.201
Time: 14:40:48 BIC 46.026
Sample: 0 HQIC 42.621
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9066 0.123 -7.354 0.000 -1.148 -0.665
ma.L1 1.0000 2.41e+04 4.15e-05 1.000 -4.72e+04 4.72e+04
ar.S.L7 -0.2777 0.285 -0.975 0.330 -0.836 0.281
ma.S.L7 -0.1918 0.629 -0.305 0.760 -1.424 1.041
sigma2 0.6442 1.55e+04 4.15e-05 1.000 -3.04e+04 3.04e+04
===================================================================================
Ljung-Box (L1) (Q): 0.27 Jarque-Bera (JB): 0.66
Prob(Q): 0.60 Prob(JB): 0.72
Heteroskedasticity (H): 0.30 Skew: 0.27
Prob(H) (two-sided): 0.27 Kurtosis: 2.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.01076547014901, Current Price: 118.52
SELL EXECUTED at 118.52
SELL ORDER COMPLETED at 119.13
OPERATION PROFIT, GROSS -2.9399999999999977, NET -3.181199999999998
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.696
Date: Wed, 09 Oct 2024 AIC 37.393
Time: 14:40:48 BIC 40.217
Sample: 0 HQIC 36.812
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8708 0.071 -12.318 0.000 -1.009 -0.732
ma.L1 1.0000 2.92e+04 3.42e-05 1.000 -5.73e+04 5.73e+04
ar.S.L7 -0.0981 0.233 -0.421 0.674 -0.555 0.359
ma.S.L7 -1.0001 1.4e+04 -7.12e-05 1.000 -2.75e+04 2.75e+04
sigma2 0.2562 5851.787 4.38e-05 1.000 -1.15e+04 1.15e+04
===================================================================================
Ljung-Box (L1) (Q): 0.89 Jarque-Bera (JB): 0.92
Prob(Q): 0.35 Prob(JB): 0.63
Heteroskedasticity (H): 0.21 Skew: 0.25
Prob(H) (two-sided): 0.16 Kurtosis: 1.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.85615340267924, Current Price: 118.92
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.223
Date: Wed, 09 Oct 2024 AIC 36.445
Time: 14:40:48 BIC 39.270
Sample: 0 HQIC 35.864
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8340 0.073 -11.381 0.000 -0.978 -0.690
ma.L1 1.0000 1.16e+04 8.61e-05 1.000 -2.28e+04 2.28e+04
ar.S.L7 -0.1473 0.215 -0.684 0.494 -0.569 0.275
ma.S.L7 -1.0001 9461.067 -0.000 1.000 -1.85e+04 1.85e+04
sigma2 0.2382 4232.928 5.63e-05 1.000 -8296.149 8296.625
===================================================================================
Ljung-Box (L1) (Q): 0.39 Jarque-Bera (JB): 0.89
Prob(Q): 0.53 Prob(JB): 0.64
Heteroskedasticity (H): 0.11 Skew: 0.31
Prob(H) (two-sided): 0.06 Kurtosis: 1.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.80447235101705, Current Price: 119.43
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.115
Date: Wed, 09 Oct 2024 AIC 38.229
Time: 14:40:48 BIC 41.054
Sample: 0 HQIC 37.648
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8677 0.085 -10.192 0.000 -1.035 -0.701
ma.L1 1.0000 6696.449 0.000 1.000 -1.31e+04 1.31e+04
ar.S.L7 0.0094 0.033 0.283 0.777 -0.056 0.074
ma.S.L7 -1.0001 1.13e+04 -8.88e-05 1.000 -2.21e+04 2.21e+04
sigma2 0.2745 2073.292 0.000 1.000 -4063.304 4063.853
===================================================================================
Ljung-Box (L1) (Q): 2.59 Jarque-Bera (JB): 0.73
Prob(Q): 0.11 Prob(JB): 0.69
Heteroskedasticity (H): 0.27 Skew: 0.42
Prob(H) (two-sided): 0.24 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.88732668014119, Current Price: 118.36
BUY EXECUTED at 118.36
BUY ORDER COMPLETED at 118.87
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.693
Date: Wed, 09 Oct 2024 AIC 39.385
Time: 14:40:48 BIC 42.210
Sample: 0 HQIC 38.805
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5540 0.170 -3.267 0.001 -0.886 -0.222
ma.L1 1.0000 1.93e+04 5.19e-05 1.000 -3.78e+04 3.78e+04
ar.S.L7 -0.3471 0.151 -2.297 0.022 -0.643 -0.051
ma.S.L7 0.1103 0.404 0.273 0.785 -0.682 0.902
sigma2 0.4735 9124.383 5.19e-05 1.000 -1.79e+04 1.79e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.65
Prob(Q): 0.95 Prob(JB): 0.72
Heteroskedasticity (H): 1.38 Skew: 0.04
Prob(H) (two-sided): 0.76 Kurtosis: 1.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.55351322226643, Current Price: 118.81
SELL EXECUTED at 118.81
SELL ORDER COMPLETED at 119.06
OPERATION PROFIT, GROSS 0.18999999999999773, NET -0.047930000000002276
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.903
Date: Wed, 09 Oct 2024 AIC 39.806
Time: 14:40:48 BIC 42.631
Sample: 0 HQIC 39.225
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5966 0.307 -1.943 0.052 -1.198 0.005
ma.L1 0.5679 0.584 0.972 0.331 -0.578 1.713
ar.S.L7 -0.3650 0.490 -0.744 0.457 -1.326 0.596
ma.S.L7 0.0677 0.600 0.113 0.910 -1.108 1.243
sigma2 0.5732 0.384 1.494 0.135 -0.179 1.325
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.99
Prob(Q): 0.88 Prob(JB): 0.61
Heteroskedasticity (H): 0.92 Skew: -0.06
Prob(H) (two-sided): 0.93 Kurtosis: 1.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.88265395329108, Current Price: 118.9
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.117
Date: Wed, 09 Oct 2024 AIC 34.234
Time: 14:40:48 BIC 37.059
Sample: 0 HQIC 33.654
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3830 0.873 -0.439 0.661 -2.094 1.328
ma.L1 1.6593 1.980 0.838 0.402 -2.221 5.540
ar.S.L7 -2.862e-06 0.050 -5.68e-05 1.000 -0.099 0.099
ma.S.L7 -0.9995 637.863 -0.002 0.999 -1251.189 1249.190
sigma2 0.0979 62.254 0.002 0.999 -121.918 122.114
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 1.21
Prob(Q): 0.70 Prob(JB): 0.55
Heteroskedasticity (H): 1.95 Skew: -0.73
Prob(H) (two-sided): 0.53 Kurtosis: 2.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.81071608520107, Current Price: 118.32
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.074
Date: Wed, 09 Oct 2024 AIC 38.148
Time: 14:40:48 BIC 40.973
Sample: 0 HQIC 37.567
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1669 88.594 -0.002 0.998 -173.808 173.475
ma.L1 0.1572 89.683 0.002 0.999 -175.619 175.933
ar.S.L7 -0.3976 0.856 -0.464 0.643 -2.076 1.281
ma.S.L7 0.0108 0.767 0.014 0.989 -1.493 1.515
sigma2 0.5103 0.328 1.555 0.120 -0.133 1.154
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.74
Prob(Q): 0.98 Prob(JB): 0.69
Heteroskedasticity (H): 1.23 Skew: -0.42
Prob(H) (two-sided): 0.85 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.4588737057026, Current Price: 118.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.150
Date: Wed, 09 Oct 2024 AIC 38.299
Time: 14:40:48 BIC 41.124
Sample: 0 HQIC 37.719
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4986 1.244 -0.401 0.689 -2.936 1.939
ma.L1 0.5139 1.258 0.409 0.683 -1.951 2.979
ar.S.L7 -0.4155 0.407 -1.022 0.307 -1.212 0.381
ma.S.L7 0.1922 0.679 0.283 0.777 -1.138 1.522
sigma2 0.5041 0.314 1.604 0.109 -0.112 1.120
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.56
Prob(Q): 0.94 Prob(JB): 0.75
Heteroskedasticity (H): 0.75 Skew: -0.15
Prob(H) (two-sided): 0.79 Kurtosis: 2.02
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.30049573689784, Current Price: 116.09
BUY EXECUTED at 116.09
BUY ORDER COMPLETED at 115.91
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.098
Date: Wed, 09 Oct 2024 AIC 44.196
Time: 14:40:48 BIC 47.021
Sample: 0 HQIC 43.615
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4334 0.393 -1.104 0.270 -1.203 0.336
ma.L1 1.0000 2.25e+04 4.45e-05 1.000 -4.4e+04 4.4e+04
ar.S.L7 -0.2838 0.203 -1.401 0.161 -0.681 0.113
ma.S.L7 0.1106 0.743 0.149 0.882 -1.347 1.568
sigma2 0.7151 1.61e+04 4.45e-05 1.000 -3.15e+04 3.15e+04
===================================================================================
Ljung-Box (L1) (Q): 0.70 Jarque-Bera (JB): 0.66
Prob(Q): 0.40 Prob(JB): 0.72
Heteroskedasticity (H): 1.66 Skew: -0.30
Prob(H) (two-sided): 0.64 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.74122091915812, Current Price: 116.52
SELL EXECUTED at 116.52
SELL ORDER COMPLETED at 116.58
OPERATION PROFIT, GROSS 0.6700000000000017, NET 0.43751000000000173
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.163
Date: Wed, 09 Oct 2024 AIC 40.326
Time: 14:40:48 BIC 43.150
Sample: 0 HQIC 39.745
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4504 0.292 1.543 0.123 -0.122 1.023
ma.L1 -1.0000 3.07e+05 -3.26e-06 1.000 -6.01e+05 6.01e+05
ar.S.L7 -0.5016 0.305 -1.646 0.100 -1.099 0.096
ma.S.L7 0.1431 1.592 0.090 0.928 -2.978 3.264
sigma2 0.5217 1.6e+05 3.26e-06 1.000 -3.14e+05 3.14e+05
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 2.06
Prob(Q): 0.80 Prob(JB): 0.36
Heteroskedasticity (H): 19.48 Skew: -0.92
Prob(H) (two-sided): 0.01 Kurtosis: 3.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.1009809992498, Current Price: 116.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.007
Date: Wed, 09 Oct 2024 AIC 40.015
Time: 14:40:48 BIC 42.840
Sample: 0 HQIC 39.434
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3691 0.333 1.110 0.267 -0.283 1.021
ma.L1 -1.0000 8555.726 -0.000 1.000 -1.68e+04 1.68e+04
ar.S.L7 -0.4766 0.231 -2.066 0.039 -0.929 -0.024
ma.S.L7 0.1419 1.008 0.141 0.888 -1.834 2.118
sigma2 0.5266 4505.342 0.000 1.000 -8829.782 8830.835
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 1.64
Prob(Q): 0.67 Prob(JB): 0.44
Heteroskedasticity (H): 11.94 Skew: -0.85
Prob(H) (two-sided): 0.03 Kurtosis: 3.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.948806123864, Current Price: 115.28
BUY EXECUTED at 115.28
BUY ORDER COMPLETED at 115.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.345
Date: Wed, 09 Oct 2024 AIC 42.691
Time: 14:40:48 BIC 45.515
Sample: 0 HQIC 42.110
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1956 1.079 0.181 0.856 -1.919 2.310
ma.L1 -0.7433 0.563 -1.320 0.187 -1.847 0.360
ar.S.L7 -0.5701 0.310 -1.841 0.066 -1.177 0.037
ma.S.L7 -0.3430 1.586 -0.216 0.829 -3.452 2.766
sigma2 0.6776 0.417 1.625 0.104 -0.140 1.495
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.71
Prob(Q): 0.94 Prob(JB): 0.43
Heteroskedasticity (H): 11.17 Skew: -0.89
Prob(H) (two-sided): 0.04 Kurtosis: 2.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.25922526335034, Current Price: 115.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.393
Date: Wed, 09 Oct 2024 AIC 42.787
Time: 14:40:48 BIC 45.611
Sample: 0 HQIC 42.206
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1958 1.142 0.171 0.864 -2.043 2.434
ma.L1 -1.2528 0.797 -1.572 0.116 -2.815 0.309
ar.S.L7 -0.6051 0.282 -2.146 0.032 -1.158 -0.052
ma.S.L7 -0.2138 1.949 -0.110 0.913 -4.034 3.607
sigma2 0.4452 0.537 0.829 0.407 -0.607 1.498
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 1.74
Prob(Q): 0.84 Prob(JB): 0.42
Heteroskedasticity (H): 0.95 Skew: -0.88
Prob(H) (two-sided): 0.96 Kurtosis: 2.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.19021239567124, Current Price: 115.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.391
Date: Wed, 09 Oct 2024 AIC 42.783
Time: 14:40:48 BIC 45.608
Sample: 0 HQIC 42.202
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1620 0.901 0.180 0.857 -1.604 1.928
ma.L1 -0.8844 0.476 -1.857 0.063 -1.818 0.049
ar.S.L7 -0.7140 0.171 -4.184 0.000 -1.049 -0.380
ma.S.L7 0.0805 1.837 0.044 0.965 -3.521 3.682
sigma2 0.7002 0.400 1.751 0.080 -0.083 1.484
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 1.45
Prob(Q): 0.79 Prob(JB): 0.49
Heteroskedasticity (H): 0.75 Skew: -0.72
Prob(H) (two-sided): 0.78 Kurtosis: 2.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.69654505102382, Current Price: 116.03
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.379
Date: Wed, 09 Oct 2024 AIC 42.758
Time: 14:40:48 BIC 45.582
Sample: 0 HQIC 42.177
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5482 0.313 -1.754 0.080 -1.161 0.065
ma.L1 1.0000 6211.103 0.000 1.000 -1.22e+04 1.22e+04
ar.S.L7 -0.2349 0.594 -0.395 0.693 -1.399 0.930
ma.S.L7 -1.0003 4009.428 -0.000 1.000 -7859.335 7857.335
sigma2 0.3884 3485.527 0.000 1.000 -6831.118 6831.895
===================================================================================
Ljung-Box (L1) (Q): 1.03 Jarque-Bera (JB): 0.81
Prob(Q): 0.31 Prob(JB): 0.67
Heteroskedasticity (H): 0.75 Skew: -0.55
Prob(H) (two-sided): 0.79 Kurtosis: 2.49
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.12090697226287, Current Price: 115.82
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.802
Date: Wed, 09 Oct 2024 AIC 41.604
Time: 14:40:48 BIC 44.429
Sample: 0 HQIC 41.023
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5066 0.192 -2.645 0.008 -0.882 -0.131
ma.L1 1.0000 1.36e+04 7.34e-05 1.000 -2.67e+04 2.67e+04
ar.S.L7 -0.2232 0.629 -0.355 0.723 -1.455 1.009
ma.S.L7 -0.8233 5.889 -0.140 0.889 -12.366 10.719
sigma2 0.4231 5762.151 7.34e-05 1.000 -1.13e+04 1.13e+04
===================================================================================
Ljung-Box (L1) (Q): 1.25 Jarque-Bera (JB): 0.41
Prob(Q): 0.26 Prob(JB): 0.82
Heteroskedasticity (H): 0.70 Skew: -0.41
Prob(H) (two-sided): 0.74 Kurtosis: 2.71
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.7331026803223, Current Price: 116.77
SELL EXECUTED at 116.77
SELL ORDER COMPLETED at 117.42
OPERATION PROFIT, GROSS 2.4000000000000057, NET 2.1675600000000057
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.520
Date: Wed, 09 Oct 2024 AIC 41.040
Time: 14:40:48 BIC 43.865
Sample: 0 HQIC 40.460
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3870 0.210 -1.847 0.065 -0.798 0.024
ma.L1 1.0000 5814.644 0.000 1.000 -1.14e+04 1.14e+04
ar.S.L7 -0.2172 0.740 -0.294 0.769 -1.667 1.233
ma.S.L7 -0.4773 0.866 -0.551 0.581 -2.174 1.219
sigma2 0.5411 3146.189 0.000 1.000 -6165.876 6166.958
===================================================================================
Ljung-Box (L1) (Q): 0.52 Jarque-Bera (JB): 0.59
Prob(Q): 0.47 Prob(JB): 0.75
Heteroskedasticity (H): 0.74 Skew: -0.43
Prob(H) (two-sided): 0.77 Kurtosis: 2.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.79137657386721, Current Price: 117.29
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.263
Date: Wed, 09 Oct 2024 AIC 40.526
Time: 14:40:49 BIC 43.351
Sample: 0 HQIC 39.945
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3395 0.663 -0.512 0.609 -1.639 0.960
ma.L1 1.0000 2263.293 0.000 1.000 -4434.974 4436.974
ar.S.L7 -0.4264 1.383 -0.308 0.758 -3.137 2.284
ma.S.L7 -2.5228 9.770 -0.258 0.796 -21.672 16.627
sigma2 0.0842 190.212 0.000 1.000 -372.725 372.893
===================================================================================
Ljung-Box (L1) (Q): 1.33 Jarque-Bera (JB): 0.72
Prob(Q): 0.25 Prob(JB): 0.70
Heteroskedasticity (H): 0.44 Skew: -0.57
Prob(H) (two-sided): 0.45 Kurtosis: 2.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.32230727880832, Current Price: 118.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.064
Date: Wed, 09 Oct 2024 AIC 44.128
Time: 14:40:49 BIC 46.952
Sample: 0 HQIC 43.547
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3978 0.197 2.015 0.044 0.011 0.785
ma.L1 -0.7845 0.529 -1.484 0.138 -1.820 0.251
ar.S.L7 -1.1952 0.458 -2.607 0.009 -2.094 -0.297
ma.S.L7 0.3943 1.280 0.308 0.758 -2.115 2.904
sigma2 0.7328 0.603 1.215 0.224 -0.449 1.914
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 1.17
Prob(Q): 0.73 Prob(JB): 0.56
Heteroskedasticity (H): 1.03 Skew: -0.73
Prob(H) (two-sided): 0.97 Kurtosis: 3.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.94518985268942, Current Price: 118.08
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.367
Date: Wed, 09 Oct 2024 AIC 40.734
Time: 14:40:49 BIC 43.559
Sample: 0 HQIC 40.154
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1365 0.791 0.173 0.863 -1.413 1.686
ma.L1 -0.7282 0.666 -1.093 0.274 -2.034 0.577
ar.S.L7 -1.3172 0.251 -5.238 0.000 -1.810 -0.824
ma.S.L7 1.0001 7346.961 0.000 1.000 -1.44e+04 1.44e+04
sigma2 0.3759 2761.958 0.000 1.000 -5412.962 5413.714
===================================================================================
Ljung-Box (L1) (Q): 0.29 Jarque-Bera (JB): 0.23
Prob(Q): 0.59 Prob(JB): 0.89
Heteroskedasticity (H): 1.47 Skew: -0.31
Prob(H) (two-sided): 0.72 Kurtosis: 2.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.10189643693894, Current Price: 118.24
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.135
Date: Wed, 09 Oct 2024 AIC 44.271
Time: 14:40:49 BIC 47.095
Sample: 0 HQIC 43.690
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3454 2.692 0.128 0.898 -4.931 5.622
ma.L1 -0.2169 2.692 -0.081 0.936 -5.492 5.058
ar.S.L7 -0.2401 0.822 -0.292 0.770 -1.852 1.372
ma.S.L7 -1.0002 7296.265 -0.000 1.000 -1.43e+04 1.43e+04
sigma2 0.4921 3591.044 0.000 1.000 -7037.824 7038.808
===================================================================================
Ljung-Box (L1) (Q): 0.24 Jarque-Bera (JB): 4.46
Prob(Q): 0.63 Prob(JB): 0.11
Heteroskedasticity (H): 0.34 Skew: -1.38
Prob(H) (two-sided): 0.32 Kurtosis: 3.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.36076897291922, Current Price: 119.26
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.555
Date: Wed, 09 Oct 2024 AIC 37.110
Time: 14:40:49 BIC 39.935
Sample: 0 HQIC 36.530
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3987 0.333 -1.196 0.232 -1.052 0.255
ma.L1 0.8408 0.272 3.090 0.002 0.308 1.374
ar.S.L7 -0.2065 0.671 -0.308 0.758 -1.521 1.108
ma.S.L7 -1.0004 3336.108 -0.000 1.000 -6539.652 6537.651
sigma2 0.2857 953.264 0.000 1.000 -1868.077 1868.649
===================================================================================
Ljung-Box (L1) (Q): 0.82 Jarque-Bera (JB): 6.35
Prob(Q): 0.36 Prob(JB): 0.04
Heteroskedasticity (H): 0.57 Skew: -1.51
Prob(H) (two-sided): 0.60 Kurtosis: 4.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.70372162419747, Current Price: 119.31
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.174
Date: Wed, 09 Oct 2024 AIC 36.347
Time: 14:40:49 BIC 39.172
Sample: 0 HQIC 35.767
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2589 0.364 -0.711 0.477 -0.973 0.455
ma.L1 0.7647 0.307 2.487 0.013 0.162 1.367
ar.S.L7 -0.3092 0.357 -0.866 0.386 -1.009 0.390
ma.S.L7 -1.0002 3775.002 -0.000 1.000 -7399.867 7397.867
sigma2 0.2691 1015.823 0.000 1.000 -1990.707 1991.245
===================================================================================
Ljung-Box (L1) (Q): 0.83 Jarque-Bera (JB): 4.00
Prob(Q): 0.36 Prob(JB): 0.14
Heteroskedasticity (H): 0.49 Skew: -1.24
Prob(H) (two-sided): 0.51 Kurtosis: 4.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.9108971282429, Current Price: 118.92
BUY EXECUTED at 118.92
BUY ORDER COMPLETED at 118.57
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.803
Date: Wed, 09 Oct 2024 AIC 41.606
Time: 14:40:49 BIC 44.431
Sample: 0 HQIC 41.025
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9425 0.600 1.572 0.116 -0.233 2.118
ma.L1 -1.0000 1.41e+04 -7.11e-05 1.000 -2.76e+04 2.76e+04
ar.S.L7 -0.5241 0.634 -0.827 0.409 -1.767 0.719
ma.S.L7 -0.3717 1.330 -0.279 0.780 -2.979 2.235
sigma2 0.5197 7307.124 7.11e-05 1.000 -1.43e+04 1.43e+04
===================================================================================
Ljung-Box (L1) (Q): 0.29 Jarque-Bera (JB): 3.15
Prob(Q): 0.59 Prob(JB): 0.21
Heteroskedasticity (H): 1.04 Skew: -1.19
Prob(H) (two-sided): 0.97 Kurtosis: 3.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.05194249903852, Current Price: 119.88
SELL EXECUTED at 119.88
SELL ORDER COMPLETED at 120.1
OPERATION PROFIT, GROSS 1.5300000000000011, NET 1.2913300000000012
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.101
Date: Wed, 09 Oct 2024 AIC 40.203
Time: 14:40:49 BIC 43.028
Sample: 0 HQIC 39.622
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4520 0.330 -1.368 0.171 -1.100 0.196
ma.L1 0.5692 0.523 1.088 0.277 -0.456 1.594
ar.S.L7 -0.4567 0.282 -1.619 0.105 -1.010 0.096
ma.S.L7 0.0221 0.642 0.034 0.973 -1.236 1.281
sigma2 0.5927 0.489 1.211 0.226 -0.366 1.552
===================================================================================
Ljung-Box (L1) (Q): 1.55 Jarque-Bera (JB): 7.52
Prob(Q): 0.21 Prob(JB): 0.02
Heteroskedasticity (H): 3.54 Skew: -1.56
Prob(H) (two-sided): 0.25 Kurtosis: 5.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.99129876657365, Current Price: 119.79
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.977
Date: Wed, 09 Oct 2024 AIC 37.953
Time: 14:40:49 BIC 40.778
Sample: 0 HQIC 37.373
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.0174 0.289 3.524 0.000 0.452 1.583
ma.L1 -1.0000 2.98e+04 -3.36e-05 1.000 -5.84e+04 5.84e+04
ar.S.L7 -0.5777 0.370 -1.561 0.118 -1.303 0.148
ma.S.L7 -0.2325 0.953 -0.244 0.807 -2.101 1.636
sigma2 0.4126 1.23e+04 3.36e-05 1.000 -2.41e+04 2.41e+04
===================================================================================
Ljung-Box (L1) (Q): 1.00 Jarque-Bera (JB): 8.17
Prob(Q): 0.32 Prob(JB): 0.02
Heteroskedasticity (H): 3.94 Skew: -1.61
Prob(H) (two-sided): 0.21 Kurtosis: 5.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.45239528942147, Current Price: 120.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.429
Date: Wed, 09 Oct 2024 AIC 34.858
Time: 14:40:49 BIC 37.683
Sample: 0 HQIC 34.278
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9396 0.110 8.579 0.000 0.725 1.154
ma.L1 -1.0000 7035.830 -0.000 1.000 -1.38e+04 1.38e+04
ar.S.L7 -0.4972 0.215 -2.310 0.021 -0.919 -0.075
ma.S.L7 -0.0166 0.858 -0.019 0.985 -1.698 1.664
sigma2 0.3388 2384.069 0.000 1.000 -4672.351 4673.029
===================================================================================
Ljung-Box (L1) (Q): 1.70 Jarque-Bera (JB): 3.59
Prob(Q): 0.19 Prob(JB): 0.17
Heteroskedasticity (H): 6.54 Skew: -1.20
Prob(H) (two-sided): 0.10 Kurtosis: 3.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.13264959847764, Current Price: 120.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.494
Date: Wed, 09 Oct 2024 AIC 34.987
Time: 14:40:49 BIC 37.812
Sample: 0 HQIC 34.407
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9013 0.128 7.040 0.000 0.650 1.152
ma.L1 -1.0123 8.662 -0.117 0.907 -17.989 15.964
ar.S.L7 -0.4486 0.213 -2.110 0.035 -0.865 -0.032
ma.S.L7 -6.4779 37.315 -0.174 0.862 -79.615 66.659
sigma2 0.0078 0.122 0.064 0.949 -0.231 0.247
===================================================================================
Ljung-Box (L1) (Q): 2.37 Jarque-Bera (JB): 2.95
Prob(Q): 0.12 Prob(JB): 0.23
Heteroskedasticity (H): 0.63 Skew: -1.11
Prob(H) (two-sided): 0.67 Kurtosis: 3.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.58701647221515, Current Price: 120.65
BUY EXECUTED at 120.65
BUY ORDER COMPLETED at 120.51
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.271
Date: Wed, 09 Oct 2024 AIC 40.542
Time: 14:40:49 BIC 43.367
Sample: 0 HQIC 39.962
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1602 0.287 0.559 0.576 -0.401 0.722
ma.L1 -37.6765 0.130 -290.829 0.000 -37.930 -37.423
ar.S.L7 -0.4611 0.237 -1.947 0.052 -0.925 0.003
ma.S.L7 7.2712 29.015 0.251 0.802 -49.597 64.139
sigma2 8.131e-06 6.58e-05 0.124 0.902 -0.000 0.000
===================================================================================
Ljung-Box (L1) (Q): 0.53 Jarque-Bera (JB): 1.36
Prob(Q): 0.47 Prob(JB): 0.51
Heteroskedasticity (H): 0.73 Skew: -0.69
Prob(H) (two-sided): 0.77 Kurtosis: 2.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 6.97e+19. Standard errors may be unstable.
Predicted Price: 120.58417390462915, Current Price: 120.4
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.187
Date: Wed, 09 Oct 2024 AIC 40.375
Time: 14:40:49 BIC 43.200
Sample: 0 HQIC 39.794
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0588 0.340 0.173 0.863 -0.607 0.725
ma.L1 -41.4270 0.000 -1.94e+05 0.000 -41.427 -41.427
ar.S.L7 -7.876e-05 0.011 -0.007 0.994 -0.022 0.021
ma.S.L7 -2.1800 2.328 -0.937 0.349 -6.742 2.382
sigma2 7.282e-05 0.000 0.470 0.639 -0.000 0.000
===================================================================================
Ljung-Box (L1) (Q): 1.02 Jarque-Bera (JB): 0.86
Prob(Q): 0.31 Prob(JB): 0.65
Heteroskedasticity (H): 0.47 Skew: -0.45
Prob(H) (two-sided): 0.48 Kurtosis: 2.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 2.21e+20. Standard errors may be unstable.
Predicted Price: 120.51772507854376, Current Price: 120.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.976
Date: Wed, 09 Oct 2024 AIC 37.952
Time: 14:40:49 BIC 40.776
Sample: 0 HQIC 37.371
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3108 6.147 0.051 0.960 -11.738 12.359
ma.L1 -3.8668 97.501 -0.040 0.968 -194.966 187.232
ar.S.L7 -0.3256 0.283 -1.150 0.250 -0.881 0.229
ma.S.L7 -0.4013 1.396 -0.288 0.774 -3.137 2.334
sigma2 0.0314 1.568 0.020 0.984 -3.042 3.104
===================================================================================
Ljung-Box (L1) (Q): 1.37 Jarque-Bera (JB): 0.38
Prob(Q): 0.24 Prob(JB): 0.83
Heteroskedasticity (H): 0.19 Skew: -0.18
Prob(H) (two-sided): 0.14 Kurtosis: 2.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.0249144791312, Current Price: 119.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.572
Date: Wed, 09 Oct 2024 AIC 37.144
Time: 14:40:49 BIC 39.969
Sample: 0 HQIC 36.564
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3985 0.423 0.941 0.347 -0.431 1.228
ma.L1 -2.7490 4.344 -0.633 0.527 -11.263 5.765
ar.S.L7 -0.1954 0.506 -0.386 0.699 -1.187 0.797
ma.S.L7 -1.0001 1.31e+04 -7.63e-05 1.000 -2.57e+04 2.57e+04
sigma2 0.0376 492.068 7.63e-05 1.000 -964.397 964.472
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.78
Prob(Q): 0.79 Prob(JB): 0.68
Heteroskedasticity (H): 2.98 Skew: -0.48
Prob(H) (two-sided): 0.31 Kurtosis: 2.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.487463190352, Current Price: 119.51
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.381
Date: Wed, 09 Oct 2024 AIC 36.763
Time: 14:40:49 BIC 39.587
Sample: 0 HQIC 36.182
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4647 0.266 1.748 0.080 -0.056 0.986
ma.L1 -2.4819 2.481 -1.000 0.317 -7.344 2.380
ar.S.L7 -0.2738 0.440 -0.622 0.534 -1.136 0.589
ma.S.L7 -1.0002 6657.327 -0.000 1.000 -1.3e+04 1.3e+04
sigma2 0.0440 293.274 0.000 1.000 -574.763 574.851
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 1.16
Prob(Q): 0.84 Prob(JB): 0.56
Heteroskedasticity (H): 1.20 Skew: -0.70
Prob(H) (two-sided): 0.86 Kurtosis: 2.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.70775353855075, Current Price: 119.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.915
Date: Wed, 09 Oct 2024 AIC 37.830
Time: 14:40:49 BIC 40.654
Sample: 0 HQIC 37.249
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4647 0.878 0.529 0.597 -1.256 2.185
ma.L1 -2.1952 4.396 -0.499 0.618 -10.812 6.422
ar.S.L7 -0.3405 0.329 -1.034 0.301 -0.986 0.305
ma.S.L7 -1.0003 4052.663 -0.000 1.000 -7944.074 7942.074
sigma2 0.0607 246.140 0.000 1.000 -482.364 482.486
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.76
Prob(Q): 0.91 Prob(JB): 0.69
Heteroskedasticity (H): 1.05 Skew: -0.46
Prob(H) (two-sided): 0.96 Kurtosis: 2.27
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.97627610105481, Current Price: 121.31
SELL EXECUTED at 121.31
SELL ORDER COMPLETED at 122.08
OPERATION PROFIT, GROSS 1.5699999999999932, NET 1.327409999999993
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.670
Date: Wed, 09 Oct 2024 AIC 39.340
Time: 14:40:49 BIC 42.165
Sample: 0 HQIC 38.760
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8828 0.388 -2.276 0.023 -1.643 -0.123
ma.L1 1.0000 1.18e+04 8.45e-05 1.000 -2.32e+04 2.32e+04
ar.S.L7 -0.4052 0.436 -0.928 0.353 -1.261 0.450
ma.S.L7 -1.3056 8.030 -0.163 0.871 -17.044 14.433
sigma2 0.2166 2561.621 8.46e-05 1.000 -5020.468 5020.902
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.06
Prob(Q): 0.86 Prob(JB): 0.97
Heteroskedasticity (H): 2.46 Skew: -0.10
Prob(H) (two-sided): 0.40 Kurtosis: 2.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.91220623675531, Current Price: 122.21
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.164
Date: Wed, 09 Oct 2024 AIC 38.328
Time: 14:40:49 BIC 41.153
Sample: 0 HQIC 37.748
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3204 0.982 0.326 0.744 -1.604 2.245
ma.L1 -1.9557 3.480 -0.562 0.574 -8.777 4.866
ar.S.L7 -0.5314 0.723 -0.735 0.462 -1.948 0.885
ma.S.L7 -1.0013 1474.516 -0.001 0.999 -2891.000 2888.997
sigma2 0.0815 120.208 0.001 0.999 -235.521 235.684
===================================================================================
Ljung-Box (L1) (Q): 1.71 Jarque-Bera (JB): 0.35
Prob(Q): 0.19 Prob(JB): 0.84
Heteroskedasticity (H): 1.53 Skew: -0.27
Prob(H) (two-sided): 0.69 Kurtosis: 2.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.70902361083975, Current Price: 122.79
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.805
Date: Wed, 09 Oct 2024 AIC 37.610
Time: 14:40:49 BIC 40.434
Sample: 0 HQIC 37.029
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5067 0.754 0.672 0.502 -0.971 1.985
ma.L1 -0.2642 0.553 -0.478 0.633 -1.348 0.819
ar.S.L7 -0.6721 0.608 -1.105 0.269 -1.864 0.520
ma.S.L7 -0.1991 0.790 -0.252 0.801 -1.748 1.349
sigma2 0.4803 0.349 1.376 0.169 -0.204 1.164
===================================================================================
Ljung-Box (L1) (Q): 0.91 Jarque-Bera (JB): 0.18
Prob(Q): 0.34 Prob(JB): 0.91
Heteroskedasticity (H): 1.68 Skew: -0.17
Prob(H) (two-sided): 0.63 Kurtosis: 2.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.89002722144653, Current Price: 121.92
BUY EXECUTED at 121.92
BUY ORDER COMPLETED at 120.6
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.895
Date: Wed, 09 Oct 2024 AIC 35.791
Time: 14:40:50 BIC 38.615
Sample: 0 HQIC 35.210
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4455 0.590 0.755 0.450 -0.711 1.602
ma.L1 0.0396 0.545 0.073 0.942 -1.028 1.107
ar.S.L7 -0.8492 0.303 -2.805 0.005 -1.442 -0.256
ma.S.L7 -0.2494 0.590 -0.423 0.672 -1.406 0.907
sigma2 0.4112 0.312 1.318 0.188 -0.200 1.023
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 0.87
Prob(Q): 0.66 Prob(JB): 0.65
Heteroskedasticity (H): 4.24 Skew: 0.13
Prob(H) (two-sided): 0.19 Kurtosis: 1.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.54230885016419, Current Price: 120.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.339
Date: Wed, 09 Oct 2024 AIC 36.677
Time: 14:40:50 BIC 39.502
Sample: 0 HQIC 36.097
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4722 0.259 1.823 0.068 -0.036 0.980
ma.L1 0.1870 0.438 0.427 0.669 -0.671 1.045
ar.S.L7 -0.8385 0.215 -3.899 0.000 -1.260 -0.417
ma.S.L7 1.0004 1794.956 0.001 1.000 -3517.048 3519.049
sigma2 0.2644 474.695 0.001 1.000 -930.120 930.649
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.04
Prob(Q): 0.92 Prob(JB): 0.59
Heteroskedasticity (H): 2.60 Skew: 0.69
Prob(H) (two-sided): 0.38 Kurtosis: 2.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.8706527693945, Current Price: 121.87
SELL EXECUTED at 121.87
SELL ORDER COMPLETED at 122.29
OPERATION PROFIT, GROSS 1.690000000000012, NET 1.4471100000000119
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.777
Date: Wed, 09 Oct 2024 AIC 41.554
Time: 14:40:50 BIC 44.378
Sample: 0 HQIC 40.973
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4193 1.227 -0.342 0.733 -2.825 1.987
ma.L1 0.6510 1.050 0.620 0.535 -1.408 2.710
ar.S.L7 -0.6145 0.863 -0.712 0.476 -2.306 1.077
ma.S.L7 -8.2181 71.024 -0.116 0.908 -147.423 130.987
sigma2 0.0098 0.175 0.056 0.955 -0.333 0.353
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.31
Prob(Q): 0.83 Prob(JB): 0.85
Heteroskedasticity (H): 6.93 Skew: 0.24
Prob(H) (two-sided): 0.09 Kurtosis: 2.40
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.8248931485311, Current Price: 122.49
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.376
Date: Wed, 09 Oct 2024 AIC 40.751
Time: 14:40:50 BIC 43.576
Sample: 0 HQIC 40.171
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7638 0.417 1.830 0.067 -0.054 1.582
ma.L1 -1.0000 1738.654 -0.001 1.000 -3408.699 3406.699
ar.S.L7 -0.8049 0.277 -2.903 0.004 -1.348 -0.261
ma.S.L7 1.0006 923.966 0.001 0.999 -1809.940 1811.941
sigma2 0.3316 660.551 0.001 1.000 -1294.325 1294.988
===================================================================================
Ljung-Box (L1) (Q): 0.57 Jarque-Bera (JB): 0.64
Prob(Q): 0.45 Prob(JB): 0.73
Heteroskedasticity (H): 0.93 Skew: 0.38
Prob(H) (two-sided): 0.94 Kurtosis: 2.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.48084697029377, Current Price: 122.3
BUY EXECUTED at 122.3
BUY ORDER COMPLETED at 122.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.372
Date: Wed, 09 Oct 2024 AIC 38.744
Time: 14:40:50 BIC 41.569
Sample: 0 HQIC 38.163
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5612 0.265 2.119 0.034 0.042 1.080
ma.L1 -1.0000 3931.405 -0.000 1.000 -7706.411 7704.411
ar.S.L7 -0.7167 0.310 -2.310 0.021 -1.325 -0.109
ma.S.L7 1.0004 1412.122 0.001 0.999 -2766.708 2768.709
sigma2 0.2837 1155.495 0.000 1.000 -2264.444 2265.012
===================================================================================
Ljung-Box (L1) (Q): 0.42 Jarque-Bera (JB): 0.25
Prob(Q): 0.52 Prob(JB): 0.88
Heteroskedasticity (H): 0.99 Skew: 0.12
Prob(H) (two-sided): 0.99 Kurtosis: 2.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.87118418128166, Current Price: 122.76
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.406
Date: Wed, 09 Oct 2024 AIC 38.812
Time: 14:40:50 BIC 41.636
Sample: 0 HQIC 38.231
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5416 0.245 2.207 0.027 0.061 1.022
ma.L1 -1.0000 9912.528 -0.000 1.000 -1.94e+04 1.94e+04
ar.S.L7 -0.7020 0.289 -2.426 0.015 -1.269 -0.135
ma.S.L7 0.4316 0.621 0.695 0.487 -0.786 1.649
sigma2 0.4343 4304.720 0.000 1.000 -8436.662 8437.531
===================================================================================
Ljung-Box (L1) (Q): 0.24 Jarque-Bera (JB): 0.54
Prob(Q): 0.63 Prob(JB): 0.76
Heteroskedasticity (H): 0.82 Skew: 0.10
Prob(H) (two-sided): 0.85 Kurtosis: 2.02
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.17072720973164, Current Price: 122.21
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.287
Date: Wed, 09 Oct 2024 AIC 40.574
Time: 14:40:50 BIC 43.398
Sample: 0 HQIC 39.993
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5504 0.618 -0.891 0.373 -1.761 0.660
ma.L1 1.0000 6176.350 0.000 1.000 -1.21e+04 1.21e+04
ar.S.L7 -0.7180 0.330 -2.177 0.030 -1.365 -0.071
ma.S.L7 0.0530 0.488 0.109 0.913 -0.904 1.010
sigma2 0.5239 3235.765 0.000 1.000 -6341.459 6342.507
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 0.70
Prob(Q): 0.64 Prob(JB): 0.70
Heteroskedasticity (H): 0.22 Skew: 0.38
Prob(H) (two-sided): 0.17 Kurtosis: 2.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.809752110869, Current Price: 122.67
SELL EXECUTED at 122.67
SELL ORDER COMPLETED at 122.39
OPERATION PROFIT, GROSS -0.15000000000000568, NET -0.39493000000000567
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.988
Date: Wed, 09 Oct 2024 AIC 35.976
Time: 14:40:50 BIC 38.801
Sample: 0 HQIC 35.396
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4355 0.134 3.260 0.001 0.174 0.697
ma.L1 -1.0000 6299.942 -0.000 1.000 -1.23e+04 1.23e+04
ar.S.L7 -0.6366 0.691 -0.921 0.357 -1.991 0.718
ma.S.L7 -0.2011 0.699 -0.288 0.774 -1.571 1.169
sigma2 0.3592 2263.138 0.000 1.000 -4435.309 4436.028
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.30
Prob(Q): 0.78 Prob(JB): 0.86
Heteroskedasticity (H): 0.29 Skew: -0.03
Prob(H) (two-sided): 0.26 Kurtosis: 2.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.02057213357526, Current Price: 122.29
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -452.379
Date: Wed, 09 Oct 2024 AIC 914.758
Time: 14:40:50 BIC 917.583
Sample: 0 HQIC 914.177
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 2.2363 1.28e+04 0.000 1.000 -2.51e+04 2.51e+04
ma.L1 -2.2725 41.659 -0.055 0.956 -83.923 79.378
ar.S.L7 -3.702e-05 1.480 -2.5e-05 1.000 -2.902 2.902
ma.S.L7 5.604e+14 1.36e-09 4.12e+23 0.000 5.6e+14 5.6e+14
sigma2 0.8814 0.556 1.585 0.113 -0.209 1.971
===================================================================================
Ljung-Box (L1) (Q): 1.92 Jarque-Bera (JB): 30.94
Prob(Q): 0.17 Prob(JB): 0.00
Heteroskedasticity (H): 4089106.68 Skew: 2.59
Prob(H) (two-sided): 0.00 Kurtosis: 8.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 1.42e+41. Standard errors may be unstable.
Predicted Price: -14077223682.278217, Current Price: 122.74
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.275
Date: Wed, 09 Oct 2024 AIC 32.550
Time: 14:40:50 BIC 35.375
Sample: 0 HQIC 31.969
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4741 0.364 1.301 0.193 -0.240 1.188
ma.L1 -1.0000 2.35e+04 -4.25e-05 1.000 -4.61e+04 4.61e+04
ar.S.L7 -0.5521 0.344 -1.603 0.109 -1.227 0.123
ma.S.L7 -1.0001 1.13e+04 -8.82e-05 1.000 -2.22e+04 2.22e+04
sigma2 0.1615 3686.153 4.38e-05 1.000 -7224.566 7224.889
===================================================================================
Ljung-Box (L1) (Q): 0.68 Jarque-Bera (JB): 0.26
Prob(Q): 0.41 Prob(JB): 0.88
Heteroskedasticity (H): 0.20 Skew: 0.14
Prob(H) (two-sided): 0.15 Kurtosis: 2.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.11132414004864, Current Price: 124.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.101
Date: Wed, 09 Oct 2024 AIC 36.202
Time: 14:40:50 BIC 39.026
Sample: 0 HQIC 35.621
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5428 0.752 0.722 0.471 -0.932 2.017
ma.L1 -0.5493 0.916 -0.600 0.549 -2.344 1.246
ar.S.L7 -0.4744 0.288 -1.649 0.099 -1.038 0.089
ma.S.L7 -1.0001 1.42e+04 -7.03e-05 1.000 -2.79e+04 2.79e+04
sigma2 0.2550 3627.835 7.03e-05 1.000 -7110.171 7110.681
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.39
Prob(Q): 1.00 Prob(JB): 0.82
Heteroskedasticity (H): 1.49 Skew: 0.18
Prob(H) (two-sided): 0.71 Kurtosis: 2.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.59945297374932, Current Price: 124.42
BUY EXECUTED at 124.42
BUY ORDER COMPLETED at 124.33
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.077
Date: Wed, 09 Oct 2024 AIC 36.155
Time: 14:40:50 BIC 38.980
Sample: 0 HQIC 35.574
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3416 0.288 1.186 0.236 -0.223 0.906
ma.L1 -1.0000 9940.042 -0.000 1.000 -1.95e+04 1.95e+04
ar.S.L7 -0.4129 0.569 -0.726 0.468 -1.528 0.702
ma.S.L7 -1.0001 1.69e+04 -5.92e-05 1.000 -3.31e+04 3.31e+04
sigma2 0.2261 4241.235 5.33e-05 1.000 -8312.442 8312.894
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 2.22
Prob(Q): 0.97 Prob(JB): 0.33
Heteroskedasticity (H): 1.85 Skew: 1.00
Prob(H) (two-sided): 0.57 Kurtosis: 3.33
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.69181833943674, Current Price: 124.36
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.633
Date: Wed, 09 Oct 2024 AIC 37.266
Time: 14:40:50 BIC 40.091
Sample: 0 HQIC 36.686
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3335 0.668 0.499 0.617 -0.975 1.642
ma.L1 -1.0000 9876.818 -0.000 1.000 -1.94e+04 1.94e+04
ar.S.L7 -0.3914 0.268 -1.458 0.145 -0.918 0.135
ma.S.L7 -0.2350 0.751 -0.313 0.754 -1.707 1.237
sigma2 0.4100 4049.631 0.000 1.000 -7936.721 7937.541
===================================================================================
Ljung-Box (L1) (Q): 0.39 Jarque-Bera (JB): 1.77
Prob(Q): 0.53 Prob(JB): 0.41
Heteroskedasticity (H): 2.68 Skew: 0.83
Prob(H) (two-sided): 0.36 Kurtosis: 3.72
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.49008164209297, Current Price: 125.82
SELL EXECUTED at 125.82
SELL ORDER COMPLETED at 126.01
OPERATION PROFIT, GROSS 1.6800000000000068, NET 1.4296600000000068
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.970
Date: Wed, 09 Oct 2024 AIC 39.939
Time: 14:40:50 BIC 42.764
Sample: 0 HQIC 39.358
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3239 0.649 0.499 0.618 -0.949 1.596
ma.L1 -1.0000 5251.589 -0.000 1.000 -1.03e+04 1.03e+04
ar.S.L7 -0.5217 0.349 -1.494 0.135 -1.206 0.163
ma.S.L7 -0.4587 1.397 -0.328 0.743 -3.197 2.279
sigma2 0.4610 2420.968 0.000 1.000 -4744.548 4745.470
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.45
Prob(Q): 0.94 Prob(JB): 0.48
Heteroskedasticity (H): 2.43 Skew: 0.81
Prob(H) (two-sided): 0.41 Kurtosis: 3.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.84676705548377, Current Price: 126.06
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.817
Date: Wed, 09 Oct 2024 AIC 39.634
Time: 14:40:50 BIC 42.459
Sample: 0 HQIC 39.054
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2652 0.955 0.278 0.781 -1.607 2.137
ma.L1 -0.6798 0.835 -0.814 0.416 -2.316 0.957
ar.S.L7 -0.6560 0.708 -0.926 0.354 -2.044 0.732
ma.S.L7 -0.2550 1.430 -0.178 0.858 -3.058 2.548
sigma2 0.5536 0.384 1.443 0.149 -0.198 1.305
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 0.68
Prob(Q): 0.65 Prob(JB): 0.71
Heteroskedasticity (H): 3.77 Skew: 0.51
Prob(H) (two-sided): 0.23 Kurtosis: 2.55
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.74813558992132, Current Price: 127.46
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.948
Date: Wed, 09 Oct 2024 AIC 43.897
Time: 14:40:50 BIC 46.721
Sample: 0 HQIC 43.316
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3116 0.512 -0.608 0.543 -1.315 0.692
ma.L1 1.0000 4921.324 0.000 1.000 -9644.618 9646.618
ar.S.L7 -0.6680 0.210 -3.180 0.001 -1.080 -0.256
ma.S.L7 -0.5018 1.429 -0.351 0.726 -3.304 2.300
sigma2 0.6626 3260.901 0.000 1.000 -6390.587 6391.912
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.43
Prob(Q): 0.84 Prob(JB): 0.81
Heteroskedasticity (H): 6.26 Skew: -0.42
Prob(H) (two-sided): 0.10 Kurtosis: 3.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.85703103179227, Current Price: 126.81
BUY EXECUTED at 126.81
BUY ORDER COMPLETED at 127.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.803
Date: Wed, 09 Oct 2024 AIC 45.605
Time: 14:40:50 BIC 48.430
Sample: 0 HQIC 45.024
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3624 1.103 -0.329 0.743 -2.525 1.800
ma.L1 -0.0029 0.970 -0.003 0.998 -1.905 1.899
ar.S.L7 -0.4549 0.442 -1.030 0.303 -1.321 0.411
ma.S.L7 1.0001 1.73e+04 5.79e-05 1.000 -3.39e+04 3.39e+04
sigma2 0.5459 9430.617 5.79e-05 1.000 -1.85e+04 1.85e+04
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 1.09
Prob(Q): 0.66 Prob(JB): 0.58
Heteroskedasticity (H): 4.14 Skew: 0.27
Prob(H) (two-sided): 0.20 Kurtosis: 1.69
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.47493224472487, Current Price: 128.13
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.086
Date: Wed, 09 Oct 2024 AIC 46.172
Time: 14:40:50 BIC 48.997
Sample: 0 HQIC 45.592
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4379 0.718 0.610 0.542 -0.970 1.846
ma.L1 -0.6141 0.765 -0.802 0.422 -2.114 0.886
ar.S.L7 -0.4316 0.833 -0.518 0.604 -2.064 1.201
ma.S.L7 0.1993 1.823 0.109 0.913 -3.373 3.771
sigma2 0.9221 0.554 1.665 0.096 -0.164 2.008
===================================================================================
Ljung-Box (L1) (Q): 0.86 Jarque-Bera (JB): 1.01
Prob(Q): 0.35 Prob(JB): 0.60
Heteroskedasticity (H): 3.59 Skew: 0.52
Prob(H) (two-sided): 0.24 Kurtosis: 2.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.80052870318329, Current Price: 127.97
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.884
Date: Wed, 09 Oct 2024 AIC 45.767
Time: 14:40:50 BIC 48.592
Sample: 0 HQIC 45.187
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3567 1.606 -0.222 0.824 -3.504 2.791
ma.L1 0.0787 1.714 0.046 0.963 -3.281 3.439
ar.S.L7 -0.3507 0.755 -0.465 0.642 -1.830 1.129
ma.S.L7 0.2153 1.689 0.128 0.899 -3.094 3.525
sigma2 0.9005 0.548 1.644 0.100 -0.173 1.974
===================================================================================
Ljung-Box (L1) (Q): 0.29 Jarque-Bera (JB): 0.90
Prob(Q): 0.59 Prob(JB): 0.64
Heteroskedasticity (H): 2.47 Skew: 0.22
Prob(H) (two-sided): 0.40 Kurtosis: 1.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.8964671916564, Current Price: 126.19
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.037
Date: Wed, 09 Oct 2024 AIC 48.074
Time: 14:40:50 BIC 50.899
Sample: 0 HQIC 47.494
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3675 1.557 -0.236 0.813 -3.418 2.683
ma.L1 0.0339 1.815 0.019 0.985 -3.523 3.590
ar.S.L7 -0.1643 0.879 -0.187 0.852 -1.887 1.558
ma.S.L7 0.1244 1.110 0.112 0.911 -2.052 2.300
sigma2 1.0886 0.773 1.408 0.159 -0.427 2.604
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.48
Prob(Q): 0.97 Prob(JB): 0.79
Heteroskedasticity (H): 1.27 Skew: -0.13
Prob(H) (two-sided): 0.82 Kurtosis: 2.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.1427044020076, Current Price: 126.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.184
Date: Wed, 09 Oct 2024 AIC 48.369
Time: 14:40:50 BIC 51.194
Sample: 0 HQIC 47.788
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2197 3.789 -0.058 0.954 -7.646 7.207
ma.L1 0.1077 3.720 0.029 0.977 -7.184 7.399
ar.S.L7 -0.0878 1.356 -0.065 0.948 -2.745 2.569
ma.S.L7 -0.1894 1.599 -0.118 0.906 -3.324 2.945
sigma2 1.1044 0.715 1.545 0.122 -0.297 2.506
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.34
Prob(Q): 0.86 Prob(JB): 0.84
Heteroskedasticity (H): 1.90 Skew: 0.20
Prob(H) (two-sided): 0.55 Kurtosis: 2.31
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.83941305200914, Current Price: 125.61
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.780
Date: Wed, 09 Oct 2024 AIC 49.560
Time: 14:40:50 BIC 52.385
Sample: 0 HQIC 48.979
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3703 6.742 0.055 0.956 -12.843 13.583
ma.L1 -0.3317 6.740 -0.049 0.961 -13.541 12.878
ar.S.L7 -0.2747 0.536 -0.512 0.608 -1.326 0.776
ma.S.L7 0.2643 1.386 0.191 0.849 -2.452 2.980
sigma2 1.1939 1.378 0.867 0.386 -1.506 3.894
===================================================================================
Ljung-Box (L1) (Q): 0.26 Jarque-Bera (JB): 1.21
Prob(Q): 0.61 Prob(JB): 0.55
Heteroskedasticity (H): 1.98 Skew: 0.63
Prob(H) (two-sided): 0.52 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.92725580486419, Current Price: 126.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.776
Date: Wed, 09 Oct 2024 AIC 49.553
Time: 14:40:50 BIC 52.377
Sample: 0 HQIC 48.972
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7080 1.404 0.504 0.614 -2.043 3.459
ma.L1 -0.5998 1.569 -0.382 0.702 -3.674 2.475
ar.S.L7 -0.1755 0.638 -0.275 0.783 -1.426 1.075
ma.S.L7 0.0426 1.303 0.033 0.974 -2.511 2.596
sigma2 1.2133 1.338 0.907 0.365 -1.410 3.836
===================================================================================
Ljung-Box (L1) (Q): 0.58 Jarque-Bera (JB): 1.11
Prob(Q): 0.45 Prob(JB): 0.57
Heteroskedasticity (H): 0.84 Skew: 0.64
Prob(H) (two-sided): 0.87 Kurtosis: 2.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.43326802897936, Current Price: 125.53
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.058
Date: Wed, 09 Oct 2024 AIC 48.117
Time: 14:40:50 BIC 50.942
Sample: 0 HQIC 47.536
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4461 9.521 0.047 0.963 -18.214 19.106
ma.L1 -0.4022 10.186 -0.039 0.969 -20.367 19.562
ar.S.L7 -0.1398 0.661 -0.211 0.833 -1.436 1.156
ma.S.L7 -0.1417 1.049 -0.135 0.893 -2.198 1.915
sigma2 1.0906 0.752 1.449 0.147 -0.384 2.565
===================================================================================
Ljung-Box (L1) (Q): 0.43 Jarque-Bera (JB): 1.34
Prob(Q): 0.51 Prob(JB): 0.51
Heteroskedasticity (H): 0.44 Skew: 0.78
Prob(H) (two-sided): 0.44 Kurtosis: 3.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.94219556362432, Current Price: 124.36
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.950
Date: Wed, 09 Oct 2024 AIC 51.899
Time: 14:40:50 BIC 54.724
Sample: 0 HQIC 51.319
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9086 0.377 2.409 0.016 0.169 1.648
ma.L1 -0.6777 0.727 -0.932 0.352 -2.104 0.748
ar.S.L7 -0.2187 0.748 -0.292 0.770 -1.684 1.247
ma.S.L7 0.3515 1.645 0.214 0.831 -2.873 3.576
sigma2 1.3630 2.217 0.615 0.539 -2.981 5.707
===================================================================================
Ljung-Box (L1) (Q): 2.15 Jarque-Bera (JB): 0.77
Prob(Q): 0.14 Prob(JB): 0.68
Heteroskedasticity (H): 0.95 Skew: 0.40
Prob(H) (two-sided): 0.96 Kurtosis: 2.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.45981931660344, Current Price: 124.62
SELL EXECUTED at 124.62
SELL ORDER COMPLETED at 124.68
OPERATION PROFIT, GROSS -2.8799999999999955, NET -3.1322399999999955
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.499
Date: Wed, 09 Oct 2024 AIC 52.997
Time: 14:40:50 BIC 55.822
Sample: 0 HQIC 52.417
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4781 4.950 0.097 0.923 -9.223 10.179
ma.L1 -0.3951 5.463 -0.072 0.942 -11.103 10.313
ar.S.L7 -0.1447 1.559 -0.093 0.926 -3.201 2.911
ma.S.L7 0.0287 1.631 0.018 0.986 -3.167 3.225
sigma2 1.6011 1.016 1.576 0.115 -0.390 3.593
===================================================================================
Ljung-Box (L1) (Q): 0.67 Jarque-Bera (JB): 0.23
Prob(Q): 0.41 Prob(JB): 0.89
Heteroskedasticity (H): 0.80 Skew: 0.24
Prob(H) (two-sided): 0.83 Kurtosis: 2.55
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.98110570305084, Current Price: 123.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.158
Date: Wed, 09 Oct 2024 AIC 50.317
Time: 14:40:51 BIC 53.142
Sample: 0 HQIC 49.736
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7401 1.420 0.521 0.602 -2.043 3.523
ma.L1 -1.6297 4.477 -0.364 0.716 -10.405 7.146
ar.S.L7 -0.0015 0.015 -0.101 0.920 -0.031 0.028
ma.S.L7 -0.1977 0.916 -0.216 0.829 -1.994 1.598
sigma2 0.4865 2.522 0.193 0.847 -4.457 5.430
===================================================================================
Ljung-Box (L1) (Q): 1.51 Jarque-Bera (JB): 0.11
Prob(Q): 0.22 Prob(JB): 0.95
Heteroskedasticity (H): 1.30 Skew: -0.07
Prob(H) (two-sided): 0.81 Kurtosis: 2.57
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.05607206621058, Current Price: 122.68
BUY EXECUTED at 122.68
BUY ORDER COMPLETED at 123.03
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.693
Date: Wed, 09 Oct 2024 AIC 51.387
Time: 14:40:51 BIC 54.212
Sample: 0 HQIC 50.806
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7456 0.697 1.069 0.285 -0.621 2.112
ma.L1 -0.5952 0.944 -0.630 0.528 -2.445 1.255
ar.S.L7 0.0042 0.039 0.110 0.912 -0.071 0.080
ma.S.L7 -0.2278 1.246 -0.183 0.855 -2.671 2.215
sigma2 1.3881 0.933 1.487 0.137 -0.441 3.217
===================================================================================
Ljung-Box (L1) (Q): 2.42 Jarque-Bera (JB): 0.34
Prob(Q): 0.12 Prob(JB): 0.84
Heteroskedasticity (H): 1.81 Skew: 0.04
Prob(H) (two-sided): 0.58 Kurtosis: 2.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.74126571651679, Current Price: 123.24
SELL EXECUTED at 123.24
SELL ORDER COMPLETED at 122.78
OPERATION PROFIT, GROSS -0.25, NET -0.49581
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.102
Date: Wed, 09 Oct 2024 AIC 50.204
Time: 14:40:51 BIC 53.029
Sample: 0 HQIC 49.623
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0427 2.151 -0.020 0.984 -4.258 4.173
ma.L1 -10.8903 235.297 -0.046 0.963 -472.063 450.283
ar.S.L7 3.193e-05 0.078 0.000 1.000 -0.152 0.152
ma.S.L7 -0.5498 1.363 -0.403 0.687 -3.222 2.122
sigma2 0.0103 0.444 0.023 0.982 -0.860 0.881
===================================================================================
Ljung-Box (L1) (Q): 2.65 Jarque-Bera (JB): 0.96
Prob(Q): 0.10 Prob(JB): 0.62
Heteroskedasticity (H): 0.57 Skew: -0.62
Prob(H) (two-sided): 0.59 Kurtosis: 2.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.59055957996752, Current Price: 124.53
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.116
Date: Wed, 09 Oct 2024 AIC 50.233
Time: 14:40:51 BIC 53.057
Sample: 0 HQIC 49.652
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4536 3.283 0.138 0.890 -5.980 6.887
ma.L1 -2.9431 28.721 -0.102 0.918 -59.235 53.349
ar.S.L7 -0.1605 0.757 -0.212 0.832 -1.643 1.322
ma.S.L7 -0.1231 0.989 -0.124 0.901 -2.062 1.816
sigma2 0.1487 2.859 0.052 0.959 -5.454 5.752
===================================================================================
Ljung-Box (L1) (Q): 1.26 Jarque-Bera (JB): 0.57
Prob(Q): 0.26 Prob(JB): 0.75
Heteroskedasticity (H): 1.30 Skew: -0.43
Prob(H) (two-sided): 0.81 Kurtosis: 2.45
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.0233790913151, Current Price: 123.14
BUY EXECUTED at 123.14
BUY ORDER COMPLETED at 122.04
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -107.393
Date: Wed, 09 Oct 2024 AIC 224.787
Time: 14:40:51 BIC 227.611
Sample: 0 HQIC 224.206
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -15.4951 91.083 -0.170 0.865 -194.015 163.025
ma.L1 -33.8242 491.678 -0.069 0.945 -997.494 929.846
ar.S.L7 -52.8553 307.781 -0.172 0.864 -656.095 550.385
ma.S.L7 -7.3494 31.339 -0.235 0.815 -68.774 54.075
sigma2 10.8267 381.188 0.028 0.977 -736.288 757.941
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 1.04
Prob(Q): 0.80 Prob(JB): 0.59
Heteroskedasticity (H): 1.13 Skew: 0.61
Prob(H) (two-sided): 0.91 Kurtosis: 2.33
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 397.5813174322134, Current Price: 121.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.984
Date: Wed, 09 Oct 2024 AIC 47.968
Time: 14:40:51 BIC 50.793
Sample: 0 HQIC 47.388
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8092 0.265 3.050 0.002 0.289 1.329
ma.L1 -1.0000 1.39e+04 -7.17e-05 1.000 -2.73e+04 2.73e+04
ar.S.L7 0.0400 0.413 0.097 0.923 -0.769 0.849
ma.S.L7 -0.2594 0.817 -0.317 0.751 -1.861 1.342
sigma2 0.8802 1.23e+04 7.17e-05 1.000 -2.4e+04 2.4e+04
===================================================================================
Ljung-Box (L1) (Q): 0.50 Jarque-Bera (JB): 0.43
Prob(Q): 0.48 Prob(JB): 0.81
Heteroskedasticity (H): 1.04 Skew: 0.04
Prob(H) (two-sided): 0.97 Kurtosis: 2.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.95014196034056, Current Price: 122.21
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.587
Date: Wed, 09 Oct 2024 AIC 45.174
Time: 14:40:51 BIC 47.999
Sample: 0 HQIC 44.594
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8131 0.340 2.390 0.017 0.146 1.480
ma.L1 -1.0000 1.15e+04 -8.67e-05 1.000 -2.26e+04 2.26e+04
ar.S.L7 -0.2015 0.715 -0.282 0.778 -1.602 1.199
ma.S.L7 0.1185 0.822 0.144 0.885 -1.492 1.729
sigma2 0.7530 8687.191 8.67e-05 1.000 -1.7e+04 1.7e+04
===================================================================================
Ljung-Box (L1) (Q): 1.61 Jarque-Bera (JB): 1.14
Prob(Q): 0.20 Prob(JB): 0.56
Heteroskedasticity (H): 1.66 Skew: -0.71
Prob(H) (two-sided): 0.64 Kurtosis: 3.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.09916445286296, Current Price: 121.58
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.839
Date: Wed, 09 Oct 2024 AIC 43.679
Time: 14:40:51 BIC 46.503
Sample: 0 HQIC 43.098
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6924 0.397 1.742 0.081 -0.087 1.471
ma.L1 -1.0000 1.19e+04 -8.4e-05 1.000 -2.33e+04 2.33e+04
ar.S.L7 -0.1215 0.665 -0.183 0.855 -1.425 1.182
ma.S.L7 0.0459 0.952 0.048 0.962 -1.820 1.912
sigma2 0.6693 7967.540 8.4e-05 1.000 -1.56e+04 1.56e+04
===================================================================================
Ljung-Box (L1) (Q): 1.62 Jarque-Bera (JB): 2.31
Prob(Q): 0.20 Prob(JB): 0.32
Heteroskedasticity (H): 0.10 Skew: -0.99
Prob(H) (two-sided): 0.05 Kurtosis: 3.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.65385923928926, Current Price: 120.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.643
Date: Wed, 09 Oct 2024 AIC 43.287
Time: 14:40:51 BIC 46.112
Sample: 0 HQIC 42.706
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6505 0.390 1.670 0.095 -0.113 1.414
ma.L1 -1.0000 1.26e+04 -7.94e-05 1.000 -2.47e+04 2.47e+04
ar.S.L7 -0.0990 0.549 -0.181 0.857 -1.174 0.976
ma.S.L7 -0.0307 0.694 -0.044 0.965 -1.392 1.330
sigma2 0.6438 8106.803 7.94e-05 1.000 -1.59e+04 1.59e+04
===================================================================================
Ljung-Box (L1) (Q): 1.16 Jarque-Bera (JB): 3.00
Prob(Q): 0.28 Prob(JB): 0.22
Heteroskedasticity (H): 0.05 Skew: -1.10
Prob(H) (two-sided): 0.01 Kurtosis: 3.84
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.07144721639278, Current Price: 120.83
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.147
Date: Wed, 09 Oct 2024 AIC 42.294
Time: 14:40:51 BIC 45.118
Sample: 0 HQIC 41.713
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1178 1.158 -0.102 0.919 -2.388 2.152
ma.L1 -6.5572 46.540 -0.141 0.888 -97.775 84.660
ar.S.L7 0.2820 0.243 1.160 0.246 -0.195 0.759
ma.S.L7 -1.0002 3717.847 -0.000 1.000 -7287.846 7285.846
sigma2 0.0098 36.619 0.000 1.000 -71.762 71.781
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.33
Prob(Q): 0.91 Prob(JB): 0.51
Heteroskedasticity (H): 0.13 Skew: -0.71
Prob(H) (two-sided): 0.07 Kurtosis: 3.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.14004900865824, Current Price: 121.17
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.046
Date: Wed, 09 Oct 2024 AIC 46.092
Time: 14:40:51 BIC 48.917
Sample: 0 HQIC 45.511
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1455 5.302 0.027 0.978 -10.246 10.537
ma.L1 -3.8207 75.324 -0.051 0.960 -151.452 143.811
ar.S.L7 -0.4728 0.508 -0.932 0.352 -1.468 0.522
ma.S.L7 0.9998 7660.854 0.000 1.000 -1.5e+04 1.5e+04
sigma2 0.0388 297.671 0.000 1.000 -583.386 583.463
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 3.59
Prob(Q): 0.75 Prob(JB): 0.17
Heteroskedasticity (H): 0.19 Skew: -1.24
Prob(H) (two-sided): 0.14 Kurtosis: 3.69
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.90386191554602, Current Price: 120.52
SELL EXECUTED at 120.52
SELL ORDER COMPLETED at 120.26
OPERATION PROFIT, GROSS -1.7800000000000011, NET -2.0223000000000013
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.539
Date: Wed, 09 Oct 2024 AIC 35.078
Time: 14:40:51 BIC 37.902
Sample: 0 HQIC 34.497
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1218 1.157 -0.105 0.916 -2.390 2.146
ma.L1 -6.1668 46.739 -0.132 0.895 -97.774 85.440
ar.S.L7 -0.3834 0.291 -1.317 0.188 -0.954 0.187
ma.S.L7 2.7496 5.459 0.504 0.614 -7.950 13.449
sigma2 0.0013 0.019 0.071 0.943 -0.035 0.038
===================================================================================
Ljung-Box (L1) (Q): 0.91 Jarque-Bera (JB): 2.12
Prob(Q): 0.34 Prob(JB): 0.35
Heteroskedasticity (H): 0.36 Skew: -0.97
Prob(H) (two-sided): 0.35 Kurtosis: 3.40
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.17848534985559, Current Price: 121.09
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -234153.053
Date: Wed, 09 Oct 2024 AIC 468316.106
Time: 14:40:51 BIC 468318.931
Sample: 0 HQIC 468315.525
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3857 2.99e-05 1.29e+04 0.000 0.386 0.386
ma.L1 -0.2880 3.22e-05 -8938.110 0.000 -0.288 -0.288
ar.S.L7 173.0013 0.002 7.06e+04 0.000 172.996 173.006
ma.S.L7 0.0004 1.52e-05 27.662 0.000 0.000 0.000
sigma2 1.0696 3.64e-05 2.94e+04 0.000 1.069 1.070
===================================================================================
Ljung-Box (L1) (Q): 0.28 Jarque-Bera (JB): 0.40
Prob(Q): 0.59 Prob(JB): 0.82
Heteroskedasticity (H): 0.66 Skew: -0.01
Prob(H) (two-sided): 0.69 Kurtosis: 2.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.26813142075042, Current Price: 122.08
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.403
Date: Wed, 09 Oct 2024 AIC 40.806
Time: 14:40:51 BIC 43.631
Sample: 0 HQIC 40.225
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5935 0.284 -2.087 0.037 -1.151 -0.036
ma.L1 1.0000 1361.771 0.001 0.999 -2668.022 2670.022
ar.S.L7 -0.1287 0.307 -0.419 0.675 -0.731 0.474
ma.S.L7 -0.2476 0.997 -0.248 0.804 -2.202 1.707
sigma2 0.5330 725.951 0.001 0.999 -1422.305 1423.371
===================================================================================
Ljung-Box (L1) (Q): 0.24 Jarque-Bera (JB): 0.43
Prob(Q): 0.63 Prob(JB): 0.80
Heteroskedasticity (H): 0.86 Skew: -0.17
Prob(H) (two-sided): 0.89 Kurtosis: 2.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.45484435923163, Current Price: 122.4
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.604
Date: Wed, 09 Oct 2024 AIC 41.208
Time: 14:40:51 BIC 44.033
Sample: 0 HQIC 40.627
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2204 3.148 0.070 0.944 -5.949 6.390
ma.L1 -9.4896 289.820 -0.033 0.974 -577.527 558.548
ar.S.L7 -0.2526 0.486 -0.520 0.603 -1.205 0.700
ma.S.L7 -0.0961 0.822 -0.117 0.907 -1.708 1.515
sigma2 0.0072 0.437 0.016 0.987 -0.849 0.864
===================================================================================
Ljung-Box (L1) (Q): 1.08 Jarque-Bera (JB): 0.56
Prob(Q): 0.30 Prob(JB): 0.76
Heteroskedasticity (H): 1.40 Skew: 0.13
Prob(H) (two-sided): 0.75 Kurtosis: 2.02
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.72909243363404, Current Price: 122.79
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.583
Date: Wed, 09 Oct 2024 AIC 33.166
Time: 14:40:52 BIC 35.991
Sample: 0 HQIC 32.586
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2146 0.326 -0.658 0.511 -0.854 0.425
ma.L1 1.0000 1765.055 0.001 1.000 -3458.444 3460.444
ar.S.L7 -0.0589 0.916 -0.064 0.949 -1.854 1.736
ma.S.L7 -0.1661 1.024 -0.162 0.871 -2.173 1.841
sigma2 0.3103 547.720 0.001 1.000 -1073.202 1073.822
===================================================================================
Ljung-Box (L1) (Q): 0.46 Jarque-Bera (JB): 0.23
Prob(Q): 0.50 Prob(JB): 0.89
Heteroskedasticity (H): 7.94 Skew: 0.06
Prob(H) (two-sided): 0.07 Kurtosis: 2.35
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.32685419992663, Current Price: 122.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.590
Date: Wed, 09 Oct 2024 AIC 35.180
Time: 14:40:52 BIC 38.005
Sample: 0 HQIC 34.600
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0308 0.787 -0.039 0.969 -1.574 1.512
ma.L1 1.4351 1.057 1.358 0.174 -0.636 3.506
ar.S.L7 -0.1553 0.568 -0.273 0.785 -1.268 0.958
ma.S.L7 -3.8098 12.377 -0.308 0.758 -28.068 20.449
sigma2 0.0131 0.094 0.139 0.889 -0.172 0.198
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 0.61
Prob(Q): 0.72 Prob(JB): 0.74
Heteroskedasticity (H): 2.05 Skew: -0.11
Prob(H) (two-sided): 0.50 Kurtosis: 1.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.30771952704309, Current Price: 123.82
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.821
Date: Wed, 09 Oct 2024 AIC 33.641
Time: 14:40:52 BIC 36.466
Sample: 0 HQIC 33.061
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3005 0.572 0.525 0.599 -0.821 1.422
ma.L1 0.3384 0.501 0.676 0.499 -0.643 1.320
ar.S.L7 -0.2441 0.531 -0.460 0.646 -1.284 0.796
ma.S.L7 -1.0004 2842.162 -0.000 1.000 -5571.536 5569.535
sigma2 0.2173 617.737 0.000 1.000 -1210.525 1210.960
===================================================================================
Ljung-Box (L1) (Q): 0.43 Jarque-Bera (JB): 0.34
Prob(Q): 0.51 Prob(JB): 0.84
Heteroskedasticity (H): 4.65 Skew: 0.28
Prob(H) (two-sided): 0.17 Kurtosis: 2.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.9491389175612, Current Price: 122.97
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.183
Date: Wed, 09 Oct 2024 AIC 34.367
Time: 14:40:52 BIC 37.191
Sample: 0 HQIC 33.786
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0184 0.732 -0.025 0.980 -1.453 1.416
ma.L1 1.4361 0.910 1.578 0.114 -0.347 3.219
ar.S.L7 -0.2542 0.784 -0.324 0.746 -1.790 1.282
ma.S.L7 -1.4536 8.399 -0.173 0.863 -17.915 15.008
sigma2 0.0695 0.703 0.099 0.921 -1.308 1.447
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.19
Prob(Q): 0.79 Prob(JB): 0.91
Heteroskedasticity (H): 0.69 Skew: -0.29
Prob(H) (two-sided): 0.73 Kurtosis: 2.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.25946952689658, Current Price: 122.13
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.179
Date: Wed, 09 Oct 2024 AIC 32.358
Time: 14:40:52 BIC 35.183
Sample: 0 HQIC 31.777
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1113 0.312 -0.357 0.721 -0.722 0.500
ma.L1 1.0631 0.343 3.096 0.002 0.390 1.736
ar.S.L7 -2.437e-06 0.009 -0.000 1.000 -0.017 0.017
ma.S.L7 -0.5414 0.291 -1.862 0.063 -1.111 0.029
sigma2 0.2362 0.130 1.814 0.070 -0.019 0.491
===================================================================================
Ljung-Box (L1) (Q): 0.26 Jarque-Bera (JB): 0.18
Prob(Q): 0.61 Prob(JB): 0.91
Heteroskedasticity (H): 0.47 Skew: -0.00
Prob(H) (two-sided): 0.49 Kurtosis: 2.42
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.43162786653076, Current Price: 121.67
BUY EXECUTED at 121.67
BUY ORDER COMPLETED at 122.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.673
Date: Wed, 09 Oct 2024 AIC 33.346
Time: 14:40:52 BIC 36.171
Sample: 0 HQIC 32.766
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1278 0.610 0.209 0.834 -1.068 1.324
ma.L1 0.8094 0.347 2.335 0.020 0.130 1.489
ar.S.L7 -0.1657 0.234 -0.709 0.478 -0.624 0.292
ma.S.L7 -1.0000 1.66e+04 -6.02e-05 1.000 -3.26e+04 3.26e+04
sigma2 0.2117 3517.823 6.02e-05 1.000 -6894.595 6895.018
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.63
Prob(Q): 0.78 Prob(JB): 0.73
Heteroskedasticity (H): 0.37 Skew: 0.32
Prob(H) (two-sided): 0.36 Kurtosis: 2.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.40161168114196, Current Price: 122.39
SELL EXECUTED at 122.39
SELL ORDER COMPLETED at 121.68
OPERATION PROFIT, GROSS -0.519999999999996, NET -0.763879999999996
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.280
Date: Wed, 09 Oct 2024 AIC 38.559
Time: 14:40:52 BIC 41.384
Sample: 0 HQIC 37.979
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0024 1.028 0.002 0.998 -2.013 2.018
ma.L1 1.5248 1.743 0.875 0.382 -1.892 4.941
ar.S.L7 0.0006 0.002 0.365 0.715 -0.002 0.004
ma.S.L7 -0.7042 1.160 -0.607 0.544 -2.978 1.570
sigma2 0.1973 0.432 0.457 0.648 -0.649 1.044
===================================================================================
Ljung-Box (L1) (Q): 0.42 Jarque-Bera (JB): 0.49
Prob(Q): 0.52 Prob(JB): 0.78
Heteroskedasticity (H): 1.19 Skew: 0.11
Prob(H) (two-sided): 0.87 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.07234407131347, Current Price: 121.61
BUY EXECUTED at 121.61
BUY ORDER COMPLETED at 120.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.382
Date: Wed, 09 Oct 2024 AIC 40.765
Time: 14:40:52 BIC 43.589
Sample: 0 HQIC 40.184
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3249 2.689 -0.121 0.904 -5.596 4.946
ma.L1 0.5348 2.521 0.212 0.832 -4.406 5.476
ar.S.L7 -0.3279 0.674 -0.487 0.627 -1.648 0.993
ma.S.L7 -1.0009 797.812 -0.001 0.999 -1564.684 1562.682
sigma2 0.3759 300.092 0.001 0.999 -587.794 588.546
===================================================================================
Ljung-Box (L1) (Q): 0.64 Jarque-Bera (JB): 0.68
Prob(Q): 0.42 Prob(JB): 0.71
Heteroskedasticity (H): 1.07 Skew: 0.12
Prob(H) (two-sided): 0.95 Kurtosis: 1.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.60161522000568, Current Price: 121.8
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.820
Date: Wed, 09 Oct 2024 AIC 39.640
Time: 14:40:52 BIC 42.464
Sample: 0 HQIC 39.059
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3949 1.396 0.283 0.777 -2.341 3.131
ma.L1 -0.1966 1.541 -0.128 0.898 -3.216 2.823
ar.S.L7 -0.1975 0.595 -0.332 0.740 -1.363 0.968
ma.S.L7 -1.0001 8968.759 -0.000 1.000 -1.76e+04 1.76e+04
sigma2 0.3446 3090.820 0.000 1.000 -6057.552 6058.241
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 0.45
Prob(Q): 0.70 Prob(JB): 0.80
Heteroskedasticity (H): 0.89 Skew: 0.12
Prob(H) (two-sided): 0.91 Kurtosis: 2.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.6046630560914, Current Price: 121.33
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.218
Date: Wed, 09 Oct 2024 AIC 40.436
Time: 14:40:52 BIC 43.261
Sample: 0 HQIC 39.856
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8742 0.152 5.755 0.000 0.576 1.172
ma.L1 -1.0000 7079.728 -0.000 1.000 -1.39e+04 1.39e+04
ar.S.L7 -1.1278 0.323 -3.495 0.000 -1.760 -0.495
ma.S.L7 1.0003 3547.584 0.000 1.000 -6952.137 6954.138
sigma2 0.3238 2342.970 0.000 1.000 -4591.814 4592.461
===================================================================================
Ljung-Box (L1) (Q): 0.41 Jarque-Bera (JB): 1.06
Prob(Q): 0.52 Prob(JB): 0.59
Heteroskedasticity (H): 0.45 Skew: -0.01
Prob(H) (two-sided): 0.45 Kurtosis: 1.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.3410424600411, Current Price: 121.35
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.270
Date: Wed, 09 Oct 2024 AIC 34.539
Time: 14:40:52 BIC 37.364
Sample: 0 HQIC 33.959
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7627 0.124 6.130 0.000 0.519 1.007
ma.L1 -1.0000 8407.234 -0.000 1.000 -1.65e+04 1.65e+04
ar.S.L7 -0.8953 0.219 -4.091 0.000 -1.324 -0.466
ma.S.L7 0.4285 0.518 0.827 0.408 -0.587 1.444
sigma2 0.3131 2632.596 0.000 1.000 -5159.479 5160.106
===================================================================================
Ljung-Box (L1) (Q): 1.40 Jarque-Bera (JB): 1.18
Prob(Q): 0.24 Prob(JB): 0.55
Heteroskedasticity (H): 0.51 Skew: -0.03
Prob(H) (two-sided): 0.53 Kurtosis: 1.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.69923083243722, Current Price: 120.33
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.866
Date: Wed, 09 Oct 2024 AIC 35.732
Time: 14:40:52 BIC 38.557
Sample: 0 HQIC 35.152
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5742 0.164 3.503 0.000 0.253 0.895
ma.L1 -1.0000 4215.002 -0.000 1.000 -8262.252 8260.252
ar.S.L7 -0.7721 0.170 -4.548 0.000 -1.105 -0.439
ma.S.L7 0.3382 1.074 0.315 0.753 -1.767 2.444
sigma2 0.3530 1488.406 0.000 1.000 -2916.870 2917.576
===================================================================================
Ljung-Box (L1) (Q): 1.68 Jarque-Bera (JB): 0.58
Prob(Q): 0.20 Prob(JB): 0.75
Heteroskedasticity (H): 2.09 Skew: -0.38
Prob(H) (two-sided): 0.49 Kurtosis: 2.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.22194423191716, Current Price: 120.9
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.164
Date: Wed, 09 Oct 2024 AIC 32.327
Time: 14:40:52 BIC 35.152
Sample: 0 HQIC 31.746
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0256 0.247 -4.153 0.000 -1.510 -0.542
ma.L1 0.9999 2682.810 0.000 1.000 -5257.212 5259.212
ar.S.L7 -0.7183 0.222 -3.230 0.001 -1.154 -0.282
ma.S.L7 1.0063 130.053 0.008 0.994 -253.893 255.906
sigma2 0.1570 426.629 0.000 1.000 -836.021 836.335
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 3.48
Prob(Q): 0.95 Prob(JB): 0.18
Heteroskedasticity (H): 0.21 Skew: 0.99
Prob(H) (two-sided): 0.16 Kurtosis: 4.57
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.72900614003102, Current Price: 121.13
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.232
Date: Wed, 09 Oct 2024 AIC 28.465
Time: 14:40:52 BIC 31.289
Sample: 0 HQIC 27.884
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3180 0.639 -0.498 0.619 -1.570 0.934
ma.L1 -0.1272 0.448 -0.284 0.776 -1.005 0.751
ar.S.L7 -0.6963 0.130 -5.341 0.000 -0.952 -0.441
ma.S.L7 0.3503 0.608 0.576 0.565 -0.842 1.543
sigma2 0.2323 0.180 1.290 0.197 -0.121 0.585
===================================================================================
Ljung-Box (L1) (Q): 3.52 Jarque-Bera (JB): 0.91
Prob(Q): 0.06 Prob(JB): 0.64
Heteroskedasticity (H): 4.76 Skew: -0.26
Prob(H) (two-sided): 0.16 Kurtosis: 1.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.10297974672015, Current Price: 120.67
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.459
Date: Wed, 09 Oct 2024 AIC 28.918
Time: 14:40:52 BIC 31.742
Sample: 0 HQIC 28.337
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9581 0.135 -7.124 0.000 -1.222 -0.695
ma.L1 1.0001 885.527 0.001 0.999 -1734.601 1736.602
ar.S.L7 -0.5913 0.141 -4.198 0.000 -0.867 -0.315
ma.S.L7 1.0000 1.24e+04 8.03e-05 1.000 -2.44e+04 2.44e+04
sigma2 0.1215 1506.350 8.07e-05 1.000 -2952.270 2952.513
===================================================================================
Ljung-Box (L1) (Q): 2.97 Jarque-Bera (JB): 1.96
Prob(Q): 0.08 Prob(JB): 0.38
Heteroskedasticity (H): 0.23 Skew: 0.93
Prob(H) (two-sided): 0.18 Kurtosis: 2.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.22611184394157, Current Price: 121.11
SELL EXECUTED at 121.11
SELL ORDER COMPLETED at 121.29
OPERATION PROFIT, GROSS 0.3100000000000023, NET 0.06773000000000226
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.462
Date: Wed, 09 Oct 2024 AIC 28.924
Time: 14:40:52 BIC 31.748
Sample: 0 HQIC 28.343
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6991 0.360 -1.942 0.052 -1.405 0.007
ma.L1 0.1013 0.634 0.160 0.873 -1.142 1.345
ar.S.L7 -0.6160 0.120 -5.119 0.000 -0.852 -0.380
ma.S.L7 0.5995 2.298 0.261 0.794 -3.905 5.104
sigma2 0.2075 0.379 0.548 0.584 -0.535 0.950
===================================================================================
Ljung-Box (L1) (Q): 1.32 Jarque-Bera (JB): 1.03
Prob(Q): 0.25 Prob(JB): 0.60
Heteroskedasticity (H): 0.39 Skew: -0.60
Prob(H) (two-sided): 0.38 Kurtosis: 2.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.82653520734743, Current Price: 121.19
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.448
Date: Wed, 09 Oct 2024 AIC 28.896
Time: 14:40:52 BIC 31.721
Sample: 0 HQIC 28.316
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5727 0.590 -0.970 0.332 -1.730 0.584
ma.L1 -0.0532 0.871 -0.061 0.951 -1.761 1.655
ar.S.L7 -0.6128 0.119 -5.163 0.000 -0.845 -0.380
ma.S.L7 0.5280 1.826 0.289 0.772 -3.050 4.106
sigma2 0.2166 0.330 0.656 0.512 -0.430 0.863
===================================================================================
Ljung-Box (L1) (Q): 1.04 Jarque-Bera (JB): 1.16
Prob(Q): 0.31 Prob(JB): 0.56
Heteroskedasticity (H): 0.42 Skew: -0.64
Prob(H) (two-sided): 0.43 Kurtosis: 2.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.86235353036686, Current Price: 120.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.566
Date: Wed, 09 Oct 2024 AIC 29.132
Time: 14:40:52 BIC 31.956
Sample: 0 HQIC 28.551
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5778 0.616 -0.939 0.348 -1.784 0.629
ma.L1 -0.0602 0.922 -0.065 0.948 -1.867 1.747
ar.S.L7 -0.5998 0.130 -4.616 0.000 -0.854 -0.345
ma.S.L7 0.4668 1.729 0.270 0.787 -2.923 3.856
sigma2 0.2282 0.335 0.681 0.496 -0.429 0.885
===================================================================================
Ljung-Box (L1) (Q): 1.16 Jarque-Bera (JB): 1.26
Prob(Q): 0.28 Prob(JB): 0.53
Heteroskedasticity (H): 0.36 Skew: -0.71
Prob(H) (two-sided): 0.35 Kurtosis: 2.43
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.53717882649738, Current Price: 121.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.088
Date: Wed, 09 Oct 2024 AIC 34.175
Time: 14:40:52 BIC 37.000
Sample: 0 HQIC 33.595
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7701 0.952 -0.809 0.418 -2.635 1.095
ma.L1 0.0693 1.287 0.054 0.957 -2.453 2.591
ar.S.L7 -0.3770 0.807 -0.467 0.640 -1.958 1.204
ma.S.L7 -0.0698 1.655 -0.042 0.966 -3.313 3.173
sigma2 0.3751 0.149 2.513 0.012 0.083 0.668
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 13.60
Prob(Q): 0.95 Prob(JB): 0.00
Heteroskedasticity (H): 2.49 Skew: 1.65
Prob(H) (two-sided): 0.40 Kurtosis: 6.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.44236489705175, Current Price: 121.21
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.503
Date: Wed, 09 Oct 2024 AIC 33.005
Time: 14:40:52 BIC 35.830
Sample: 0 HQIC 32.425
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8180 0.139 -5.869 0.000 -1.091 -0.545
ma.L1 1.0000 2.11e+04 4.73e-05 1.000 -4.14e+04 4.14e+04
ar.S.L7 -0.6140 0.233 -2.634 0.008 -1.071 -0.157
ma.S.L7 -1.0001 1.31e+04 -7.65e-05 1.000 -2.56e+04 2.56e+04
sigma2 0.1828 2931.968 6.24e-05 1.000 -5746.370 5746.735
===================================================================================
Ljung-Box (L1) (Q): 0.88 Jarque-Bera (JB): 3.60
Prob(Q): 0.35 Prob(JB): 0.17
Heteroskedasticity (H): 5.40 Skew: 1.14
Prob(H) (two-sided): 0.13 Kurtosis: 4.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.6904914445803, Current Price: 121.63
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.427
Date: Wed, 09 Oct 2024 AIC 32.855
Time: 14:40:52 BIC 35.679
Sample: 0 HQIC 32.274
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8033 0.144 -5.593 0.000 -1.085 -0.522
ma.L1 1.0000 9638.047 0.000 1.000 -1.89e+04 1.89e+04
ar.S.L7 -0.6508 0.231 -2.812 0.005 -1.104 -0.197
ma.S.L7 -1.0000 294.388 -0.003 0.997 -577.991 575.991
sigma2 0.1807 1688.807 0.000 1.000 -3309.820 3310.181
===================================================================================
Ljung-Box (L1) (Q): 0.71 Jarque-Bera (JB): 4.01
Prob(Q): 0.40 Prob(JB): 0.13
Heteroskedasticity (H): 2.33 Skew: 1.20
Prob(H) (two-sided): 0.43 Kurtosis: 4.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 9.39e+18. Standard errors may be unstable.
Predicted Price: 121.2782397737288, Current Price: 122.13
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.043
Date: Wed, 09 Oct 2024 AIC 36.085
Time: 14:40:52 BIC 38.910
Sample: 0 HQIC 35.504
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2887 0.985 -0.293 0.770 -2.220 1.642
ma.L1 -0.1645 0.932 -0.176 0.860 -1.992 1.663
ar.S.L7 -0.4800 0.500 -0.960 0.337 -1.460 0.500
ma.S.L7 -1.0002 4752.013 -0.000 1.000 -9314.775 9312.775
sigma2 0.2622 1246.203 0.000 1.000 -2442.252 2442.776
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 2.38
Prob(Q): 0.94 Prob(JB): 0.30
Heteroskedasticity (H): 2.63 Skew: 0.95
Prob(H) (two-sided): 0.37 Kurtosis: 3.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.88587102909398, Current Price: 121.13
BUY EXECUTED at 121.13
BUY ORDER COMPLETED at 121.43
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.455
Date: Wed, 09 Oct 2024 AIC 34.911
Time: 14:40:52 BIC 37.736
Sample: 0 HQIC 34.330
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3581 0.735 -0.487 0.626 -1.799 1.083
ma.L1 -0.2623 0.728 -0.360 0.719 -1.689 1.165
ar.S.L7 -0.4036 0.602 -0.671 0.502 -1.583 0.776
ma.S.L7 -0.5006 2.460 -0.204 0.839 -5.322 4.321
sigma2 0.3550 0.535 0.664 0.507 -0.693 1.403
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 4.15
Prob(Q): 0.74 Prob(JB): 0.13
Heteroskedasticity (H): 8.31 Skew: 1.31
Prob(H) (two-sided): 0.06 Kurtosis: 3.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.78994726596842, Current Price: 121.31
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.509
Date: Wed, 09 Oct 2024 AIC 35.018
Time: 14:40:52 BIC 37.843
Sample: 0 HQIC 34.437
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2495 0.743 -0.336 0.737 -1.706 1.207
ma.L1 -0.3074 0.736 -0.418 0.676 -1.751 1.136
ar.S.L7 -0.4463 0.490 -0.911 0.362 -1.406 0.514
ma.S.L7 -0.6649 2.239 -0.297 0.767 -5.054 3.724
sigma2 0.3241 0.586 0.553 0.580 -0.824 1.473
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 4.00
Prob(Q): 1.00 Prob(JB): 0.14
Heteroskedasticity (H): 3.33 Skew: 1.30
Prob(H) (two-sided): 0.27 Kurtosis: 3.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.03514981360236, Current Price: 121.56
SELL EXECUTED at 121.56
SELL ORDER COMPLETED at 122.13
OPERATION PROFIT, GROSS 0.6999999999999886, NET 0.45643999999998863
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.391
Date: Wed, 09 Oct 2024 AIC 34.782
Time: 14:40:53 BIC 37.606
Sample: 0 HQIC 34.201
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0287 0.963 0.030 0.976 -1.859 1.916
ma.L1 -0.4152 0.998 -0.416 0.678 -2.372 1.541
ar.S.L7 -0.6636 0.491 -1.352 0.176 -1.626 0.299
ma.S.L7 -0.8529 5.300 -0.161 0.872 -11.240 9.535
sigma2 0.2730 1.401 0.195 0.846 -2.473 3.019
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.45
Prob(Q): 0.91 Prob(JB): 0.48
Heteroskedasticity (H): 4.65 Skew: 0.82
Prob(H) (two-sided): 0.17 Kurtosis: 3.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.09434455608795, Current Price: 121.41
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.720
Date: Wed, 09 Oct 2024 AIC 35.440
Time: 14:40:53 BIC 38.265
Sample: 0 HQIC 34.859
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1943 1.353 -0.144 0.886 -2.847 2.458
ma.L1 -0.3259 1.234 -0.264 0.792 -2.744 2.092
ar.S.L7 -0.3573 1.049 -0.341 0.733 -2.413 1.699
ma.S.L7 -0.3733 1.513 -0.247 0.805 -3.339 2.593
sigma2 0.3904 0.339 1.151 0.250 -0.275 1.055
===================================================================================
Ljung-Box (L1) (Q): 0.40 Jarque-Bera (JB): 1.99
Prob(Q): 0.53 Prob(JB): 0.37
Heteroskedasticity (H): 8.20 Skew: 0.90
Prob(H) (two-sided): 0.07 Kurtosis: 3.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.31483070072154, Current Price: 121.4
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.324
Date: Wed, 09 Oct 2024 AIC 34.649
Time: 14:40:53 BIC 37.474
Sample: 0 HQIC 34.068
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3678 0.942 -0.391 0.696 -2.214 1.478
ma.L1 -0.2749 0.965 -0.285 0.776 -2.166 1.616
ar.S.L7 -0.0884 0.315 -0.280 0.779 -0.706 0.530
ma.S.L7 -1.0001 8691.211 -0.000 1.000 -1.7e+04 1.7e+04
sigma2 0.2349 2041.666 0.000 1.000 -4001.356 4001.826
===================================================================================
Ljung-Box (L1) (Q): 1.48 Jarque-Bera (JB): 0.67
Prob(Q): 0.22 Prob(JB): 0.71
Heteroskedasticity (H): 1.41 Skew: 0.56
Prob(H) (two-sided): 0.75 Kurtosis: 2.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.82449923220695, Current Price: 122.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.904
Date: Wed, 09 Oct 2024 AIC 37.808
Time: 14:40:53 BIC 40.632
Sample: 0 HQIC 37.227
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3882 1.218 -0.319 0.750 -2.776 2.000
ma.L1 -0.2666 1.296 -0.206 0.837 -2.808 2.274
ar.S.L7 -0.1139 0.437 -0.261 0.794 -0.970 0.742
ma.S.L7 -1.0002 7276.780 -0.000 1.000 -1.43e+04 1.43e+04
sigma2 0.2994 2179.002 0.000 1.000 -4270.466 4271.065
===================================================================================
Ljung-Box (L1) (Q): 1.68 Jarque-Bera (JB): 0.45
Prob(Q): 0.19 Prob(JB): 0.80
Heteroskedasticity (H): 0.57 Skew: 0.36
Prob(H) (two-sided): 0.60 Kurtosis: 2.43
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.88221721244484, Current Price: 121.31
BUY EXECUTED at 121.31
BUY ORDER COMPLETED at 121.67
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.173
Date: Wed, 09 Oct 2024 AIC 38.346
Time: 14:40:53 BIC 41.170
Sample: 0 HQIC 37.765
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4856 0.902 -0.538 0.590 -2.254 1.283
ma.L1 -0.3135 0.960 -0.326 0.744 -2.196 1.569
ar.S.L7 -0.0515 0.379 -0.136 0.892 -0.794 0.691
ma.S.L7 -1.0001 8950.297 -0.000 1.000 -1.75e+04 1.75e+04
sigma2 0.3120 2792.844 0.000 1.000 -5473.561 5474.185
===================================================================================
Ljung-Box (L1) (Q): 1.87 Jarque-Bera (JB): 0.64
Prob(Q): 0.17 Prob(JB): 0.73
Heteroskedasticity (H): 0.49 Skew: 0.26
Prob(H) (two-sided): 0.50 Kurtosis: 2.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.02680168576028, Current Price: 121.51
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.063
Date: Wed, 09 Oct 2024 AIC 38.127
Time: 14:40:53 BIC 40.951
Sample: 0 HQIC 37.546
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3518 1.141 -0.308 0.758 -2.588 1.884
ma.L1 -0.4146 1.343 -0.309 0.758 -3.047 2.218
ar.S.L7 0.0019 0.009 0.208 0.835 -0.016 0.019
ma.S.L7 -1.0000 2.05e+04 -4.89e-05 1.000 -4.01e+04 4.01e+04
sigma2 0.3199 6547.602 4.89e-05 1.000 -1.28e+04 1.28e+04
===================================================================================
Ljung-Box (L1) (Q): 0.28 Jarque-Bera (JB): 0.75
Prob(Q): 0.60 Prob(JB): 0.69
Heteroskedasticity (H): 0.65 Skew: 0.49
Prob(H) (two-sided): 0.69 Kurtosis: 2.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.55335981131451, Current Price: 122.63
SELL EXECUTED at 122.63
SELL ORDER COMPLETED at 122.36
OPERATION PROFIT, GROSS 0.6899999999999977, NET 0.44596999999999776
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.084
Date: Wed, 09 Oct 2024 AIC 40.168
Time: 14:40:53 BIC 42.993
Sample: 0 HQIC 39.587
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2861 0.517 -0.553 0.580 -1.300 0.728
ma.L1 -1.0000 3958.564 -0.000 1.000 -7759.643 7757.643
ar.S.L7 0.1386 0.287 0.482 0.629 -0.424 0.702
ma.S.L7 -0.9998 2593.071 -0.000 1.000 -5083.325 5081.326
sigma2 0.3014 1409.025 0.000 1.000 -2761.337 2761.940
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.04
Prob(Q): 0.89 Prob(JB): 0.59
Heteroskedasticity (H): 0.53 Skew: 0.26
Prob(H) (two-sided): 0.55 Kurtosis: 1.72
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.68262218457511, Current Price: 122.32
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.078
Date: Wed, 09 Oct 2024 AIC 32.155
Time: 14:40:53 BIC 34.980
Sample: 0 HQIC 31.575
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1391 0.513 -0.271 0.786 -1.145 0.867
ma.L1 -1.0000 5804.932 -0.000 1.000 -1.14e+04 1.14e+04
ar.S.L7 0.0393 0.209 0.188 0.851 -0.371 0.450
ma.S.L7 -1.0001 7419.829 -0.000 1.000 -1.45e+04 1.45e+04
sigma2 0.1632 1459.637 0.000 1.000 -2860.672 2860.999
===================================================================================
Ljung-Box (L1) (Q): 0.26 Jarque-Bera (JB): 0.73
Prob(Q): 0.61 Prob(JB): 0.69
Heteroskedasticity (H): 0.92 Skew: 0.32
Prob(H) (two-sided): 0.93 Kurtosis: 2.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.95420903290956, Current Price: 122.83
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.638
Date: Wed, 09 Oct 2024 AIC 33.275
Time: 14:40:53 BIC 36.100
Sample: 0 HQIC 32.694
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2102 0.623 -0.338 0.736 -1.431 1.010
ma.L1 -1.0015 60.752 -0.016 0.987 -120.073 118.070
ar.S.L7 -0.0014 0.006 -0.235 0.814 -0.013 0.010
ma.S.L7 -1.0008 797.755 -0.001 0.999 -1564.572 1562.570
sigma2 0.1879 151.516 0.001 0.999 -296.778 297.154
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.58
Prob(Q): 0.90 Prob(JB): 0.45
Heteroskedasticity (H): 1.49 Skew: 0.37
Prob(H) (two-sided): 0.71 Kurtosis: 1.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.0105422946884, Current Price: 122.81
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.605
Date: Wed, 09 Oct 2024 AIC 33.209
Time: 14:40:53 BIC 36.034
Sample: 0 HQIC 32.629
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1637 0.881 -0.186 0.853 -1.891 1.564
ma.L1 -0.6122 0.713 -0.859 0.390 -2.009 0.785
ar.S.L7 -0.3486 0.675 -0.516 0.606 -1.671 0.974
ma.S.L7 -1.0003 3091.509 -0.000 1.000 -6060.247 6058.247
sigma2 0.2087 645.119 0.000 1.000 -1264.201 1264.619
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 1.29
Prob(Q): 0.70 Prob(JB): 0.52
Heteroskedasticity (H): 1.50 Skew: -0.07
Prob(H) (two-sided): 0.71 Kurtosis: 1.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.99332237390968, Current Price: 122.04
BUY EXECUTED at 122.04
BUY ORDER COMPLETED at 121.44
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.757
Date: Wed, 09 Oct 2024 AIC 33.513
Time: 14:40:53 BIC 36.338
Sample: 0 HQIC 32.933
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0565 0.513 -0.110 0.912 -1.062 0.949
ma.L1 -0.6103 0.533 -1.145 0.252 -1.655 0.434
ar.S.L7 -0.5791 0.658 -0.880 0.379 -1.868 0.710
ma.S.L7 -1.0001 7432.629 -0.000 1.000 -1.46e+04 1.46e+04
sigma2 0.2138 1589.121 0.000 1.000 -3114.407 3114.835
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.68
Prob(Q): 0.90 Prob(JB): 0.71
Heteroskedasticity (H): 2.67 Skew: -0.06
Prob(H) (two-sided): 0.36 Kurtosis: 1.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.76277530702961, Current Price: 121.1
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.671
Date: Wed, 09 Oct 2024 AIC 37.343
Time: 14:40:53 BIC 40.167
Sample: 0 HQIC 36.762
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3375 0.663 0.509 0.611 -0.961 1.636
ma.L1 -1.0000 4599.675 -0.000 1.000 -9016.197 9014.197
ar.S.L7 -0.4476 0.736 -0.608 0.543 -1.890 0.995
ma.S.L7 -0.3773 1.074 -0.351 0.725 -2.482 1.727
sigma2 0.3919 1802.216 0.000 1.000 -3531.886 3532.669
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 0.85
Prob(Q): 0.66 Prob(JB): 0.66
Heteroskedasticity (H): 14.25 Skew: -0.48
Prob(H) (two-sided): 0.02 Kurtosis: 2.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.51381584925548, Current Price: 121.59
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.819
Date: Wed, 09 Oct 2024 AIC 37.637
Time: 14:40:53 BIC 40.462
Sample: 0 HQIC 37.057
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2871 0.683 0.420 0.674 -1.051 1.625
ma.L1 -1.0000 3852.062 -0.000 1.000 -7550.904 7548.904
ar.S.L7 -0.4916 0.842 -0.584 0.559 -2.142 1.158
ma.S.L7 -0.2011 0.951 -0.211 0.833 -2.065 1.663
sigma2 0.4237 1632.024 0.000 1.000 -3198.284 3199.131
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.76
Prob(Q): 0.75 Prob(JB): 0.68
Heteroskedasticity (H): 2.18 Skew: -0.44
Prob(H) (two-sided): 0.47 Kurtosis: 2.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.26308349069072, Current Price: 121.18
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.948
Date: Wed, 09 Oct 2024 AIC 39.895
Time: 14:40:53 BIC 42.720
Sample: 0 HQIC 39.315
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4003 0.146 2.743 0.006 0.114 0.686
ma.L1 -1.0000 1681.334 -0.001 1.000 -3296.355 3294.355
ar.S.L7 -0.6480 0.617 -1.050 0.294 -1.857 0.561
ma.S.L7 -0.2866 0.916 -0.313 0.754 -2.082 1.509
sigma2 0.4805 808.045 0.001 1.000 -1583.259 1584.220
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.74
Prob(Q): 0.92 Prob(JB): 0.69
Heteroskedasticity (H): 1.86 Skew: -0.38
Prob(H) (two-sided): 0.56 Kurtosis: 2.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.73570195295152, Current Price: 120.32
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.674
Date: Wed, 09 Oct 2024 AIC 41.349
Time: 14:40:53 BIC 44.173
Sample: 0 HQIC 40.768
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1155 1.466 0.079 0.937 -2.758 2.989
ma.L1 -0.5130 1.250 -0.410 0.681 -2.963 1.937
ar.S.L7 -0.6464 0.778 -0.831 0.406 -2.171 0.878
ma.S.L7 -1.0032 394.171 -0.003 0.998 -773.564 771.558
sigma2 0.3913 154.494 0.003 0.998 -302.411 303.193
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.70
Prob(Q): 0.97 Prob(JB): 0.70
Heteroskedasticity (H): 2.57 Skew: -0.50
Prob(H) (two-sided): 0.38 Kurtosis: 2.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.7937662152572, Current Price: 120.07
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.588
Date: Wed, 09 Oct 2024 AIC 41.175
Time: 14:40:53 BIC 44.000
Sample: 0 HQIC 40.595
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6488 0.409 -1.587 0.112 -1.450 0.152
ma.L1 1.0000 6.51e+04 1.54e-05 1.000 -1.28e+05 1.28e+05
ar.S.L7 -0.7242 0.448 -1.616 0.106 -1.603 0.154
ma.S.L7 -0.2559 1.021 -0.251 0.802 -2.258 1.746
sigma2 0.5466 3.56e+04 1.54e-05 1.000 -6.97e+04 6.97e+04
===================================================================================
Ljung-Box (L1) (Q): 1.17 Jarque-Bera (JB): 0.72
Prob(Q): 0.28 Prob(JB): 0.70
Heteroskedasticity (H): 0.85 Skew: 0.12
Prob(H) (two-sided): 0.88 Kurtosis: 1.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.785416455957, Current Price: 118.49
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -161445.328
Date: Wed, 09 Oct 2024 AIC 322900.657
Time: 14:40:53 BIC 322903.481
Sample: 0 HQIC 322900.076
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.1180 3.62e-05 -3.09e+04 0.000 -1.118 -1.118
ma.L1 1.1210 7.91e-05 1.42e+04 0.000 1.121 1.121
ar.S.L7 156.0038 0.005 3.39e+04 0.000 155.995 156.013
ma.S.L7 0.0002 3.44e-05 4.965 0.000 0.000 0.000
sigma2 0.9581 9.18e-05 1.04e+04 0.000 0.958 0.958
===================================================================================
Ljung-Box (L1) (Q): 3.84 Jarque-Bera (JB): 1.05
Prob(Q): 0.05 Prob(JB): 0.59
Heteroskedasticity (H): 0.70 Skew: 0.31
Prob(H) (two-sided): 0.74 Kurtosis: 1.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: -240.2085038129608, Current Price: 118.48
SELL EXECUTED at 118.48
SELL ORDER COMPLETED at 118.37
OPERATION PROFIT, GROSS -3.069999999999993, NET -3.309809999999993
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.579
Date: Wed, 09 Oct 2024 AIC 39.158
Time: 14:40:53 BIC 41.983
Sample: 0 HQIC 38.578
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4184 0.147 -2.854 0.004 -0.706 -0.131
ma.L1 1.0000 1.58e+04 6.31e-05 1.000 -3.1e+04 3.1e+04
ar.S.L7 -0.5663 0.611 -0.926 0.354 -1.765 0.632
ma.S.L7 -0.1390 0.682 -0.204 0.838 -1.475 1.197
sigma2 0.4798 7600.050 6.31e-05 1.000 -1.49e+04 1.49e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.05
Prob(Q): 0.88 Prob(JB): 0.59
Heteroskedasticity (H): 2.58 Skew: -0.63
Prob(H) (two-sided): 0.38 Kurtosis: 2.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.42717245621861, Current Price: 118.01
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.141
Date: Wed, 09 Oct 2024 AIC 38.282
Time: 14:40:53 BIC 41.106
Sample: 0 HQIC 37.701
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2345 0.549 -0.427 0.669 -1.310 0.841
ma.L1 1.0000 1.38e+04 7.26e-05 1.000 -2.7e+04 2.7e+04
ar.S.L7 -0.5404 0.559 -0.967 0.334 -1.636 0.555
ma.S.L7 0.1096 0.429 0.256 0.798 -0.730 0.950
sigma2 0.4521 6228.383 7.26e-05 1.000 -1.22e+04 1.22e+04
===================================================================================
Ljung-Box (L1) (Q): 1.14 Jarque-Bera (JB): 1.61
Prob(Q): 0.29 Prob(JB): 0.45
Heteroskedasticity (H): 12.77 Skew: -0.79
Prob(H) (two-sided): 0.03 Kurtosis: 2.33
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.55286042245612, Current Price: 118.15
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.522
Date: Wed, 09 Oct 2024 AIC 37.043
Time: 14:40:53 BIC 39.868
Sample: 0 HQIC 36.463
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2373 0.584 -0.406 0.685 -1.383 0.908
ma.L1 1.0000 1.32e+04 7.59e-05 1.000 -2.58e+04 2.58e+04
ar.S.L7 -0.4712 0.313 -1.505 0.132 -1.085 0.143
ma.S.L7 -0.3809 0.825 -0.462 0.644 -1.998 1.236
sigma2 0.4054 5342.413 7.59e-05 1.000 -1.05e+04 1.05e+04
===================================================================================
Ljung-Box (L1) (Q): 0.49 Jarque-Bera (JB): 0.71
Prob(Q): 0.48 Prob(JB): 0.70
Heteroskedasticity (H): 0.76 Skew: -0.40
Prob(H) (two-sided): 0.79 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.53317056103651, Current Price: 119.17
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.188
Date: Wed, 09 Oct 2024 AIC 36.376
Time: 14:40:53 BIC 39.201
Sample: 0 HQIC 35.795
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2359 0.558 -0.423 0.672 -1.329 0.857
ma.L1 1.0000 9713.038 0.000 1.000 -1.9e+04 1.9e+04
ar.S.L7 -0.4277 0.262 -1.633 0.103 -0.941 0.086
ma.S.L7 -1.0001 4321.879 -0.000 1.000 -8471.727 8469.727
sigma2 0.2538 2606.925 9.74e-05 1.000 -5109.225 5109.733
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 1.10
Prob(Q): 0.81 Prob(JB): 0.58
Heteroskedasticity (H): 0.28 Skew: -0.59
Prob(H) (two-sided): 0.24 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.50584948661188, Current Price: 118.93
BUY EXECUTED at 118.93
BUY ORDER COMPLETED at 119.41
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.973
Date: Wed, 09 Oct 2024 AIC 37.947
Time: 14:40:53 BIC 40.771
Sample: 0 HQIC 37.366
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2787 0.554 -0.503 0.615 -1.365 0.808
ma.L1 1.0000 2210.253 0.000 1.000 -4331.016 4333.016
ar.S.L7 -0.4182 0.378 -1.106 0.269 -1.159 0.323
ma.S.L7 -1.0011 597.280 -0.002 0.999 -1171.648 1169.646
sigma2 0.2869 708.753 0.000 1.000 -1388.844 1389.418
===================================================================================
Ljung-Box (L1) (Q): 1.01 Jarque-Bera (JB): 0.63
Prob(Q): 0.32 Prob(JB): 0.73
Heteroskedasticity (H): 0.32 Skew: -0.42
Prob(H) (two-sided): 0.30 Kurtosis: 2.33
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.83297784244718, Current Price: 119.18
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.047
Date: Wed, 09 Oct 2024 AIC 38.095
Time: 14:40:54 BIC 40.919
Sample: 0 HQIC 37.514
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3462 0.501 -0.691 0.490 -1.329 0.636
ma.L1 1.0000 4824.687 0.000 1.000 -9455.212 9457.212
ar.S.L7 -0.4363 0.418 -1.044 0.296 -1.255 0.383
ma.S.L7 -1.0003 2364.247 -0.000 1.000 -4634.839 4632.838
sigma2 0.2899 1718.825 0.000 1.000 -3368.546 3369.126
===================================================================================
Ljung-Box (L1) (Q): 0.36 Jarque-Bera (JB): 0.89
Prob(Q): 0.55 Prob(JB): 0.64
Heteroskedasticity (H): 0.18 Skew: -0.50
Prob(H) (two-sided): 0.12 Kurtosis: 2.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.56886333850588, Current Price: 119.73
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.129
Date: Wed, 09 Oct 2024 AIC 32.258
Time: 14:40:54 BIC 35.082
Sample: 0 HQIC 31.677
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3101 0.417 -0.744 0.457 -1.127 0.507
ma.L1 1.0000 3.61e+04 2.77e-05 1.000 -7.08e+04 7.09e+04
ar.S.L7 -0.3958 0.225 -1.758 0.079 -0.837 0.046
ma.S.L7 -0.9998 2657.687 -0.000 1.000 -5209.970 5207.971
sigma2 0.1858 6879.159 2.7e-05 1.000 -1.35e+04 1.35e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.47
Prob(Q): 0.88 Prob(JB): 0.48
Heteroskedasticity (H): 0.50 Skew: -0.82
Prob(H) (two-sided): 0.52 Kurtosis: 2.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.108143330852, Current Price: 119.82
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.162
Date: Wed, 09 Oct 2024 AIC 40.323
Time: 14:40:54 BIC 43.148
Sample: 0 HQIC 39.743
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0927 0.396 0.234 0.815 -0.683 0.868
ma.L1 12.1957 9.980 1.222 0.222 -7.364 31.755
ar.S.L7 -0.5340 0.286 -1.868 0.062 -1.095 0.026
ma.S.L7 -12.2422 59.589 -0.205 0.837 -129.035 104.551
sigma2 2.695e-05 0.000 0.088 0.930 -0.001 0.001
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.47
Prob(Q): 0.82 Prob(JB): 0.79
Heteroskedasticity (H): 0.50 Skew: -0.31
Prob(H) (two-sided): 0.51 Kurtosis: 2.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 2.81e+17. Standard errors may be unstable.
Predicted Price: 119.10081302083901, Current Price: 120.14
SELL EXECUTED at 120.14
SELL ORDER COMPLETED at 120.07
OPERATION PROFIT, GROSS 0.6599999999999966, NET 0.42051999999999656
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.584
Date: Wed, 09 Oct 2024 AIC 37.167
Time: 14:40:54 BIC 39.992
Sample: 0 HQIC 36.587
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4097 0.113 -3.641 0.000 -0.630 -0.189
ma.L1 1.0000 3853.843 0.000 1.000 -7552.394 7554.394
ar.S.L7 -0.5971 0.452 -1.322 0.186 -1.482 0.288
ma.S.L7 -0.3733 0.450 -0.830 0.407 -1.255 0.509
sigma2 0.3998 1540.753 0.000 1.000 -3019.421 3020.220
===================================================================================
Ljung-Box (L1) (Q): 0.48 Jarque-Bera (JB): 0.06
Prob(Q): 0.49 Prob(JB): 0.97
Heteroskedasticity (H): 0.75 Skew: 0.05
Prob(H) (two-sided): 0.79 Kurtosis: 2.68
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.13039559114091, Current Price: 120.31
BUY EXECUTED at 120.31
BUY ORDER COMPLETED at 120.67
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.481
Date: Wed, 09 Oct 2024 AIC 34.963
Time: 14:40:54 BIC 37.787
Sample: 0 HQIC 34.382
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4018 0.699 0.575 0.565 -0.968 1.772
ma.L1 -7.0565 52.635 -0.134 0.893 -110.218 96.105
ar.S.L7 -0.3332 0.342 -0.975 0.329 -1.003 0.337
ma.S.L7 -0.9993 1082.768 -0.001 0.999 -2123.186 2121.188
sigma2 0.0048 5.172 0.001 0.999 -10.133 10.142
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.04
Prob(Q): 0.81 Prob(JB): 0.98
Heteroskedasticity (H): 1.27 Skew: -0.13
Prob(H) (two-sided): 0.82 Kurtosis: 2.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.6892144682622, Current Price: 120.94
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.711
Date: Wed, 09 Oct 2024 AIC 35.421
Time: 14:40:54 BIC 38.246
Sample: 0 HQIC 34.841
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3354 1.497 0.224 0.823 -2.598 3.269
ma.L1 -5.4363 49.099 -0.111 0.912 -101.670 90.797
ar.S.L7 -0.3638 0.422 -0.862 0.389 -1.191 0.463
ma.S.L7 -0.9992 1097.578 -0.001 0.999 -2152.212 2150.213
sigma2 0.0085 9.206 0.001 0.999 -18.034 18.051
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 0.25
Prob(Q): 0.68 Prob(JB): 0.88
Heteroskedasticity (H): 0.89 Skew: -0.33
Prob(H) (two-sided): 0.91 Kurtosis: 3.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.49222917843795, Current Price: 121.77
SELL EXECUTED at 121.77
SELL ORDER COMPLETED at 122.0
OPERATION PROFIT, GROSS 1.3299999999999983, NET 1.0873299999999984
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.602
Date: Wed, 09 Oct 2024 AIC 39.203
Time: 14:40:54 BIC 42.028
Sample: 0 HQIC 38.623
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7870 0.298 2.638 0.008 0.202 1.372
ma.L1 -1.9399 2.533 -0.766 0.444 -6.905 3.025
ar.S.L7 -0.5408 0.403 -1.343 0.179 -1.330 0.248
ma.S.L7 0.0158 0.582 0.027 0.978 -1.124 1.156
sigma2 0.1462 0.404 0.362 0.717 -0.645 0.938
===================================================================================
Ljung-Box (L1) (Q): 1.01 Jarque-Bera (JB): 0.32
Prob(Q): 0.31 Prob(JB): 0.85
Heteroskedasticity (H): 0.79 Skew: -0.25
Prob(H) (two-sided): 0.83 Kurtosis: 2.42
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.2354995575524, Current Price: 122.23
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.249
Date: Wed, 09 Oct 2024 AIC 36.498
Time: 14:40:54 BIC 39.323
Sample: 0 HQIC 35.917
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5944 0.670 0.888 0.375 -0.718 1.907
ma.L1 -3.0595 10.842 -0.282 0.778 -24.309 18.190
ar.S.L7 -0.5372 0.353 -1.523 0.128 -1.229 0.154
ma.S.L7 -0.0163 0.461 -0.035 0.972 -0.920 0.887
sigma2 0.0480 0.347 0.138 0.890 -0.633 0.729
===================================================================================
Ljung-Box (L1) (Q): 4.63 Jarque-Bera (JB): 0.75
Prob(Q): 0.03 Prob(JB): 0.69
Heteroskedasticity (H): 1.20 Skew: 0.25
Prob(H) (two-sided): 0.87 Kurtosis: 1.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.88039212106548, Current Price: 122.85
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.240
Date: Wed, 09 Oct 2024 AIC 34.480
Time: 14:40:54 BIC 37.305
Sample: 0 HQIC 33.899
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5082 0.491 1.034 0.301 -0.455 1.471
ma.L1 -5.7667 28.932 -0.199 0.842 -62.472 50.938
ar.S.L7 -0.5512 0.264 -2.084 0.037 -1.070 -0.033
ma.S.L7 1.0004 2536.083 0.000 1.000 -4969.631 4971.632
sigma2 0.0067 16.989 0.000 1.000 -33.291 33.305
===================================================================================
Ljung-Box (L1) (Q): 3.19 Jarque-Bera (JB): 1.21
Prob(Q): 0.07 Prob(JB): 0.55
Heteroskedasticity (H): 1.19 Skew: 0.61
Prob(H) (two-sided): 0.87 Kurtosis: 2.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.27182807533933, Current Price: 123.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.258
Date: Wed, 09 Oct 2024 AIC 30.517
Time: 14:40:54 BIC 33.341
Sample: 0 HQIC 29.936
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.0994 0.129 8.529 0.000 0.847 1.352
ma.L1 -0.9875 8.488 -0.116 0.907 -17.624 15.649
ar.S.L7 -0.5622 0.283 -1.984 0.047 -1.117 -0.007
ma.S.L7 -19.7561 207.246 -0.095 0.924 -425.951 386.439
sigma2 0.0006 0.013 0.048 0.961 -0.025 0.026
===================================================================================
Ljung-Box (L1) (Q): 3.21 Jarque-Bera (JB): 0.29
Prob(Q): 0.07 Prob(JB): 0.87
Heteroskedasticity (H): 2.68 Skew: 0.04
Prob(H) (two-sided): 0.36 Kurtosis: 2.28
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.58940284173461, Current Price: 125.15
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -7.482
Date: Wed, 09 Oct 2024 AIC 24.964
Time: 14:40:54 BIC 27.789
Sample: 0 HQIC 24.384
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.0940 0.052 21.069 0.000 0.992 1.196
ma.L1 -1.0000 3933.176 -0.000 1.000 -7709.882 7707.882
ar.S.L7 -0.6123 0.168 -3.641 0.000 -0.942 -0.283
ma.S.L7 1.0000 2.85e+04 3.5e-05 1.000 -5.59e+04 5.59e+04
sigma2 0.0985 2932.970 3.36e-05 1.000 -5748.418 5748.615
===================================================================================
Ljung-Box (L1) (Q): 1.76 Jarque-Bera (JB): 0.57
Prob(Q): 0.18 Prob(JB): 0.75
Heteroskedasticity (H): 0.54 Skew: 0.44
Prob(H) (two-sided): 0.56 Kurtosis: 2.48
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.20823005930606, Current Price: 124.82
BUY EXECUTED at 124.82
BUY ORDER COMPLETED at 124.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.974
Date: Wed, 09 Oct 2024 AIC 39.947
Time: 14:40:54 BIC 42.772
Sample: 0 HQIC 39.367
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5294 1.106 0.479 0.632 -1.638 2.696
ma.L1 -4.9540 34.939 -0.142 0.887 -73.433 63.525
ar.S.L7 -2.131e-05 0.079 -0.000 1.000 -0.154 0.154
ma.S.L7 -4.2213 9.251 -0.456 0.648 -22.352 13.910
sigma2 0.0013 0.017 0.077 0.939 -0.033 0.035
===================================================================================
Ljung-Box (L1) (Q): 3.20 Jarque-Bera (JB): 0.28
Prob(Q): 0.07 Prob(JB): 0.87
Heteroskedasticity (H): 0.97 Skew: 0.18
Prob(H) (two-sided): 0.97 Kurtosis: 2.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.4186866239062, Current Price: 125.46
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.269
Date: Wed, 09 Oct 2024 AIC 32.539
Time: 14:40:54 BIC 35.363
Sample: 0 HQIC 31.958
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9800 0.102 9.604 0.000 0.780 1.180
ma.L1 -1.0000 6304.642 -0.000 1.000 -1.24e+04 1.24e+04
ar.S.L7 -0.3979 0.225 -1.770 0.077 -0.839 0.043
ma.S.L7 1.0001 1.17e+04 8.52e-05 1.000 -2.3e+04 2.3e+04
sigma2 0.1764 2537.614 6.95e-05 1.000 -4973.456 4973.809
===================================================================================
Ljung-Box (L1) (Q): 0.84 Jarque-Bera (JB): 1.04
Prob(Q): 0.36 Prob(JB): 0.59
Heteroskedasticity (H): 1.50 Skew: 0.35
Prob(H) (two-sided): 0.70 Kurtosis: 1.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.93926158384082, Current Price: 125.33
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.562
Date: Wed, 09 Oct 2024 AIC 37.124
Time: 14:40:54 BIC 39.949
Sample: 0 HQIC 36.544
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9057 0.173 5.235 0.000 0.567 1.245
ma.L1 -1.0000 4962.626 -0.000 1.000 -9727.568 9725.568
ar.S.L7 -0.3021 0.328 -0.921 0.357 -0.945 0.340
ma.S.L7 0.1036 0.487 0.213 0.832 -0.851 1.058
sigma2 0.4055 2012.270 0.000 1.000 -3943.572 3944.383
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.81
Prob(Q): 0.77 Prob(JB): 0.67
Heteroskedasticity (H): 1.45 Skew: 0.20
Prob(H) (two-sided): 0.73 Kurtosis: 1.84
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.92970607622522, Current Price: 125.31
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.723
Date: Wed, 09 Oct 2024 AIC 33.445
Time: 14:40:54 BIC 36.270
Sample: 0 HQIC 32.865
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7887 0.493 1.600 0.109 -0.177 1.755
ma.L1 -1.0001 1487.381 -0.001 0.999 -2916.213 2914.213
ar.S.L7 0.0064 0.043 0.147 0.883 -0.078 0.091
ma.S.L7 -0.1096 0.628 -0.175 0.861 -1.340 1.120
sigma2 0.3061 455.486 0.001 0.999 -892.430 893.042
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.81
Prob(Q): 0.83 Prob(JB): 0.67
Heteroskedasticity (H): 1.61 Skew: 0.52
Prob(H) (two-sided): 0.66 Kurtosis: 2.35
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.04240406503601, Current Price: 124.73
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.846
Date: Wed, 09 Oct 2024 AIC 37.692
Time: 14:40:54 BIC 40.517
Sample: 0 HQIC 37.111
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4671 0.289 -1.615 0.106 -1.034 0.100
ma.L1 1.8318 2.332 0.786 0.432 -2.738 6.402
ar.S.L7 0.1396 0.502 0.278 0.781 -0.844 1.123
ma.S.L7 -2.7570 9.046 -0.305 0.761 -20.487 14.972
sigma2 0.0173 0.129 0.134 0.893 -0.235 0.270
===================================================================================
Ljung-Box (L1) (Q): 0.31 Jarque-Bera (JB): 0.59
Prob(Q): 0.58 Prob(JB): 0.75
Heteroskedasticity (H): 1.31 Skew: 0.06
Prob(H) (two-sided): 0.80 Kurtosis: 1.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.25446936765928, Current Price: 125.03
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.883
Date: Wed, 09 Oct 2024 AIC 35.765
Time: 14:40:55 BIC 38.590
Sample: 0 HQIC 35.185
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6689 0.862 0.776 0.438 -1.021 2.359
ma.L1 -2.5300 7.473 -0.339 0.735 -17.177 12.117
ar.S.L7 -0.1248 0.680 -0.184 0.854 -1.458 1.208
ma.S.L7 -0.0783 0.694 -0.113 0.910 -1.438 1.282
sigma2 0.0661 0.373 0.177 0.859 -0.665 0.797
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.61
Prob(Q): 0.88 Prob(JB): 0.74
Heteroskedasticity (H): 1.00 Skew: 0.44
Prob(H) (two-sided): 1.00 Kurtosis: 2.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.02491464794585, Current Price: 125.44
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.825
Date: Wed, 09 Oct 2024 AIC 35.650
Time: 14:40:55 BIC 38.474
Sample: 0 HQIC 35.069
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5715 0.843 0.678 0.498 -1.082 2.225
ma.L1 -0.3377 1.243 -0.272 0.786 -2.774 2.099
ar.S.L7 -0.1821 0.587 -0.310 0.757 -1.334 0.969
ma.S.L7 -0.4330 1.291 -0.335 0.737 -2.963 2.097
sigma2 0.3810 0.238 1.603 0.109 -0.085 0.847
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.23
Prob(Q): 0.80 Prob(JB): 0.89
Heteroskedasticity (H): 0.74 Skew: 0.23
Prob(H) (two-sided): 0.78 Kurtosis: 2.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.38166268286528, Current Price: 126.96
SELL EXECUTED at 126.96
SELL ORDER COMPLETED at 126.6
OPERATION PROFIT, GROSS 1.7099999999999937, NET 1.4585099999999938
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.375
Date: Wed, 09 Oct 2024 AIC 38.749
Time: 14:40:55 BIC 41.574
Sample: 0 HQIC 38.168
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6025 1.120 0.538 0.591 -1.593 2.798
ma.L1 -0.2715 2.150 -0.126 0.900 -4.486 3.943
ar.S.L7 -0.3836 0.360 -1.066 0.286 -1.089 0.322
ma.S.L7 -1.0000 3.33e+04 -3.01e-05 1.000 -6.52e+04 6.52e+04
sigma2 0.3123 1.04e+04 3.01e-05 1.000 -2.04e+04 2.04e+04
===================================================================================
Ljung-Box (L1) (Q): 0.28 Jarque-Bera (JB): 0.18
Prob(Q): 0.60 Prob(JB): 0.92
Heteroskedasticity (H): 1.50 Skew: -0.10
Prob(H) (two-sided): 0.70 Kurtosis: 2.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.09285840501556, Current Price: 127.17
BUY EXECUTED at 127.17
BUY ORDER COMPLETED at 126.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9532.021
Date: Wed, 09 Oct 2024 AIC 19074.042
Time: 14:40:55 BIC 19076.867
Sample: 0 HQIC 19073.461
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6119 0.001 768.353 0.000 0.610 0.613
ma.L1 -0.6489 0.001 -838.671 0.000 -0.650 -0.647
ar.S.L7 -43.0000 0.842 -51.094 0.000 -44.649 -41.351
ma.S.L7 -3.082e-06 0.001 -0.005 0.996 -0.001 0.001
sigma2 0.6821 0.028 24.757 0.000 0.628 0.736
===================================================================================
Ljung-Box (L1) (Q): 1.99 Jarque-Bera (JB): 1.34
Prob(Q): 0.16 Prob(JB): 0.51
Heteroskedasticity (H): 0.56 Skew: 0.76
Prob(H) (two-sided): 0.59 Kurtosis: 2.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.61006127885744, Current Price: 126.14
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.083
Date: Wed, 09 Oct 2024 AIC 42.167
Time: 14:40:55 BIC 44.991
Sample: 0 HQIC 41.586
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6299 0.537 1.173 0.241 -0.422 1.682
ma.L1 -0.6296 0.592 -1.064 0.287 -1.790 0.530
ar.S.L7 -0.3408 0.774 -0.440 0.660 -1.859 1.177
ma.S.L7 -0.4287 1.605 -0.267 0.789 -3.574 2.716
sigma2 0.6247 0.468 1.336 0.182 -0.292 1.541
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 0.67
Prob(Q): 0.71 Prob(JB): 0.71
Heteroskedasticity (H): 2.32 Skew: 0.54
Prob(H) (two-sided): 0.43 Kurtosis: 2.69
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.48518258417417, Current Price: 125.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.292
Date: Wed, 09 Oct 2024 AIC 40.584
Time: 14:40:55 BIC 43.409
Sample: 0 HQIC 40.003
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2485 1.155 0.215 0.830 -2.016 2.513
ma.L1 0.1105 1.168 0.095 0.925 -2.179 2.400
ar.S.L7 -0.5812 0.459 -1.265 0.206 -1.482 0.319
ma.S.L7 -1.0002 6894.693 -0.000 1.000 -1.35e+04 1.35e+04
sigma2 0.3706 2555.530 0.000 1.000 -5008.376 5009.118
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.23
Prob(Q): 0.91 Prob(JB): 0.89
Heteroskedasticity (H): 1.78 Skew: 0.06
Prob(H) (two-sided): 0.59 Kurtosis: 2.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.14972651510291, Current Price: 126.42
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.265
Date: Wed, 09 Oct 2024 AIC 40.530
Time: 14:40:55 BIC 43.355
Sample: 0 HQIC 39.949
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1665 1.143 0.146 0.884 -2.074 2.407
ma.L1 0.1561 1.136 0.137 0.891 -2.070 2.382
ar.S.L7 -0.5578 0.418 -1.334 0.182 -1.377 0.261
ma.S.L7 -1.0000 3.06e+04 -3.27e-05 1.000 -5.99e+04 5.99e+04
sigma2 0.3692 1.13e+04 3.27e-05 1.000 -2.21e+04 2.21e+04
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.22
Prob(Q): 0.73 Prob(JB): 0.89
Heteroskedasticity (H): 1.23 Skew: 0.16
Prob(H) (two-sided): 0.85 Kurtosis: 2.45
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.86862022320915, Current Price: 126.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.361
Date: Wed, 09 Oct 2024 AIC 38.721
Time: 14:40:55 BIC 41.546
Sample: 0 HQIC 38.141
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0081 1.477 0.005 0.996 -2.886 2.902
ma.L1 0.2402 1.497 0.160 0.873 -2.695 3.175
ar.S.L7 -0.5802 0.733 -0.792 0.429 -2.017 0.856
ma.S.L7 -0.6372 2.313 -0.275 0.783 -5.171 3.897
sigma2 0.4393 0.753 0.583 0.560 -1.037 1.916
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.46
Prob(Q): 0.84 Prob(JB): 0.79
Heteroskedasticity (H): 3.00 Skew: 0.45
Prob(H) (two-sided): 0.31 Kurtosis: 3.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.44604014503469, Current Price: 127.28
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.497
Date: Wed, 09 Oct 2024 AIC 38.993
Time: 14:40:55 BIC 41.818
Sample: 0 HQIC 38.412
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7572 0.441 -1.717 0.086 -1.621 0.107
ma.L1 1.0000 1.17e+05 8.55e-06 1.000 -2.29e+05 2.29e+05
ar.S.L7 -0.5265 0.819 -0.643 0.521 -2.132 1.079
ma.S.L7 0.1764 1.123 0.157 0.875 -2.024 2.377
sigma2 0.4536 5.31e+04 8.55e-06 1.000 -1.04e+05 1.04e+05
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 3.34
Prob(Q): 0.70 Prob(JB): 0.19
Heteroskedasticity (H): 0.40 Skew: 1.11
Prob(H) (two-sided): 0.39 Kurtosis: 4.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.14310154683974, Current Price: 128.83
SELL EXECUTED at 128.83
SELL ORDER COMPLETED at 128.69
OPERATION PROFIT, GROSS 1.9200000000000017, NET 1.6645400000000017
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.520
Date: Wed, 09 Oct 2024 AIC 39.041
Time: 14:40:55 BIC 41.866
Sample: 0 HQIC 38.460
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7885 0.664 -1.188 0.235 -2.089 0.512
ma.L1 1.0000 1.01e+06 9.93e-07 1.000 -1.97e+06 1.97e+06
ar.S.L7 -0.4478 0.982 -0.456 0.648 -2.372 1.477
ma.S.L7 0.3627 1.512 0.240 0.810 -2.600 3.325
sigma2 0.4283 4.31e+05 9.93e-07 1.000 -8.45e+05 8.45e+05
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.77
Prob(Q): 0.88 Prob(JB): 0.41
Heteroskedasticity (H): 0.72 Skew: 0.84
Prob(H) (two-sided): 0.75 Kurtosis: 3.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.19136538911962, Current Price: 127.97
BUY EXECUTED at 127.97
BUY ORDER COMPLETED at 128.24
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.457
Date: Wed, 09 Oct 2024 AIC 40.915
Time: 14:40:55 BIC 43.739
Sample: 0 HQIC 40.334
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2165 25.928 -0.008 0.993 -51.034 50.600
ma.L1 5.1529 682.291 0.008 0.994 -1332.113 1342.418
ar.S.L7 -0.4586 0.702 -0.654 0.513 -1.834 0.917
ma.S.L7 0.9850 103.521 0.010 0.992 -201.913 203.883
sigma2 0.0145 5.059 0.003 0.998 -9.901 9.930
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 1.52
Prob(Q): 0.70 Prob(JB): 0.47
Heteroskedasticity (H): 0.89 Skew: 0.84
Prob(H) (two-sided): 0.91 Kurtosis: 3.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.63935305602048, Current Price: 128.07
SELL EXECUTED at 128.07
SELL ORDER COMPLETED at 127.58
OPERATION PROFIT, GROSS -0.6600000000000108, NET -0.9158200000000108
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.808
Date: Wed, 09 Oct 2024 AIC 41.615
Time: 14:40:55 BIC 44.440
Sample: 0 HQIC 41.034
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2226 1.369 0.163 0.871 -2.460 2.905
ma.L1 -0.5557 0.936 -0.594 0.553 -2.390 1.279
ar.S.L7 -0.4767 0.366 -1.301 0.193 -1.195 0.242
ma.S.L7 0.3422 0.870 0.393 0.694 -1.363 2.048
sigma2 0.6342 0.465 1.363 0.173 -0.278 1.546
===================================================================================
Ljung-Box (L1) (Q): 0.45 Jarque-Bera (JB): 0.89
Prob(Q): 0.50 Prob(JB): 0.64
Heteroskedasticity (H): 0.45 Skew: 0.37
Prob(H) (two-sided): 0.46 Kurtosis: 1.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.59063898318858, Current Price: 127.35
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.582
Date: Wed, 09 Oct 2024 AIC 39.165
Time: 14:40:55 BIC 41.989
Sample: 0 HQIC 38.584
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1101 0.954 0.115 0.908 -1.760 1.980
ma.L1 -0.5531 0.752 -0.736 0.462 -2.027 0.920
ar.S.L7 -0.2721 0.261 -1.044 0.296 -0.783 0.239
ma.S.L7 -0.0715 0.533 -0.134 0.893 -1.117 0.974
sigma2 0.5498 0.357 1.540 0.124 -0.150 1.249
===================================================================================
Ljung-Box (L1) (Q): 0.87 Jarque-Bera (JB): 0.73
Prob(Q): 0.35 Prob(JB): 0.70
Heteroskedasticity (H): 0.46 Skew: 0.34
Prob(H) (two-sided): 0.47 Kurtosis: 2.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.71421245257565, Current Price: 126.8
BUY EXECUTED at 126.8
BUY ORDER COMPLETED at 127.45
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.495
Date: Wed, 09 Oct 2024 AIC 38.990
Time: 14:40:55 BIC 41.815
Sample: 0 HQIC 38.410
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4725 0.181 2.615 0.009 0.118 0.827
ma.L1 -1.0000 7536.550 -0.000 1.000 -1.48e+04 1.48e+04
ar.S.L7 -0.1383 0.305 -0.454 0.650 -0.736 0.459
ma.S.L7 -0.2909 0.658 -0.442 0.658 -1.580 0.998
sigma2 0.4445 3349.962 0.000 1.000 -6565.361 6566.250
===================================================================================
Ljung-Box (L1) (Q): 2.08 Jarque-Bera (JB): 0.99
Prob(Q): 0.15 Prob(JB): 0.61
Heteroskedasticity (H): 0.72 Skew: 0.60
Prob(H) (two-sided): 0.76 Kurtosis: 2.38
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.60473865047535, Current Price: 127.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.928
Date: Wed, 09 Oct 2024 AIC 31.856
Time: 14:40:55 BIC 34.681
Sample: 0 HQIC 31.276
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1233 0.361 -0.342 0.732 -0.830 0.583
ma.L1 -1.0000 8743.162 -0.000 1.000 -1.71e+04 1.71e+04
ar.S.L7 0.0705 0.124 0.569 0.569 -0.172 0.313
ma.S.L7 -1.0002 3168.067 -0.000 1.000 -6210.298 6208.298
sigma2 0.1596 1412.523 0.000 1.000 -2768.335 2768.654
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.01
Prob(Q): 0.98 Prob(JB): 0.60
Heteroskedasticity (H): 0.49 Skew: 0.05
Prob(H) (two-sided): 0.51 Kurtosis: 1.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.58454455710503, Current Price: 128.07
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.221
Date: Wed, 09 Oct 2024 AIC 30.442
Time: 14:40:55 BIC 33.267
Sample: 0 HQIC 29.861
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1101 0.438 0.251 0.802 -0.749 0.969
ma.L1 -1.0000 2537.764 -0.000 1.000 -4974.925 4972.925
ar.S.L7 0.0016 0.005 0.354 0.723 -0.007 0.011
ma.S.L7 -0.3500 0.436 -0.802 0.423 -1.205 0.505
sigma2 0.2337 593.086 0.000 1.000 -1162.193 1162.661
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.94
Prob(Q): 0.72 Prob(JB): 0.63
Heteroskedasticity (H): 0.98 Skew: -0.00
Prob(H) (two-sided): 0.98 Kurtosis: 1.68
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 129.77381143532907, Current Price: 126.39
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -41410.565
Date: Wed, 09 Oct 2024 AIC 82831.130
Time: 14:40:55 BIC 82833.954
Sample: 0 HQIC 82830.549
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7287 0.000 -5358.917 0.000 -0.729 -0.728
ma.L1 0.6255 0.000 3179.478 0.000 0.625 0.626
ar.S.L7 -107.6681 0.251 -428.933 0.000 -108.160 -107.176
ma.S.L7 0.0001 8.91e-05 1.129 0.259 -7.41e-05 0.000
sigma2 1.2696 0.006 221.541 0.000 1.258 1.281
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 1.95
Prob(Q): 0.76 Prob(JB): 0.38
Heteroskedasticity (H): 0.42 Skew: 0.95
Prob(H) (two-sided): 0.42 Kurtosis: 3.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 246.41592935705555, Current Price: 126.71
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.561
Date: Wed, 09 Oct 2024 AIC 47.121
Time: 14:40:55 BIC 49.946
Sample: 0 HQIC 46.541
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4486 2.717 -0.165 0.869 -5.773 4.876
ma.L1 0.4442 3.656 0.121 0.903 -6.722 7.610
ar.S.L7 -0.4935 0.602 -0.819 0.413 -1.674 0.687
ma.S.L7 -0.7075 5.930 -0.119 0.905 -12.331 10.916
sigma2 0.7816 3.723 0.210 0.834 -6.516 8.079
===================================================================================
Ljung-Box (L1) (Q): 0.83 Jarque-Bera (JB): 5.62
Prob(Q): 0.36 Prob(JB): 0.06
Heteroskedasticity (H): 13.29 Skew: -1.34
Prob(H) (two-sided): 0.03 Kurtosis: 4.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.27665470239101, Current Price: 125.38
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.243
Date: Wed, 09 Oct 2024 AIC 46.486
Time: 14:40:55 BIC 49.311
Sample: 0 HQIC 45.905
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2537 3.632 -0.070 0.944 -7.373 6.865
ma.L1 0.1030 3.709 0.028 0.978 -7.167 7.373
ar.S.L7 -0.5542 0.558 -0.993 0.321 -1.648 0.540
ma.S.L7 -0.5794 3.493 -0.166 0.868 -7.425 6.267
sigma2 0.8284 2.013 0.412 0.681 -3.116 4.773
===================================================================================
Ljung-Box (L1) (Q): 0.31 Jarque-Bera (JB): 6.87
Prob(Q): 0.58 Prob(JB): 0.03
Heteroskedasticity (H): 7.58 Skew: -1.33
Prob(H) (two-sided): 0.08 Kurtosis: 5.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.46324417603489, Current Price: 124.79
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.287
Date: Wed, 09 Oct 2024 AIC 46.573
Time: 14:40:55 BIC 49.398
Sample: 0 HQIC 45.993
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2243 4.166 -0.054 0.957 -8.389 7.940
ma.L1 0.0906 4.353 0.021 0.983 -8.442 8.623
ar.S.L7 -0.5324 0.622 -0.855 0.392 -1.753 0.688
ma.S.L7 -0.6572 2.862 -0.230 0.818 -6.267 4.953
sigma2 0.7927 1.760 0.450 0.653 -2.658 4.243
===================================================================================
Ljung-Box (L1) (Q): 0.74 Jarque-Bera (JB): 6.33
Prob(Q): 0.39 Prob(JB): 0.04
Heteroskedasticity (H): 4.25 Skew: -1.28
Prob(H) (two-sided): 0.19 Kurtosis: 5.27
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.06125490408024, Current Price: 124.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.760
Date: Wed, 09 Oct 2024 AIC 45.520
Time: 14:40:55 BIC 48.344
Sample: 0 HQIC 44.939
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2452 8.504 -0.029 0.977 -16.912 16.422
ma.L1 0.1710 8.683 0.020 0.984 -16.848 17.190
ar.S.L7 -0.6370 0.494 -1.290 0.197 -1.605 0.331
ma.S.L7 -1.0001 1.27e+04 -7.87e-05 1.000 -2.49e+04 2.49e+04
sigma2 0.5418 6885.032 7.87e-05 1.000 -1.35e+04 1.35e+04
===================================================================================
Ljung-Box (L1) (Q): 0.69 Jarque-Bera (JB): 5.57
Prob(Q): 0.41 Prob(JB): 0.06
Heteroskedasticity (H): 0.22 Skew: -1.17
Prob(H) (two-sided): 0.17 Kurtosis: 5.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.18394235628459, Current Price: 124.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.754
Date: Wed, 09 Oct 2024 AIC 45.509
Time: 14:40:55 BIC 48.333
Sample: 0 HQIC 44.928
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2800 6.526 -0.043 0.966 -13.072 12.512
ma.L1 0.1974 6.642 0.030 0.976 -12.822 13.216
ar.S.L7 -0.7404 0.391 -1.896 0.058 -1.506 0.025
ma.S.L7 -1.0001 1.34e+04 -7.48e-05 1.000 -2.62e+04 2.62e+04
sigma2 0.5414 7242.749 7.48e-05 1.000 -1.42e+04 1.42e+04
===================================================================================
Ljung-Box (L1) (Q): 0.46 Jarque-Bera (JB): 3.56
Prob(Q): 0.50 Prob(JB): 0.17
Heteroskedasticity (H): 0.22 Skew: -0.85
Prob(H) (two-sided): 0.17 Kurtosis: 4.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.60131120471891, Current Price: 125.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.455
Date: Wed, 09 Oct 2024 AIC 40.910
Time: 14:40:55 BIC 43.735
Sample: 0 HQIC 40.330
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8685 1.448 0.600 0.549 -1.970 3.706
ma.L1 -1.0000 7.7e+04 -1.3e-05 1.000 -1.51e+05 1.51e+05
ar.S.L7 -1.0774 0.516 -2.089 0.037 -2.088 -0.067
ma.S.L7 -0.9999 2.1e+04 -4.75e-05 1.000 -4.12e+04 4.12e+04
sigma2 0.3057 1.93e+04 1.58e-05 1.000 -3.78e+04 3.78e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 3.45
Prob(Q): 0.90 Prob(JB): 0.18
Heteroskedasticity (H): 0.10 Skew: -1.22
Prob(H) (two-sided): 0.05 Kurtosis: 3.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.24214847367088, Current Price: 126.08
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.021
Date: Wed, 09 Oct 2024 AIC 44.042
Time: 14:40:55 BIC 46.867
Sample: 0 HQIC 43.462
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2189 11.298 -0.019 0.985 -22.363 21.925
ma.L1 0.1724 12.178 0.014 0.989 -23.697 24.041
ar.S.L7 -0.6960 1.218 -0.572 0.568 -3.083 1.691
ma.S.L7 -0.3458 1.631 -0.212 0.832 -3.543 2.851
sigma2 0.7637 0.696 1.097 0.272 -0.600 2.128
===================================================================================
Ljung-Box (L1) (Q): 0.57 Jarque-Bera (JB): 18.12
Prob(Q): 0.45 Prob(JB): 0.00
Heteroskedasticity (H): 1.01 Skew: -2.01
Prob(H) (two-sided): 0.99 Kurtosis: 7.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.61307066069212, Current Price: 128.23
SELL EXECUTED at 128.23
SELL ORDER COMPLETED at 128.43
OPERATION PROFIT, GROSS 0.980000000000004, NET 0.724120000000004
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.081
Date: Wed, 09 Oct 2024 AIC 50.161
Time: 14:40:55 BIC 52.986
Sample: 0 HQIC 49.580
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2979 2.760 -0.108 0.914 -5.708 5.112
ma.L1 0.0181 2.861 0.006 0.995 -5.590 5.626
ar.S.L7 -0.4072 0.658 -0.619 0.536 -1.696 0.882
ma.S.L7 -1.0004 2078.759 -0.000 1.000 -4075.294 4073.293
sigma2 0.7742 1609.431 0.000 1.000 -3153.652 3155.200
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 4.27
Prob(Q): 0.85 Prob(JB): 0.12
Heteroskedasticity (H): 8.90 Skew: 0.37
Prob(H) (two-sided): 0.06 Kurtosis: 5.71
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.20285675428792, Current Price: 128.38
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.843
Date: Wed, 09 Oct 2024 AIC 51.686
Time: 14:40:56 BIC 54.511
Sample: 0 HQIC 51.106
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0196 7.803 0.003 0.998 -15.274 15.313
ma.L1 -7.5558 459.284 -0.016 0.987 -907.736 892.624
ar.S.L7 -0.3819 0.854 -0.447 0.655 -2.056 1.293
ma.S.L7 -0.9855 64.971 -0.015 0.988 -128.325 126.354
sigma2 0.0153 1.870 0.008 0.993 -3.649 3.680
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 2.01
Prob(Q): 0.99 Prob(JB): 0.37
Heteroskedasticity (H): 0.92 Skew: 0.05
Prob(H) (two-sided): 0.94 Kurtosis: 4.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.85125703925023, Current Price: 127.96
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.778
Date: Wed, 09 Oct 2024 AIC 51.555
Time: 14:40:56 BIC 54.380
Sample: 0 HQIC 50.974
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0173 5.799 -0.003 0.998 -11.383 11.349
ma.L1 -9.6355 550.131 -0.018 0.986 -1087.873 1068.602
ar.S.L7 -0.3616 0.944 -0.383 0.702 -2.212 1.488
ma.S.L7 -0.9973 327.108 -0.003 0.998 -642.117 640.122
sigma2 0.0092 3.565 0.003 0.998 -6.978 6.997
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 2.12
Prob(Q): 0.94 Prob(JB): 0.35
Heteroskedasticity (H): 0.93 Skew: -0.07
Prob(H) (two-sided): 0.95 Kurtosis: 4.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.87853595111733, Current Price: 126.24
BUY EXECUTED at 126.24
BUY ORDER COMPLETED at 126.36
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.457
Date: Wed, 09 Oct 2024 AIC 52.915
Time: 14:40:56 BIC 55.739
Sample: 0 HQIC 52.334
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2697 14.864 -0.018 0.986 -29.403 28.863
ma.L1 4.6129 319.307 0.014 0.988 -621.218 630.444
ar.S.L7 -0.6952 1.154 -0.602 0.547 -2.958 1.568
ma.S.L7 -10.2395 323.383 -0.032 0.975 -644.059 623.580
sigma2 0.0007 0.128 0.006 0.996 -0.250 0.252
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 2.08
Prob(Q): 0.99 Prob(JB): 0.35
Heteroskedasticity (H): 0.89 Skew: -0.20
Prob(H) (two-sided): 0.91 Kurtosis: 4.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.9003957408156, Current Price: 125.66
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.388
Date: Wed, 09 Oct 2024 AIC 52.775
Time: 14:40:56 BIC 55.600
Sample: 0 HQIC 52.195
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1776 2.761 0.064 0.949 -5.233 5.589
ma.L1 9.4464 240.957 0.039 0.969 -462.821 481.713
ar.S.L7 -0.8298 0.374 -2.219 0.026 -1.563 -0.097
ma.S.L7 1.0031 253.220 0.004 0.997 -495.300 497.306
sigma2 0.0106 2.721 0.004 0.997 -5.322 5.344
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.19
Prob(Q): 0.93 Prob(JB): 0.91
Heteroskedasticity (H): 0.21 Skew: -0.18
Prob(H) (two-sided): 0.16 Kurtosis: 3.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.95741564745626, Current Price: 126.3
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.564
Date: Wed, 09 Oct 2024 AIC 45.128
Time: 14:40:56 BIC 47.953
Sample: 0 HQIC 44.548
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0679 3.828 -0.018 0.986 -7.571 7.435
ma.L1 5.9583 135.486 0.044 0.965 -259.589 271.505
ar.S.L7 -0.7137 0.528 -1.352 0.176 -1.748 0.321
ma.S.L7 6.3128 34.199 0.185 0.854 -60.717 73.343
sigma2 0.0006 0.031 0.020 0.984 -0.060 0.061
===================================================================================
Ljung-Box (L1) (Q): 0.83 Jarque-Bera (JB): 3.65
Prob(Q): 0.36 Prob(JB): 0.16
Heteroskedasticity (H): 2.76 Skew: 1.03
Prob(H) (two-sided): 0.35 Kurtosis: 4.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.42554942742632, Current Price: 126.14
SELL EXECUTED at 126.14
SELL ORDER COMPLETED at 126.45
OPERATION PROFIT, GROSS 0.09000000000000341, NET -0.16280999999999657
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.625
Date: Wed, 09 Oct 2024 AIC 39.250
Time: 14:40:56 BIC 42.075
Sample: 0 HQIC 38.669
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5117 0.354 1.444 0.149 -0.183 1.206
ma.L1 16.2617 104.534 0.156 0.876 -188.620 221.144
ar.S.L7 -0.5979 0.306 -1.954 0.051 -1.198 0.002
ma.S.L7 0.9992 1625.080 0.001 1.000 -3184.100 3186.098
sigma2 0.0012 1.980 0.001 1.000 -3.879 3.882
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.25
Prob(Q): 0.97 Prob(JB): 0.53
Heteroskedasticity (H): 2.03 Skew: -0.74
Prob(H) (two-sided): 0.51 Kurtosis: 3.38
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.2991290013772, Current Price: 126.45
BUY EXECUTED at 126.45
BUY ORDER COMPLETED at 126.06
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.498
Date: Wed, 09 Oct 2024 AIC 42.997
Time: 14:40:56 BIC 45.822
Sample: 0 HQIC 42.416
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1942 1.861 0.104 0.917 -3.453 3.841
ma.L1 0.3341 1.515 0.220 0.825 -2.635 3.303
ar.S.L7 -0.4044 0.257 -1.572 0.116 -0.909 0.100
ma.S.L7 -0.0642 0.389 -0.165 0.869 -0.827 0.698
sigma2 0.7397 0.482 1.533 0.125 -0.206 1.685
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.02
Prob(Q): 0.72 Prob(JB): 0.99
Heteroskedasticity (H): 0.74 Skew: -0.08
Prob(H) (two-sided): 0.78 Kurtosis: 3.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.42961848738652, Current Price: 125.13
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.642
Date: Wed, 09 Oct 2024 AIC 39.283
Time: 14:40:56 BIC 42.108
Sample: 0 HQIC 38.703
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2669 0.862 0.310 0.757 -1.423 1.957
ma.L1 0.4897 0.753 0.650 0.516 -0.986 1.966
ar.S.L7 -0.2665 0.190 -1.405 0.160 -0.638 0.105
ma.S.L7 -1.0001 1.4e+04 -7.14e-05 1.000 -2.74e+04 2.74e+04
sigma2 0.3353 4694.981 7.14e-05 1.000 -9201.658 9202.328
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.13
Prob(Q): 0.98 Prob(JB): 0.57
Heteroskedasticity (H): 0.37 Skew: -0.72
Prob(H) (two-sided): 0.36 Kurtosis: 2.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.19377299062391, Current Price: 125.0
SELL EXECUTED at 125.0
SELL ORDER COMPLETED at 124.15
OPERATION PROFIT, GROSS -1.9099999999999966, NET -2.1602099999999966
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.263
Date: Wed, 09 Oct 2024 AIC 40.526
Time: 14:40:56 BIC 43.350
Sample: 0 HQIC 39.945
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2347 1.072 0.219 0.827 -1.866 2.335
ma.L1 0.4965 0.885 0.561 0.575 -1.239 2.232
ar.S.L7 -0.2645 0.277 -0.954 0.340 -0.808 0.279
ma.S.L7 -1.0001 1.48e+04 -6.75e-05 1.000 -2.9e+04 2.9e+04
sigma2 0.3689 5463.890 6.75e-05 1.000 -1.07e+04 1.07e+04
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 1.03
Prob(Q): 0.80 Prob(JB): 0.60
Heteroskedasticity (H): 0.25 Skew: -0.67
Prob(H) (two-sided): 0.21 Kurtosis: 2.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.21183908049224, Current Price: 124.72
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.558
Date: Wed, 09 Oct 2024 AIC 39.117
Time: 14:40:56 BIC 41.941
Sample: 0 HQIC 38.536
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2025 0.793 0.255 0.798 -1.351 1.756
ma.L1 0.5479 0.728 0.752 0.452 -0.879 1.975
ar.S.L7 -0.1918 0.202 -0.949 0.343 -0.588 0.204
ma.S.L7 -1.0003 3038.931 -0.000 1.000 -5957.196 5955.195
sigma2 0.3309 1005.593 0.000 1.000 -1970.595 1971.256
===================================================================================
Ljung-Box (L1) (Q): 0.62 Jarque-Bera (JB): 2.18
Prob(Q): 0.43 Prob(JB): 0.34
Heteroskedasticity (H): 0.40 Skew: -0.96
Prob(H) (two-sided): 0.40 Kurtosis: 3.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.73633410454038, Current Price: 125.39
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.289
Date: Wed, 09 Oct 2024 AIC 40.579
Time: 14:40:56 BIC 43.403
Sample: 0 HQIC 39.998
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2452 1.031 0.238 0.812 -1.775 2.265
ma.L1 0.4896 1.009 0.485 0.628 -1.488 2.468
ar.S.L7 -0.2157 0.192 -1.125 0.261 -0.591 0.160
ma.S.L7 -1.0011 591.638 -0.002 0.999 -1160.591 1158.589
sigma2 0.3700 219.015 0.002 0.999 -428.891 429.631
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 2.11
Prob(Q): 0.75 Prob(JB): 0.35
Heteroskedasticity (H): 0.52 Skew: -0.92
Prob(H) (two-sided): 0.55 Kurtosis: 3.74
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.37322922690134, Current Price: 125.18
BUY EXECUTED at 125.18
BUY ORDER COMPLETED at 126.2
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.088
Date: Wed, 09 Oct 2024 AIC 38.176
Time: 14:40:56 BIC 41.001
Sample: 0 HQIC 37.595
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1241 0.403 -0.308 0.758 -0.914 0.666
ma.L1 0.9975 8.792 0.113 0.910 -16.235 18.230
ar.S.L7 0.0013 0.002 0.818 0.413 -0.002 0.004
ma.S.L7 -1.1773 4.778 -0.246 0.805 -10.542 8.187
sigma2 0.2622 1.757 0.149 0.881 -3.181 3.706
===================================================================================
Ljung-Box (L1) (Q): 0.31 Jarque-Bera (JB): 1.33
Prob(Q): 0.58 Prob(JB): 0.51
Heteroskedasticity (H): 0.78 Skew: -0.55
Prob(H) (two-sided): 0.82 Kurtosis: 1.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.97255870269812, Current Price: 126.53
SELL EXECUTED at 126.53
SELL ORDER COMPLETED at 126.22
OPERATION PROFIT, GROSS 0.01999999999999602, NET -0.23242000000000396
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.278
Date: Wed, 09 Oct 2024 AIC 38.556
Time: 14:40:56 BIC 41.380
Sample: 0 HQIC 37.975
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0174 8.342 0.002 0.998 -16.332 16.367
ma.L1 0.0308 8.309 0.004 0.997 -16.255 16.316
ar.S.L7 -0.7069 0.284 -2.489 0.013 -1.264 -0.150
ma.S.L7 -0.1898 0.446 -0.426 0.670 -1.064 0.684
sigma2 0.5191 0.275 1.889 0.059 -0.020 1.058
===================================================================================
Ljung-Box (L1) (Q): 0.27 Jarque-Bera (JB): 0.72
Prob(Q): 0.61 Prob(JB): 0.70
Heteroskedasticity (H): 0.81 Skew: -0.40
Prob(H) (two-sided): 0.85 Kurtosis: 2.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.20365133174636, Current Price: 125.72
BUY EXECUTED at 125.72
BUY ORDER COMPLETED at 125.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.421
Date: Wed, 09 Oct 2024 AIC 40.841
Time: 14:40:56 BIC 43.666
Sample: 0 HQIC 40.261
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3148 0.860 -0.366 0.714 -2.001 1.371
ma.L1 -0.1046 0.878 -0.119 0.905 -1.825 1.616
ar.S.L7 -0.4949 0.420 -1.178 0.239 -1.318 0.329
ma.S.L7 -1.0001 1.49e+04 -6.71e-05 1.000 -2.92e+04 2.92e+04
sigma2 0.3793 5651.964 6.71e-05 1.000 -1.11e+04 1.11e+04
===================================================================================
Ljung-Box (L1) (Q): 0.49 Jarque-Bera (JB): 1.22
Prob(Q): 0.48 Prob(JB): 0.54
Heteroskedasticity (H): 0.96 Skew: -0.64
Prob(H) (two-sided): 0.97 Kurtosis: 2.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.09925532353991, Current Price: 125.42
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.442
Date: Wed, 09 Oct 2024 AIC 44.884
Time: 14:40:56 BIC 47.708
Sample: 0 HQIC 44.303
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3223 2.382 0.135 0.892 -4.346 4.991
ma.L1 -0.6520 2.426 -0.269 0.788 -5.407 4.103
ar.S.L7 -0.5760 0.674 -0.855 0.392 -1.896 0.744
ma.S.L7 -0.0075 1.442 -0.005 0.996 -2.834 2.819
sigma2 0.8557 0.539 1.587 0.112 -0.201 1.912
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.33
Prob(Q): 0.80 Prob(JB): 0.85
Heteroskedasticity (H): 1.32 Skew: 0.11
Prob(H) (two-sided): 0.80 Kurtosis: 2.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.40307096698552, Current Price: 125.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.941
Date: Wed, 09 Oct 2024 AIC 39.883
Time: 14:40:56 BIC 42.707
Sample: 0 HQIC 39.302
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5341 0.336 1.592 0.111 -0.124 1.192
ma.L1 -1.0000 9731.277 -0.000 1.000 -1.91e+04 1.91e+04
ar.S.L7 -0.5423 0.174 -3.113 0.002 -0.884 -0.201
ma.S.L7 0.2855 0.620 0.460 0.645 -0.930 1.501
sigma2 0.4911 4779.395 0.000 1.000 -9366.951 9367.934
===================================================================================
Ljung-Box (L1) (Q): 1.09 Jarque-Bera (JB): 0.16
Prob(Q): 0.30 Prob(JB): 0.92
Heteroskedasticity (H): 2.58 Skew: 0.04
Prob(H) (two-sided): 0.38 Kurtosis: 2.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.71183674471789, Current Price: 125.54
SELL EXECUTED at 125.54
SELL ORDER COMPLETED at 125.67
OPERATION PROFIT, GROSS -0.01999999999999602, NET -0.27135999999999605
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.165
Date: Wed, 09 Oct 2024 AIC 38.329
Time: 14:40:57 BIC 41.154
Sample: 0 HQIC 37.749
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4359 0.157 2.773 0.006 0.128 0.744
ma.L1 -1.0000 4472.937 -0.000 1.000 -8767.796 8765.796
ar.S.L7 -0.5441 0.277 -1.961 0.050 -1.088 -0.000
ma.S.L7 0.7189 2.132 0.337 0.736 -3.460 4.897
sigma2 0.3543 1585.113 0.000 1.000 -3106.409 3107.118
===================================================================================
Ljung-Box (L1) (Q): 0.76 Jarque-Bera (JB): 0.20
Prob(Q): 0.38 Prob(JB): 0.90
Heteroskedasticity (H): 2.19 Skew: -0.12
Prob(H) (two-sided): 0.47 Kurtosis: 2.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.86887309940222, Current Price: 125.78
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.784
Date: Wed, 09 Oct 2024 AIC 37.568
Time: 14:40:57 BIC 40.393
Sample: 0 HQIC 36.987
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0706 0.539 0.131 0.896 -0.986 1.127
ma.L1 -1.0000 4813.235 -0.000 1.000 -9434.767 9432.767
ar.S.L7 -0.5819 0.098 -5.936 0.000 -0.774 -0.390
ma.S.L7 0.5658 0.839 0.675 0.500 -1.078 2.209
sigma2 0.3892 1872.943 0.000 1.000 -3670.512 3671.291
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.75
Prob(Q): 0.95 Prob(JB): 0.69
Heteroskedasticity (H): 1.07 Skew: 0.28
Prob(H) (two-sided): 0.95 Kurtosis: 1.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.27348110630047, Current Price: 125.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.464
Date: Wed, 09 Oct 2024 AIC 34.928
Time: 14:40:57 BIC 37.752
Sample: 0 HQIC 34.347
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1536 0.685 0.224 0.822 -1.188 1.496
ma.L1 -1.0000 3969.703 -0.000 1.000 -7781.475 7779.475
ar.S.L7 -0.5646 0.107 -5.299 0.000 -0.773 -0.356
ma.S.L7 1.0000 1.64e+04 6.1e-05 1.000 -3.21e+04 3.21e+04
sigma2 0.2261 3735.636 6.05e-05 1.000 -7321.485 7321.937
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.34
Prob(Q): 0.95 Prob(JB): 0.84
Heteroskedasticity (H): 1.32 Skew: -0.04
Prob(H) (two-sided): 0.79 Kurtosis: 2.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.27835307668605, Current Price: 124.9
BUY EXECUTED at 124.9
BUY ORDER COMPLETED at 124.84
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.738
Date: Wed, 09 Oct 2024 AIC 41.477
Time: 14:40:57 BIC 44.302
Sample: 0 HQIC 40.896
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0062 0.143 -7.039 0.000 -1.286 -0.726
ma.L1 1.0000 7723.293 0.000 1.000 -1.51e+04 1.51e+04
ar.S.L7 -0.5406 0.221 -2.444 0.015 -0.974 -0.107
ma.S.L7 1.0001 9745.758 0.000 1.000 -1.91e+04 1.91e+04
sigma2 0.3192 4391.301 7.27e-05 1.000 -8606.472 8607.110
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 1.01
Prob(Q): 0.72 Prob(JB): 0.60
Heteroskedasticity (H): 0.86 Skew: -0.24
Prob(H) (two-sided): 0.89 Kurtosis: 1.72
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.47783626877448, Current Price: 124.6
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.034
Date: Wed, 09 Oct 2024 AIC 42.067
Time: 14:40:57 BIC 44.892
Sample: 0 HQIC 41.487
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3879 1.405 -0.276 0.783 -3.142 2.366
ma.L1 10.9891 119.583 0.092 0.927 -223.389 245.368
ar.S.L7 -0.4608 0.309 -1.493 0.135 -1.066 0.144
ma.S.L7 2.8195 9.484 0.297 0.766 -15.768 21.407
sigma2 0.0007 0.016 0.042 0.966 -0.031 0.032
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 1.83
Prob(Q): 0.76 Prob(JB): 0.40
Heteroskedasticity (H): 1.58 Skew: -0.92
Prob(H) (two-sided): 0.67 Kurtosis: 3.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.81916657565013, Current Price: 124.87
SELL EXECUTED at 124.87
SELL ORDER COMPLETED at 124.41
OPERATION PROFIT, GROSS -0.4300000000000068, NET -0.6792500000000068
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.936
Date: Wed, 09 Oct 2024 AIC 41.872
Time: 14:40:57 BIC 44.697
Sample: 0 HQIC 41.292
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2789 0.641 0.435 0.664 -0.978 1.536
ma.L1 -0.9908 6.142 -0.161 0.872 -13.029 11.047
ar.S.L7 -0.4950 0.274 -1.806 0.071 -1.032 0.042
ma.S.L7 -5.7781 21.098 -0.274 0.784 -47.130 35.574
sigma2 0.0175 0.175 0.100 0.920 -0.325 0.360
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.85
Prob(Q): 0.88 Prob(JB): 0.65
Heteroskedasticity (H): 0.50 Skew: -0.32
Prob(H) (two-sided): 0.52 Kurtosis: 1.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.61048576086026, Current Price: 124.31
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.252
Date: Wed, 09 Oct 2024 AIC 42.504
Time: 14:40:57 BIC 45.328
Sample: 0 HQIC 41.923
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7899 0.731 -1.080 0.280 -2.223 0.644
ma.L1 1.7082 2.913 0.586 0.558 -4.001 7.417
ar.S.L7 -0.0010 0.003 -0.355 0.723 -0.007 0.005
ma.S.L7 -0.5529 1.272 -0.435 0.664 -3.047 1.941
sigma2 0.2262 0.601 0.376 0.707 -0.952 1.404
===================================================================================
Ljung-Box (L1) (Q): 0.29 Jarque-Bera (JB): 0.79
Prob(Q): 0.59 Prob(JB): 0.67
Heteroskedasticity (H): 1.01 Skew: -0.27
Prob(H) (two-sided): 0.99 Kurtosis: 1.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.05992709946045, Current Price: 126.48
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.184
Date: Wed, 09 Oct 2024 AIC 42.369
Time: 14:40:57 BIC 45.193
Sample: 0 HQIC 41.788
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0993 0.472 -0.210 0.834 -1.025 0.826
ma.L1 -1.0000 4169.206 -0.000 1.000 -8172.494 8170.494
ar.S.L7 -0.4671 0.130 -3.584 0.000 -0.723 -0.212
ma.S.L7 1.0002 3502.475 0.000 1.000 -6863.725 6865.726
sigma2 0.3963 2776.840 0.000 1.000 -5442.109 5442.902
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.63
Prob(Q): 0.79 Prob(JB): 0.73
Heteroskedasticity (H): 1.57 Skew: -0.22
Prob(H) (two-sided): 0.67 Kurtosis: 2.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.21361200069589, Current Price: 125.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.122
Date: Wed, 09 Oct 2024 AIC 44.244
Time: 14:40:57 BIC 47.069
Sample: 0 HQIC 43.664
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7492 0.492 -1.523 0.128 -1.714 0.215
ma.L1 3.0485 7.887 0.387 0.699 -12.410 18.507
ar.S.L7 -0.0780 0.603 -0.129 0.897 -1.260 1.104
ma.S.L7 -0.2551 1.119 -0.228 0.820 -2.448 1.938
sigma2 0.0850 0.466 0.182 0.855 -0.829 0.999
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.05
Prob(Q): 0.93 Prob(JB): 0.98
Heteroskedasticity (H): 3.34 Skew: -0.04
Prob(H) (two-sided): 0.27 Kurtosis: 3.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.5842800851098, Current Price: 127.61
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.192
Date: Wed, 09 Oct 2024 AIC 44.384
Time: 14:40:57 BIC 47.209
Sample: 0 HQIC 43.803
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7392 0.646 -1.144 0.253 -2.006 0.527
ma.L1 3.3359 13.744 0.243 0.808 -23.602 30.274
ar.S.L7 0.0056 0.053 0.106 0.916 -0.098 0.109
ma.S.L7 -0.5703 1.833 -0.311 0.756 -4.163 3.023
sigma2 0.0638 0.595 0.107 0.915 -1.102 1.230
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.00
Prob(Q): 0.73 Prob(JB): 1.00
Heteroskedasticity (H): 4.98 Skew: 0.03
Prob(H) (two-sided): 0.15 Kurtosis: 3.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.70362510215793, Current Price: 128.28
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.295
Date: Wed, 09 Oct 2024 AIC 46.590
Time: 14:40:57 BIC 49.415
Sample: 0 HQIC 46.009
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3991 0.751 -0.531 0.595 -1.871 1.073
ma.L1 0.1410 1.033 0.136 0.891 -1.883 2.165
ar.S.L7 -0.2543 0.815 -0.312 0.755 -1.852 1.344
ma.S.L7 -0.3100 1.141 -0.272 0.786 -2.546 1.926
sigma2 0.9424 0.455 2.069 0.039 0.050 1.835
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.07
Prob(Q): 0.88 Prob(JB): 0.97
Heteroskedasticity (H): 10.52 Skew: 0.17
Prob(H) (two-sided): 0.04 Kurtosis: 2.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.85862002518256, Current Price: 127.49
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.312
Date: Wed, 09 Oct 2024 AIC 46.624
Time: 14:40:57 BIC 49.449
Sample: 0 HQIC 46.043
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6489 0.501 -1.294 0.196 -1.632 0.334
ma.L1 0.3702 0.794 0.466 0.641 -1.187 1.927
ar.S.L7 -0.3761 0.658 -0.572 0.567 -1.666 0.913
ma.S.L7 -0.3366 1.297 -0.260 0.795 -2.879 2.205
sigma2 0.9252 0.437 2.117 0.034 0.069 1.782
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.02
Prob(Q): 0.99 Prob(JB): 0.99
Heteroskedasticity (H): 1.72 Skew: 0.09
Prob(H) (two-sided): 0.61 Kurtosis: 3.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.29451072379578, Current Price: 125.73
BUY EXECUTED at 125.73
BUY ORDER COMPLETED at 125.42
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.114
Date: Wed, 09 Oct 2024 AIC 48.227
Time: 14:40:57 BIC 51.052
Sample: 0 HQIC 47.647
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8418 0.476 -1.769 0.077 -1.775 0.091
ma.L1 0.6111 0.953 0.641 0.522 -1.258 2.480
ar.S.L7 -0.3366 0.732 -0.460 0.646 -1.771 1.098
ma.S.L7 -1.0004 4167.531 -0.000 1.000 -8169.210 8167.209
sigma2 0.6432 2681.126 0.000 1.000 -5254.266 5255.553
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.44
Prob(Q): 0.86 Prob(JB): 0.80
Heteroskedasticity (H): 1.44 Skew: 0.45
Prob(H) (two-sided): 0.73 Kurtosis: 2.84
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.93678090740958, Current Price: 125.79
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.214
Date: Wed, 09 Oct 2024 AIC 46.428
Time: 14:40:57 BIC 49.252
Sample: 0 HQIC 45.847
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9170 0.384 -2.387 0.017 -1.670 -0.164
ma.L1 0.6200 0.774 0.801 0.423 -0.897 2.137
ar.S.L7 -0.9889 0.332 -2.982 0.003 -1.639 -0.339
ma.S.L7 0.2279 0.491 0.464 0.643 -0.735 1.190
sigma2 0.9287 1.044 0.890 0.374 -1.117 2.975
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.53
Prob(Q): 0.89 Prob(JB): 0.47
Heteroskedasticity (H): 0.98 Skew: 0.38
Prob(H) (two-sided): 0.99 Kurtosis: 1.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.69206660263916, Current Price: 127.26
SELL EXECUTED at 127.26
SELL ORDER COMPLETED at 126.54
OPERATION PROFIT, GROSS 1.1200000000000045, NET 0.8680400000000046
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.916
Date: Wed, 09 Oct 2024 AIC 47.832
Time: 14:40:57 BIC 50.657
Sample: 0 HQIC 47.251
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6032 0.724 -0.834 0.404 -2.021 0.815
ma.L1 0.3698 1.171 0.316 0.752 -1.925 2.665
ar.S.L7 -0.3445 0.735 -0.469 0.639 -1.785 1.096
ma.S.L7 -0.5939 1.793 -0.331 0.740 -4.108 2.921
sigma2 0.8871 1.175 0.755 0.450 -1.416 3.190
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.39
Prob(Q): 0.88 Prob(JB): 0.82
Heteroskedasticity (H): 1.20 Skew: 0.14
Prob(H) (two-sided): 0.87 Kurtosis: 2.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.05222319645128, Current Price: 126.3
BUY EXECUTED at 126.3
BUY ORDER COMPLETED at 127.5
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.107
Date: Wed, 09 Oct 2024 AIC 48.215
Time: 14:40:57 BIC 51.040
Sample: 0 HQIC 47.634
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4098 0.854 -0.480 0.631 -2.083 1.263
ma.L1 0.0290 1.099 0.026 0.979 -2.126 2.184
ar.S.L7 -0.5236 0.603 -0.868 0.385 -1.706 0.659
ma.S.L7 -0.4033 1.036 -0.389 0.697 -2.433 1.627
sigma2 1.0307 0.796 1.295 0.195 -0.530 2.591
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.68
Prob(Q): 0.86 Prob(JB): 0.71
Heteroskedasticity (H): 1.36 Skew: 0.25
Prob(H) (two-sided): 0.78 Kurtosis: 2.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.84647588874955, Current Price: 126.45
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.859
Date: Wed, 09 Oct 2024 AIC 45.718
Time: 14:40:57 BIC 48.543
Sample: 0 HQIC 45.138
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5287 0.353 -1.496 0.135 -1.221 0.164
ma.L1 0.2314 0.712 0.325 0.745 -1.164 1.627
ar.S.L7 -0.2780 0.664 -0.418 0.676 -1.580 1.024
ma.S.L7 -1.0001 8495.871 -0.000 1.000 -1.67e+04 1.67e+04
sigma2 0.5339 4536.115 0.000 1.000 -8890.089 8891.157
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 0.52
Prob(Q): 0.66 Prob(JB): 0.77
Heteroskedasticity (H): 0.60 Skew: 0.22
Prob(H) (two-sided): 0.63 Kurtosis: 2.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.53010330998781, Current Price: 125.8
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.441
Date: Wed, 09 Oct 2024 AIC 46.881
Time: 14:40:57 BIC 49.706
Sample: 0 HQIC 46.301
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4430 0.224 -1.982 0.047 -0.881 -0.005
ma.L1 0.0864 0.794 0.109 0.913 -1.470 1.642
ar.S.L7 -0.3893 0.763 -0.510 0.610 -1.885 1.107
ma.S.L7 -1.0007 1839.443 -0.001 1.000 -3606.243 3604.242
sigma2 0.5934 1091.696 0.001 1.000 -2139.091 2140.277
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.82
Prob(Q): 0.82 Prob(JB): 0.66
Heteroskedasticity (H): 0.71 Skew: 0.31
Prob(H) (two-sided): 0.75 Kurtosis: 1.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.69826829311873, Current Price: 126.39
SELL EXECUTED at 126.39
SELL ORDER COMPLETED at 126.45
OPERATION PROFIT, GROSS -1.0499999999999972, NET -1.3039499999999973
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.483
Date: Wed, 09 Oct 2024 AIC 44.965
Time: 14:40:58 BIC 47.790
Sample: 0 HQIC 44.385
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8349 0.249 -3.352 0.001 -1.323 -0.347
ma.L1 0.6051 0.483 1.253 0.210 -0.342 1.552
ar.S.L7 -0.8205 0.580 -1.416 0.157 -1.956 0.316
ma.S.L7 0.0576 0.723 0.080 0.937 -1.359 1.474
sigma2 0.8512 0.617 1.379 0.168 -0.358 2.061
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.70
Prob(Q): 0.94 Prob(JB): 0.70
Heteroskedasticity (H): 0.45 Skew: 0.26
Prob(H) (two-sided): 0.46 Kurtosis: 1.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.93149296039698, Current Price: 126.82
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.217
Date: Wed, 09 Oct 2024 AIC 44.434
Time: 14:40:58 BIC 47.259
Sample: 0 HQIC 43.854
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4662 0.162 2.886 0.004 0.150 0.783
ma.L1 -1.0000 7353.979 -0.000 1.000 -1.44e+04 1.44e+04
ar.S.L7 -0.9760 0.902 -1.083 0.279 -2.743 0.791
ma.S.L7 0.3919 0.946 0.414 0.679 -1.463 2.247
sigma2 0.6695 4923.677 0.000 1.000 -9649.559 9650.898
===================================================================================
Ljung-Box (L1) (Q): 0.58 Jarque-Bera (JB): 0.60
Prob(Q): 0.44 Prob(JB): 0.74
Heteroskedasticity (H): 0.32 Skew: 0.33
Prob(H) (two-sided): 0.29 Kurtosis: 2.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.88480752755943, Current Price: 127.12
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.772
Date: Wed, 09 Oct 2024 AIC 41.543
Time: 14:40:58 BIC 44.368
Sample: 0 HQIC 40.962
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3561 0.137 2.597 0.009 0.087 0.625
ma.L1 -1.0000 6439.193 -0.000 1.000 -1.26e+04 1.26e+04
ar.S.L7 -0.9590 0.352 -2.724 0.006 -1.649 -0.269
ma.S.L7 1.0001 6413.791 0.000 1.000 -1.26e+04 1.26e+04
sigma2 0.3763 2562.583 0.000 1.000 -5022.194 5022.947
===================================================================================
Ljung-Box (L1) (Q): 0.94 Jarque-Bera (JB): 0.52
Prob(Q): 0.33 Prob(JB): 0.77
Heteroskedasticity (H): 1.04 Skew: 0.27
Prob(H) (two-sided): 0.97 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.43541390698022, Current Price: 128.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.519
Date: Wed, 09 Oct 2024 AIC 41.038
Time: 14:40:58 BIC 43.863
Sample: 0 HQIC 40.457
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4141 0.065 6.390 0.000 0.287 0.541
ma.L1 -1.0000 3.09e+04 -3.23e-05 1.000 -6.07e+04 6.07e+04
ar.S.L7 -0.8205 0.373 -2.200 0.028 -1.551 -0.089
ma.S.L7 -0.0007 0.430 -0.002 0.999 -0.844 0.842
sigma2 0.5504 1.7e+04 3.23e-05 1.000 -3.34e+04 3.34e+04
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 0.44
Prob(Q): 0.65 Prob(JB): 0.80
Heteroskedasticity (H): 0.51 Skew: 0.02
Prob(H) (two-sided): 0.53 Kurtosis: 2.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.4330462775846, Current Price: 126.62
BUY EXECUTED at 126.62
BUY ORDER COMPLETED at 127.07
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.264
Date: Wed, 09 Oct 2024 AIC 38.528
Time: 14:40:58 BIC 41.352
Sample: 0 HQIC 37.947
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3644 0.459 0.794 0.427 -0.536 1.264
ma.L1 -1.0000 7602.765 -0.000 1.000 -1.49e+04 1.49e+04
ar.S.L7 -0.8043 0.288 -2.790 0.005 -1.369 -0.239
ma.S.L7 -0.0664 0.327 -0.203 0.839 -0.707 0.575
sigma2 0.4618 3511.363 0.000 1.000 -6881.683 6882.607
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 0.53
Prob(Q): 0.62 Prob(JB): 0.77
Heteroskedasticity (H): 1.08 Skew: 0.04
Prob(H) (two-sided): 0.94 Kurtosis: 2.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.3805602143129, Current Price: 127.45
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.484
Date: Wed, 09 Oct 2024 AIC 38.967
Time: 14:40:58 BIC 41.792
Sample: 0 HQIC 38.387
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0584 2.224 -0.026 0.979 -4.418 4.301
ma.L1 0.2575 2.000 0.129 0.898 -3.663 4.178
ar.S.L7 -0.4061 0.750 -0.542 0.588 -1.875 1.063
ma.S.L7 -1.0006 2638.263 -0.000 1.000 -5171.902 5169.901
sigma2 0.3272 863.252 0.000 1.000 -1691.616 1692.270
===================================================================================
Ljung-Box (L1) (Q): 0.42 Jarque-Bera (JB): 0.26
Prob(Q): 0.52 Prob(JB): 0.88
Heteroskedasticity (H): 0.69 Skew: -0.20
Prob(H) (two-sided): 0.72 Kurtosis: 2.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.68345009943765, Current Price: 127.63
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.948
Date: Wed, 09 Oct 2024 AIC 37.896
Time: 14:40:58 BIC 40.720
Sample: 0 HQIC 37.315
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3666 0.328 -1.117 0.264 -1.010 0.277
ma.L1 1.0000 2709.848 0.000 1.000 -5310.205 5312.205
ar.S.L7 -0.3606 0.210 -1.714 0.087 -0.773 0.052
ma.S.L7 -2.2246 5.536 -0.402 0.688 -13.075 8.626
sigma2 0.0860 232.924 0.000 1.000 -456.436 456.608
===================================================================================
Ljung-Box (L1) (Q): 0.53 Jarque-Bera (JB): 0.75
Prob(Q): 0.47 Prob(JB): 0.69
Heteroskedasticity (H): 0.44 Skew: -0.25
Prob(H) (two-sided): 0.45 Kurtosis: 1.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.51550597233702, Current Price: 127.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.356
Date: Wed, 09 Oct 2024 AIC 34.712
Time: 14:40:58 BIC 37.537
Sample: 0 HQIC 34.131
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4574 0.239 1.916 0.055 -0.011 0.925
ma.L1 -1.0000 4597.652 -0.000 1.000 -9012.233 9010.233
ar.S.L7 -0.6151 0.221 -2.778 0.005 -1.049 -0.181
ma.S.L7 0.1199 0.532 0.226 0.822 -0.922 1.162
sigma2 0.3388 1557.637 0.000 1.000 -3052.573 3053.250
===================================================================================
Ljung-Box (L1) (Q): 2.68 Jarque-Bera (JB): 1.16
Prob(Q): 0.10 Prob(JB): 0.56
Heteroskedasticity (H): 0.33 Skew: 0.57
Prob(H) (two-sided): 0.30 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.98911464959988, Current Price: 127.85
SELL EXECUTED at 127.85
SELL ORDER COMPLETED at 127.81
OPERATION PROFIT, GROSS 0.7400000000000091, NET 0.4851200000000091
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.937
Date: Wed, 09 Oct 2024 AIC 35.874
Time: 14:40:58 BIC 38.699
Sample: 0 HQIC 35.294
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3859 0.114 3.379 0.001 0.162 0.610
ma.L1 -1.0000 1.38e+04 -7.25e-05 1.000 -2.7e+04 2.7e+04
ar.S.L7 -0.6264 0.232 -2.702 0.007 -1.081 -0.172
ma.S.L7 0.5305 1.045 0.508 0.612 -1.517 2.578
sigma2 0.3431 4734.864 7.25e-05 1.000 -9279.819 9280.506
===================================================================================
Ljung-Box (L1) (Q): 2.48 Jarque-Bera (JB): 0.99
Prob(Q): 0.12 Prob(JB): 0.61
Heteroskedasticity (H): 0.11 Skew: 0.63
Prob(H) (two-sided): 0.06 Kurtosis: 2.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.01687246879246, Current Price: 127.6
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.130
Date: Wed, 09 Oct 2024 AIC 34.261
Time: 14:40:58 BIC 37.085
Sample: 0 HQIC 33.680
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1053 1.134 0.093 0.926 -2.118 2.328
ma.L1 1.0000 5.33e+04 1.88e-05 1.000 -1.04e+05 1.04e+05
ar.S.L7 -0.1815 0.195 -0.932 0.351 -0.563 0.200
ma.S.L7 -0.1900 1.649 -0.115 0.908 -3.421 3.041
sigma2 0.3322 1.77e+04 1.88e-05 1.000 -3.47e+04 3.47e+04
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 1.29
Prob(Q): 0.77 Prob(JB): 0.52
Heteroskedasticity (H): 0.34 Skew: 0.70
Prob(H) (two-sided): 0.33 Kurtosis: 3.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.91971779862058, Current Price: 126.63
BUY EXECUTED at 126.63
BUY ORDER COMPLETED at 125.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.825
Date: Wed, 09 Oct 2024 AIC 37.651
Time: 14:40:58 BIC 40.476
Sample: 0 HQIC 37.070
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2922 1.399 0.209 0.835 -2.450 3.035
ma.L1 0.9988 55.026 0.018 0.986 -106.850 108.848
ar.S.L7 -0.1782 0.200 -0.892 0.372 -0.570 0.213
ma.S.L7 -8.0913 82.295 -0.098 0.922 -169.387 153.204
sigma2 0.0066 0.436 0.015 0.988 -0.848 0.862
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 2.08
Prob(Q): 0.70 Prob(JB): 0.35
Heteroskedasticity (H): 0.77 Skew: 0.86
Prob(H) (two-sided): 0.81 Kurtosis: 3.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.68836657368782, Current Price: 125.62
SELL EXECUTED at 125.62
SELL ORDER COMPLETED at 125.78
OPERATION PROFIT, GROSS 0.1599999999999966, NET -0.09140000000000342
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.702
Date: Wed, 09 Oct 2024 AIC 39.404
Time: 14:40:58 BIC 42.229
Sample: 0 HQIC 38.823
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3151 2.614 -0.121 0.904 -5.439 4.809
ma.L1 0.6059 2.615 0.232 0.817 -4.520 5.732
ar.S.L7 -0.5951 0.325 -1.829 0.067 -1.233 0.042
ma.S.L7 1.0001 1.26e+04 7.96e-05 1.000 -2.46e+04 2.46e+04
sigma2 0.3370 4233.515 7.96e-05 1.000 -8297.200 8297.874
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.71
Prob(Q): 0.80 Prob(JB): 0.70
Heteroskedasticity (H): 2.39 Skew: -0.50
Prob(H) (two-sided): 0.42 Kurtosis: 2.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.36789974144159, Current Price: 126.23
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.792
Date: Wed, 09 Oct 2024 AIC 39.585
Time: 14:40:58 BIC 42.409
Sample: 0 HQIC 39.004
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4576 0.735 -0.622 0.534 -1.899 0.984
ma.L1 1.0000 1.33e+04 7.51e-05 1.000 -2.61e+04 2.61e+04
ar.S.L7 -0.6431 0.289 -2.224 0.026 -1.210 -0.076
ma.S.L7 1.0004 3487.888 0.000 1.000 -6835.135 6837.135
sigma2 0.2779 3748.178 7.42e-05 1.000 -7346.016 7346.572
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.88
Prob(Q): 0.74 Prob(JB): 0.64
Heteroskedasticity (H): 1.60 Skew: -0.33
Prob(H) (two-sided): 0.66 Kurtosis: 1.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.58138098580191, Current Price: 125.41
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.600
Date: Wed, 09 Oct 2024 AIC 37.200
Time: 14:40:58 BIC 40.025
Sample: 0 HQIC 36.619
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4014 0.218 -1.842 0.065 -0.828 0.026
ma.L1 1.0000 1.14e+04 8.76e-05 1.000 -2.24e+04 2.24e+04
ar.S.L7 -0.6074 0.316 -1.920 0.055 -1.227 0.013
ma.S.L7 1.0004 3405.549 0.000 1.000 -6673.752 6675.753
sigma2 0.2350 3186.212 7.38e-05 1.000 -6244.627 6245.097
===================================================================================
Ljung-Box (L1) (Q): 0.69 Jarque-Bera (JB): 0.35
Prob(Q): 0.40 Prob(JB): 0.84
Heteroskedasticity (H): 2.09 Skew: -0.14
Prob(H) (two-sided): 0.49 Kurtosis: 2.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.88639129079628, Current Price: 124.97
BUY EXECUTED at 124.97
BUY ORDER COMPLETED at 125.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.411
Date: Wed, 09 Oct 2024 AIC 36.821
Time: 14:40:58 BIC 39.646
Sample: 0 HQIC 36.240
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3142 1.152 -0.273 0.785 -2.573 1.944
ma.L1 0.6941 1.150 0.604 0.546 -1.560 2.948
ar.S.L7 -0.4610 0.243 -1.900 0.057 -0.937 0.014
ma.S.L7 0.9996 2569.591 0.000 1.000 -5035.306 5037.306
sigma2 0.2745 705.349 0.000 1.000 -1382.183 1382.732
===================================================================================
Ljung-Box (L1) (Q): 2.12 Jarque-Bera (JB): 0.21
Prob(Q): 0.15 Prob(JB): 0.90
Heteroskedasticity (H): 2.27 Skew: 0.25
Prob(H) (two-sided): 0.45 Kurtosis: 3.38
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.0780622904443, Current Price: 125.5
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.712
Date: Wed, 09 Oct 2024 AIC 37.425
Time: 14:40:58 BIC 40.249
Sample: 0 HQIC 36.844
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2908 1.119 -0.260 0.795 -2.484 1.902
ma.L1 0.6150 0.985 0.625 0.532 -1.315 2.545
ar.S.L7 -0.4543 0.317 -1.433 0.152 -1.076 0.167
ma.S.L7 0.5037 1.891 0.266 0.790 -3.202 4.209
sigma2 0.4286 0.588 0.729 0.466 -0.723 1.581
===================================================================================
Ljung-Box (L1) (Q): 0.86 Jarque-Bera (JB): 0.07
Prob(Q): 0.35 Prob(JB): 0.97
Heteroskedasticity (H): 1.40 Skew: -0.17
Prob(H) (two-sided): 0.75 Kurtosis: 3.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.3742928428612, Current Price: 124.59
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.617
Date: Wed, 09 Oct 2024 AIC 37.234
Time: 14:40:58 BIC 40.058
Sample: 0 HQIC 36.653
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2858 1.171 -0.244 0.807 -2.581 2.009
ma.L1 0.6004 1.171 0.513 0.608 -1.694 2.895
ar.S.L7 -0.4084 0.438 -0.933 0.351 -1.267 0.450
ma.S.L7 1.0000 1.48e+05 6.76e-06 1.000 -2.9e+05 2.9e+05
sigma2 0.2855 4.22e+04 6.76e-06 1.000 -8.28e+04 8.28e+04
===================================================================================
Ljung-Box (L1) (Q): 0.95 Jarque-Bera (JB): 0.01
Prob(Q): 0.33 Prob(JB): 0.99
Heteroskedasticity (H): 6.33 Skew: -0.05
Prob(H) (two-sided): 0.10 Kurtosis: 2.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.04095990094505, Current Price: 123.71
SELL EXECUTED at 123.71
SELL ORDER COMPLETED at 123.9
OPERATION PROFIT, GROSS -1.2999999999999972, NET -1.5490999999999973
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.616
Date: Wed, 09 Oct 2024 AIC 37.233
Time: 14:40:58 BIC 40.058
Sample: 0 HQIC 36.652
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5528 2.148 -0.257 0.797 -4.763 3.658
ma.L1 0.6836 2.700 0.253 0.800 -4.608 5.975
ar.S.L7 -0.3950 0.311 -1.268 0.205 -1.005 0.215
ma.S.L7 1.0005 1991.971 0.001 1.000 -3903.191 3905.192
sigma2 0.2718 541.422 0.001 1.000 -1060.895 1061.438
===================================================================================
Ljung-Box (L1) (Q): 0.44 Jarque-Bera (JB): 1.52
Prob(Q): 0.51 Prob(JB): 0.47
Heteroskedasticity (H): 4.36 Skew: -0.84
Prob(H) (two-sided): 0.18 Kurtosis: 3.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.92387428502936, Current Price: 123.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.271
Date: Wed, 09 Oct 2024 AIC 38.541
Time: 14:40:58 BIC 41.366
Sample: 0 HQIC 37.961
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3143 0.916 -0.343 0.731 -2.109 1.481
ma.L1 0.6016 0.941 0.639 0.523 -1.243 2.446
ar.S.L7 -0.3619 0.341 -1.061 0.289 -1.030 0.307
ma.S.L7 1.0001 8148.434 0.000 1.000 -1.6e+04 1.6e+04
sigma2 0.3156 2571.949 0.000 1.000 -5040.612 5041.243
===================================================================================
Ljung-Box (L1) (Q): 0.85 Jarque-Bera (JB): 0.43
Prob(Q): 0.36 Prob(JB): 0.81
Heteroskedasticity (H): 2.39 Skew: -0.38
Prob(H) (two-sided): 0.42 Kurtosis: 2.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.37299980924254, Current Price: 124.28
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.297
Date: Wed, 09 Oct 2024 AIC 38.594
Time: 14:40:58 BIC 41.418
Sample: 0 HQIC 38.013
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3394 1.126 -0.301 0.763 -2.547 1.868
ma.L1 0.6105 0.991 0.616 0.538 -1.332 2.553
ar.S.L7 -0.3234 0.383 -0.844 0.398 -1.074 0.427
ma.S.L7 1.0001 5908.579 0.000 1.000 -1.16e+04 1.16e+04
sigma2 0.3168 1871.658 0.000 1.000 -3668.066 3668.699
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 0.53
Prob(Q): 0.62 Prob(JB): 0.77
Heteroskedasticity (H): 0.47 Skew: -0.46
Prob(H) (two-sided): 0.49 Kurtosis: 2.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.11838283801232, Current Price: 124.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.317
Date: Wed, 09 Oct 2024 AIC 40.635
Time: 14:40:58 BIC 43.460
Sample: 0 HQIC 40.054
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6307 0.781 -0.808 0.419 -2.161 0.900
ma.L1 0.8338 0.553 1.508 0.132 -0.250 1.918
ar.S.L7 0.0037 0.100 0.037 0.971 -0.192 0.200
ma.S.L7 -0.1781 0.616 -0.289 0.773 -1.386 1.030
sigma2 0.6095 0.563 1.082 0.279 -0.495 1.714
===================================================================================
Ljung-Box (L1) (Q): 0.52 Jarque-Bera (JB): 0.38
Prob(Q): 0.47 Prob(JB): 0.83
Heteroskedasticity (H): 0.38 Skew: -0.29
Prob(H) (two-sided): 0.37 Kurtosis: 2.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.40901448223879, Current Price: 124.57
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.079
Date: Wed, 09 Oct 2024 AIC 40.157
Time: 14:40:58 BIC 42.982
Sample: 0 HQIC 39.577
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5403 1.233 -0.438 0.661 -2.957 1.877
ma.L1 1.0001 7383.928 0.000 1.000 -1.45e+04 1.45e+04
ar.S.L7 -0.3838 0.594 -0.647 0.518 -1.547 0.780
ma.S.L7 0.8417 5.511 0.153 0.879 -9.960 11.643
sigma2 0.3364 2484.229 0.000 1.000 -4868.663 4869.336
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.45
Prob(Q): 0.75 Prob(JB): 0.80
Heteroskedasticity (H): 0.53 Skew: -0.45
Prob(H) (two-sided): 0.55 Kurtosis: 3.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.69733860328353, Current Price: 124.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.709
Date: Wed, 09 Oct 2024 AIC 37.418
Time: 14:40:58 BIC 40.243
Sample: 0 HQIC 36.837
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6927 0.330 -2.100 0.036 -1.339 -0.046
ma.L1 1.0000 5.23e+04 1.91e-05 1.000 -1.03e+05 1.03e+05
ar.S.L7 0.3055 0.394 0.775 0.438 -0.467 1.078
ma.S.L7 -1.0003 2101.903 -0.000 1.000 -4120.655 4118.654
sigma2 0.2567 1.35e+04 1.91e-05 1.000 -2.64e+04 2.64e+04
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 1.13
Prob(Q): 0.68 Prob(JB): 0.57
Heteroskedasticity (H): 0.26 Skew: -0.51
Prob(H) (two-sided): 0.22 Kurtosis: 1.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.1360050838893, Current Price: 124.33
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.871
Date: Wed, 09 Oct 2024 AIC 31.742
Time: 14:40:58 BIC 34.567
Sample: 0 HQIC 31.161
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5876 0.296 -1.988 0.047 -1.167 -0.008
ma.L1 1.0505 1.638 0.641 0.521 -2.161 4.262
ar.S.L7 -0.3058 0.332 -0.922 0.356 -0.956 0.344
ma.S.L7 0.1070 0.348 0.307 0.759 -0.576 0.790
sigma2 0.2552 0.582 0.438 0.661 -0.885 1.396
===================================================================================
Ljung-Box (L1) (Q): 0.57 Jarque-Bera (JB): 0.47
Prob(Q): 0.45 Prob(JB): 0.79
Heteroskedasticity (H): 1.57 Skew: 0.34
Prob(H) (two-sided): 0.67 Kurtosis: 2.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.44815661024734, Current Price: 125.18
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.493
Date: Wed, 09 Oct 2024 AIC 36.986
Time: 14:40:58 BIC 39.810
Sample: 0 HQIC 36.405
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2983 1.691 -0.176 0.860 -3.612 3.016
ma.L1 11.0006 207.368 0.053 0.958 -395.433 417.434
ar.S.L7 -0.1496 0.387 -0.387 0.699 -0.907 0.608
ma.S.L7 -1.0011 469.380 -0.002 0.998 -920.970 918.967
sigma2 0.0023 1.071 0.002 0.998 -2.097 2.102
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.24
Prob(Q): 0.94 Prob(JB): 0.89
Heteroskedasticity (H): 1.16 Skew: -0.19
Prob(H) (two-sided): 0.89 Kurtosis: 2.45
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.97591606121205, Current Price: 125.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.486
Date: Wed, 09 Oct 2024 AIC 36.973
Time: 14:40:59 BIC 39.798
Sample: 0 HQIC 36.392
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5203 0.975 -0.534 0.593 -2.431 1.390
ma.L1 1.3065 2.174 0.601 0.548 -2.954 5.567
ar.S.L7 -0.2079 0.698 -0.298 0.766 -1.576 1.160
ma.S.L7 -0.7673 3.951 -0.194 0.846 -8.512 6.977
sigma2 0.1947 0.845 0.230 0.818 -1.461 1.851
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.34
Prob(Q): 0.96 Prob(JB): 0.51
Heteroskedasticity (H): 1.95 Skew: 0.78
Prob(H) (two-sided): 0.53 Kurtosis: 3.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.44920229132356, Current Price: 124.49
BUY EXECUTED at 124.49
BUY ORDER COMPLETED at 122.82
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -54.580
Date: Wed, 09 Oct 2024 AIC 119.160
Time: 14:40:59 BIC 121.985
Sample: 0 HQIC 118.580
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3399 17.877 0.019 0.985 -34.698 35.378
ma.L1 -1.0237 112.791 -0.009 0.993 -222.090 220.042
ar.S.L7 2.9581 34.292 0.086 0.931 -64.253 70.169
ma.S.L7 -0.6049 11.304 -0.054 0.957 -22.761 21.551
sigma2 485.2487 6.32e+04 0.008 0.994 -1.23e+05 1.24e+05
===================================================================================
Ljung-Box (L1) (Q): 1.22 Jarque-Bera (JB): 0.42
Prob(Q): 0.27 Prob(JB): 0.81
Heteroskedasticity (H): 3.18 Skew: 0.26
Prob(H) (two-sided): 0.29 Kurtosis: 2.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.59333345761385, Current Price: 122.48
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.596
Date: Wed, 09 Oct 2024 AIC 41.193
Time: 14:40:59 BIC 44.017
Sample: 0 HQIC 40.612
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1577 1.189 -0.133 0.894 -2.488 2.173
ma.L1 0.6614 0.786 0.842 0.400 -0.879 2.201
ar.S.L7 -0.2132 0.685 -0.311 0.756 -1.556 1.130
ma.S.L7 -0.6406 2.212 -0.290 0.772 -4.976 3.695
sigma2 0.5304 0.793 0.669 0.503 -1.023 2.084
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.18
Prob(Q): 0.98 Prob(JB): 0.91
Heteroskedasticity (H): 3.22 Skew: 0.18
Prob(H) (two-sided): 0.28 Kurtosis: 2.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.77524679982339, Current Price: 122.29
SELL EXECUTED at 122.29
SELL ORDER COMPLETED at 122.23
OPERATION PROFIT, GROSS -0.5899999999999892, NET -0.8350499999999892
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.463
Date: Wed, 09 Oct 2024 AIC 40.926
Time: 14:40:59 BIC 43.751
Sample: 0 HQIC 40.345
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2648 1.366 -0.194 0.846 -2.941 2.412
ma.L1 0.6610 0.890 0.743 0.458 -1.083 2.405
ar.S.L7 -0.2692 0.842 -0.320 0.749 -1.919 1.381
ma.S.L7 -1.0002 5803.477 -0.000 1.000 -1.14e+04 1.14e+04
sigma2 0.3816 2214.829 0.000 1.000 -4340.604 4341.367
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.16
Prob(Q): 0.88 Prob(JB): 0.92
Heteroskedasticity (H): 1.83 Skew: 0.20
Prob(H) (two-sided): 0.57 Kurtosis: 2.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.8097379737346, Current Price: 122.36
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.132
Date: Wed, 09 Oct 2024 AIC 40.265
Time: 14:40:59 BIC 43.090
Sample: 0 HQIC 39.684
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2283 1.226 -0.186 0.852 -2.630 2.174
ma.L1 0.6136 1.092 0.562 0.574 -1.527 2.754
ar.S.L7 -0.3068 0.631 -0.486 0.627 -1.543 0.930
ma.S.L7 -1.0004 2956.478 -0.000 1.000 -5795.590 5793.589
sigma2 0.3622 1071.056 0.000 1.000 -2098.869 2099.593
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.26
Prob(Q): 0.83 Prob(JB): 0.88
Heteroskedasticity (H): 1.66 Skew: 0.19
Prob(H) (two-sided): 0.64 Kurtosis: 2.43
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.64007643620546, Current Price: 122.41
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.721
Date: Wed, 09 Oct 2024 AIC 41.442
Time: 14:40:59 BIC 44.266
Sample: 0 HQIC 40.861
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3243 1.616 -0.201 0.841 -3.493 2.844
ma.L1 0.5688 1.611 0.353 0.724 -2.589 3.727
ar.S.L7 -0.4437 0.483 -0.918 0.358 -1.391 0.503
ma.S.L7 -1.0005 2524.202 -0.000 1.000 -4948.345 4946.344
sigma2 0.3965 1000.926 0.000 1.000 -1961.382 1962.175
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.43
Prob(Q): 0.98 Prob(JB): 0.81
Heteroskedasticity (H): 1.25 Skew: -0.14
Prob(H) (two-sided): 0.83 Kurtosis: 2.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.78546248327824, Current Price: 122.48
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.590
Date: Wed, 09 Oct 2024 AIC 39.180
Time: 14:40:59 BIC 42.005
Sample: 0 HQIC 38.599
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4710 0.818 -0.576 0.565 -2.074 1.132
ma.L1 0.7011 0.822 0.853 0.394 -0.911 2.313
ar.S.L7 -0.8322 0.370 -2.248 0.025 -1.558 -0.107
ma.S.L7 0.2324 2.521 0.092 0.927 -4.708 5.173
sigma2 0.5223 0.397 1.316 0.188 -0.256 1.300
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.28
Prob(Q): 0.76 Prob(JB): 0.87
Heteroskedasticity (H): 22.54 Skew: 0.33
Prob(H) (two-sided): 0.01 Kurtosis: 3.27
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.37036909956363, Current Price: 122.41
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.949
Date: Wed, 09 Oct 2024 AIC 37.897
Time: 14:40:59 BIC 40.722
Sample: 0 HQIC 37.317
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0388 1.516 -0.026 0.980 -3.009 2.932
ma.L1 0.2830 1.385 0.204 0.838 -2.432 2.998
ar.S.L7 -0.9757 0.561 -1.740 0.082 -2.075 0.124
ma.S.L7 1.0003 4192.282 0.000 1.000 -8215.722 8217.722
sigma2 0.3014 1263.668 0.000 1.000 -2476.442 2477.045
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 0.53
Prob(Q): 0.64 Prob(JB): 0.77
Heteroskedasticity (H): 24.01 Skew: 0.49
Prob(H) (two-sided): 0.01 Kurtosis: 2.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.32689694092625, Current Price: 122.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.194
Date: Wed, 09 Oct 2024 AIC 38.388
Time: 14:40:59 BIC 41.213
Sample: 0 HQIC 37.808
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0589 0.745 0.079 0.937 -1.401 1.519
ma.L1 0.3925 0.596 0.658 0.511 -0.777 1.561
ar.S.L7 -0.4950 0.623 -0.795 0.427 -1.715 0.725
ma.S.L7 -0.1904 1.602 -0.119 0.905 -3.331 2.950
sigma2 0.5123 0.469 1.093 0.275 -0.407 1.431
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.38
Prob(Q): 0.95 Prob(JB): 0.83
Heteroskedasticity (H): 0.32 Skew: 0.41
Prob(H) (two-sided): 0.29 Kurtosis: 2.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.88366387941008, Current Price: 123.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.795
Date: Wed, 09 Oct 2024 AIC 41.590
Time: 14:40:59 BIC 44.415
Sample: 0 HQIC 41.009
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1607 1.244 -0.129 0.897 -2.598 2.277
ma.L1 0.5013 0.861 0.582 0.560 -1.186 2.188
ar.S.L7 -0.9606 0.630 -1.524 0.127 -2.196 0.275
ma.S.L7 0.0399 1.474 0.027 0.978 -2.849 2.928
sigma2 0.6642 0.319 2.082 0.037 0.039 1.289
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.52
Prob(Q): 0.82 Prob(JB): 0.77
Heteroskedasticity (H): 0.42 Skew: 0.41
Prob(H) (two-sided): 0.42 Kurtosis: 2.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.99710019116092, Current Price: 123.21
BUY EXECUTED at 123.21
BUY ORDER COMPLETED at 122.84
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.221
Date: Wed, 09 Oct 2024 AIC 42.442
Time: 14:40:59 BIC 45.267
Sample: 0 HQIC 41.861
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1329 1.556 -0.085 0.932 -3.183 2.917
ma.L1 0.4103 1.432 0.287 0.774 -2.396 3.217
ar.S.L7 -0.5911 0.428 -1.382 0.167 -1.429 0.247
ma.S.L7 -1.0001 8440.549 -0.000 1.000 -1.65e+04 1.65e+04
sigma2 0.4277 3609.638 0.000 1.000 -7074.332 7075.187
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.78
Prob(Q): 0.90 Prob(JB): 0.68
Heteroskedasticity (H): 0.62 Skew: 0.09
Prob(H) (two-sided): 0.65 Kurtosis: 1.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.31981411121455, Current Price: 123.19
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.563
Date: Wed, 09 Oct 2024 AIC 41.125
Time: 14:40:59 BIC 43.950
Sample: 0 HQIC 40.545
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5709 0.581 -0.982 0.326 -1.710 0.569
ma.L1 1.1915 1.754 0.679 0.497 -2.247 4.630
ar.S.L7 -1.2347 0.248 -4.987 0.000 -1.720 -0.749
ma.S.L7 1.0001 1.52e+04 6.56e-05 1.000 -2.99e+04 2.99e+04
sigma2 0.2463 3754.624 6.56e-05 1.000 -7358.682 7359.175
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 0.73
Prob(Q): 0.70 Prob(JB): 0.69
Heteroskedasticity (H): 0.35 Skew: 0.15
Prob(H) (two-sided): 0.33 Kurtosis: 1.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.75099985775597, Current Price: 123.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.155
Date: Wed, 09 Oct 2024 AIC 36.309
Time: 14:40:59 BIC 39.134
Sample: 0 HQIC 35.729
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3120 0.815 -0.383 0.702 -1.910 1.286
ma.L1 0.5471 1.147 0.477 0.633 -1.702 2.796
ar.S.L7 -1.1482 0.250 -4.600 0.000 -1.637 -0.659
ma.S.L7 0.3373 1.028 0.328 0.743 -1.677 2.351
sigma2 0.4214 0.299 1.409 0.159 -0.165 1.008
===================================================================================
Ljung-Box (L1) (Q): 1.57 Jarque-Bera (JB): 0.52
Prob(Q): 0.21 Prob(JB): 0.77
Heteroskedasticity (H): 0.63 Skew: 0.15
Prob(H) (two-sided): 0.66 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.50143038179452, Current Price: 123.1
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.904
Date: Wed, 09 Oct 2024 AIC 35.808
Time: 14:40:59 BIC 38.633
Sample: 0 HQIC 35.227
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2889 0.616 0.469 0.639 -0.918 1.496
ma.L1 -1.2113 0.755 -1.604 0.109 -2.692 0.269
ar.S.L7 -1.0127 0.230 -4.401 0.000 -1.464 -0.562
ma.S.L7 0.1107 0.308 0.359 0.719 -0.493 0.714
sigma2 0.2865 0.295 0.972 0.331 -0.291 0.864
===================================================================================
Ljung-Box (L1) (Q): 0.72 Jarque-Bera (JB): 0.71
Prob(Q): 0.40 Prob(JB): 0.70
Heteroskedasticity (H): 0.61 Skew: -0.23
Prob(H) (two-sided): 0.64 Kurtosis: 1.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.2755265040258, Current Price: 122.49
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.414
Date: Wed, 09 Oct 2024 AIC 34.828
Time: 14:40:59 BIC 37.652
Sample: 0 HQIC 34.247
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3259 1.130 -0.288 0.773 -2.542 1.890
ma.L1 0.4300 1.518 0.283 0.777 -2.545 3.405
ar.S.L7 -0.7187 0.458 -1.569 0.117 -1.616 0.179
ma.S.L7 -1.0000 6e+04 -1.67e-05 1.000 -1.18e+05 1.18e+05
sigma2 0.2378 1.43e+04 1.67e-05 1.000 -2.8e+04 2.8e+04
===================================================================================
Ljung-Box (L1) (Q): 2.06 Jarque-Bera (JB): 0.62
Prob(Q): 0.15 Prob(JB): 0.73
Heteroskedasticity (H): 0.53 Skew: -0.20
Prob(H) (two-sided): 0.56 Kurtosis: 2.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.65582199610171, Current Price: 122.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -7.773
Date: Wed, 09 Oct 2024 AIC 25.545
Time: 14:40:59 BIC 28.370
Sample: 0 HQIC 24.964
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4540 0.752 -0.603 0.546 -1.929 1.021
ma.L1 0.2063 0.873 0.236 0.813 -1.504 1.917
ar.S.L7 -0.6044 0.230 -2.632 0.008 -1.054 -0.154
ma.S.L7 -1.0001 4239.906 -0.000 1.000 -8311.062 8309.062
sigma2 0.1125 476.864 0.000 1.000 -934.524 934.749
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.79
Prob(Q): 0.77 Prob(JB): 0.67
Heteroskedasticity (H): 2.15 Skew: 0.26
Prob(H) (two-sided): 0.48 Kurtosis: 1.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.0962940217286, Current Price: 122.85
SELL EXECUTED at 122.85
SELL ORDER COMPLETED at 123.08
OPERATION PROFIT, GROSS 0.23999999999999488, NET -0.005920000000005116
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.782
Date: Wed, 09 Oct 2024 AIC 35.564
Time: 14:40:59 BIC 38.389
Sample: 0 HQIC 34.983
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2752 5.440 0.051 0.960 -10.387 10.938
ma.L1 -0.3662 5.283 -0.069 0.945 -10.721 9.988
ar.S.L7 -0.3785 0.882 -0.429 0.668 -2.107 1.350
ma.S.L7 -0.3971 1.637 -0.243 0.808 -3.606 2.811
sigma2 0.3912 0.372 1.052 0.293 -0.337 1.120
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 2.08
Prob(Q): 0.88 Prob(JB): 0.35
Heteroskedasticity (H): 7.25 Skew: 0.97
Prob(H) (two-sided): 0.08 Kurtosis: 3.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.55031341319567, Current Price: 122.92
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.469
Date: Wed, 09 Oct 2024 AIC 32.938
Time: 14:40:59 BIC 35.762
Sample: 0 HQIC 32.357
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6793 1.061 -0.640 0.522 -2.760 1.401
ma.L1 1.0000 3e+05 3.33e-06 1.000 -5.88e+05 5.88e+05
ar.S.L7 -0.5740 0.219 -2.618 0.009 -1.004 -0.144
ma.S.L7 1.0001 7101.543 0.000 1.000 -1.39e+04 1.39e+04
sigma2 0.1655 5.01e+04 3.3e-06 1.000 -9.82e+04 9.82e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 3.13
Prob(Q): 0.99 Prob(JB): 0.21
Heteroskedasticity (H): 1.44 Skew: 0.84
Prob(H) (two-sided): 0.73 Kurtosis: 4.71
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.90977758348971, Current Price: 122.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.115
Date: Wed, 09 Oct 2024 AIC 32.230
Time: 14:40:59 BIC 35.054
Sample: 0 HQIC 31.649
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3011 5.645 -0.053 0.957 -11.364 10.762
ma.L1 0.4362 5.707 0.076 0.939 -10.749 11.621
ar.S.L7 -0.5871 0.169 -3.475 0.001 -0.918 -0.256
ma.S.L7 1.0001 1.26e+04 7.97e-05 1.000 -2.46e+04 2.46e+04
sigma2 0.1949 2445.824 7.97e-05 1.000 -4793.532 4793.921
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 3.84
Prob(Q): 0.68 Prob(JB): 0.15
Heteroskedasticity (H): 0.17 Skew: 0.98
Prob(H) (two-sided): 0.11 Kurtosis: 4.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.9057490040215, Current Price: 123.01
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.488
Date: Wed, 09 Oct 2024 AIC 28.975
Time: 14:40:59 BIC 31.800
Sample: 0 HQIC 28.395
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6731 0.365 1.845 0.065 -0.042 1.388
ma.L1 -1.0000 1.1e+05 -9.09e-06 1.000 -2.16e+05 2.16e+05
ar.S.L7 -0.5525 0.161 -3.430 0.001 -0.868 -0.237
ma.S.L7 1.0000 3.05e+04 3.28e-05 1.000 -5.98e+04 5.98e+04
sigma2 0.1341 1.14e+04 1.17e-05 1.000 -2.24e+04 2.24e+04
===================================================================================
Ljung-Box (L1) (Q): 0.24 Jarque-Bera (JB): 5.83
Prob(Q): 0.62 Prob(JB): 0.05
Heteroskedasticity (H): 0.21 Skew: 1.36
Prob(H) (two-sided): 0.16 Kurtosis: 4.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.41033001364444, Current Price: 123.23
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.729
Date: Wed, 09 Oct 2024 AIC 31.457
Time: 14:40:59 BIC 34.282
Sample: 0 HQIC 30.877
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6107 0.575 1.062 0.288 -0.516 1.738
ma.L1 -1.0001 2086.402 -0.000 1.000 -4090.273 4088.273
ar.S.L7 -0.5024 0.246 -2.039 0.041 -0.985 -0.019
ma.S.L7 1.0001 3.12e+04 3.2e-05 1.000 -6.12e+04 6.12e+04
sigma2 0.1623 4772.328 3.4e-05 1.000 -9353.429 9353.754
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 6.08
Prob(Q): 0.61 Prob(JB): 0.05
Heteroskedasticity (H): 0.41 Skew: 1.45
Prob(H) (two-sided): 0.41 Kurtosis: 4.68
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.38631385822752, Current Price: 122.82
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.056
Date: Wed, 09 Oct 2024 AIC 32.111
Time: 14:40:59 BIC 34.936
Sample: 0 HQIC 31.530
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5509 0.773 0.713 0.476 -0.964 2.066
ma.L1 -0.8257 1.022 -0.808 0.419 -2.830 1.178
ar.S.L7 -0.5269 0.297 -1.776 0.076 -1.108 0.055
ma.S.L7 1.0002 6945.540 0.000 1.000 -1.36e+04 1.36e+04
sigma2 0.1838 1276.404 0.000 1.000 -2501.521 2501.889
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 2.20
Prob(Q): 0.96 Prob(JB): 0.33
Heteroskedasticity (H): 0.35 Skew: 0.91
Prob(H) (two-sided): 0.33 Kurtosis: 3.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.73870020497375, Current Price: 123.19
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -2.071
Date: Wed, 09 Oct 2024 AIC 14.142
Time: 14:40:59 BIC 16.967
Sample: 0 HQIC 13.562
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1050 11.608 -0.009 0.993 -22.857 22.647
ma.L1 0.0848 11.562 0.007 0.994 -22.576 22.745
ar.S.L7 0.0303 0.300 0.101 0.920 -0.557 0.618
ma.S.L7 -0.2577 0.424 -0.608 0.543 -1.088 0.572
sigma2 0.0784 0.057 1.387 0.166 -0.032 0.189
===================================================================================
Ljung-Box (L1) (Q): 1.21 Jarque-Bera (JB): 0.13
Prob(Q): 0.27 Prob(JB): 0.94
Heteroskedasticity (H): 3.18 Skew: -0.07
Prob(H) (two-sided): 0.29 Kurtosis: 2.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.61934269820607, Current Price: 123.38
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -0.742
Date: Wed, 09 Oct 2024 AIC 11.485
Time: 14:40:59 BIC 14.310
Sample: 0 HQIC 10.904
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4298 0.091 4.712 0.000 0.251 0.609
ma.L1 -0.2370 0.174 -1.361 0.174 -0.578 0.104
ar.S.L7 0.1212 0.189 0.641 0.522 -0.250 0.492
ma.S.L7 -1.0003 1627.069 -0.001 1.000 -3189.996 3187.996
sigma2 0.0383 62.399 0.001 1.000 -122.261 122.337
===================================================================================
Ljung-Box (L1) (Q): 0.26 Jarque-Bera (JB): 0.79
Prob(Q): 0.61 Prob(JB): 0.68
Heteroskedasticity (H): 1.68 Skew: 0.49
Prob(H) (two-sided): 0.63 Kurtosis: 2.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.40713673881157, Current Price: 121.34
BUY EXECUTED at 121.34
BUY ORDER COMPLETED at 121.35
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -8.574
Date: Wed, 09 Oct 2024 AIC 27.147
Time: 14:40:59 BIC 29.972
Sample: 0 HQIC 26.566
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2257 1.033 0.218 0.827 -1.799 2.251
ma.L1 1.0000 2.36e+04 4.24e-05 1.000 -4.62e+04 4.62e+04
ar.S.L7 -0.2127 0.092 -2.301 0.021 -0.394 -0.032
ma.S.L7 -1.9840 9.941 -0.200 0.842 -21.468 17.500
sigma2 0.0452 1064.217 4.24e-05 1.000 -2085.781 2085.872
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.36
Prob(Q): 0.99 Prob(JB): 0.51
Heteroskedasticity (H): 5.55 Skew: -0.76
Prob(H) (two-sided): 0.13 Kurtosis: 2.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.02813149519056, Current Price: 121.11
SELL EXECUTED at 121.11
SELL ORDER COMPLETED at 120.81
OPERATION PROFIT, GROSS -0.539999999999992, NET -0.782159999999992
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.811
Date: Wed, 09 Oct 2024 AIC 29.622
Time: 14:41:00 BIC 32.447
Sample: 0 HQIC 29.042
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2931 0.656 -0.447 0.655 -1.578 0.992
ma.L1 1.0000 9.07e+05 1.1e-06 1.000 -1.78e+06 1.78e+06
ar.S.L7 -0.2355 0.214 -1.099 0.272 -0.656 0.185
ma.S.L7 -0.5450 2.886 -0.189 0.850 -6.201 5.111
sigma2 0.2159 1.96e+05 1.1e-06 1.000 -3.84e+05 3.84e+05
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 3.07
Prob(Q): 0.74 Prob(JB): 0.22
Heteroskedasticity (H): 7.61 Skew: -1.11
Prob(H) (two-sided): 0.07 Kurtosis: 3.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.73785237693212, Current Price: 120.8
BUY EXECUTED at 120.8
BUY ORDER COMPLETED at 120.79
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.773
Date: Wed, 09 Oct 2024 AIC 31.547
Time: 14:41:00 BIC 34.372
Sample: 0 HQIC 30.966
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3370 0.460 -0.732 0.464 -1.240 0.566
ma.L1 1.0215 1.944 0.525 0.599 -2.789 4.832
ar.S.L7 -0.3370 0.177 -1.906 0.057 -0.684 0.010
ma.S.L7 -2.9200 12.565 -0.232 0.816 -27.548 21.708
sigma2 0.0284 0.256 0.111 0.912 -0.473 0.530
===================================================================================
Ljung-Box (L1) (Q): 0.38 Jarque-Bera (JB): 1.37
Prob(Q): 0.54 Prob(JB): 0.50
Heteroskedasticity (H): 12.67 Skew: -0.78
Prob(H) (two-sided): 0.03 Kurtosis: 2.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.1192437705876, Current Price: 120.26
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.608
Date: Wed, 09 Oct 2024 AIC 31.216
Time: 14:41:00 BIC 34.041
Sample: 0 HQIC 30.636
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3810 0.432 -0.883 0.377 -1.227 0.465
ma.L1 1.0000 5693.364 0.000 1.000 -1.12e+04 1.12e+04
ar.S.L7 -0.3398 0.230 -1.479 0.139 -0.790 0.110
ma.S.L7 -1.8933 6.179 -0.306 0.759 -14.004 10.217
sigma2 0.0684 389.250 0.000 1.000 -762.847 762.983
===================================================================================
Ljung-Box (L1) (Q): 0.54 Jarque-Bera (JB): 2.06
Prob(Q): 0.46 Prob(JB): 0.36
Heteroskedasticity (H): 14.85 Skew: -0.98
Prob(H) (two-sided): 0.02 Kurtosis: 2.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.18748808349171, Current Price: 120.05
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.553
Date: Wed, 09 Oct 2024 AIC 31.106
Time: 14:41:00 BIC 33.931
Sample: 0 HQIC 30.525
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3536 0.560 -0.631 0.528 -1.452 0.744
ma.L1 1.0001 397.006 0.003 0.998 -777.117 779.117
ar.S.L7 -0.3604 0.255 -1.414 0.157 -0.860 0.139
ma.S.L7 -1.5425 8.523 -0.181 0.856 -18.247 15.162
sigma2 0.0965 38.508 0.003 0.998 -75.377 75.570
===================================================================================
Ljung-Box (L1) (Q): 0.93 Jarque-Bera (JB): 1.49
Prob(Q): 0.34 Prob(JB): 0.47
Heteroskedasticity (H): 4.82 Skew: -0.81
Prob(H) (two-sided): 0.16 Kurtosis: 2.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.78960361369771, Current Price: 120.34
SELL EXECUTED at 120.34
SELL ORDER COMPLETED at 120.0
OPERATION PROFIT, GROSS -0.7900000000000063, NET -1.0307900000000063
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.630
Date: Wed, 09 Oct 2024 AIC 29.260
Time: 14:41:00 BIC 32.085
Sample: 0 HQIC 28.680
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2461 2.716 -0.091 0.928 -5.570 5.078
ma.L1 0.3597 2.625 0.137 0.891 -4.786 5.505
ar.S.L7 -1.3140 0.761 -1.726 0.084 -2.807 0.178
ma.S.L7 -0.2596 0.357 -0.728 0.467 -0.959 0.440
sigma2 0.2507 0.121 2.075 0.038 0.014 0.487
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 4.18
Prob(Q): 0.77 Prob(JB): 0.12
Heteroskedasticity (H): 16.80 Skew: -1.15
Prob(H) (two-sided): 0.02 Kurtosis: 4.57
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.02340719406679, Current Price: 119.89
BUY EXECUTED at 119.89
BUY ORDER COMPLETED at 119.28
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.335
Date: Wed, 09 Oct 2024 AIC 34.670
Time: 14:41:00 BIC 37.494
Sample: 0 HQIC 34.089
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5656 0.902 0.627 0.531 -1.202 2.333
ma.L1 -0.2948 1.200 -0.246 0.806 -2.647 2.058
ar.S.L7 0.4152 0.860 0.483 0.629 -1.270 2.100
ma.S.L7 -1.0000 1.05e+05 -9.54e-06 1.000 -2.05e+05 2.05e+05
sigma2 0.2271 2.38e+04 9.54e-06 1.000 -4.66e+04 4.66e+04
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 3.00
Prob(Q): 0.68 Prob(JB): 0.22
Heteroskedasticity (H): 2.27 Skew: -1.09
Prob(H) (two-sided): 0.45 Kurtosis: 3.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.83024769465163, Current Price: 119.26
SELL EXECUTED at 119.26
SELL ORDER COMPLETED at 118.96
OPERATION PROFIT, GROSS -0.3200000000000074, NET -0.5582400000000074
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.227
Date: Wed, 09 Oct 2024 AIC 32.454
Time: 14:41:00 BIC 35.279
Sample: 0 HQIC 31.873
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4632 0.749 0.618 0.536 -1.005 1.932
ma.L1 -5.1135 30.063 -0.170 0.865 -64.037 53.810
ar.S.L7 -1.0993 0.569 -1.932 0.053 -2.215 0.016
ma.S.L7 1.0018 431.113 0.002 0.998 -843.964 845.968
sigma2 0.0073 3.147 0.002 0.998 -6.160 6.175
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 0.61
Prob(Q): 0.70 Prob(JB): 0.74
Heteroskedasticity (H): 4.15 Skew: -0.48
Prob(H) (two-sided): 0.20 Kurtosis: 2.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.22693606413162, Current Price: 118.58
BUY EXECUTED at 118.58
BUY ORDER COMPLETED at 118.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.259
Date: Wed, 09 Oct 2024 AIC 32.518
Time: 14:41:00 BIC 35.342
Sample: 0 HQIC 31.937
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4524 0.893 0.506 0.613 -1.299 2.203
ma.L1 -7.6077 70.633 -0.108 0.914 -146.046 130.831
ar.S.L7 -1.1224 0.625 -1.795 0.073 -2.348 0.103
ma.S.L7 0.9896 66.125 0.015 0.988 -128.613 130.593
sigma2 0.0033 0.218 0.015 0.988 -0.424 0.431
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 0.30
Prob(Q): 0.71 Prob(JB): 0.86
Heteroskedasticity (H): 0.71 Skew: -0.11
Prob(H) (two-sided): 0.75 Kurtosis: 2.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.22882847814972, Current Price: 118.22
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.982
Date: Wed, 09 Oct 2024 AIC 31.963
Time: 14:41:00 BIC 34.788
Sample: 0 HQIC 31.383
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3530 0.616 0.573 0.567 -0.855 1.561
ma.L1 -22.4618 427.945 -0.052 0.958 -861.219 816.295
ar.S.L7 -1.1398 0.624 -1.827 0.068 -2.363 0.083
ma.S.L7 0.9979 330.236 0.003 0.998 -646.252 648.248
sigma2 0.0004 0.120 0.003 0.998 -0.235 0.236
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.18
Prob(Q): 0.84 Prob(JB): 0.92
Heteroskedasticity (H): 0.26 Skew: -0.08
Prob(H) (two-sided): 0.23 Kurtosis: 2.45
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.30950488928565, Current Price: 118.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.895
Date: Wed, 09 Oct 2024 AIC 31.789
Time: 14:41:00 BIC 34.614
Sample: 0 HQIC 31.209
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4093 0.704 0.581 0.561 -0.971 1.789
ma.L1 -17.7179 254.578 -0.070 0.945 -516.681 481.246
ar.S.L7 -1.1944 0.417 -2.861 0.004 -2.013 -0.376
ma.S.L7 0.9189 7.100 0.129 0.897 -12.996 14.834
sigma2 0.0006 0.018 0.036 0.972 -0.034 0.036
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.42
Prob(Q): 0.93 Prob(JB): 0.81
Heteroskedasticity (H): 0.15 Skew: -0.22
Prob(H) (two-sided): 0.09 Kurtosis: 2.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.70765209655146, Current Price: 117.46
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.060
Date: Wed, 09 Oct 2024 AIC 36.119
Time: 14:41:00 BIC 38.944
Sample: 0 HQIC 35.539
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2897 0.626 -0.463 0.643 -1.516 0.937
ma.L1 0.7996 0.436 1.834 0.067 -0.055 1.654
ar.S.L7 -0.9413 0.689 -1.365 0.172 -2.293 0.410
ma.S.L7 -11.1682 80.140 -0.139 0.889 -168.240 145.904
sigma2 0.0033 0.048 0.068 0.946 -0.091 0.098
===================================================================================
Ljung-Box (L1) (Q): 0.65 Jarque-Bera (JB): 1.49
Prob(Q): 0.42 Prob(JB): 0.47
Heteroskedasticity (H): 0.46 Skew: -0.19
Prob(H) (two-sided): 0.47 Kurtosis: 1.38
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.35862878537591, Current Price: 118.65
SELL EXECUTED at 118.65
SELL ORDER COMPLETED at 118.92
OPERATION PROFIT, GROSS 0.3299999999999983, NET 0.0924899999999983
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -38.557
Date: Wed, 09 Oct 2024 AIC 87.115
Time: 14:41:00 BIC 89.940
Sample: 0 HQIC 86.534
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -2.0091 9.987 -0.201 0.841 -21.584 17.566
ma.L1 1.3486 3.201 0.421 0.673 -4.924 7.622
ar.S.L7 -2.6106 10.540 -0.248 0.804 -23.269 18.048
ma.S.L7 -1.3627 11.180 -0.122 0.903 -23.275 20.550
sigma2 10.7245 100.407 0.107 0.915 -186.070 207.519
===================================================================================
Ljung-Box (L1) (Q): 1.21 Jarque-Bera (JB): 4.35
Prob(Q): 0.27 Prob(JB): 0.11
Heteroskedasticity (H): 1.46 Skew: -1.31
Prob(H) (two-sided): 0.72 Kurtosis: 4.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.92926055636018, Current Price: 119.05
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.061
Date: Wed, 09 Oct 2024 AIC 28.122
Time: 14:41:00 BIC 30.947
Sample: 0 HQIC 27.542
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5779 1.023 -0.565 0.572 -2.583 1.427
ma.L1 0.6148 0.875 0.703 0.482 -1.100 2.330
ar.S.L7 -1.0903 0.416 -2.621 0.009 -1.906 -0.275
ma.S.L7 1.0002 6115.619 0.000 1.000 -1.2e+04 1.2e+04
sigma2 0.1362 832.904 0.000 1.000 -1632.325 1632.597
===================================================================================
Ljung-Box (L1) (Q): 0.68 Jarque-Bera (JB): 0.38
Prob(Q): 0.41 Prob(JB): 0.83
Heteroskedasticity (H): 4.26 Skew: -0.18
Prob(H) (two-sided): 0.19 Kurtosis: 2.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.76139158480261, Current Price: 118.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.781
Date: Wed, 09 Oct 2024 AIC 31.562
Time: 14:41:00 BIC 34.387
Sample: 0 HQIC 30.981
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3237 1.675 -0.193 0.847 -3.606 2.959
ma.L1 0.1796 1.775 0.101 0.919 -3.299 3.659
ar.S.L7 -0.2242 0.412 -0.544 0.586 -1.031 0.583
ma.S.L7 -1.0001 4493.753 -0.000 1.000 -8808.593 8806.593
sigma2 0.1856 833.872 0.000 1.000 -1634.173 1634.544
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 1.26
Prob(Q): 0.74 Prob(JB): 0.53
Heteroskedasticity (H): 3.62 Skew: 0.33
Prob(H) (two-sided): 0.24 Kurtosis: 1.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.5696071700145, Current Price: 119.15
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.431
Date: Wed, 09 Oct 2024 AIC 34.862
Time: 14:41:01 BIC 37.686
Sample: 0 HQIC 34.281
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5774 1.360 0.424 0.671 -2.089 3.244
ma.L1 -0.4678 1.483 -0.315 0.752 -3.374 2.438
ar.S.L7 -0.5570 0.541 -1.029 0.304 -1.618 0.504
ma.S.L7 -0.2774 1.048 -0.265 0.791 -2.331 1.776
sigma2 0.3804 0.315 1.208 0.227 -0.237 0.997
===================================================================================
Ljung-Box (L1) (Q): 0.72 Jarque-Bera (JB): 0.45
Prob(Q): 0.40 Prob(JB): 0.80
Heteroskedasticity (H): 2.88 Skew: 0.07
Prob(H) (two-sided): 0.33 Kurtosis: 2.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.06082188227734, Current Price: 118.93
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.265
Date: Wed, 09 Oct 2024 AIC 34.529
Time: 14:41:01 BIC 37.354
Sample: 0 HQIC 33.949
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3783 0.754 0.502 0.616 -1.099 1.856
ma.L1 -2.9823 7.817 -0.382 0.703 -18.302 12.338
ar.S.L7 -0.5244 0.531 -0.987 0.324 -1.566 0.517
ma.S.L7 -3.3269 11.212 -0.297 0.767 -25.303 18.649
sigma2 0.0038 0.034 0.110 0.912 -0.063 0.071
===================================================================================
Ljung-Box (L1) (Q): 0.28 Jarque-Bera (JB): 0.34
Prob(Q): 0.59 Prob(JB): 0.84
Heteroskedasticity (H): 2.25 Skew: -0.00
Prob(H) (two-sided): 0.45 Kurtosis: 2.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.73217154917135, Current Price: 117.64
BUY EXECUTED at 117.64
BUY ORDER COMPLETED at 118.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.513
Date: Wed, 09 Oct 2024 AIC 37.025
Time: 14:41:01 BIC 39.850
Sample: 0 HQIC 36.445
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8673 0.835 -1.038 0.299 -2.505 0.770
ma.L1 0.7214 1.161 0.621 0.534 -1.554 2.997
ar.S.L7 -0.7207 0.692 -1.041 0.298 -2.077 0.636
ma.S.L7 -0.7609 4.519 -0.168 0.866 -9.618 8.096
sigma2 0.3378 1.415 0.239 0.811 -2.435 3.110
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 0.90
Prob(Q): 0.67 Prob(JB): 0.64
Heteroskedasticity (H): 2.47 Skew: 0.35
Prob(H) (two-sided): 0.40 Kurtosis: 1.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.77502040555228, Current Price: 118.13
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.249
Date: Wed, 09 Oct 2024 AIC 36.498
Time: 14:41:01 BIC 39.323
Sample: 0 HQIC 35.917
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3262 2.439 -0.134 0.894 -5.107 4.455
ma.L1 0.1645 2.333 0.071 0.944 -4.408 4.737
ar.S.L7 -0.7297 0.651 -1.122 0.262 -2.005 0.545
ma.S.L7 -1.0001 1.28e+04 -7.82e-05 1.000 -2.51e+04 2.51e+04
sigma2 0.2708 3463.874 7.82e-05 1.000 -6788.797 6789.339
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.86
Prob(Q): 0.76 Prob(JB): 0.65
Heteroskedasticity (H): 1.24 Skew: 0.53
Prob(H) (two-sided): 0.84 Kurtosis: 2.31
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.90629807819951, Current Price: 117.61
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.228
Date: Wed, 09 Oct 2024 AIC 34.456
Time: 14:41:01 BIC 37.281
Sample: 0 HQIC 33.876
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6897 0.515 -1.339 0.181 -1.699 0.320
ma.L1 0.5257 0.708 0.742 0.458 -0.862 1.914
ar.S.L7 -0.8192 0.298 -2.747 0.006 -1.404 -0.235
ma.S.L7 -1.0001 1.54e+04 -6.48e-05 1.000 -3.02e+04 3.02e+04
sigma2 0.2237 3449.556 6.48e-05 1.000 -6760.782 6761.229
===================================================================================
Ljung-Box (L1) (Q): 0.43 Jarque-Bera (JB): 1.05
Prob(Q): 0.51 Prob(JB): 0.59
Heteroskedasticity (H): 1.01 Skew: 0.53
Prob(H) (two-sided): 1.00 Kurtosis: 2.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.40057291595315, Current Price: 117.55
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.305
Date: Wed, 09 Oct 2024 AIC 32.610
Time: 14:41:01 BIC 35.435
Sample: 0 HQIC 32.030
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8483 0.653 -1.299 0.194 -2.128 0.431
ma.L1 0.6434 0.783 0.822 0.411 -0.891 2.177
ar.S.L7 -1.0596 0.488 -2.173 0.030 -2.015 -0.104
ma.S.L7 -1.0001 7467.086 -0.000 1.000 -1.46e+04 1.46e+04
sigma2 0.1933 1443.170 0.000 1.000 -2828.368 2828.755
===================================================================================
Ljung-Box (L1) (Q): 0.36 Jarque-Bera (JB): 1.12
Prob(Q): 0.55 Prob(JB): 0.57
Heteroskedasticity (H): 0.26 Skew: 0.69
Prob(H) (two-sided): 0.21 Kurtosis: 2.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.78350226192406, Current Price: 116.28
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.307
Date: Wed, 09 Oct 2024 AIC 34.615
Time: 14:41:01 BIC 37.439
Sample: 0 HQIC 34.034
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3008 4.955 -0.061 0.952 -10.013 9.411
ma.L1 0.2387 5.174 0.046 0.963 -9.901 10.379
ar.S.L7 -1.0140 0.641 -1.583 0.113 -2.270 0.242
ma.S.L7 -1.0002 5153.365 -0.000 1.000 -1.01e+04 1.01e+04
sigma2 0.2342 1207.141 0.000 1.000 -2365.720 2366.188
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.79
Prob(Q): 0.97 Prob(JB): 0.67
Heteroskedasticity (H): 0.54 Skew: 0.60
Prob(H) (two-sided): 0.56 Kurtosis: 3.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.43503657699058, Current Price: 116.31
SELL EXECUTED at 116.31
SELL ORDER COMPLETED at 115.13
OPERATION PROFIT, GROSS -2.8700000000000045, NET -3.1031300000000046
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.721
Date: Wed, 09 Oct 2024 AIC 35.441
Time: 14:41:01 BIC 38.266
Sample: 0 HQIC 34.861
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3267 1.458 -0.224 0.823 -3.184 2.530
ma.L1 0.1723 1.842 0.094 0.925 -3.438 3.783
ar.S.L7 -0.6575 0.426 -1.543 0.123 -1.493 0.178
ma.S.L7 -1.0003 2733.479 -0.000 1.000 -5358.520 5356.519
sigma2 0.2499 683.128 0.000 1.000 -1338.656 1339.156
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.43
Prob(Q): 0.89 Prob(JB): 0.81
Heteroskedasticity (H): 0.66 Skew: -0.30
Prob(H) (two-sided): 0.70 Kurtosis: 2.35
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.9404172926705, Current Price: 115.81
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.903
Date: Wed, 09 Oct 2024 AIC 35.806
Time: 14:41:01 BIC 38.631
Sample: 0 HQIC 35.225
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3547 1.045 -0.340 0.734 -2.402 1.693
ma.L1 0.1891 1.161 0.163 0.871 -2.087 2.466
ar.S.L7 -0.5939 0.312 -1.903 0.057 -1.206 0.018
ma.S.L7 -1.0001 1.11e+04 -8.99e-05 1.000 -2.18e+04 2.18e+04
sigma2 0.2564 2853.817 8.98e-05 1.000 -5593.122 5593.635
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.69
Prob(Q): 1.00 Prob(JB): 0.71
Heteroskedasticity (H): 0.19 Skew: -0.26
Prob(H) (two-sided): 0.13 Kurtosis: 1.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.19334541376324, Current Price: 116.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.131
Date: Wed, 09 Oct 2024 AIC 32.261
Time: 14:41:01 BIC 35.086
Sample: 0 HQIC 31.681
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0172 0.097 -10.535 0.000 -1.206 -0.828
ma.L1 1.0000 1.41e+04 7.1e-05 1.000 -2.76e+04 2.76e+04
ar.S.L7 -0.7043 0.212 -3.315 0.001 -1.121 -0.288
ma.S.L7 -1.0003 3258.695 -0.000 1.000 -6387.926 6385.925
sigma2 0.1726 2316.461 7.45e-05 1.000 -4540.007 4540.353
===================================================================================
Ljung-Box (L1) (Q): 1.10 Jarque-Bera (JB): 0.42
Prob(Q): 0.29 Prob(JB): 0.81
Heteroskedasticity (H): 0.13 Skew: 0.16
Prob(H) (two-sided): 0.07 Kurtosis: 2.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.09031053199868, Current Price: 116.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.332
Date: Wed, 09 Oct 2024 AIC 34.664
Time: 14:41:01 BIC 37.489
Sample: 0 HQIC 34.083
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2842 2.494 -0.114 0.909 -5.172 4.604
ma.L1 0.2108 2.530 0.083 0.934 -4.747 5.169
ar.S.L7 -0.6564 0.260 -2.525 0.012 -1.166 -0.147
ma.S.L7 -1.0001 9962.083 -0.000 1.000 -1.95e+04 1.95e+04
sigma2 0.2354 2344.872 0.000 1.000 -4595.630 4596.101
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.63
Prob(Q): 0.79 Prob(JB): 0.73
Heteroskedasticity (H): 0.43 Skew: -0.53
Prob(H) (two-sided): 0.43 Kurtosis: 2.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.03840685259279, Current Price: 116.04
BUY EXECUTED at 116.04
BUY ORDER COMPLETED at 116.79
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.374
Date: Wed, 09 Oct 2024 AIC 36.747
Time: 14:41:01 BIC 39.572
Sample: 0 HQIC 36.167
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8261 0.492 -1.680 0.093 -1.790 0.138
ma.L1 0.5466 0.703 0.778 0.437 -0.831 1.924
ar.S.L7 -0.4707 0.309 -1.525 0.127 -1.076 0.134
ma.S.L7 -1.0006 1839.288 -0.001 1.000 -3605.940 3603.939
sigma2 0.2665 490.283 0.001 1.000 -960.671 961.204
===================================================================================
Ljung-Box (L1) (Q): 0.23 Jarque-Bera (JB): 0.83
Prob(Q): 0.63 Prob(JB): 0.66
Heteroskedasticity (H): 0.48 Skew: -0.47
Prob(H) (two-sided): 0.50 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.28087068157168, Current Price: 116.68
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.996
Date: Wed, 09 Oct 2024 AIC 31.991
Time: 14:41:01 BIC 34.816
Sample: 0 HQIC 31.411
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6929 1.038 -0.667 0.505 -2.728 1.342
ma.L1 0.4425 1.339 0.331 0.741 -2.181 3.066
ar.S.L7 -0.9384 0.324 -2.898 0.004 -1.573 -0.304
ma.S.L7 0.0832 0.378 0.220 0.826 -0.659 0.825
sigma2 0.3158 0.204 1.545 0.122 -0.085 0.716
===================================================================================
Ljung-Box (L1) (Q): 1.18 Jarque-Bera (JB): 0.42
Prob(Q): 0.28 Prob(JB): 0.81
Heteroskedasticity (H): 0.75 Skew: -0.05
Prob(H) (two-sided): 0.79 Kurtosis: 2.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.18301708544985, Current Price: 115.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -7.912
Date: Wed, 09 Oct 2024 AIC 25.824
Time: 14:41:01 BIC 28.649
Sample: 0 HQIC 25.244
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7508 0.448 -1.677 0.094 -1.628 0.127
ma.L1 0.2800 0.466 0.601 0.548 -0.634 1.194
ar.S.L7 -0.9647 0.273 -3.538 0.000 -1.499 -0.430
ma.S.L7 0.2512 0.817 0.308 0.758 -1.350 1.852
sigma2 0.1918 0.165 1.165 0.244 -0.131 0.515
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 0.45
Prob(Q): 0.64 Prob(JB): 0.80
Heteroskedasticity (H): 1.78 Skew: 0.27
Prob(H) (two-sided): 0.59 Kurtosis: 2.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.4150540396795, Current Price: 115.83
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -8.863
Date: Wed, 09 Oct 2024 AIC 27.726
Time: 14:41:01 BIC 30.550
Sample: 0 HQIC 27.145
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6074 0.538 -1.129 0.259 -1.662 0.447
ma.L1 0.0017 0.514 0.003 0.997 -1.005 1.009
ar.S.L7 -0.8908 0.170 -5.239 0.000 -1.224 -0.558
ma.S.L7 0.3060 0.645 0.474 0.635 -0.959 1.571
sigma2 0.2187 0.172 1.271 0.204 -0.118 0.556
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 1.00
Prob(Q): 0.74 Prob(JB): 0.61
Heteroskedasticity (H): 0.95 Skew: 0.49
Prob(H) (two-sided): 0.96 Kurtosis: 2.05
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.72760161865095, Current Price: 115.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -7.141
Date: Wed, 09 Oct 2024 AIC 24.281
Time: 14:41:01 BIC 27.106
Sample: 0 HQIC 23.701
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7279 0.329 -2.214 0.027 -1.372 -0.084
ma.L1 0.2395 0.468 0.511 0.609 -0.678 1.157
ar.S.L7 -0.8314 0.187 -4.440 0.000 -1.198 -0.464
ma.S.L7 0.1867 0.530 0.352 0.725 -0.853 1.226
sigma2 0.1727 0.113 1.533 0.125 -0.048 0.394
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 0.82
Prob(Q): 0.64 Prob(JB): 0.66
Heteroskedasticity (H): 0.52 Skew: 0.19
Prob(H) (two-sided): 0.54 Kurtosis: 1.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.7675129275054, Current Price: 115.99
SELL EXECUTED at 115.99
SELL ORDER COMPLETED at 115.63
OPERATION PROFIT, GROSS -1.1600000000000108, NET -1.3924200000000109
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -6.322
Date: Wed, 09 Oct 2024 AIC 22.644
Time: 14:41:01 BIC 25.468
Sample: 0 HQIC 22.063
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6765 0.103 -6.574 0.000 -0.878 -0.475
ma.L1 1.0000 4422.157 0.000 1.000 -8666.269 8668.269
ar.S.L7 -0.5967 0.111 -5.385 0.000 -0.814 -0.380
ma.S.L7 1.0001 5915.616 0.000 1.000 -1.16e+04 1.16e+04
sigma2 0.0750 689.793 0.000 1.000 -1351.895 1352.045
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 1.15
Prob(Q): 0.70 Prob(JB): 0.56
Heteroskedasticity (H): 0.40 Skew: 0.65
Prob(H) (two-sided): 0.40 Kurtosis: 2.35
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.14309938205555, Current Price: 115.14
BUY EXECUTED at 115.14
BUY ORDER COMPLETED at 115.17
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -5.223
Date: Wed, 09 Oct 2024 AIC 20.447
Time: 14:41:01 BIC 23.271
Sample: 0 HQIC 19.866
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0908 0.823 0.110 0.912 -1.522 1.703
ma.L1 -1.0000 2618.694 -0.000 1.000 -5133.546 5131.546
ar.S.L7 -0.7283 0.163 -4.475 0.000 -1.047 -0.409
ma.S.L7 1.0000 1.83e+04 5.47e-05 1.000 -3.59e+04 3.59e+04
sigma2 0.0740 1322.334 5.6e-05 1.000 -2591.653 2591.801
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.07
Prob(Q): 0.73 Prob(JB): 0.97
Heteroskedasticity (H): 0.88 Skew: 0.16
Prob(H) (two-sided): 0.91 Kurtosis: 2.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.91674638394389, Current Price: 114.52
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -8.142
Date: Wed, 09 Oct 2024 AIC 26.284
Time: 14:41:01 BIC 29.108
Sample: 0 HQIC 25.703
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6644 0.700 -0.949 0.343 -2.036 0.708
ma.L1 1.0001 4267.874 0.000 1.000 -8363.880 8365.880
ar.S.L7 -0.4940 0.402 -1.230 0.219 -1.281 0.293
ma.S.L7 1.4164 7.501 0.189 0.850 -13.285 16.118
sigma2 0.0648 276.113 0.000 1.000 -541.107 541.236
===================================================================================
Ljung-Box (L1) (Q): 0.33 Jarque-Bera (JB): 0.98
Prob(Q): 0.57 Prob(JB): 0.61
Heteroskedasticity (H): 0.66 Skew: 0.62
Prob(H) (two-sided): 0.70 Kurtosis: 3.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.39261842516629, Current Price: 114.92
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -5.517
Date: Wed, 09 Oct 2024 AIC 21.034
Time: 14:41:01 BIC 23.859
Sample: 0 HQIC 20.454
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2630 0.452 0.582 0.561 -0.623 1.149
ma.L1 -1.0000 2546.124 -0.000 1.000 -4991.312 4989.312
ar.S.L7 -0.6468 0.093 -6.927 0.000 -0.830 -0.464
ma.S.L7 1.0010 781.310 0.001 0.999 -1530.338 1532.341
sigma2 0.0781 231.582 0.000 1.000 -453.815 453.971
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.70
Prob(Q): 0.90 Prob(JB): 0.70
Heteroskedasticity (H): 1.41 Skew: 0.12
Prob(H) (two-sided): 0.75 Kurtosis: 1.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.0421443912838, Current Price: 114.33
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -5.941
Date: Wed, 09 Oct 2024 AIC 21.881
Time: 14:41:01 BIC 24.706
Sample: 0 HQIC 21.301
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2702 0.419 0.645 0.519 -0.551 1.091
ma.L1 -1.0000 1.16e+04 -8.61e-05 1.000 -2.28e+04 2.28e+04
ar.S.L7 -0.6308 0.093 -6.773 0.000 -0.813 -0.448
ma.S.L7 0.9999 7168.741 0.000 1.000 -1.4e+04 1.41e+04
sigma2 0.0835 1384.566 6.03e-05 1.000 -2713.616 2713.783
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.77
Prob(Q): 0.84 Prob(JB): 0.68
Heteroskedasticity (H): 0.75 Skew: -0.05
Prob(H) (two-sided): 0.79 Kurtosis: 1.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.04850456942938, Current Price: 114.59
SELL EXECUTED at 114.59
SELL ORDER COMPLETED at 114.75
OPERATION PROFIT, GROSS -0.4200000000000017, NET -0.6499200000000017
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -7.712
Date: Wed, 09 Oct 2024 AIC 25.425
Time: 14:41:01 BIC 28.249
Sample: 0 HQIC 24.844
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5551 1.243 -0.446 0.655 -2.992 1.882
ma.L1 0.6739 2.046 0.329 0.742 -3.337 4.684
ar.S.L7 -0.4552 0.305 -1.490 0.136 -1.054 0.143
ma.S.L7 1.0003 8310.685 0.000 1.000 -1.63e+04 1.63e+04
sigma2 0.1097 912.072 0.000 1.000 -1787.519 1787.738
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 0.86
Prob(Q): 0.68 Prob(JB): 0.65
Heteroskedasticity (H): 0.36 Skew: 0.62
Prob(H) (two-sided): 0.35 Kurtosis: 3.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.33191377764399, Current Price: 114.91
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -4.577
Date: Wed, 09 Oct 2024 AIC 19.154
Time: 14:41:02 BIC 21.979
Sample: 0 HQIC 18.573
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5225 0.164 -3.184 0.001 -0.844 -0.201
ma.L1 1.0001 850.478 0.001 0.999 -1665.906 1667.907
ar.S.L7 -0.2191 0.163 -1.346 0.178 -0.538 0.100
ma.S.L7 0.1374 0.729 0.189 0.850 -1.291 1.566
sigma2 0.0990 84.303 0.001 0.999 -165.133 165.331
===================================================================================
Ljung-Box (L1) (Q): 0.62 Jarque-Bera (JB): 0.40
Prob(Q): 0.43 Prob(JB): 0.82
Heteroskedasticity (H): 0.96 Skew: 0.02
Prob(H) (two-sided): 0.97 Kurtosis: 2.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.58926953247192, Current Price: 114.74
BUY EXECUTED at 114.74
BUY ORDER COMPLETED at 114.81
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -5.115
Date: Wed, 09 Oct 2024 AIC 20.230
Time: 14:41:02 BIC 23.055
Sample: 0 HQIC 19.650
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3240 0.704 -0.460 0.645 -1.704 1.056
ma.L1 0.4533 0.897 0.505 0.613 -1.305 2.212
ar.S.L7 -0.3230 0.172 -1.877 0.060 -0.660 0.014
ma.S.L7 0.7609 2.451 0.310 0.756 -4.044 5.566
sigma2 0.0963 0.226 0.426 0.670 -0.347 0.539
===================================================================================
Ljung-Box (L1) (Q): 0.27 Jarque-Bera (JB): 0.90
Prob(Q): 0.60 Prob(JB): 0.64
Heteroskedasticity (H): 3.62 Skew: 0.13
Prob(H) (two-sided): 0.24 Kurtosis: 1.74
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.65753986081258, Current Price: 114.69
SELL EXECUTED at 114.69
SELL ORDER COMPLETED at 113.81
OPERATION PROFIT, GROSS -1.0, NET -1.22862
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -7.552
Date: Wed, 09 Oct 2024 AIC 25.103
Time: 14:41:02 BIC 27.928
Sample: 0 HQIC 24.523
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2602 6.600 -0.039 0.969 -13.197 12.676
ma.L1 4.9325 157.514 0.031 0.975 -303.789 313.654
ar.S.L7 -0.2163 0.713 -0.304 0.761 -1.613 1.180
ma.S.L7 0.0231 1.237 0.019 0.985 -2.401 2.448
sigma2 0.0077 0.490 0.016 0.988 -0.953 0.969
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.81
Prob(Q): 0.84 Prob(JB): 0.67
Heteroskedasticity (H): 2.53 Skew: -0.28
Prob(H) (two-sided): 0.39 Kurtosis: 1.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.1489045202717, Current Price: 112.96
BUY EXECUTED at 112.96
BUY ORDER COMPLETED at 113.25
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -6.829
Date: Wed, 09 Oct 2024 AIC 23.659
Time: 14:41:02 BIC 26.483
Sample: 0 HQIC 23.078
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.4059 0.448 -3.138 0.002 -2.284 -0.528
ma.L1 1.0000 1.35e+04 7.43e-05 1.000 -2.64e+04 2.64e+04
ar.S.L7 -0.2379 0.152 -1.568 0.117 -0.535 0.059
ma.S.L7 0.0914 0.671 0.136 0.892 -1.223 1.406
sigma2 0.1418 1907.411 7.43e-05 1.000 -3738.316 3738.599
===================================================================================
Ljung-Box (L1) (Q): 0.92 Jarque-Bera (JB): 0.92
Prob(Q): 0.34 Prob(JB): 0.63
Heteroskedasticity (H): 0.86 Skew: -0.52
Prob(H) (two-sided): 0.89 Kurtosis: 2.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.88649203227459, Current Price: 113.07
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -7.935
Date: Wed, 09 Oct 2024 AIC 25.869
Time: 14:41:02 BIC 28.694
Sample: 0 HQIC 25.289
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6341 1.174 -0.540 0.589 -2.935 1.667
ma.L1 0.3756 1.454 0.258 0.796 -2.474 3.225
ar.S.L7 0.0372 0.266 0.140 0.889 -0.484 0.559
ma.S.L7 1.0003 2206.316 0.000 1.000 -4323.299 4325.299
sigma2 0.1159 255.716 0.000 1.000 -501.078 501.310
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 1.26
Prob(Q): 0.78 Prob(JB): 0.53
Heteroskedasticity (H): 3.18 Skew: 0.75
Prob(H) (two-sided): 0.29 Kurtosis: 2.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.36689241643886, Current Price: 111.19
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.965
Date: Wed, 09 Oct 2024 AIC 31.930
Time: 14:41:02 BIC 34.755
Sample: 0 HQIC 31.349
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0490 0.318 -3.297 0.001 -1.673 -0.425
ma.L1 0.7058 0.533 1.323 0.186 -0.339 1.751
ar.S.L7 -0.0334 0.348 -0.096 0.924 -0.716 0.649
ma.S.L7 0.3434 0.996 0.345 0.730 -1.608 2.295
sigma2 0.2908 0.247 1.180 0.238 -0.192 0.774
===================================================================================
Ljung-Box (L1) (Q): 0.92 Jarque-Bera (JB): 0.77
Prob(Q): 0.34 Prob(JB): 0.68
Heteroskedasticity (H): 3.79 Skew: 0.17
Prob(H) (two-sided): 0.23 Kurtosis: 1.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.24275458222048, Current Price: 111.1
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.988
Date: Wed, 09 Oct 2024 AIC 33.976
Time: 14:41:02 BIC 36.801
Sample: 0 HQIC 33.396
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7807 1.031 -0.757 0.449 -2.802 1.241
ma.L1 0.6114 1.243 0.492 0.623 -1.825 3.048
ar.S.L7 -0.0530 0.666 -0.080 0.936 -1.358 1.252
ma.S.L7 0.0708 0.849 0.083 0.934 -1.594 1.736
sigma2 0.3651 0.362 1.009 0.313 -0.344 1.074
===================================================================================
Ljung-Box (L1) (Q): 0.60 Jarque-Bera (JB): 0.77
Prob(Q): 0.44 Prob(JB): 0.68
Heteroskedasticity (H): 3.98 Skew: 0.33
Prob(H) (two-sided): 0.21 Kurtosis: 2.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.29979000744434, Current Price: 112.13
SELL EXECUTED at 112.13
SELL ORDER COMPLETED at 112.38
OPERATION PROFIT, GROSS -0.8700000000000045, NET -1.0956300000000045
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.025
Date: Wed, 09 Oct 2024 AIC 34.050
Time: 14:41:02 BIC 36.875
Sample: 0 HQIC 33.469
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2755 5.316 0.052 0.959 -10.143 10.694
ma.L1 -0.1888 5.571 -0.034 0.973 -11.108 10.730
ar.S.L7 0.2870 0.750 0.383 0.702 -1.183 1.757
ma.S.L7 0.4687 1.647 0.284 0.776 -2.760 3.698
sigma2 0.3376 0.173 1.947 0.052 -0.002 0.677
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.76
Prob(Q): 0.75 Prob(JB): 0.68
Heteroskedasticity (H): 3.40 Skew: -0.59
Prob(H) (two-sided): 0.26 Kurtosis: 3.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.8363238662443, Current Price: 112.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.941
Date: Wed, 09 Oct 2024 AIC 35.882
Time: 14:41:02 BIC 38.707
Sample: 0 HQIC 35.301
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2176 2.285 0.095 0.924 -4.262 4.697
ma.L1 -0.0408 2.196 -0.019 0.985 -4.345 4.263
ar.S.L7 0.4055 0.604 0.671 0.502 -0.778 1.589
ma.S.L7 1.0000 4.78e+04 2.09e-05 1.000 -9.38e+04 9.38e+04
sigma2 0.2582 1.24e+04 2.09e-05 1.000 -2.42e+04 2.42e+04
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 1.60
Prob(Q): 0.76 Prob(JB): 0.45
Heteroskedasticity (H): 3.89 Skew: -0.85
Prob(H) (two-sided): 0.22 Kurtosis: 3.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.66568539642505, Current Price: 113.02
BUY EXECUTED at 113.02
BUY ORDER COMPLETED at 113.39
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.684
Date: Wed, 09 Oct 2024 AIC 35.368
Time: 14:41:02 BIC 38.193
Sample: 0 HQIC 34.787
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1455 4.784 0.030 0.976 -9.231 9.522
ma.L1 -0.0725 4.810 -0.015 0.988 -9.500 9.355
ar.S.L7 0.2747 1.258 0.218 0.827 -2.191 2.741
ma.S.L7 0.1266 1.242 0.102 0.919 -2.307 2.560
sigma2 0.4095 0.266 1.537 0.124 -0.113 0.932
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.46
Prob(Q): 0.80 Prob(JB): 0.79
Heteroskedasticity (H): 3.09 Skew: -0.42
Prob(H) (two-sided): 0.30 Kurtosis: 2.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.88897166362489, Current Price: 113.27
SELL EXECUTED at 113.27
SELL ORDER COMPLETED at 112.68
OPERATION PROFIT, GROSS -0.7099999999999937, NET -0.9360699999999937
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.668
Date: Wed, 09 Oct 2024 AIC 39.337
Time: 14:41:02 BIC 42.161
Sample: 0 HQIC 38.756
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5636 0.733 0.769 0.442 -0.872 2.000
ma.L1 -0.2717 1.030 -0.264 0.792 -2.291 1.748
ar.S.L7 -0.0894 1.000 -0.089 0.929 -2.050 1.871
ma.S.L7 -1.0002 7768.751 -0.000 1.000 -1.52e+04 1.52e+04
sigma2 0.3296 2560.678 0.000 1.000 -5018.508 5019.167
===================================================================================
Ljung-Box (L1) (Q): 0.51 Jarque-Bera (JB): 1.06
Prob(Q): 0.48 Prob(JB): 0.59
Heteroskedasticity (H): 3.52 Skew: -0.69
Prob(H) (two-sided): 0.25 Kurtosis: 2.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.95997510242313, Current Price: 112.2
BUY EXECUTED at 112.2
BUY ORDER COMPLETED at 113.25
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.108
Date: Wed, 09 Oct 2024 AIC 42.215
Time: 14:41:02 BIC 45.040
Sample: 0 HQIC 41.635
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.1137 0.168 -6.619 0.000 -1.443 -0.784
ma.L1 1.0028 33.474 0.030 0.976 -64.605 66.611
ar.S.L7 -2.692e-05 0.106 -0.000 1.000 -0.208 0.208
ma.S.L7 3.8862 14.482 0.268 0.788 -24.499 32.271
sigma2 0.0407 1.547 0.026 0.979 -2.991 3.072
===================================================================================
Ljung-Box (L1) (Q): 0.37 Jarque-Bera (JB): 0.60
Prob(Q): 0.55 Prob(JB): 0.74
Heteroskedasticity (H): 4.65 Skew: 0.36
Prob(H) (two-sided): 0.17 Kurtosis: 2.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 110.91701144264346, Current Price: 114.16
SELL EXECUTED at 114.16
SELL ORDER COMPLETED at 114.12
OPERATION PROFIT, GROSS 0.8700000000000045, NET 0.6426300000000045
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.942
Date: Wed, 09 Oct 2024 AIC 49.885
Time: 14:41:02 BIC 52.709
Sample: 0 HQIC 49.304
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8063 0.230 -3.513 0.000 -1.256 -0.356
ma.L1 1.0000 9006.446 0.000 1.000 -1.77e+04 1.77e+04
ar.S.L7 -1.1305 0.611 -1.850 0.064 -2.328 0.067
ma.S.L7 -0.4279 1.972 -0.217 0.828 -4.292 3.437
sigma2 1.0197 9184.484 0.000 1.000 -1.8e+04 1.8e+04
===================================================================================
Ljung-Box (L1) (Q): 0.58 Jarque-Bera (JB): 0.60
Prob(Q): 0.45 Prob(JB): 0.74
Heteroskedasticity (H): 3.22 Skew: 0.36
Prob(H) (two-sided): 0.28 Kurtosis: 2.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.70718470055967, Current Price: 114.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.860
Date: Wed, 09 Oct 2024 AIC 49.720
Time: 14:41:02 BIC 52.544
Sample: 0 HQIC 49.139
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2014 1.165 -0.173 0.863 -2.484 2.082
ma.L1 -0.0745 1.087 -0.068 0.945 -2.206 2.057
ar.S.L7 -0.7951 0.831 -0.957 0.339 -2.424 0.834
ma.S.L7 -1.0009 1632.869 -0.001 1.000 -3201.366 3199.364
sigma2 0.7479 1221.696 0.001 1.000 -2393.731 2395.227
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.83
Prob(Q): 0.91 Prob(JB): 0.66
Heteroskedasticity (H): 2.51 Skew: 0.06
Prob(H) (two-sided): 0.39 Kurtosis: 1.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.97424793304995, Current Price: 113.68
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.699
Date: Wed, 09 Oct 2024 AIC 49.399
Time: 14:41:02 BIC 52.224
Sample: 0 HQIC 48.818
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1475 1.302 -0.113 0.910 -2.699 2.404
ma.L1 -0.1394 1.018 -0.137 0.891 -2.135 1.856
ar.S.L7 -0.8794 0.605 -1.454 0.146 -2.065 0.306
ma.S.L7 -1.0002 4105.785 -0.000 1.000 -8048.190 8046.190
sigma2 0.7302 2998.469 0.000 1.000 -5876.161 5877.621
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.74
Prob(Q): 0.97 Prob(JB): 0.69
Heteroskedasticity (H): 1.61 Skew: 0.05
Prob(H) (two-sided): 0.66 Kurtosis: 1.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.77301743051032, Current Price: 114.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.324
Date: Wed, 09 Oct 2024 AIC 48.647
Time: 14:41:02 BIC 51.472
Sample: 0 HQIC 48.067
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1035 1.501 -0.069 0.945 -3.046 2.839
ma.L1 -0.1716 1.224 -0.140 0.889 -2.571 2.228
ar.S.L7 -0.9356 0.554 -1.690 0.091 -2.021 0.150
ma.S.L7 -1.0001 1.4e+04 -7.16e-05 1.000 -2.74e+04 2.74e+04
sigma2 0.6892 9624.694 7.16e-05 1.000 -1.89e+04 1.89e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.72
Prob(Q): 0.98 Prob(JB): 0.70
Heteroskedasticity (H): 0.92 Skew: 0.04
Prob(H) (two-sided): 0.94 Kurtosis: 1.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.1286759579506, Current Price: 113.64
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.495
Date: Wed, 09 Oct 2024 AIC 46.990
Time: 14:41:02 BIC 49.815
Sample: 0 HQIC 46.410
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1057 1.978 0.053 0.957 -3.771 3.982
ma.L1 -0.2587 1.722 -0.150 0.881 -3.635 3.117
ar.S.L7 -1.2468 0.758 -1.644 0.100 -2.733 0.240
ma.S.L7 -0.3344 1.080 -0.310 0.757 -2.451 1.782
sigma2 0.9614 0.679 1.416 0.157 -0.369 2.292
===================================================================================
Ljung-Box (L1) (Q): 0.32 Jarque-Bera (JB): 0.40
Prob(Q): 0.57 Prob(JB): 0.82
Heteroskedasticity (H): 0.35 Skew: -0.06
Prob(H) (two-sided): 0.33 Kurtosis: 2.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.37420927602692, Current Price: 113.51
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.267
Date: Wed, 09 Oct 2024 AIC 48.534
Time: 14:41:02 BIC 51.359
Sample: 0 HQIC 47.953
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2070 1.402 -0.148 0.883 -2.956 2.542
ma.L1 -0.0240 1.277 -0.019 0.985 -2.526 2.478
ar.S.L7 -0.7727 0.650 -1.188 0.235 -2.047 0.502
ma.S.L7 -1.0002 6430.824 -0.000 1.000 -1.26e+04 1.26e+04
sigma2 0.6832 4394.015 0.000 1.000 -8611.427 8612.794
===================================================================================
Ljung-Box (L1) (Q): 0.85 Jarque-Bera (JB): 0.47
Prob(Q): 0.36 Prob(JB): 0.79
Heteroskedasticity (H): 1.33 Skew: -0.32
Prob(H) (two-sided): 0.79 Kurtosis: 2.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.13271495799762, Current Price: 112.93
BUY EXECUTED at 112.93
BUY ORDER COMPLETED at 113.36
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.178
Date: Wed, 09 Oct 2024 AIC 48.356
Time: 14:41:02 BIC 51.181
Sample: 0 HQIC 47.775
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5131 0.581 -0.883 0.377 -1.652 0.626
ma.L1 0.1020 0.815 0.125 0.900 -1.496 1.700
ar.S.L7 -0.7620 1.113 -0.685 0.494 -2.943 1.419
ma.S.L7 -0.6840 5.061 -0.135 0.892 -10.603 9.235
sigma2 0.8669 3.239 0.268 0.789 -5.481 7.215
===================================================================================
Ljung-Box (L1) (Q): 2.34 Jarque-Bera (JB): 1.14
Prob(Q): 0.13 Prob(JB): 0.57
Heteroskedasticity (H): 1.08 Skew: -0.32
Prob(H) (two-sided): 0.94 Kurtosis: 1.69
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 111.22122880122386, Current Price: 113.32
SELL EXECUTED at 113.32
SELL ORDER COMPLETED at 113.89
OPERATION PROFIT, GROSS 0.5300000000000011, NET 0.30275000000000113
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.147
Date: Wed, 09 Oct 2024 AIC 50.293
Time: 14:41:02 BIC 53.118
Sample: 0 HQIC 49.712
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3081 1.061 -0.290 0.771 -2.388 1.771
ma.L1 -0.0215 1.147 -0.019 0.985 -2.269 2.226
ar.S.L7 -0.5506 1.325 -0.416 0.678 -3.147 2.046
ma.S.L7 -0.2419 1.942 -0.125 0.901 -4.048 3.565
sigma2 1.2691 0.954 1.330 0.183 -0.601 3.139
===================================================================================
Ljung-Box (L1) (Q): 0.81 Jarque-Bera (JB): 0.15
Prob(Q): 0.37 Prob(JB): 0.93
Heteroskedasticity (H): 0.44 Skew: -0.06
Prob(H) (two-sided): 0.45 Kurtosis: 2.49
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.99317308631701, Current Price: 113.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.246
Date: Wed, 09 Oct 2024 AIC 48.493
Time: 14:41:02 BIC 51.317
Sample: 0 HQIC 47.912
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2985 0.843 -0.354 0.723 -1.952 1.355
ma.L1 -0.0067 0.956 -0.007 0.994 -1.880 1.866
ar.S.L7 -0.8810 0.425 -2.071 0.038 -1.715 -0.047
ma.S.L7 1.0000 2.97e+04 3.37e-05 1.000 -5.81e+04 5.81e+04
sigma2 0.6811 2.02e+04 3.37e-05 1.000 -3.96e+04 3.96e+04
===================================================================================
Ljung-Box (L1) (Q): 0.26 Jarque-Bera (JB): 0.59
Prob(Q): 0.61 Prob(JB): 0.74
Heteroskedasticity (H): 0.22 Skew: -0.51
Prob(H) (two-sided): 0.17 Kurtosis: 2.74
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.0634077674092, Current Price: 113.23
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.387
Date: Wed, 09 Oct 2024 AIC 46.774
Time: 14:41:02 BIC 49.599
Sample: 0 HQIC 46.194
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4880 0.798 -0.611 0.541 -2.052 1.076
ma.L1 0.1444 0.804 0.180 0.857 -1.431 1.720
ar.S.L7 -0.8697 0.588 -1.479 0.139 -2.022 0.283
ma.S.L7 1.0000 5.53e+04 1.81e-05 1.000 -1.08e+05 1.08e+05
sigma2 0.5765 3.19e+04 1.81e-05 1.000 -6.25e+04 6.25e+04
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 0.43
Prob(Q): 0.68 Prob(JB): 0.81
Heteroskedasticity (H): 0.09 Skew: -0.05
Prob(H) (two-sided): 0.04 Kurtosis: 2.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.95767818176266, Current Price: 113.15
BUY EXECUTED at 113.15
BUY ORDER COMPLETED at 112.65
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.162
Date: Wed, 09 Oct 2024 AIC 46.324
Time: 14:41:02 BIC 49.149
Sample: 0 HQIC 45.744
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2131 0.720 -0.296 0.767 -1.625 1.198
ma.L1 -8.4400 49.608 -0.170 0.865 -105.670 88.790
ar.S.L7 -0.7821 0.450 -1.739 0.082 -1.664 0.099
ma.S.L7 1.5289 3.571 0.428 0.669 -5.471 8.529
sigma2 0.0043 0.054 0.079 0.937 -0.102 0.111
===================================================================================
Ljung-Box (L1) (Q): 0.51 Jarque-Bera (JB): 0.76
Prob(Q): 0.47 Prob(JB): 0.68
Heteroskedasticity (H): 0.14 Skew: 0.56
Prob(H) (two-sided): 0.08 Kurtosis: 2.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.96748816882383, Current Price: 113.22
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.684
Date: Wed, 09 Oct 2024 AIC 43.368
Time: 14:41:02 BIC 46.193
Sample: 0 HQIC 42.788
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4543 0.423 -1.073 0.283 -1.284 0.375
ma.L1 -0.0983 0.515 -0.191 0.849 -1.108 0.912
ar.S.L7 -0.7887 0.321 -2.454 0.014 -1.418 -0.159
ma.S.L7 1.0000 5.99e+04 1.67e-05 1.000 -1.17e+05 1.17e+05
sigma2 0.4440 2.66e+04 1.67e-05 1.000 -5.22e+04 5.22e+04
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 1.40
Prob(Q): 0.73 Prob(JB): 0.50
Heteroskedasticity (H): 0.18 Skew: 0.80
Prob(H) (two-sided): 0.12 Kurtosis: 2.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.53213091474511, Current Price: 114.17
SELL EXECUTED at 114.17
SELL ORDER COMPLETED at 114.72
OPERATION PROFIT, GROSS 2.069999999999993, NET 1.842629999999993
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.785
Date: Wed, 09 Oct 2024 AIC 41.570
Time: 14:41:03 BIC 44.394
Sample: 0 HQIC 40.989
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0896 0.794 0.113 0.910 -1.466 1.645
ma.L1 -0.5343 0.834 -0.640 0.522 -2.169 1.101
ar.S.L7 -0.7912 0.280 -2.829 0.005 -1.339 -0.243
ma.S.L7 1.0000 4.11e+04 2.43e-05 1.000 -8.06e+04 8.06e+04
sigma2 0.4001 1.65e+04 2.43e-05 1.000 -3.23e+04 3.23e+04
===================================================================================
Ljung-Box (L1) (Q): 1.09 Jarque-Bera (JB): 2.03
Prob(Q): 0.30 Prob(JB): 0.36
Heteroskedasticity (H): 0.17 Skew: 0.86
Prob(H) (two-sided): 0.12 Kurtosis: 3.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.29848948988668, Current Price: 113.76
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -8.002
Date: Wed, 09 Oct 2024 AIC 26.004
Time: 14:41:03 BIC 28.829
Sample: 0 HQIC 25.424
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4377 0.064 -6.786 0.000 -0.564 -0.311
ma.L1 1.0000 4.6e+04 2.17e-05 1.000 -9.02e+04 9.02e+04
ar.S.L7 -0.0801 0.109 -0.737 0.461 -0.293 0.133
ma.S.L7 -0.5831 0.539 -1.082 0.279 -1.639 0.473
sigma2 0.1608 7399.509 2.17e-05 1.000 -1.45e+04 1.45e+04
===================================================================================
Ljung-Box (L1) (Q): 2.71 Jarque-Bera (JB): 0.84
Prob(Q): 0.10 Prob(JB): 0.66
Heteroskedasticity (H): 0.43 Skew: -0.04
Prob(H) (two-sided): 0.43 Kurtosis: 1.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.12899790232338, Current Price: 113.02
BUY EXECUTED at 113.02
BUY ORDER COMPLETED at 113.6
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.642
Date: Wed, 09 Oct 2024 AIC 33.284
Time: 14:41:03 BIC 36.109
Sample: 0 HQIC 32.704
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3972 0.387 -1.025 0.305 -1.157 0.362
ma.L1 1.0000 8025.238 0.000 1.000 -1.57e+04 1.57e+04
ar.S.L7 -0.0552 0.135 -0.410 0.682 -0.319 0.209
ma.S.L7 -1.0002 2649.452 -0.000 1.000 -5193.830 5191.830
sigma2 0.2033 1467.324 0.000 1.000 -2875.700 2876.106
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.26
Prob(Q): 0.95 Prob(JB): 0.53
Heteroskedasticity (H): 1.09 Skew: -0.50
Prob(H) (two-sided): 0.93 Kurtosis: 1.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.59988865052694, Current Price: 113.61
SELL EXECUTED at 113.61
SELL ORDER COMPLETED at 113.79
OPERATION PROFIT, GROSS 0.19000000000001194, NET -0.037389999999988044
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.963
Date: Wed, 09 Oct 2024 AIC 31.927
Time: 14:41:03 BIC 34.751
Sample: 0 HQIC 31.346
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5511 0.490 1.126 0.260 -0.409 1.511
ma.L1 -1.0000 4710.664 -0.000 1.000 -9233.731 9231.731
ar.S.L7 -0.3225 0.218 -1.481 0.138 -0.749 0.104
ma.S.L7 0.1108 1.096 0.101 0.919 -2.037 2.259
sigma2 0.2716 1279.665 0.000 1.000 -2507.827 2508.370
===================================================================================
Ljung-Box (L1) (Q): 0.42 Jarque-Bera (JB): 0.54
Prob(Q): 0.52 Prob(JB): 0.76
Heteroskedasticity (H): 5.09 Skew: -0.50
Prob(H) (two-sided): 0.14 Kurtosis: 2.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.3039404631448, Current Price: 113.44
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.730
Date: Wed, 09 Oct 2024 AIC 29.459
Time: 14:41:03 BIC 32.284
Sample: 0 HQIC 28.879
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4837 0.155 3.120 0.002 0.180 0.788
ma.L1 -1.0000 1.1e+04 -9.1e-05 1.000 -2.15e+04 2.15e+04
ar.S.L7 -0.2746 0.114 -2.404 0.016 -0.499 -0.051
ma.S.L7 0.2935 0.727 0.404 0.687 -1.132 1.719
sigma2 0.2185 2402.319 9.1e-05 1.000 -4708.240 4708.677
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 0.48
Prob(Q): 0.64 Prob(JB): 0.79
Heteroskedasticity (H): 3.79 Skew: -0.44
Prob(H) (two-sided): 0.23 Kurtosis: 2.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.27783907379259, Current Price: 113.88
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.348
Date: Wed, 09 Oct 2024 AIC 28.696
Time: 14:41:03 BIC 31.521
Sample: 0 HQIC 28.116
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1998 0.301 0.664 0.507 -0.390 0.790
ma.L1 -1.0000 2488.029 -0.000 1.000 -4877.447 4875.447
ar.S.L7 -0.3731 0.240 -1.555 0.120 -0.843 0.097
ma.S.L7 -0.0131 0.956 -0.014 0.989 -1.886 1.860
sigma2 0.2187 544.037 0.000 1.000 -1066.074 1066.511
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.06
Prob(Q): 0.87 Prob(JB): 0.97
Heteroskedasticity (H): 47.19 Skew: -0.17
Prob(H) (two-sided): 0.00 Kurtosis: 3.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.61681591814788, Current Price: 114.27
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.503
Date: Wed, 09 Oct 2024 AIC 33.005
Time: 14:41:03 BIC 35.830
Sample: 0 HQIC 32.425
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3346 1.309 -0.256 0.798 -2.899 2.230
ma.L1 0.5022 1.392 0.361 0.718 -2.226 3.230
ar.S.L7 -0.2510 0.124 -2.024 0.043 -0.494 -0.008
ma.S.L7 0.4126 0.955 0.432 0.666 -1.459 2.284
sigma2 0.3188 0.207 1.538 0.124 -0.088 0.725
===================================================================================
Ljung-Box (L1) (Q): 0.33 Jarque-Bera (JB): 1.62
Prob(Q): 0.57 Prob(JB): 0.44
Heteroskedasticity (H): 2.10 Skew: -0.85
Prob(H) (two-sided): 0.49 Kurtosis: 3.31
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.30703945976934, Current Price: 113.49
BUY EXECUTED at 113.49
BUY ORDER COMPLETED at 113.68
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.769
Date: Wed, 09 Oct 2024 AIC 31.537
Time: 14:41:03 BIC 34.362
Sample: 0 HQIC 30.957
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0442 0.432 0.102 0.918 -0.802 0.890
ma.L1 -1.0000 1.11e+04 -8.99e-05 1.000 -2.18e+04 2.18e+04
ar.S.L7 -0.3945 0.248 -1.589 0.112 -0.881 0.092
ma.S.L7 -0.3533 0.692 -0.510 0.610 -1.710 1.004
sigma2 0.2498 2779.829 8.99e-05 1.000 -5448.115 5448.615
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.48
Prob(Q): 0.96 Prob(JB): 0.79
Heteroskedasticity (H): 1.25 Skew: 0.33
Prob(H) (two-sided): 0.83 Kurtosis: 2.33
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.22964619446945, Current Price: 113.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.863
Date: Wed, 09 Oct 2024 AIC 31.726
Time: 14:41:03 BIC 34.551
Sample: 0 HQIC 31.145
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0454 0.399 0.114 0.909 -0.736 0.827
ma.L1 -0.9999 1686.035 -0.001 1.000 -3305.567 3303.567
ar.S.L7 -0.3766 0.198 -1.899 0.058 -0.765 0.012
ma.S.L7 -4.4201 13.509 -0.327 0.744 -30.898 22.058
sigma2 0.0135 22.760 0.001 1.000 -44.595 44.622
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.51
Prob(Q): 0.95 Prob(JB): 0.78
Heteroskedasticity (H): 1.16 Skew: 0.27
Prob(H) (two-sided): 0.89 Kurtosis: 2.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.49159953816509, Current Price: 113.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.732
Date: Wed, 09 Oct 2024 AIC 31.464
Time: 14:41:03 BIC 34.289
Sample: 0 HQIC 30.883
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0046 0.422 -0.011 0.991 -0.831 0.822
ma.L1 -1.0000 8351.813 -0.000 1.000 -1.64e+04 1.64e+04
ar.S.L7 -0.3911 0.171 -2.292 0.022 -0.726 -0.057
ma.S.L7 -0.3227 0.822 -0.393 0.694 -1.933 1.288
sigma2 0.2507 2093.849 0.000 1.000 -4103.617 4104.119
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.49
Prob(Q): 0.98 Prob(JB): 0.78
Heteroskedasticity (H): 0.70 Skew: 0.26
Prob(H) (two-sided): 0.74 Kurtosis: 2.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.9183245048135, Current Price: 113.05
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.253
Date: Wed, 09 Oct 2024 AIC 32.506
Time: 14:41:03 BIC 35.331
Sample: 0 HQIC 31.926
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0142 0.522 -0.027 0.978 -1.037 1.008
ma.L1 -1.0000 6470.902 -0.000 1.000 -1.27e+04 1.27e+04
ar.S.L7 -0.3476 0.164 -2.125 0.034 -0.668 -0.027
ma.S.L7 -2.2300 4.215 -0.529 0.597 -10.491 6.031
sigma2 0.0518 335.508 0.000 1.000 -657.532 657.636
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.66
Prob(Q): 0.90 Prob(JB): 0.72
Heteroskedasticity (H): 0.52 Skew: 0.17
Prob(H) (two-sided): 0.54 Kurtosis: 1.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.44177221275177, Current Price: 112.05
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.105
Date: Wed, 09 Oct 2024 AIC 36.211
Time: 14:41:03 BIC 39.036
Sample: 0 HQIC 35.630
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3426 1.184 0.289 0.772 -1.978 2.663
ma.L1 -1.0001 1858.963 -0.001 1.000 -3644.501 3642.500
ar.S.L7 -0.2773 0.292 -0.950 0.342 -0.850 0.295
ma.S.L7 -1.2624 4.978 -0.254 0.800 -11.019 8.494
sigma2 0.1727 321.677 0.001 1.000 -630.303 630.649
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 0.98
Prob(Q): 0.64 Prob(JB): 0.61
Heteroskedasticity (H): 1.16 Skew: -0.36
Prob(H) (two-sided): 0.89 Kurtosis: 1.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.00356286485089, Current Price: 112.76
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.346
Date: Wed, 09 Oct 2024 AIC 36.693
Time: 14:41:03 BIC 39.518
Sample: 0 HQIC 36.112
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6686 0.764 -0.875 0.382 -2.166 0.829
ma.L1 1.0000 1.06e+04 9.42e-05 1.000 -2.08e+04 2.08e+04
ar.S.L7 -0.0100 0.082 -0.121 0.903 -0.171 0.151
ma.S.L7 -1.0003 2625.368 -0.000 1.000 -5146.628 5144.627
sigma2 0.2569 2456.290 0.000 1.000 -4813.984 4814.498
===================================================================================
Ljung-Box (L1) (Q): 1.30 Jarque-Bera (JB): 1.32
Prob(Q): 0.25 Prob(JB): 0.52
Heteroskedasticity (H): 0.87 Skew: -0.34
Prob(H) (two-sided): 0.90 Kurtosis: 1.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.05474754347634, Current Price: 112.57
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.017
Date: Wed, 09 Oct 2024 AIC 34.033
Time: 14:41:03 BIC 36.858
Sample: 0 HQIC 33.452
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2263 1.558 0.145 0.884 -2.827 3.280
ma.L1 -0.6264 1.453 -0.431 0.666 -3.474 2.221
ar.S.L7 -0.0900 0.322 -0.279 0.780 -0.722 0.542
ma.S.L7 -1.0001 6567.492 -0.000 1.000 -1.29e+04 1.29e+04
sigma2 0.2227 1462.538 0.000 1.000 -2866.300 2866.745
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 0.94
Prob(Q): 0.67 Prob(JB): 0.63
Heteroskedasticity (H): 2.07 Skew: -0.30
Prob(H) (two-sided): 0.50 Kurtosis: 1.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.80839854450565, Current Price: 113.87
SELL EXECUTED at 113.87
SELL ORDER COMPLETED at 113.87
OPERATION PROFIT, GROSS 0.18999999999999773, NET -0.037550000000002304
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.817
Date: Wed, 09 Oct 2024 AIC 35.635
Time: 14:41:03 BIC 38.460
Sample: 0 HQIC 35.054
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3021 0.941 0.321 0.748 -1.542 2.146
ma.L1 -0.8111 0.792 -1.024 0.306 -2.363 0.741
ar.S.L7 -0.2582 0.327 -0.791 0.429 -0.898 0.382
ma.S.L7 -1.0002 6294.269 -0.000 1.000 -1.23e+04 1.23e+04
sigma2 0.2445 1538.756 0.000 1.000 -3015.662 3016.151
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.83
Prob(Q): 0.97 Prob(JB): 0.66
Heteroskedasticity (H): 1.88 Skew: -0.17
Prob(H) (two-sided): 0.55 Kurtosis: 1.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.11299251045365, Current Price: 113.42
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.226
Date: Wed, 09 Oct 2024 AIC 28.452
Time: 14:41:03 BIC 31.277
Sample: 0 HQIC 27.872
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3737 0.084 4.452 0.000 0.209 0.538
ma.L1 -1.0001 808.189 -0.001 0.999 -1585.022 1583.021
ar.S.L7 -1.0332 0.389 -2.658 0.008 -1.795 -0.271
ma.S.L7 0.0564 0.329 0.172 0.864 -0.588 0.700
sigma2 0.2118 171.273 0.001 0.999 -335.477 335.901
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 0.09
Prob(Q): 0.70 Prob(JB): 0.96
Heteroskedasticity (H): 0.23 Skew: 0.04
Prob(H) (two-sided): 0.18 Kurtosis: 2.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.74938983199411, Current Price: 113.48
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.278
Date: Wed, 09 Oct 2024 AIC 28.557
Time: 14:41:03 BIC 31.381
Sample: 0 HQIC 27.976
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2074 1.207 0.172 0.864 -2.159 2.574
ma.L1 -1.0000 2.74e+04 -3.65e-05 1.000 -5.36e+04 5.36e+04
ar.S.L7 -1.1199 0.682 -1.642 0.101 -2.457 0.217
ma.S.L7 0.2795 0.369 0.757 0.449 -0.444 1.003
sigma2 0.2152 5889.608 3.65e-05 1.000 -1.15e+04 1.15e+04
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.17
Prob(Q): 0.76 Prob(JB): 0.92
Heteroskedasticity (H): 1.17 Skew: -0.20
Prob(H) (two-sided): 0.88 Kurtosis: 2.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.60984261685483, Current Price: 113.8
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.687
Date: Wed, 09 Oct 2024 AIC 29.373
Time: 14:41:03 BIC 32.198
Sample: 0 HQIC 28.792
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3245 0.265 1.225 0.221 -0.195 0.844
ma.L1 -1.0000 4107.686 -0.000 1.000 -8051.916 8049.916
ar.S.L7 -0.7366 0.494 -1.492 0.136 -1.704 0.231
ma.S.L7 -0.7379 2.917 -0.253 0.800 -6.455 4.979
sigma2 0.1705 700.565 0.000 1.000 -1372.911 1373.252
===================================================================================
Ljung-Box (L1) (Q): 0.23 Jarque-Bera (JB): 0.39
Prob(Q): 0.63 Prob(JB): 0.82
Heteroskedasticity (H): 0.68 Skew: -0.36
Prob(H) (two-sided): 0.72 Kurtosis: 2.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.55596029954752, Current Price: 112.54
BUY EXECUTED at 112.54
BUY ORDER COMPLETED at 112.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.804
Date: Wed, 09 Oct 2024 AIC 31.608
Time: 14:41:03 BIC 34.433
Sample: 0 HQIC 31.028
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3166 0.256 1.235 0.217 -0.186 0.819
ma.L1 -1.0000 6584.994 -0.000 1.000 -1.29e+04 1.29e+04
ar.S.L7 -0.8667 0.493 -1.757 0.079 -1.834 0.100
ma.S.L7 0.1581 0.785 0.202 0.840 -1.380 1.696
sigma2 0.2757 1815.325 0.000 1.000 -3557.696 3558.247
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.51
Prob(Q): 0.87 Prob(JB): 0.78
Heteroskedasticity (H): 0.62 Skew: -0.13
Prob(H) (two-sided): 0.65 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.3631618589063, Current Price: 112.6
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.738
Date: Wed, 09 Oct 2024 AIC 31.476
Time: 14:41:03 BIC 34.301
Sample: 0 HQIC 30.896
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3042 0.500 0.609 0.543 -0.675 1.284
ma.L1 -0.8920 0.510 -1.750 0.080 -1.891 0.107
ar.S.L7 -0.8582 0.350 -2.455 0.014 -1.543 -0.173
ma.S.L7 0.1031 0.719 0.144 0.886 -1.305 1.511
sigma2 0.2951 0.226 1.304 0.192 -0.149 0.739
===================================================================================
Ljung-Box (L1) (Q): 0.26 Jarque-Bera (JB): 0.95
Prob(Q): 0.61 Prob(JB): 0.62
Heteroskedasticity (H): 1.63 Skew: -0.05
Prob(H) (two-sided): 0.65 Kurtosis: 1.68
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.38982941254403, Current Price: 112.88
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.355
Date: Wed, 09 Oct 2024 AIC 30.711
Time: 14:41:03 BIC 33.536
Sample: 0 HQIC 30.130
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5501 0.790 0.696 0.486 -0.998 2.099
ma.L1 -1.0000 6145.672 -0.000 1.000 -1.2e+04 1.2e+04
ar.S.L7 -0.6023 0.639 -0.943 0.346 -1.855 0.650
ma.S.L7 -0.2218 1.113 -0.199 0.842 -2.403 1.960
sigma2 0.2372 1457.689 0.000 1.000 -2856.781 2857.255
===================================================================================
Ljung-Box (L1) (Q): 0.38 Jarque-Bera (JB): 0.94
Prob(Q): 0.54 Prob(JB): 0.63
Heteroskedasticity (H): 0.52 Skew: -0.23
Prob(H) (two-sided): 0.54 Kurtosis: 1.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.96602153014392, Current Price: 115.78
SELL EXECUTED at 115.78
SELL ORDER COMPLETED at 115.58
OPERATION PROFIT, GROSS 3.2099999999999937, NET 2.982049999999994
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.761
Date: Wed, 09 Oct 2024 AIC 41.522
Time: 14:41:03 BIC 44.347
Sample: 0 HQIC 40.941
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4761 0.316 1.507 0.132 -0.143 1.095
ma.L1 -0.8234 0.591 -1.394 0.163 -1.981 0.334
ar.S.L7 -0.4094 0.491 -0.833 0.405 -1.372 0.554
ma.S.L7 1.0001 3.27e+04 3.05e-05 1.000 -6.42e+04 6.42e+04
sigma2 0.3801 1.24e+04 3.05e-05 1.000 -2.44e+04 2.44e+04
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 1.06
Prob(Q): 0.64 Prob(JB): 0.59
Heteroskedasticity (H): 2.37 Skew: 0.56
Prob(H) (two-sided): 0.42 Kurtosis: 2.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.48474503093401, Current Price: 115.23
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.404
Date: Wed, 09 Oct 2024 AIC 40.807
Time: 14:41:03 BIC 43.632
Sample: 0 HQIC 40.227
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3183 1.405 0.227 0.821 -2.436 3.073
ma.L1 -0.6201 1.279 -0.485 0.628 -3.127 1.886
ar.S.L7 -0.2724 0.398 -0.684 0.494 -1.053 0.508
ma.S.L7 1.0002 7268.375 0.000 1.000 -1.42e+04 1.42e+04
sigma2 0.3780 2747.540 0.000 1.000 -5384.701 5385.457
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.98
Prob(Q): 0.83 Prob(JB): 0.61
Heteroskedasticity (H): 1.96 Skew: 0.36
Prob(H) (two-sided): 0.53 Kurtosis: 1.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.91125105138322, Current Price: 116.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.490
Date: Wed, 09 Oct 2024 AIC 40.979
Time: 14:41:04 BIC 43.804
Sample: 0 HQIC 40.399
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2019 3.882 0.052 0.959 -7.407 7.811
ma.L1 -0.3075 3.620 -0.085 0.932 -7.403 6.788
ar.S.L7 -0.3345 0.206 -1.622 0.105 -0.739 0.070
ma.S.L7 1.0349 27.409 0.038 0.970 -52.687 54.757
sigma2 0.3689 10.186 0.036 0.971 -19.594 20.332
===================================================================================
Ljung-Box (L1) (Q): 0.78 Jarque-Bera (JB): 0.68
Prob(Q): 0.38 Prob(JB): 0.71
Heteroskedasticity (H): 1.38 Skew: 0.31
Prob(H) (two-sided): 0.76 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.62663201526891, Current Price: 115.8
BUY EXECUTED at 115.8
BUY ORDER COMPLETED at 115.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.143
Date: Wed, 09 Oct 2024 AIC 40.286
Time: 14:41:04 BIC 43.111
Sample: 0 HQIC 39.705
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1719 2.631 0.065 0.948 -4.984 5.328
ma.L1 -0.4049 1.875 -0.216 0.829 -4.079 3.269
ar.S.L7 -0.2960 0.225 -1.316 0.188 -0.737 0.145
ma.S.L7 0.4261 0.894 0.476 0.634 -1.327 2.179
sigma2 0.5557 0.463 1.201 0.230 -0.352 1.463
===================================================================================
Ljung-Box (L1) (Q): 0.83 Jarque-Bera (JB): 0.83
Prob(Q): 0.36 Prob(JB): 0.66
Heteroskedasticity (H): 1.86 Skew: 0.52
Prob(H) (two-sided): 0.56 Kurtosis: 2.35
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.59093402436578, Current Price: 115.79
SELL EXECUTED at 115.79
SELL ORDER COMPLETED at 115.83
OPERATION PROFIT, GROSS -0.060000000000002274, NET -0.2917200000000023
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.691
Date: Wed, 09 Oct 2024 AIC 39.381
Time: 14:41:04 BIC 42.206
Sample: 0 HQIC 38.801
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3571 0.938 -0.381 0.703 -2.195 1.481
ma.L1 -8.2507 60.311 -0.137 0.891 -126.458 109.957
ar.S.L7 -0.0892 0.221 -0.403 0.687 -0.523 0.344
ma.S.L7 1.0085 146.436 0.007 0.995 -286.000 288.017
sigma2 0.0049 0.709 0.007 0.994 -1.386 1.395
===================================================================================
Ljung-Box (L1) (Q): 1.40 Jarque-Bera (JB): 0.36
Prob(Q): 0.24 Prob(JB): 0.84
Heteroskedasticity (H): 0.77 Skew: -0.12
Prob(H) (two-sided): 0.81 Kurtosis: 2.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.85980641697795, Current Price: 115.92
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.297
Date: Wed, 09 Oct 2024 AIC 40.595
Time: 14:41:04 BIC 43.419
Sample: 0 HQIC 40.014
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5890 0.833 -0.708 0.479 -2.221 1.043
ma.L1 0.4244 0.937 0.453 0.651 -1.413 2.262
ar.S.L7 -0.2129 0.242 -0.880 0.379 -0.687 0.261
ma.S.L7 1.0002 4856.211 0.000 1.000 -9516.998 9518.998
sigma2 0.3591 1743.831 0.000 1.000 -3417.488 3418.206
===================================================================================
Ljung-Box (L1) (Q): 0.78 Jarque-Bera (JB): 0.87
Prob(Q): 0.38 Prob(JB): 0.65
Heteroskedasticity (H): 1.14 Skew: 0.26
Prob(H) (two-sided): 0.90 Kurtosis: 1.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.42450568891164, Current Price: 116.01
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.068
Date: Wed, 09 Oct 2024 AIC 36.135
Time: 14:41:04 BIC 38.960
Sample: 0 HQIC 35.555
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0145 1.170 -0.012 0.990 -2.308 2.279
ma.L1 -0.2307 1.135 -0.203 0.839 -2.456 1.995
ar.S.L7 0.0288 0.412 0.070 0.944 -0.779 0.836
ma.S.L7 0.3318 0.812 0.409 0.683 -1.259 1.922
sigma2 0.4174 0.391 1.067 0.286 -0.349 1.184
===================================================================================
Ljung-Box (L1) (Q): 1.34 Jarque-Bera (JB): 0.84
Prob(Q): 0.25 Prob(JB): 0.66
Heteroskedasticity (H): 2.77 Skew: -0.11
Prob(H) (two-sided): 0.35 Kurtosis: 1.78
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.32393961277175, Current Price: 115.71
BUY EXECUTED at 115.71
BUY ORDER COMPLETED at 117.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.048
Date: Wed, 09 Oct 2024 AIC 44.096
Time: 14:41:04 BIC 46.921
Sample: 0 HQIC 43.516
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5929 0.906 0.655 0.513 -1.182 2.368
ma.L1 -1.0001 4753.856 -0.000 1.000 -9318.386 9316.386
ar.S.L7 -0.2991 0.588 -0.508 0.611 -1.452 0.854
ma.S.L7 -1.0000 4.47e+04 -2.24e-05 1.000 -8.75e+04 8.75e+04
sigma2 0.3900 1.65e+04 2.36e-05 1.000 -3.24e+04 3.24e+04
===================================================================================
Ljung-Box (L1) (Q): 0.51 Jarque-Bera (JB): 3.40
Prob(Q): 0.48 Prob(JB): 0.18
Heteroskedasticity (H): 3.02 Skew: 1.08
Prob(H) (two-sided): 0.31 Kurtosis: 4.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.93004240191435, Current Price: 116.39
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.674
Date: Wed, 09 Oct 2024 AIC 43.348
Time: 14:41:04 BIC 46.173
Sample: 0 HQIC 42.768
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3763 1.405 -0.268 0.789 -3.130 2.378
ma.L1 0.1438 1.446 0.099 0.921 -2.690 2.978
ar.S.L7 -0.3709 0.289 -1.283 0.199 -0.937 0.196
ma.S.L7 -1.0000 2.24e+04 -4.46e-05 1.000 -4.4e+04 4.4e+04
sigma2 0.4586 1.03e+04 4.46e-05 1.000 -2.02e+04 2.02e+04
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 1.02
Prob(Q): 0.75 Prob(JB): 0.60
Heteroskedasticity (H): 3.08 Skew: 0.51
Prob(H) (two-sided): 0.30 Kurtosis: 3.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.12197976084458, Current Price: 116.66
SELL EXECUTED at 116.66
SELL ORDER COMPLETED at 116.58
OPERATION PROFIT, GROSS -0.5799999999999983, NET -0.8137399999999984
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.721
Date: Wed, 09 Oct 2024 AIC 43.441
Time: 14:41:04 BIC 46.266
Sample: 0 HQIC 42.861
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4534 1.967 -0.230 0.818 -4.309 3.402
ma.L1 0.2488 1.992 0.125 0.901 -3.656 4.153
ar.S.L7 -0.3407 0.304 -1.122 0.262 -0.936 0.255
ma.S.L7 -1.0001 1.95e+04 -5.13e-05 1.000 -3.82e+04 3.82e+04
sigma2 0.4554 8871.342 5.13e-05 1.000 -1.74e+04 1.74e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.48
Prob(Q): 0.96 Prob(JB): 0.79
Heteroskedasticity (H): 0.59 Skew: 0.26
Prob(H) (two-sided): 0.63 Kurtosis: 3.78
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.59720705157702, Current Price: 116.4
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.398
Date: Wed, 09 Oct 2024 AIC 42.797
Time: 14:41:04 BIC 45.621
Sample: 0 HQIC 42.216
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3356 2.963 -0.113 0.910 -6.144 5.473
ma.L1 0.1365 3.179 0.043 0.966 -6.094 6.367
ar.S.L7 -0.3931 0.300 -1.311 0.190 -0.981 0.195
ma.S.L7 -1.0000 2.06e+05 -4.85e-06 1.000 -4.04e+05 4.04e+05
sigma2 0.4396 9.07e+04 4.85e-06 1.000 -1.78e+05 1.78e+05
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 1.35
Prob(Q): 0.64 Prob(JB): 0.51
Heteroskedasticity (H): 0.51 Skew: 0.56
Prob(H) (two-sided): 0.53 Kurtosis: 4.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.370288476197, Current Price: 116.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.377
Date: Wed, 09 Oct 2024 AIC 44.754
Time: 14:41:04 BIC 47.578
Sample: 0 HQIC 44.173
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6295 1.099 -0.573 0.567 -2.784 1.525
ma.L1 0.3443 1.339 0.257 0.797 -2.280 2.969
ar.S.L7 -0.2539 0.256 -0.991 0.322 -0.756 0.248
ma.S.L7 -1.0001 1.25e+04 -8.01e-05 1.000 -2.45e+04 2.45e+04
sigma2 0.4955 6183.024 8.01e-05 1.000 -1.21e+04 1.21e+04
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 0.52
Prob(Q): 0.68 Prob(JB): 0.77
Heteroskedasticity (H): 0.57 Skew: -0.25
Prob(H) (two-sided): 0.60 Kurtosis: 3.84
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.67580674211506, Current Price: 116.31
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.628
Date: Wed, 09 Oct 2024 AIC 45.256
Time: 14:41:04 BIC 48.081
Sample: 0 HQIC 44.675
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5040 0.713 -0.707 0.480 -1.902 0.894
ma.L1 0.1705 1.027 0.166 0.868 -1.842 2.183
ar.S.L7 -0.2467 0.280 -0.882 0.378 -0.795 0.302
ma.S.L7 -1.0001 1.06e+04 -9.47e-05 1.000 -2.07e+04 2.07e+04
sigma2 0.5197 5488.671 9.47e-05 1.000 -1.08e+04 1.08e+04
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 0.45
Prob(Q): 0.68 Prob(JB): 0.80
Heteroskedasticity (H): 0.46 Skew: -0.28
Prob(H) (two-sided): 0.47 Kurtosis: 3.72
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.7650791606437, Current Price: 115.8
BUY EXECUTED at 115.8
BUY ORDER COMPLETED at 114.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.151
Date: Wed, 09 Oct 2024 AIC 38.302
Time: 14:41:04 BIC 41.127
Sample: 0 HQIC 37.721
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3486 1.188 -0.293 0.769 -2.678 1.981
ma.L1 0.1053 1.275 0.083 0.934 -2.393 2.603
ar.S.L7 -0.6104 1.357 -0.450 0.653 -3.269 2.048
ma.S.L7 -0.6298 3.811 -0.165 0.869 -8.099 6.840
sigma2 0.4273 1.120 0.381 0.703 -1.768 2.623
===================================================================================
Ljung-Box (L1) (Q): 1.04 Jarque-Bera (JB): 0.17
Prob(Q): 0.31 Prob(JB): 0.92
Heteroskedasticity (H): 2.69 Skew: 0.18
Prob(H) (two-sided): 0.36 Kurtosis: 2.57
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.11303257368381, Current Price: 115.15
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.039
Date: Wed, 09 Oct 2024 AIC 42.078
Time: 14:41:04 BIC 44.903
Sample: 0 HQIC 41.497
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5457 0.667 -0.818 0.413 -1.853 0.762
ma.L1 2.9668 8.204 0.362 0.718 -13.113 19.047
ar.S.L7 -0.4617 0.692 -0.667 0.505 -1.818 0.894
ma.S.L7 1.0001 1.34e+04 7.46e-05 1.000 -2.63e+04 2.63e+04
sigma2 0.0448 601.381 7.45e-05 1.000 -1178.641 1178.731
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 6.56
Prob(Q): 0.97 Prob(JB): 0.04
Heteroskedasticity (H): 1.62 Skew: -1.38
Prob(H) (two-sided): 0.65 Kurtosis: 5.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.62068782246409, Current Price: 116.63
SELL EXECUTED at 116.63
SELL ORDER COMPLETED at 116.61
OPERATION PROFIT, GROSS 1.7199999999999989, NET 1.4884999999999988
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.742
Date: Wed, 09 Oct 2024 AIC 41.484
Time: 14:41:04 BIC 44.309
Sample: 0 HQIC 40.904
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2130 1.530 0.139 0.889 -2.786 3.212
ma.L1 -0.6103 1.342 -0.455 0.649 -3.241 2.020
ar.S.L7 -0.4294 0.336 -1.278 0.201 -1.088 0.229
ma.S.L7 1.0000 3.56e+04 2.81e-05 1.000 -6.97e+04 6.97e+04
sigma2 0.3979 1.42e+04 2.81e-05 1.000 -2.77e+04 2.77e+04
===================================================================================
Ljung-Box (L1) (Q): 0.41 Jarque-Bera (JB): 1.82
Prob(Q): 0.52 Prob(JB): 0.40
Heteroskedasticity (H): 1.32 Skew: -0.82
Prob(H) (two-sided): 0.80 Kurtosis: 3.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.811276550599, Current Price: 116.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.666
Date: Wed, 09 Oct 2024 AIC 41.331
Time: 14:41:04 BIC 44.156
Sample: 0 HQIC 40.751
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1730 1.818 0.095 0.924 -3.390 3.736
ma.L1 -0.5450 1.445 -0.377 0.706 -3.377 2.287
ar.S.L7 -0.4236 0.325 -1.303 0.193 -1.061 0.214
ma.S.L7 1.0000 2.09e+04 4.78e-05 1.000 -4.1e+04 4.1e+04
sigma2 0.3929 8228.052 4.77e-05 1.000 -1.61e+04 1.61e+04
===================================================================================
Ljung-Box (L1) (Q): 0.43 Jarque-Bera (JB): 2.00
Prob(Q): 0.51 Prob(JB): 0.37
Heteroskedasticity (H): 0.26 Skew: -0.84
Prob(H) (two-sided): 0.22 Kurtosis: 3.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.29632670186491, Current Price: 116.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.499
Date: Wed, 09 Oct 2024 AIC 38.998
Time: 14:41:04 BIC 41.822
Sample: 0 HQIC 38.417
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1633 2.067 0.079 0.937 -3.888 4.214
ma.L1 -0.5622 1.602 -0.351 0.726 -3.702 2.578
ar.S.L7 -0.4070 0.319 -1.275 0.202 -1.032 0.218
ma.S.L7 1.0000 2.25e+05 4.44e-06 1.000 -4.41e+05 4.41e+05
sigma2 0.3284 7.4e+04 4.44e-06 1.000 -1.45e+05 1.45e+05
===================================================================================
Ljung-Box (L1) (Q): 1.30 Jarque-Bera (JB): 9.89
Prob(Q): 0.25 Prob(JB): 0.01
Heteroskedasticity (H): 0.16 Skew: -1.71
Prob(H) (two-sided): 0.11 Kurtosis: 5.57
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.81768490847811, Current Price: 116.04
BUY EXECUTED at 116.04
BUY ORDER COMPLETED at 116.26
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.117
Date: Wed, 09 Oct 2024 AIC 40.235
Time: 14:41:04 BIC 43.060
Sample: 0 HQIC 39.654
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1130 2.655 0.043 0.966 -5.092 5.318
ma.L1 -0.5147 1.978 -0.260 0.795 -4.391 3.361
ar.S.L7 -0.3859 0.391 -0.987 0.323 -1.152 0.380
ma.S.L7 1.0000 4.62e+04 2.16e-05 1.000 -9.06e+04 9.06e+04
sigma2 0.3610 1.67e+04 2.16e-05 1.000 -3.27e+04 3.27e+04
===================================================================================
Ljung-Box (L1) (Q): 1.56 Jarque-Bera (JB): 8.30
Prob(Q): 0.21 Prob(JB): 0.02
Heteroskedasticity (H): 0.18 Skew: -1.58
Prob(H) (two-sided): 0.13 Kurtosis: 5.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.8040088663861, Current Price: 116.03
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.727
Date: Wed, 09 Oct 2024 AIC 41.454
Time: 14:41:04 BIC 44.279
Sample: 0 HQIC 40.874
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0148 3.797 0.004 0.997 -7.427 7.457
ma.L1 -0.4703 1.929 -0.244 0.807 -4.251 3.310
ar.S.L7 -0.3968 0.407 -0.976 0.329 -1.194 0.400
ma.S.L7 1.0000 7.22e+04 1.39e-05 1.000 -1.41e+05 1.41e+05
sigma2 0.3964 2.86e+04 1.39e-05 1.000 -5.61e+04 5.61e+04
===================================================================================
Ljung-Box (L1) (Q): 0.44 Jarque-Bera (JB): 6.07
Prob(Q): 0.51 Prob(JB): 0.05
Heteroskedasticity (H): 0.20 Skew: -1.40
Prob(H) (two-sided): 0.14 Kurtosis: 4.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.25885493835241, Current Price: 115.78
SELL EXECUTED at 115.78
SELL ORDER COMPLETED at 114.6
OPERATION PROFIT, GROSS -1.6600000000000108, NET -1.8908600000000109
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -7.308
Date: Wed, 09 Oct 2024 AIC 24.616
Time: 14:41:04 BIC 27.441
Sample: 0 HQIC 24.035
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2095 0.648 -0.323 0.746 -1.479 1.060
ma.L1 -0.1340 0.668 -0.201 0.841 -1.443 1.175
ar.S.L7 0.0748 0.596 0.126 0.900 -1.094 1.243
ma.S.L7 0.0430 0.660 0.065 0.948 -1.250 1.336
sigma2 0.1801 0.116 1.551 0.121 -0.047 0.408
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.43
Prob(Q): 0.82 Prob(JB): 0.81
Heteroskedasticity (H): 4.64 Skew: -0.14
Prob(H) (two-sided): 0.17 Kurtosis: 2.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.97259291037588, Current Price: 114.48
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -7.658
Date: Wed, 09 Oct 2024 AIC 25.316
Time: 14:41:04 BIC 28.140
Sample: 0 HQIC 24.735
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2733 0.444 -0.615 0.539 -1.144 0.598
ma.L1 -0.1048 0.530 -0.198 0.843 -1.143 0.933
ar.S.L7 0.2406 0.212 1.133 0.257 -0.176 0.657
ma.S.L7 -0.1382 0.216 -0.639 0.523 -0.562 0.286
sigma2 0.1887 0.118 1.599 0.110 -0.043 0.420
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.51
Prob(Q): 0.99 Prob(JB): 0.77
Heteroskedasticity (H): 2.12 Skew: 0.26
Prob(H) (two-sided): 0.48 Kurtosis: 2.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.26096149076342, Current Price: 113.66
BUY EXECUTED at 113.66
BUY ORDER COMPLETED at 113.72
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.771
Date: Wed, 09 Oct 2024 AIC 37.542
Time: 14:41:04 BIC 40.367
Sample: 0 HQIC 36.962
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0352 4.567 0.008 0.994 -8.916 8.986
ma.L1 0.1687 4.695 0.036 0.971 -9.034 9.371
ar.S.L7 0.0641 0.509 0.126 0.900 -0.934 1.062
ma.S.L7 -1.0001 9100.660 -0.000 1.000 -1.78e+04 1.78e+04
sigma2 0.2934 2669.973 0.000 1.000 -5232.758 5233.345
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 0.38
Prob(Q): 0.71 Prob(JB): 0.83
Heteroskedasticity (H): 4.57 Skew: 0.32
Prob(H) (two-sided): 0.17 Kurtosis: 3.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 113.7125857079064, Current Price: 113.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.496
Date: Wed, 09 Oct 2024 AIC 36.992
Time: 14:41:04 BIC 39.817
Sample: 0 HQIC 36.412
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.0154 0.345 2.945 0.003 0.340 1.691
ma.L1 -1.0000 3121.290 -0.000 1.000 -6118.616 6116.616
ar.S.L7 0.0102 0.101 0.100 0.920 -0.188 0.209
ma.S.L7 -1.0001 1.86e+04 -5.39e-05 1.000 -3.64e+04 3.64e+04
sigma2 0.2267 4019.353 5.64e-05 1.000 -7877.559 7878.013
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 1.86
Prob(Q): 0.81 Prob(JB): 0.39
Heteroskedasticity (H): 5.93 Skew: -0.82
Prob(H) (two-sided): 0.11 Kurtosis: 3.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 112.87959598328453, Current Price: 114.64
SELL EXECUTED at 114.64
SELL ORDER COMPLETED at 114.83
OPERATION PROFIT, GROSS 1.1099999999999994, NET 0.8814499999999994
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16521.921
Date: Wed, 09 Oct 2024 AIC 33053.843
Time: 14:41:04 BIC 33056.667
Sample: 0 HQIC 33053.262
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.3840 0.001 1880.542 0.000 1.383 1.385
ma.L1 -1.8662 0.002 -1203.276 0.000 -1.869 -1.863
ar.S.L7 -61.1011 1.973 -30.974 0.000 -64.967 -57.235
ma.S.L7 0.0056 0.000 13.758 0.000 0.005 0.006
sigma2 1.0153 0.066 15.431 0.000 0.886 1.144
===================================================================================
Ljung-Box (L1) (Q): 1.98 Jarque-Bera (JB): 1.95
Prob(Q): 0.16 Prob(JB): 0.38
Heteroskedasticity (H): 0.09 Skew: 0.42
Prob(H) (two-sided): 0.04 Kurtosis: 4.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.14401270402675, Current Price: 114.77
BUY EXECUTED at 114.77
BUY ORDER COMPLETED at 115.83
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.222
Date: Wed, 09 Oct 2024 AIC 38.444
Time: 14:41:05 BIC 41.269
Sample: 0 HQIC 37.864
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0721 1.088 -0.066 0.947 -2.204 2.060
ma.L1 0.4255 0.964 0.441 0.659 -1.464 2.315
ar.S.L7 0.0245 0.239 0.103 0.918 -0.443 0.492
ma.S.L7 -0.9999 2.4e+04 -4.16e-05 1.000 -4.71e+04 4.71e+04
sigma2 0.3144 7554.109 4.16e-05 1.000 -1.48e+04 1.48e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.52
Prob(Q): 0.84 Prob(JB): 0.77
Heteroskedasticity (H): 4.97 Skew: -0.48
Prob(H) (two-sided): 0.15 Kurtosis: 3.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.57106808782461, Current Price: 115.62
SELL EXECUTED at 115.62
SELL ORDER COMPLETED at 115.45
OPERATION PROFIT, GROSS -0.37999999999999545, NET -0.6112799999999955
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.463
Date: Wed, 09 Oct 2024 AIC 40.926
Time: 14:41:05 BIC 43.751
Sample: 0 HQIC 40.346
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0749 2.162 -0.035 0.972 -4.312 4.162
ma.L1 0.3316 1.543 0.215 0.830 -2.693 3.356
ar.S.L7 -0.0112 0.808 -0.014 0.989 -1.594 1.572
ma.S.L7 -0.6611 3.750 -0.176 0.860 -8.011 6.689
sigma2 0.5119 1.392 0.368 0.713 -2.216 3.240
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.32
Prob(Q): 0.96 Prob(JB): 0.85
Heteroskedasticity (H): 2.78 Skew: -0.36
Prob(H) (two-sided): 0.35 Kurtosis: 2.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.64874521306511, Current Price: 115.67
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.787
Date: Wed, 09 Oct 2024 AIC 41.573
Time: 14:41:05 BIC 44.398
Sample: 0 HQIC 40.993
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7185 0.601 1.196 0.232 -0.459 1.896
ma.L1 -1.0000 3129.731 -0.000 1.000 -6135.160 6133.160
ar.S.L7 0.0025 0.014 0.172 0.863 -0.026 0.031
ma.S.L7 -0.3357 1.168 -0.287 0.774 -2.625 1.954
sigma2 0.5727 1792.223 0.000 1.000 -3512.121 3513.266
===================================================================================
Ljung-Box (L1) (Q): 1.42 Jarque-Bera (JB): 2.94
Prob(Q): 0.23 Prob(JB): 0.23
Heteroskedasticity (H): 1.51 Skew: -1.07
Prob(H) (two-sided): 0.70 Kurtosis: 3.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 114.44158142161871, Current Price: 115.67
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.679
Date: Wed, 09 Oct 2024 AIC 37.357
Time: 14:41:05 BIC 40.182
Sample: 0 HQIC 36.777
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4735 0.208 -2.276 0.023 -0.881 -0.066
ma.L1 1.5371 1.302 1.180 0.238 -1.015 4.089
ar.S.L7 -0.9420 0.608 -1.549 0.121 -2.134 0.250
ma.S.L7 -1.0017 708.456 -0.001 0.999 -1389.549 1387.546
sigma2 0.1168 82.782 0.001 0.999 -162.133 162.367
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 0.45
Prob(Q): 0.66 Prob(JB): 0.80
Heteroskedasticity (H): 13.14 Skew: 0.44
Prob(H) (two-sided): 0.03 Kurtosis: 3.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.03233735414537, Current Price: 115.86
BUY EXECUTED at 115.86
BUY ORDER COMPLETED at 115.76
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.237
Date: Wed, 09 Oct 2024 AIC 38.473
Time: 14:41:05 BIC 41.298
Sample: 0 HQIC 37.893
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2204 1.289 0.171 0.864 -2.305 2.746
ma.L1 -0.0360 1.325 -0.027 0.978 -2.632 2.560
ar.S.L7 -0.5412 0.893 -0.606 0.544 -2.291 1.208
ma.S.L7 -0.3927 2.018 -0.195 0.846 -4.348 3.562
sigma2 0.4897 0.504 0.971 0.331 -0.498 1.478
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.30
Prob(Q): 0.95 Prob(JB): 0.86
Heteroskedasticity (H): 9.98 Skew: 0.22
Prob(H) (two-sided): 0.05 Kurtosis: 2.40
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.86591198472222, Current Price: 115.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.148
Date: Wed, 09 Oct 2024 AIC 40.296
Time: 14:41:05 BIC 43.121
Sample: 0 HQIC 39.716
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5030 1.614 0.312 0.755 -2.660 3.666
ma.L1 -3.0532 22.071 -0.138 0.890 -46.311 40.205
ar.S.L7 -0.5562 0.607 -0.917 0.359 -1.745 0.633
ma.S.L7 -16.1075 220.638 -0.073 0.942 -448.551 416.336
sigma2 0.0002 0.007 0.034 0.973 -0.013 0.014
===================================================================================
Ljung-Box (L1) (Q): 0.27 Jarque-Bera (JB): 0.17
Prob(Q): 0.60 Prob(JB): 0.92
Heteroskedasticity (H): 1.06 Skew: -0.28
Prob(H) (two-sided): 0.95 Kurtosis: 2.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.93334524075263, Current Price: 115.64
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.671
Date: Wed, 09 Oct 2024 AIC 39.342
Time: 14:41:05 BIC 42.167
Sample: 0 HQIC 38.761
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4973 0.749 0.664 0.507 -0.971 1.965
ma.L1 -0.1489 1.233 -0.121 0.904 -2.566 2.268
ar.S.L7 -0.7401 0.502 -1.473 0.141 -1.725 0.245
ma.S.L7 0.3581 0.988 0.362 0.717 -1.578 2.294
sigma2 0.5246 0.406 1.293 0.196 -0.270 1.320
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.37
Prob(Q): 0.94 Prob(JB): 0.83
Heteroskedasticity (H): 0.56 Skew: 0.14
Prob(H) (two-sided): 0.59 Kurtosis: 2.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.23550771944727, Current Price: 114.95
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.769
Date: Wed, 09 Oct 2024 AIC 39.538
Time: 14:41:05 BIC 42.362
Sample: 0 HQIC 38.957
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4670 0.628 0.744 0.457 -0.763 1.697
ma.L1 -0.0986 1.003 -0.098 0.922 -2.065 1.867
ar.S.L7 -0.7313 0.493 -1.483 0.138 -1.698 0.235
ma.S.L7 0.3716 0.968 0.384 0.701 -1.525 2.268
sigma2 0.5309 0.390 1.362 0.173 -0.233 1.295
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.54
Prob(Q): 0.98 Prob(JB): 0.76
Heteroskedasticity (H): 0.26 Skew: 0.29
Prob(H) (two-sided): 0.22 Kurtosis: 2.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.38796772651806, Current Price: 115.38
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.367
Date: Wed, 09 Oct 2024 AIC 38.734
Time: 14:41:05 BIC 41.559
Sample: 0 HQIC 38.153
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6225 0.433 1.436 0.151 -0.227 1.472
ma.L1 -0.6959 0.582 -1.195 0.232 -1.837 0.445
ar.S.L7 -1.0080 0.373 -2.700 0.007 -1.740 -0.276
ma.S.L7 1.0001 1.37e+04 7.28e-05 1.000 -2.69e+04 2.69e+04
sigma2 0.3088 4243.855 7.28e-05 1.000 -8317.495 8318.112
===================================================================================
Ljung-Box (L1) (Q): 0.74 Jarque-Bera (JB): 0.65
Prob(Q): 0.39 Prob(JB): 0.72
Heteroskedasticity (H): 0.11 Skew: 0.30
Prob(H) (two-sided): 0.05 Kurtosis: 2.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.4288383887173, Current Price: 115.74
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.301
Date: Wed, 09 Oct 2024 AIC 38.603
Time: 14:41:05 BIC 41.427
Sample: 0 HQIC 38.022
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2784 0.879 -0.317 0.751 -2.001 1.445
ma.L1 0.6902 0.688 1.003 0.316 -0.658 2.038
ar.S.L7 -0.1340 0.474 -0.283 0.778 -1.063 0.795
ma.S.L7 -1.0003 2856.366 -0.000 1.000 -5599.374 5597.374
sigma2 0.3194 912.472 0.000 1.000 -1788.092 1788.731
===================================================================================
Ljung-Box (L1) (Q): 0.51 Jarque-Bera (JB): 2.51
Prob(Q): 0.47 Prob(JB): 0.29
Heteroskedasticity (H): 0.22 Skew: -1.05
Prob(H) (two-sided): 0.17 Kurtosis: 3.42
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.19362717449482, Current Price: 115.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.906
Date: Wed, 09 Oct 2024 AIC 29.811
Time: 14:41:05 BIC 32.636
Sample: 0 HQIC 29.231
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4863 0.266 -1.830 0.067 -1.007 0.034
ma.L1 0.7635 0.477 1.602 0.109 -0.170 1.697
ar.S.L7 0.1043 0.453 0.230 0.818 -0.783 0.992
ma.S.L7 -1.0001 1.18e+04 -8.45e-05 1.000 -2.32e+04 2.32e+04
sigma2 0.1557 1842.296 8.45e-05 1.000 -3610.679 3610.990
===================================================================================
Ljung-Box (L1) (Q): 1.06 Jarque-Bera (JB): 0.28
Prob(Q): 0.30 Prob(JB): 0.87
Heteroskedasticity (H): 0.30 Skew: -0.05
Prob(H) (two-sided): 0.28 Kurtosis: 2.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 115.68860784644905, Current Price: 116.41
SELL EXECUTED at 116.41
SELL ORDER COMPLETED at 117.37
OPERATION PROFIT, GROSS 1.6099999999999994, NET 1.3768699999999994
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -8.182
Date: Wed, 09 Oct 2024 AIC 26.364
Time: 14:41:05 BIC 29.189
Sample: 0 HQIC 25.784
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3262 0.442 0.738 0.461 -0.541 1.193
ma.L1 0.3398 0.292 1.164 0.245 -0.233 0.912
ar.S.L7 0.0853 0.292 0.292 0.770 -0.486 0.657
ma.S.L7 -0.9999 1.13e+04 -8.87e-05 1.000 -2.21e+04 2.21e+04
sigma2 0.1243 1400.529 8.87e-05 1.000 -2744.861 2745.110
===================================================================================
Ljung-Box (L1) (Q): 2.35 Jarque-Bera (JB): 1.23
Prob(Q): 0.13 Prob(JB): 0.54
Heteroskedasticity (H): 0.73 Skew: 0.22
Prob(H) (two-sided): 0.76 Kurtosis: 1.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.80320744631894, Current Price: 117.12
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.136
Date: Wed, 09 Oct 2024 AIC 28.272
Time: 14:41:05 BIC 31.096
Sample: 0 HQIC 27.691
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7139 0.418 1.707 0.088 -0.106 1.534
ma.L1 -0.1675 0.491 -0.341 0.733 -1.130 0.795
ar.S.L7 -0.2822 0.245 -1.152 0.249 -0.762 0.198
ma.S.L7 -0.3671 0.648 -0.566 0.571 -1.638 0.903
sigma2 0.2233 0.221 1.011 0.312 -0.210 0.656
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 1.48
Prob(Q): 0.78 Prob(JB): 0.48
Heteroskedasticity (H): 0.69 Skew: 0.18
Prob(H) (two-sided): 0.73 Kurtosis: 1.38
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.91139966815011, Current Price: 117.14
BUY EXECUTED at 117.14
BUY ORDER COMPLETED at 117.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.328
Date: Wed, 09 Oct 2024 AIC 30.655
Time: 14:41:05 BIC 33.480
Sample: 0 HQIC 30.075
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3951 0.435 0.908 0.364 -0.458 1.248
ma.L1 0.0869 0.814 0.107 0.915 -1.508 1.681
ar.S.L7 -0.2422 0.286 -0.848 0.396 -0.802 0.318
ma.S.L7 -0.1850 0.711 -0.260 0.795 -1.579 1.209
sigma2 0.2846 0.230 1.235 0.217 -0.167 0.736
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.84
Prob(Q): 0.91 Prob(JB): 0.66
Heteroskedasticity (H): 0.65 Skew: 0.27
Prob(H) (two-sided): 0.69 Kurtosis: 1.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 116.63900823009197, Current Price: 118.09
SELL EXECUTED at 118.09
SELL ORDER COMPLETED at 117.7
OPERATION PROFIT, GROSS 0.0799999999999983, NET -0.1553200000000017
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.970
Date: Wed, 09 Oct 2024 AIC 33.939
Time: 14:41:05 BIC 36.764
Sample: 0 HQIC 33.359
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6609 0.677 0.976 0.329 -0.666 1.988
ma.L1 -0.3186 0.747 -0.426 0.670 -1.784 1.146
ar.S.L7 -0.4273 0.271 -1.575 0.115 -0.959 0.105
ma.S.L7 -0.0663 0.750 -0.088 0.930 -1.537 1.405
sigma2 0.3682 0.336 1.095 0.273 -0.291 1.027
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.70
Prob(Q): 0.77 Prob(JB): 0.70
Heteroskedasticity (H): 3.80 Skew: 0.22
Prob(H) (two-sided): 0.22 Kurtosis: 1.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.12886631711622, Current Price: 117.68
BUY EXECUTED at 117.68
BUY ORDER COMPLETED at 117.67
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.467
Date: Wed, 09 Oct 2024 AIC 36.934
Time: 14:41:05 BIC 39.759
Sample: 0 HQIC 36.353
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6459 0.474 1.364 0.173 -0.282 1.574
ma.L1 -0.6322 0.649 -0.974 0.330 -1.904 0.640
ar.S.L7 -0.4680 0.339 -1.380 0.167 -1.132 0.196
ma.S.L7 -0.3601 1.314 -0.274 0.784 -2.936 2.216
sigma2 0.4294 0.500 0.860 0.390 -0.550 1.408
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.84
Prob(Q): 0.85 Prob(JB): 0.66
Heteroskedasticity (H): 3.60 Skew: -0.01
Prob(H) (two-sided): 0.24 Kurtosis: 1.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.77246667754926, Current Price: 117.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.962
Date: Wed, 09 Oct 2024 AIC 35.924
Time: 14:41:05 BIC 38.749
Sample: 0 HQIC 35.343
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4949 1.271 0.389 0.697 -1.997 2.986
ma.L1 -0.4274 1.508 -0.283 0.777 -3.384 2.529
ar.S.L7 -0.4318 0.518 -0.834 0.404 -1.446 0.582
ma.S.L7 -0.3137 1.351 -0.232 0.816 -2.962 2.334
sigma2 0.4083 0.410 0.995 0.320 -0.396 1.213
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.52
Prob(Q): 0.93 Prob(JB): 0.77
Heteroskedasticity (H): 4.07 Skew: 0.16
Prob(H) (two-sided): 0.20 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.22388197132791, Current Price: 117.79
SELL EXECUTED at 117.79
SELL ORDER COMPLETED at 117.54
OPERATION PROFIT, GROSS -0.12999999999999545, NET -0.3652099999999955
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.018
Date: Wed, 09 Oct 2024 AIC 36.036
Time: 14:41:05 BIC 38.861
Sample: 0 HQIC 35.455
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4911 1.129 0.435 0.663 -1.721 2.703
ma.L1 -0.4184 1.291 -0.324 0.746 -2.948 2.111
ar.S.L7 -0.5143 0.467 -1.101 0.271 -1.430 0.401
ma.S.L7 -0.4635 1.942 -0.239 0.811 -4.269 3.342
sigma2 0.3856 0.657 0.587 0.557 -0.902 1.673
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 0.72
Prob(Q): 0.66 Prob(JB): 0.70
Heteroskedasticity (H): 4.83 Skew: -0.24
Prob(H) (two-sided): 0.16 Kurtosis: 1.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.91576480787337, Current Price: 117.53
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.965
Date: Wed, 09 Oct 2024 AIC 35.931
Time: 14:41:05 BIC 38.756
Sample: 0 HQIC 35.350
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2165 4.720 -0.046 0.963 -9.468 9.035
ma.L1 0.1394 4.741 0.029 0.977 -9.154 9.432
ar.S.L7 -0.5600 0.465 -1.204 0.229 -1.472 0.352
ma.S.L7 -1.1983 9.332 -0.128 0.898 -19.489 17.092
sigma2 0.2113 2.066 0.102 0.919 -3.837 4.260
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.65
Prob(Q): 0.88 Prob(JB): 0.72
Heteroskedasticity (H): 2.36 Skew: -0.10
Prob(H) (two-sided): 0.43 Kurtosis: 1.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.36582963827095, Current Price: 117.06
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.595
Date: Wed, 09 Oct 2024 AIC 35.189
Time: 14:41:05 BIC 38.014
Sample: 0 HQIC 34.609
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2313 2.983 -0.078 0.938 -6.077 5.615
ma.L1 0.0927 3.013 0.031 0.975 -5.812 5.997
ar.S.L7 -0.3820 0.326 -1.172 0.241 -1.021 0.257
ma.S.L7 -1.0000 1.62e+04 -6.18e-05 1.000 -3.17e+04 3.17e+04
sigma2 0.2448 3961.587 6.18e-05 1.000 -7764.324 7764.814
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 1.04
Prob(Q): 0.74 Prob(JB): 0.59
Heteroskedasticity (H): 1.08 Skew: 0.16
Prob(H) (two-sided): 0.94 Kurtosis: 1.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.4494827912044, Current Price: 117.87
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.271
Date: Wed, 09 Oct 2024 AIC 34.543
Time: 14:41:05 BIC 37.367
Sample: 0 HQIC 33.962
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2819 1.661 -0.170 0.865 -3.538 2.974
ma.L1 0.0394 1.699 0.023 0.981 -3.291 3.370
ar.S.L7 -0.3201 0.264 -1.211 0.226 -0.838 0.198
ma.S.L7 -1.0001 4006.877 -0.000 1.000 -7854.335 7852.335
sigma2 0.2329 933.062 0.000 1.000 -1828.535 1829.001
===================================================================================
Ljung-Box (L1) (Q): 0.23 Jarque-Bera (JB): 1.07
Prob(Q): 0.63 Prob(JB): 0.59
Heteroskedasticity (H): 0.78 Skew: 0.06
Prob(H) (two-sided): 0.82 Kurtosis: 1.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.47981720845613, Current Price: 118.15
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.033
Date: Wed, 09 Oct 2024 AIC 36.066
Time: 14:41:05 BIC 38.890
Sample: 0 HQIC 35.485
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0499 4.139 0.012 0.990 -8.063 8.163
ma.L1 -0.1742 4.022 -0.043 0.965 -8.057 7.708
ar.S.L7 -0.2627 0.370 -0.710 0.478 -0.988 0.463
ma.S.L7 -1.0013 660.742 -0.002 0.999 -1296.032 1294.030
sigma2 0.2615 172.917 0.002 0.999 -338.649 339.172
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.87
Prob(Q): 0.82 Prob(JB): 0.65
Heteroskedasticity (H): 0.99 Skew: -0.37
Prob(H) (two-sided): 0.99 Kurtosis: 1.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.58718206933122, Current Price: 117.43
BUY EXECUTED at 117.43
BUY ORDER COMPLETED at 119.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.460
Date: Wed, 09 Oct 2024 AIC 38.921
Time: 14:41:05 BIC 41.746
Sample: 0 HQIC 38.340
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4951 1.236 -0.401 0.689 -2.917 1.927
ma.L1 0.5572 1.387 0.402 0.688 -2.161 3.276
ar.S.L7 -0.2543 0.721 -0.353 0.724 -1.667 1.158
ma.S.L7 -0.4032 1.062 -0.380 0.704 -2.484 1.677
sigma2 0.4965 0.364 1.363 0.173 -0.217 1.210
===================================================================================
Ljung-Box (L1) (Q): 0.64 Jarque-Bera (JB): 0.70
Prob(Q): 0.42 Prob(JB): 0.71
Heteroskedasticity (H): 1.51 Skew: 0.10
Prob(H) (two-sided): 0.70 Kurtosis: 1.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 117.5140085894386, Current Price: 119.24
SELL EXECUTED at 119.24
SELL ORDER COMPLETED at 119.19
OPERATION PROFIT, GROSS 0.0799999999999983, NET -0.15830000000000172
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.801
Date: Wed, 09 Oct 2024 AIC 41.601
Time: 14:41:05 BIC 44.426
Sample: 0 HQIC 41.021
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4788 0.367 -1.304 0.192 -1.198 0.241
ma.L1 -0.0190 0.606 -0.031 0.975 -1.206 1.168
ar.S.L7 -0.3385 0.297 -1.138 0.255 -0.922 0.244
ma.S.L7 -1.0003 2390.462 -0.000 1.000 -4686.220 4684.220
sigma2 0.3914 935.660 0.000 1.000 -1833.469 1834.252
===================================================================================
Ljung-Box (L1) (Q): 0.34 Jarque-Bera (JB): 1.28
Prob(Q): 0.56 Prob(JB): 0.53
Heteroskedasticity (H): 0.85 Skew: -0.23
Prob(H) (two-sided): 0.88 Kurtosis: 1.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 118.19130596193556, Current Price: 118.72
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.365
Date: Wed, 09 Oct 2024 AIC 38.730
Time: 14:41:06 BIC 41.554
Sample: 0 HQIC 38.149
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3280 1.475 -0.222 0.824 -3.219 2.563
ma.L1 -0.1453 1.336 -0.109 0.913 -2.763 2.473
ar.S.L7 -0.4916 0.594 -0.828 0.408 -1.655 0.672
ma.S.L7 -1.0005 1900.918 -0.001 1.000 -3726.731 3724.730
sigma2 0.3210 610.244 0.001 1.000 -1195.735 1196.377
===================================================================================
Ljung-Box (L1) (Q): 1.21 Jarque-Bera (JB): 0.93
Prob(Q): 0.27 Prob(JB): 0.63
Heteroskedasticity (H): 1.15 Skew: -0.16
Prob(H) (two-sided): 0.90 Kurtosis: 1.72
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.15650147257105, Current Price: 120.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.763
Date: Wed, 09 Oct 2024 AIC 35.526
Time: 14:41:06 BIC 38.351
Sample: 0 HQIC 34.946
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3735 0.255 -1.466 0.143 -0.873 0.126
ma.L1 -0.2512 0.433 -0.580 0.562 -1.100 0.597
ar.S.L7 -0.7618 0.337 -2.261 0.024 -1.422 -0.101
ma.S.L7 -0.3811 0.716 -0.532 0.595 -1.784 1.022
sigma2 0.3929 0.276 1.426 0.154 -0.147 0.933
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.88
Prob(Q): 0.79 Prob(JB): 0.64
Heteroskedasticity (H): 1.14 Skew: 0.30
Prob(H) (two-sided): 0.90 Kurtosis: 1.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.19748125592423, Current Price: 119.66
BUY EXECUTED at 119.66
BUY ORDER COMPLETED at 120.57
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.642
Date: Wed, 09 Oct 2024 AIC 37.283
Time: 14:41:06 BIC 40.108
Sample: 0 HQIC 36.703
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0983 0.437 0.225 0.822 -0.759 0.956
ma.L1 -1.0000 3503.897 -0.000 1.000 -6868.512 6866.512
ar.S.L7 -0.6959 0.364 -1.912 0.056 -1.409 0.017
ma.S.L7 -0.5618 1.081 -0.520 0.603 -2.681 1.557
sigma2 0.3515 1231.474 0.000 1.000 -2413.293 2413.996
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.25
Prob(Q): 0.94 Prob(JB): 0.54
Heteroskedasticity (H): 1.50 Skew: 0.19
Prob(H) (two-sided): 0.70 Kurtosis: 1.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.71843397419022, Current Price: 120.57
SELL EXECUTED at 120.57
SELL ORDER COMPLETED at 120.8
OPERATION PROFIT, GROSS 0.23000000000000398, NET -0.011369999999996022
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.055
Date: Wed, 09 Oct 2024 AIC 36.111
Time: 14:41:06 BIC 38.936
Sample: 0 HQIC 35.530
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3638 0.607 -0.599 0.549 -1.554 0.826
ma.L1 -0.2559 0.792 -0.323 0.746 -1.807 1.296
ar.S.L7 -0.6626 0.330 -2.006 0.045 -1.310 -0.015
ma.S.L7 -0.1332 0.721 -0.185 0.853 -1.545 1.279
sigma2 0.4337 0.339 1.278 0.201 -0.231 1.099
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.93
Prob(Q): 0.87 Prob(JB): 0.63
Heteroskedasticity (H): 0.69 Skew: 0.10
Prob(H) (two-sided): 0.72 Kurtosis: 1.71
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.85668108156483, Current Price: 121.06
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.575
Date: Wed, 09 Oct 2024 AIC 35.151
Time: 14:41:06 BIC 37.976
Sample: 0 HQIC 34.570
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2809 0.720 -0.390 0.696 -1.692 1.130
ma.L1 -0.1915 0.829 -0.231 0.817 -1.816 1.433
ar.S.L7 -0.8039 0.302 -2.660 0.008 -1.396 -0.212
ma.S.L7 0.1863 0.675 0.276 0.783 -1.137 1.509
sigma2 0.3998 0.239 1.675 0.094 -0.068 0.868
===================================================================================
Ljung-Box (L1) (Q): 0.42 Jarque-Bera (JB): 0.81
Prob(Q): 0.52 Prob(JB): 0.67
Heteroskedasticity (H): 0.53 Skew: 0.32
Prob(H) (two-sided): 0.55 Kurtosis: 1.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.60176576189168, Current Price: 121.25
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.674
Date: Wed, 09 Oct 2024 AIC 33.348
Time: 14:41:06 BIC 36.172
Sample: 0 HQIC 32.767
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5414 0.403 -1.344 0.179 -1.331 0.248
ma.L1 -0.0882 0.583 -0.151 0.880 -1.230 1.054
ar.S.L7 -0.6069 0.207 -2.935 0.003 -1.012 -0.202
ma.S.L7 -0.5875 1.170 -0.502 0.616 -2.881 1.706
sigma2 0.2937 0.359 0.819 0.413 -0.409 0.997
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.51
Prob(Q): 1.00 Prob(JB): 0.47
Heteroskedasticity (H): 0.65 Skew: -0.73
Prob(H) (two-sided): 0.68 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.01802393293612, Current Price: 121.33
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.002
Date: Wed, 09 Oct 2024 AIC 34.005
Time: 14:41:06 BIC 36.829
Sample: 0 HQIC 33.424
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5600 0.469 -1.195 0.232 -1.479 0.359
ma.L1 -0.1237 0.603 -0.205 0.837 -1.305 1.057
ar.S.L7 -0.8219 0.182 -4.518 0.000 -1.179 -0.465
ma.S.L7 0.2809 0.950 0.296 0.767 -1.580 2.142
sigma2 0.3570 0.232 1.538 0.124 -0.098 0.812
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 0.43
Prob(Q): 0.69 Prob(JB): 0.81
Heteroskedasticity (H): 0.16 Skew: 0.00
Prob(H) (two-sided): 0.10 Kurtosis: 2.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.62505285364982, Current Price: 122.43
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.436
Date: Wed, 09 Oct 2024 AIC 34.873
Time: 14:41:06 BIC 37.697
Sample: 0 HQIC 34.292
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8113 0.368 -2.206 0.027 -1.532 -0.091
ma.L1 0.1455 0.480 0.303 0.762 -0.795 1.086
ar.S.L7 -0.8469 0.199 -4.260 0.000 -1.237 -0.457
ma.S.L7 1.0041 202.766 0.005 0.996 -396.411 398.419
sigma2 0.2306 46.810 0.005 0.996 -91.514 91.976
===================================================================================
Ljung-Box (L1) (Q): 0.87 Jarque-Bera (JB): 0.53
Prob(Q): 0.35 Prob(JB): 0.77
Heteroskedasticity (H): 0.31 Skew: -0.18
Prob(H) (two-sided): 0.28 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.98393332378014, Current Price: 121.44
BUY EXECUTED at 121.44
BUY ORDER COMPLETED at 122.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.135
Date: Wed, 09 Oct 2024 AIC 32.271
Time: 14:41:06 BIC 35.095
Sample: 0 HQIC 31.690
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7727 0.345 -2.238 0.025 -1.449 -0.096
ma.L1 -0.1622 0.595 -0.272 0.785 -1.329 1.005
ar.S.L7 -0.7669 0.167 -4.595 0.000 -1.094 -0.440
ma.S.L7 0.7655 2.641 0.290 0.772 -4.410 5.941
sigma2 0.2362 0.592 0.399 0.690 -0.925 1.397
===================================================================================
Ljung-Box (L1) (Q): 1.01 Jarque-Bera (JB): 0.49
Prob(Q): 0.32 Prob(JB): 0.78
Heteroskedasticity (H): 0.37 Skew: 0.16
Prob(H) (two-sided): 0.36 Kurtosis: 2.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.04532854896723, Current Price: 121.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.328
Date: Wed, 09 Oct 2024 AIC 32.657
Time: 14:41:06 BIC 35.481
Sample: 0 HQIC 32.076
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7051 0.370 -1.906 0.057 -1.430 0.020
ma.L1 -5.5010 15.506 -0.355 0.723 -35.893 24.891
ar.S.L7 -0.7025 0.224 -3.134 0.002 -1.142 -0.263
ma.S.L7 3.5888 11.171 0.321 0.748 -18.305 25.483
sigma2 0.0008 0.008 0.097 0.922 -0.016 0.017
===================================================================================
Ljung-Box (L1) (Q): 0.89 Jarque-Bera (JB): 1.00
Prob(Q): 0.35 Prob(JB): 0.61
Heteroskedasticity (H): 0.21 Skew: 0.19
Prob(H) (two-sided): 0.16 Kurtosis: 1.69
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.10778329578899, Current Price: 121.53
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.229
Date: Wed, 09 Oct 2024 AIC 28.459
Time: 14:41:06 BIC 31.284
Sample: 0 HQIC 27.878
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8968 0.212 -4.235 0.000 -1.312 -0.482
ma.L1 0.1109 0.314 0.353 0.724 -0.505 0.726
ar.S.L7 -0.7759 0.243 -3.189 0.001 -1.253 -0.299
ma.S.L7 -16.5415 88.754 -0.186 0.852 -190.497 157.414
sigma2 0.0009 0.010 0.091 0.928 -0.019 0.020
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.72
Prob(Q): 0.77 Prob(JB): 0.70
Heteroskedasticity (H): 0.52 Skew: 0.08
Prob(H) (two-sided): 0.55 Kurtosis: 1.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.83266195005466, Current Price: 122.31
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -5.686
Date: Wed, 09 Oct 2024 AIC 21.373
Time: 14:41:06 BIC 24.198
Sample: 0 HQIC 20.792
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9849 0.039 -25.513 0.000 -1.061 -0.909
ma.L1 1.0000 4212.087 0.000 1.000 -8254.538 8256.538
ar.S.L7 -0.8449 0.106 -7.991 0.000 -1.052 -0.638
ma.S.L7 0.3765 0.564 0.667 0.504 -0.729 1.482
sigma2 0.1094 460.770 0.000 1.000 -902.983 903.201
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 0.89
Prob(Q): 0.69 Prob(JB): 0.64
Heteroskedasticity (H): 0.76 Skew: -0.03
Prob(H) (two-sided): 0.80 Kurtosis: 1.72
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.06333262140198, Current Price: 121.59
SELL EXECUTED at 121.59
SELL ORDER COMPLETED at 121.74
OPERATION PROFIT, GROSS -0.4200000000000017, NET -0.6639000000000017
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -5.083
Date: Wed, 09 Oct 2024 AIC 20.166
Time: 14:41:06 BIC 22.991
Sample: 0 HQIC 19.585
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9523 0.055 -17.188 0.000 -1.061 -0.844
ma.L1 1.0000 3426.207 0.000 1.000 -6714.243 6716.243
ar.S.L7 -0.7698 0.124 -6.211 0.000 -1.013 -0.527
ma.S.L7 0.6252 1.576 0.397 0.691 -2.463 3.713
sigma2 0.0863 295.736 0.000 1.000 -579.545 579.717
===================================================================================
Ljung-Box (L1) (Q): 1.31 Jarque-Bera (JB): 0.58
Prob(Q): 0.25 Prob(JB): 0.75
Heteroskedasticity (H): 1.77 Skew: -0.23
Prob(H) (two-sided): 0.59 Kurtosis: 2.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.58601168160801, Current Price: 121.8
BUY EXECUTED at 121.8
BUY ORDER COMPLETED at 122.15
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.066
Date: Wed, 09 Oct 2024 AIC 28.131
Time: 14:41:06 BIC 30.956
Sample: 0 HQIC 27.551
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8596 0.210 -4.097 0.000 -1.271 -0.448
ma.L1 0.2870 0.697 0.412 0.681 -1.079 1.653
ar.S.L7 -0.5801 0.249 -2.325 0.020 -1.069 -0.091
ma.S.L7 0.2755 0.765 0.360 0.719 -1.224 1.775
sigma2 0.2276 0.163 1.399 0.162 -0.091 0.546
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 1.12
Prob(Q): 0.87 Prob(JB): 0.57
Heteroskedasticity (H): 13.09 Skew: -0.72
Prob(H) (two-sided): 0.03 Kurtosis: 2.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.48636870405625, Current Price: 122.09
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -8.924
Date: Wed, 09 Oct 2024 AIC 27.848
Time: 14:41:06 BIC 30.672
Sample: 0 HQIC 27.267
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7789 0.376 -2.074 0.038 -1.515 -0.043
ma.L1 0.0347 0.816 0.042 0.966 -1.565 1.634
ar.S.L7 -0.6127 0.424 -1.446 0.148 -1.443 0.218
ma.S.L7 -0.5919 1.993 -0.297 0.766 -4.497 3.313
sigma2 0.1920 0.242 0.792 0.429 -0.283 0.667
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.69
Prob(Q): 0.93 Prob(JB): 0.43
Heteroskedasticity (H): 5.37 Skew: -0.78
Prob(H) (two-sided): 0.13 Kurtosis: 3.84
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.47893440659251, Current Price: 121.88
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.487
Date: Wed, 09 Oct 2024 AIC 28.974
Time: 14:41:06 BIC 31.798
Sample: 0 HQIC 28.393
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8607 0.228 -3.768 0.000 -1.308 -0.413
ma.L1 0.2484 0.572 0.435 0.664 -0.872 1.368
ar.S.L7 -0.5175 0.314 -1.648 0.099 -1.133 0.098
ma.S.L7 -0.0505 0.984 -0.051 0.959 -1.980 1.879
sigma2 0.2516 0.170 1.484 0.138 -0.081 0.584
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.02
Prob(Q): 0.99 Prob(JB): 0.99
Heteroskedasticity (H): 3.49 Skew: -0.03
Prob(H) (two-sided): 0.25 Kurtosis: 2.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.18563098128868, Current Price: 122.27
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.500
Date: Wed, 09 Oct 2024 AIC 29.000
Time: 14:41:06 BIC 31.825
Sample: 0 HQIC 28.420
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8582 0.233 -3.679 0.000 -1.315 -0.401
ma.L1 0.2656 0.617 0.431 0.667 -0.943 1.474
ar.S.L7 -0.5254 0.278 -1.889 0.059 -1.071 0.020
ma.S.L7 0.0257 1.020 0.025 0.980 -1.973 2.024
sigma2 0.2523 0.181 1.393 0.164 -0.103 0.607
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.04
Prob(Q): 0.92 Prob(JB): 0.98
Heteroskedasticity (H): 1.78 Skew: -0.05
Prob(H) (two-sided): 0.59 Kurtosis: 2.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.28109947945825, Current Price: 122.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.382
Date: Wed, 09 Oct 2024 AIC 28.763
Time: 14:41:06 BIC 31.588
Sample: 0 HQIC 28.183
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8717 0.223 -3.914 0.000 -1.308 -0.435
ma.L1 0.2846 0.608 0.468 0.640 -0.907 1.476
ar.S.L7 -0.5178 0.269 -1.927 0.054 -1.045 0.009
ma.S.L7 0.0811 1.030 0.079 0.937 -1.938 2.100
sigma2 0.2471 0.181 1.366 0.172 -0.108 0.602
===================================================================================
Ljung-Box (L1) (Q): 0.33 Jarque-Bera (JB): 0.02
Prob(Q): 0.56 Prob(JB): 0.99
Heteroskedasticity (H): 0.20 Skew: 0.09
Prob(H) (two-sided): 0.15 Kurtosis: 3.05
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.05641915001208, Current Price: 121.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.163
Date: Wed, 09 Oct 2024 AIC 36.326
Time: 14:41:06 BIC 39.151
Sample: 0 HQIC 35.746
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9408 0.083 -11.370 0.000 -1.103 -0.779
ma.L1 0.9999 1351.105 0.001 0.999 -2647.117 2649.116
ar.S.L7 -0.3257 0.230 -1.413 0.158 -0.777 0.126
ma.S.L7 0.9999 7296.991 0.000 1.000 -1.43e+04 1.43e+04
sigma2 0.2149 1594.919 0.000 1.000 -3125.768 3126.198
===================================================================================
Ljung-Box (L1) (Q): 1.09 Jarque-Bera (JB): 0.64
Prob(Q): 0.30 Prob(JB): 0.73
Heteroskedasticity (H): 1.01 Skew: 0.21
Prob(H) (two-sided): 0.99 Kurtosis: 2.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.9322289215147, Current Price: 121.45
SELL EXECUTED at 121.45
SELL ORDER COMPLETED at 120.96
OPERATION PROFIT, GROSS -1.190000000000012, NET -1.4331100000000119
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.331
Date: Wed, 09 Oct 2024 AIC 34.662
Time: 14:41:06 BIC 37.487
Sample: 0 HQIC 34.082
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9332 0.064 -14.480 0.000 -1.060 -0.807
ma.L1 0.9999 1907.870 0.001 1.000 -3738.356 3740.356
ar.S.L7 -0.1272 0.229 -0.556 0.578 -0.576 0.322
ma.S.L7 0.9987 877.067 0.001 0.999 -1718.021 1720.019
sigma2 0.1893 457.728 0.000 1.000 -896.941 897.319
===================================================================================
Ljung-Box (L1) (Q): 0.65 Jarque-Bera (JB): 0.70
Prob(Q): 0.42 Prob(JB): 0.71
Heteroskedasticity (H): 2.40 Skew: -0.05
Prob(H) (two-sided): 0.42 Kurtosis: 1.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.69566389035555, Current Price: 121.28
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.299
Date: Wed, 09 Oct 2024 AIC 34.598
Time: 14:41:06 BIC 37.423
Sample: 0 HQIC 34.018
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8878 0.066 -13.499 0.000 -1.017 -0.759
ma.L1 1.0000 2613.141 0.000 1.000 -5120.662 5122.662
ar.S.L7 -0.1349 0.274 -0.492 0.622 -0.672 0.402
ma.S.L7 0.2184 1.389 0.157 0.875 -2.504 2.941
sigma2 0.3200 836.183 0.000 1.000 -1638.568 1639.208
===================================================================================
Ljung-Box (L1) (Q): 0.53 Jarque-Bera (JB): 0.15
Prob(Q): 0.46 Prob(JB): 0.93
Heteroskedasticity (H): 2.27 Skew: -0.13
Prob(H) (two-sided): 0.45 Kurtosis: 2.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.90896684512022, Current Price: 121.09
BUY EXECUTED at 121.09
BUY ORDER COMPLETED at 122.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.319
Date: Wed, 09 Oct 2024 AIC 34.638
Time: 14:41:06 BIC 37.463
Sample: 0 HQIC 34.057
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8320 0.123 -6.766 0.000 -1.073 -0.591
ma.L1 1.0000 4923.302 0.000 1.000 -9648.495 9650.495
ar.S.L7 -0.1565 0.369 -0.424 0.672 -0.880 0.568
ma.S.L7 0.2609 1.206 0.216 0.829 -2.103 2.625
sigma2 0.3170 1560.660 0.000 1.000 -3058.521 3059.155
===================================================================================
Ljung-Box (L1) (Q): 1.40 Jarque-Bera (JB): 0.15
Prob(Q): 0.24 Prob(JB): 0.93
Heteroskedasticity (H): 7.35 Skew: -0.11
Prob(H) (two-sided): 0.08 Kurtosis: 3.48
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.73940667210566, Current Price: 122.86
SELL EXECUTED at 122.86
SELL ORDER COMPLETED at 122.75
OPERATION PROFIT, GROSS 0.730000000000004, NET 0.485230000000004
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.740
Date: Wed, 09 Oct 2024 AIC 41.480
Time: 14:41:06 BIC 44.304
Sample: 0 HQIC 40.899
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6688 0.436 -1.532 0.125 -1.524 0.187
ma.L1 0.0679 0.707 0.096 0.923 -1.317 1.453
ar.S.L7 -0.0383 0.304 -0.126 0.900 -0.634 0.558
ma.S.L7 0.4323 2.155 0.201 0.841 -3.791 4.656
sigma2 0.6023 0.707 0.852 0.394 -0.783 1.988
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 0.08
Prob(Q): 0.70 Prob(JB): 0.96
Heteroskedasticity (H): 2.64 Skew: 0.18
Prob(H) (two-sided): 0.37 Kurtosis: 2.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.3117778691336, Current Price: 123.29
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.552
Date: Wed, 09 Oct 2024 AIC 41.103
Time: 14:41:06 BIC 43.928
Sample: 0 HQIC 40.523
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8236 0.172 -4.802 0.000 -1.160 -0.487
ma.L1 0.3521 0.488 0.721 0.471 -0.604 1.309
ar.S.L7 0.3139 0.577 0.544 0.586 -0.816 1.444
ma.S.L7 1.0002 7100.691 0.000 1.000 -1.39e+04 1.39e+04
sigma2 0.3738 2654.646 0.000 1.000 -5202.636 5203.384
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 0.41
Prob(Q): 0.66 Prob(JB): 0.82
Heteroskedasticity (H): 2.50 Skew: -0.08
Prob(H) (two-sided): 0.40 Kurtosis: 2.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.70112647869279, Current Price: 123.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.948
Date: Wed, 09 Oct 2024 AIC 39.896
Time: 14:41:06 BIC 42.721
Sample: 0 HQIC 39.316
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8387 0.160 -5.250 0.000 -1.152 -0.526
ma.L1 0.3811 0.463 0.824 0.410 -0.526 1.288
ar.S.L7 0.4074 0.497 0.820 0.412 -0.566 1.381
ma.S.L7 1.0001 2.32e+04 4.31e-05 1.000 -4.55e+04 4.55e+04
sigma2 0.3406 7907.457 4.31e-05 1.000 -1.55e+04 1.55e+04
===================================================================================
Ljung-Box (L1) (Q): 0.51 Jarque-Bera (JB): 0.48
Prob(Q): 0.47 Prob(JB): 0.78
Heteroskedasticity (H): 1.83 Skew: -0.21
Prob(H) (two-sided): 0.57 Kurtosis: 2.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.99392992330147, Current Price: 124.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.149
Date: Wed, 09 Oct 2024 AIC 44.298
Time: 14:41:07 BIC 47.122
Sample: 0 HQIC 43.717
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1187 2.983 -0.040 0.968 -5.966 5.728
ma.L1 -0.0048 2.953 -0.002 0.999 -5.793 5.784
ar.S.L7 -0.3997 0.872 -0.459 0.646 -2.108 1.309
ma.S.L7 -0.5755 1.932 -0.298 0.766 -4.362 3.211
sigma2 0.7017 0.792 0.886 0.376 -0.851 2.255
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.07
Prob(Q): 0.91 Prob(JB): 0.58
Heteroskedasticity (H): 12.28 Skew: 0.56
Prob(H) (two-sided): 0.03 Kurtosis: 3.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.34195528042895, Current Price: 124.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.993
Date: Wed, 09 Oct 2024 AIC 43.986
Time: 14:41:07 BIC 46.810
Sample: 0 HQIC 43.405
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1392 2.292 -0.061 0.952 -4.632 4.353
ma.L1 -0.0220 2.372 -0.009 0.993 -4.671 4.627
ar.S.L7 -0.4441 0.836 -0.531 0.595 -2.082 1.194
ma.S.L7 -0.8088 5.468 -0.148 0.882 -11.526 9.908
sigma2 0.5765 2.852 0.202 0.840 -5.013 6.166
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.48
Prob(Q): 0.98 Prob(JB): 0.79
Heteroskedasticity (H): 5.40 Skew: 0.36
Prob(H) (two-sided): 0.13 Kurtosis: 3.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.0816604405136, Current Price: 124.5
BUY EXECUTED at 124.5
BUY ORDER COMPLETED at 123.99
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.289
Date: Wed, 09 Oct 2024 AIC 44.578
Time: 14:41:07 BIC 47.402
Sample: 0 HQIC 43.997
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1447 2.268 -0.064 0.949 -4.589 4.300
ma.L1 -0.0275 2.429 -0.011 0.991 -4.788 4.733
ar.S.L7 -0.4078 1.622 -0.251 0.801 -3.587 2.771
ma.S.L7 -0.4354 3.076 -0.142 0.887 -6.465 5.594
sigma2 0.7701 1.317 0.585 0.559 -1.811 3.351
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.17
Prob(Q): 0.86 Prob(JB): 0.92
Heteroskedasticity (H): 0.45 Skew: 0.16
Prob(H) (two-sided): 0.46 Kurtosis: 3.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.94900827236947, Current Price: 123.96
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.143
Date: Wed, 09 Oct 2024 AIC 42.286
Time: 14:41:07 BIC 45.110
Sample: 0 HQIC 41.705
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6501 0.446 -1.458 0.145 -1.524 0.224
ma.L1 1.0000 1e+04 9.96e-05 1.000 -1.97e+04 1.97e+04
ar.S.L7 -0.0772 0.744 -0.104 0.917 -1.536 1.381
ma.S.L7 -1.0001 1.53e+04 -6.52e-05 1.000 -3.01e+04 3.01e+04
sigma2 0.3694 7042.163 5.25e-05 1.000 -1.38e+04 1.38e+04
===================================================================================
Ljung-Box (L1) (Q): 0.83 Jarque-Bera (JB): 0.03
Prob(Q): 0.36 Prob(JB): 0.99
Heteroskedasticity (H): 0.20 Skew: 0.10
Prob(H) (two-sided): 0.15 Kurtosis: 2.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.3771699961478, Current Price: 124.28
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.477
Date: Wed, 09 Oct 2024 AIC 44.955
Time: 14:41:07 BIC 47.780
Sample: 0 HQIC 44.374
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1545 3.015 -0.051 0.959 -6.063 5.754
ma.L1 0.0182 3.003 0.006 0.995 -5.867 5.903
ar.S.L7 -0.3943 1.220 -0.323 0.747 -2.786 1.997
ma.S.L7 -0.3836 1.911 -0.201 0.841 -4.128 3.361
sigma2 0.8088 0.695 1.164 0.245 -0.553 2.171
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.29
Prob(Q): 0.97 Prob(JB): 0.86
Heteroskedasticity (H): 0.31 Skew: 0.28
Prob(H) (two-sided): 0.28 Kurtosis: 3.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.62264365173638, Current Price: 123.44
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -108.258
Date: Wed, 09 Oct 2024 AIC 226.517
Time: 14:41:07 BIC 229.341
Sample: 0 HQIC 225.936
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -17.9502 609.742 -0.029 0.977 -1213.023 1177.123
ma.L1 -17.5187 566.780 -0.031 0.975 -1128.387 1093.350
ar.S.L7 -46.2328 1579.279 -0.029 0.977 -3141.563 3049.098
ma.S.L7 -8.1604 149.830 -0.054 0.957 -301.822 285.501
sigma2 96.8280 5872.462 0.016 0.987 -1.14e+04 1.16e+04
===================================================================================
Ljung-Box (L1) (Q): 1.72 Jarque-Bera (JB): 0.50
Prob(Q): 0.19 Prob(JB): 0.78
Heteroskedasticity (H): 2.47 Skew: 0.48
Prob(H) (two-sided): 0.40 Kurtosis: 3.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: -28.053089351558427, Current Price: 123.74
SELL EXECUTED at 123.74
SELL ORDER COMPLETED at 124.05
OPERATION PROFIT, GROSS 0.060000000000002274, NET -0.1880399999999977
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.622
Date: Wed, 09 Oct 2024 AIC 41.243
Time: 14:41:07 BIC 44.068
Sample: 0 HQIC 40.662
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3201 1.565 -0.205 0.838 -3.387 2.747
ma.L1 0.0797 1.524 0.052 0.958 -2.906 3.066
ar.S.L7 -0.2737 0.492 -0.556 0.578 -1.238 0.690
ma.S.L7 -1.0001 1.04e+04 -9.62e-05 1.000 -2.04e+04 2.04e+04
sigma2 0.3899 4051.412 9.62e-05 1.000 -7940.231 7941.011
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.07
Prob(Q): 0.72 Prob(JB): 0.96
Heteroskedasticity (H): 0.62 Skew: 0.18
Prob(H) (two-sided): 0.66 Kurtosis: 2.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.58074678592011, Current Price: 124.21
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.656
Date: Wed, 09 Oct 2024 AIC 39.312
Time: 14:41:07 BIC 42.136
Sample: 0 HQIC 38.731
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3967 2.355 0.168 0.866 -4.220 5.013
ma.L1 -4.5786 48.147 -0.095 0.924 -98.946 89.788
ar.S.L7 0.0608 0.414 0.147 0.883 -0.750 0.871
ma.S.L7 -1.0001 1.27e+04 -7.87e-05 1.000 -2.49e+04 2.49e+04
sigma2 0.0160 204.143 7.86e-05 1.000 -400.097 400.129
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.68
Prob(Q): 0.90 Prob(JB): 0.43
Heteroskedasticity (H): 0.51 Skew: 0.85
Prob(H) (two-sided): 0.53 Kurtosis: 3.45
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.17901244973781, Current Price: 123.6
BUY EXECUTED at 123.6
BUY ORDER COMPLETED at 123.96
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.597
Date: Wed, 09 Oct 2024 AIC 43.194
Time: 14:41:07 BIC 46.019
Sample: 0 HQIC 42.614
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3752 7.261 0.052 0.959 -13.857 14.607
ma.L1 -3.4262 89.415 -0.038 0.969 -178.677 171.825
ar.S.L7 -0.0023 0.006 -0.397 0.691 -0.014 0.009
ma.S.L7 -0.9751 37.833 -0.026 0.979 -75.127 73.176
sigma2 0.0405 3.315 0.012 0.990 -6.457 6.538
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.95
Prob(Q): 0.90 Prob(JB): 0.62
Heteroskedasticity (H): 0.51 Skew: 0.65
Prob(H) (two-sided): 0.53 Kurtosis: 2.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.49110106174547, Current Price: 123.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.874
Date: Wed, 09 Oct 2024 AIC 43.747
Time: 14:41:07 BIC 46.572
Sample: 0 HQIC 43.167
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1609 6.800 0.024 0.981 -13.167 13.489
ma.L1 -4.4034 127.096 -0.035 0.972 -253.508 244.701
ar.S.L7 -0.1689 0.471 -0.358 0.720 -1.092 0.754
ma.S.L7 -0.9878 77.548 -0.013 0.990 -152.978 151.003
sigma2 0.0244 2.012 0.012 0.990 -3.919 3.968
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 0.35
Prob(Q): 0.66 Prob(JB): 0.84
Heteroskedasticity (H): 0.23 Skew: 0.29
Prob(H) (two-sided): 0.18 Kurtosis: 2.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.86183551919153, Current Price: 123.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.077
Date: Wed, 09 Oct 2024 AIC 34.154
Time: 14:41:07 BIC 36.979
Sample: 0 HQIC 33.574
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6453 0.586 1.101 0.271 -0.503 1.794
ma.L1 -2.0995 3.212 -0.654 0.513 -8.394 4.196
ar.S.L7 -0.4562 0.350 -1.304 0.192 -1.142 0.229
ma.S.L7 0.0736 0.352 0.209 0.835 -0.617 0.764
sigma2 0.0846 0.296 0.286 0.775 -0.495 0.664
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.90
Prob(Q): 0.92 Prob(JB): 0.64
Heteroskedasticity (H): 1.35 Skew: 0.03
Prob(H) (two-sided): 0.78 Kurtosis: 1.71
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.29607767114864, Current Price: 124.06
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.413
Date: Wed, 09 Oct 2024 AIC 28.826
Time: 14:41:07 BIC 31.651
Sample: 0 HQIC 28.245
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6028 0.240 2.510 0.012 0.132 1.074
ma.L1 -2.6014 2.268 -1.147 0.251 -7.048 1.845
ar.S.L7 -0.4165 0.171 -2.430 0.015 -0.752 -0.081
ma.S.L7 1.0006 1852.254 0.001 1.000 -3629.351 3631.352
sigma2 0.0214 39.680 0.001 1.000 -77.750 77.793
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.66
Prob(Q): 0.87 Prob(JB): 0.72
Heteroskedasticity (H): 2.07 Skew: 0.15
Prob(H) (two-sided): 0.50 Kurtosis: 1.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.43664558841222, Current Price: 124.8
SELL EXECUTED at 124.8
SELL ORDER COMPLETED at 125.98
OPERATION PROFIT, GROSS 2.0200000000000102, NET 1.7700600000000102
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.556
Date: Wed, 09 Oct 2024 AIC 35.113
Time: 14:41:07 BIC 37.937
Sample: 0 HQIC 34.532
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2141 8.584 0.025 0.980 -16.611 17.039
ma.L1 -5.5449 265.150 -0.021 0.983 -525.230 514.140
ar.S.L7 -0.5423 0.314 -1.728 0.084 -1.157 0.073
ma.S.L7 -0.1415 0.648 -0.218 0.827 -1.411 1.128
sigma2 0.0130 1.243 0.010 0.992 -2.424 2.450
===================================================================================
Ljung-Box (L1) (Q): 0.37 Jarque-Bera (JB): 0.65
Prob(Q): 0.54 Prob(JB): 0.72
Heteroskedasticity (H): 0.96 Skew: -0.13
Prob(H) (two-sided): 0.97 Kurtosis: 1.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.30409640385953, Current Price: 126.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.365
Date: Wed, 09 Oct 2024 AIC 36.731
Time: 14:41:07 BIC 39.556
Sample: 0 HQIC 36.150
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0203 0.554 -0.037 0.971 -1.106 1.065
ma.L1 -1.0000 9398.506 -0.000 1.000 -1.84e+04 1.84e+04
ar.S.L7 -0.9885 0.126 -7.863 0.000 -1.235 -0.742
ma.S.L7 0.2973 0.542 0.548 0.583 -0.765 1.360
sigma2 0.3980 3740.563 0.000 1.000 -7330.971 7331.767
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.75
Prob(Q): 0.77 Prob(JB): 0.69
Heteroskedasticity (H): 1.68 Skew: 0.08
Prob(H) (two-sided): 0.63 Kurtosis: 1.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.12848983579796, Current Price: 126.48
BUY EXECUTED at 126.48
BUY ORDER COMPLETED at 126.15
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.316
Date: Wed, 09 Oct 2024 AIC 36.632
Time: 14:41:07 BIC 39.457
Sample: 0 HQIC 36.051
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5355 0.913 -0.587 0.557 -2.324 1.253
ma.L1 0.6795 1.036 0.656 0.512 -1.350 2.709
ar.S.L7 -0.4165 0.337 -1.235 0.217 -1.077 0.244
ma.S.L7 -0.9999 2.09e+04 -4.79e-05 1.000 -4.09e+04 4.09e+04
sigma2 0.2628 5481.001 4.79e-05 1.000 -1.07e+04 1.07e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.73
Prob(Q): 0.91 Prob(JB): 0.42
Heteroskedasticity (H): 1.67 Skew: 0.89
Prob(H) (two-sided): 0.63 Kurtosis: 3.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.33816490844707, Current Price: 125.05
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.279
Date: Wed, 09 Oct 2024 AIC 38.558
Time: 14:41:07 BIC 41.382
Sample: 0 HQIC 37.977
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0866 0.564 -0.153 0.878 -1.192 1.019
ma.L1 0.6456 0.592 1.091 0.275 -0.514 1.805
ar.S.L7 -0.1939 0.283 -0.686 0.492 -0.748 0.360
ma.S.L7 -0.1887 0.906 -0.208 0.835 -1.964 1.587
sigma2 0.5175 0.366 1.414 0.157 -0.200 1.235
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.94
Prob(Q): 0.87 Prob(JB): 0.62
Heteroskedasticity (H): 2.29 Skew: 0.30
Prob(H) (two-sided): 0.44 Kurtosis: 1.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.9848306689812, Current Price: 125.5
SELL EXECUTED at 125.5
SELL ORDER COMPLETED at 125.78
OPERATION PROFIT, GROSS -0.37000000000000455, NET -0.6219300000000045
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.287
Date: Wed, 09 Oct 2024 AIC 38.574
Time: 14:41:07 BIC 41.398
Sample: 0 HQIC 37.993
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1620 0.464 -0.349 0.727 -1.072 0.748
ma.L1 0.7027 0.425 1.654 0.098 -0.130 1.535
ar.S.L7 -0.1726 0.262 -0.660 0.509 -0.685 0.340
ma.S.L7 -0.2398 0.820 -0.293 0.770 -1.846 1.366
sigma2 0.5131 0.409 1.254 0.210 -0.289 1.315
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.93
Prob(Q): 0.75 Prob(JB): 0.63
Heteroskedasticity (H): 2.05 Skew: 0.09
Prob(H) (two-sided): 0.50 Kurtosis: 1.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.2927334238235, Current Price: 125.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.823
Date: Wed, 09 Oct 2024 AIC 35.645
Time: 14:41:07 BIC 38.470
Sample: 0 HQIC 35.064
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0802 0.672 0.119 0.905 -1.237 1.397
ma.L1 0.5952 0.601 0.990 0.322 -0.583 1.773
ar.S.L7 0.1406 0.539 0.261 0.794 -0.915 1.196
ma.S.L7 -0.2342 0.799 -0.293 0.769 -1.799 1.331
sigma2 0.4105 0.245 1.678 0.093 -0.069 0.890
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.11
Prob(Q): 0.84 Prob(JB): 0.94
Heteroskedasticity (H): 5.13 Skew: -0.19
Prob(H) (two-sided): 0.14 Kurtosis: 2.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.18463973243158, Current Price: 125.58
BUY EXECUTED at 125.58
BUY ORDER COMPLETED at 125.17
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.851
Date: Wed, 09 Oct 2024 AIC 35.702
Time: 14:41:07 BIC 38.527
Sample: 0 HQIC 35.121
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1865 0.506 -0.369 0.712 -1.177 0.804
ma.L1 0.6657 0.436 1.526 0.127 -0.189 1.520
ar.S.L7 -0.0449 0.605 -0.074 0.941 -1.231 1.142
ma.S.L7 -0.2712 1.012 -0.268 0.789 -2.255 1.712
sigma2 0.4094 0.244 1.678 0.093 -0.069 0.888
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 0.44
Prob(Q): 0.72 Prob(JB): 0.80
Heteroskedasticity (H): 0.60 Skew: 0.10
Prob(H) (two-sided): 0.63 Kurtosis: 2.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.6822298914107, Current Price: 124.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.311
Date: Wed, 09 Oct 2024 AIC 36.621
Time: 14:41:07 BIC 39.446
Sample: 0 HQIC 36.041
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3575 0.524 -0.683 0.495 -1.384 0.669
ma.L1 0.8365 0.363 2.306 0.021 0.125 1.548
ar.S.L7 -0.1139 0.560 -0.203 0.839 -1.211 0.984
ma.S.L7 -0.6167 2.430 -0.254 0.800 -5.380 4.147
sigma2 0.3806 0.581 0.655 0.513 -0.759 1.520
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.19
Prob(Q): 0.80 Prob(JB): 0.91
Heteroskedasticity (H): 1.40 Skew: 0.07
Prob(H) (two-sided): 0.75 Kurtosis: 2.42
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.33637686628721, Current Price: 123.99
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.683
Date: Wed, 09 Oct 2024 AIC 37.367
Time: 14:41:07 BIC 40.191
Sample: 0 HQIC 36.786
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1147 1.440 0.080 0.937 -2.707 2.936
ma.L1 -0.7235 0.891 -0.812 0.417 -2.469 1.022
ar.S.L7 -0.9123 0.222 -4.106 0.000 -1.348 -0.477
ma.S.L7 -0.2537 0.889 -0.286 0.775 -1.995 1.488
sigma2 0.4618 0.328 1.410 0.159 -0.180 1.104
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.06
Prob(Q): 0.99 Prob(JB): 0.97
Heteroskedasticity (H): 1.19 Skew: -0.11
Prob(H) (two-sided): 0.87 Kurtosis: 3.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.18274650807574, Current Price: 121.88
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.151
Date: Wed, 09 Oct 2024 AIC 40.302
Time: 14:41:07 BIC 43.127
Sample: 0 HQIC 39.721
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1731 0.738 0.235 0.815 -1.273 1.619
ma.L1 0.8138 0.830 0.980 0.327 -0.814 2.441
ar.S.L7 -0.6305 0.378 -1.669 0.095 -1.371 0.110
ma.S.L7 1.0000 6.26e+04 1.6e-05 1.000 -1.23e+05 1.23e+05
sigma2 0.3461 2.17e+04 1.6e-05 1.000 -4.25e+04 4.25e+04
===================================================================================
Ljung-Box (L1) (Q): 0.68 Jarque-Bera (JB): 0.37
Prob(Q): 0.41 Prob(JB): 0.83
Heteroskedasticity (H): 0.66 Skew: -0.05
Prob(H) (two-sided): 0.69 Kurtosis: 2.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.87366748202514, Current Price: 121.56
SELL EXECUTED at 121.56
SELL ORDER COMPLETED at 121.38
OPERATION PROFIT, GROSS -3.7900000000000063, NET -4.036550000000006
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.546
Date: Wed, 09 Oct 2024 AIC 43.092
Time: 14:41:07 BIC 45.917
Sample: 0 HQIC 42.511
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0835 0.464 0.180 0.857 -0.825 0.992
ma.L1 1.0000 1.84e+04 5.42e-05 1.000 -3.61e+04 3.61e+04
ar.S.L7 -0.4341 0.652 -0.665 0.506 -1.713 0.845
ma.S.L7 0.1906 0.609 0.313 0.754 -1.003 1.385
sigma2 0.6350 1.17e+04 5.42e-05 1.000 -2.29e+04 2.29e+04
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.26
Prob(Q): 0.82 Prob(JB): 0.88
Heteroskedasticity (H): 3.74 Skew: 0.26
Prob(H) (two-sided): 0.23 Kurtosis: 2.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.589528975002, Current Price: 121.72
BUY EXECUTED at 121.72
BUY ORDER COMPLETED at 121.43
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.469
Date: Wed, 09 Oct 2024 AIC 44.939
Time: 14:41:07 BIC 47.764
Sample: 0 HQIC 44.358
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3411 0.595 -0.573 0.567 -1.508 0.825
ma.L1 1.0000 9467.676 0.000 1.000 -1.86e+04 1.86e+04
ar.S.L7 -0.3294 0.562 -0.587 0.557 -1.430 0.771
ma.S.L7 -0.4754 1.696 -0.280 0.779 -3.799 2.849
sigma2 0.7254 6867.893 0.000 1.000 -1.35e+04 1.35e+04
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.60
Prob(Q): 0.80 Prob(JB): 0.74
Heteroskedasticity (H): 2.71 Skew: -0.03
Prob(H) (two-sided): 0.36 Kurtosis: 1.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.3769818755645, Current Price: 121.61
SELL EXECUTED at 121.61
SELL ORDER COMPLETED at 121.27
OPERATION PROFIT, GROSS -0.1600000000000108, NET -0.4027000000000108
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.906
Date: Wed, 09 Oct 2024 AIC 45.812
Time: 14:41:08 BIC 48.636
Sample: 0 HQIC 45.231
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2866 0.979 -0.293 0.770 -2.205 1.632
ma.L1 0.6700 0.952 0.704 0.481 -1.195 2.535
ar.S.L7 -0.5789 0.903 -0.641 0.522 -2.349 1.191
ma.S.L7 -0.3066 1.519 -0.202 0.840 -3.284 2.671
sigma2 0.8844 0.574 1.540 0.123 -0.241 2.010
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.68
Prob(Q): 0.87 Prob(JB): 0.71
Heteroskedasticity (H): 1.90 Skew: -0.39
Prob(H) (two-sided): 0.55 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.6103859933465, Current Price: 121.51
BUY EXECUTED at 121.51
BUY ORDER COMPLETED at 122.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.704
Date: Wed, 09 Oct 2024 AIC 45.407
Time: 14:41:08 BIC 48.232
Sample: 0 HQIC 44.826
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0938 0.762 0.123 0.902 -1.399 1.586
ma.L1 0.3368 0.931 0.362 0.718 -1.488 2.162
ar.S.L7 -0.1891 1.427 -0.133 0.895 -2.985 2.607
ma.S.L7 -0.5012 3.060 -0.164 0.870 -6.499 5.496
sigma2 0.7962 1.034 0.770 0.441 -1.230 2.822
===================================================================================
Ljung-Box (L1) (Q): 0.85 Jarque-Bera (JB): 0.54
Prob(Q): 0.36 Prob(JB): 0.76
Heteroskedasticity (H): 1.26 Skew: 0.27
Prob(H) (two-sided): 0.83 Kurtosis: 2.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.0035176136816, Current Price: 122.84
SELL EXECUTED at 122.84
SELL ORDER COMPLETED at 122.52
OPERATION PROFIT, GROSS -0.18000000000000682, NET -0.4252200000000068
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.128
Date: Wed, 09 Oct 2024 AIC 46.256
Time: 14:41:08 BIC 49.081
Sample: 0 HQIC 45.676
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2898 4.850 -0.060 0.952 -9.795 9.215
ma.L1 0.3971 4.839 0.082 0.935 -9.086 9.880
ar.S.L7 -0.8961 0.767 -1.169 0.242 -2.399 0.606
ma.S.L7 0.0124 1.004 0.012 0.990 -1.956 1.980
sigma2 0.9522 0.676 1.408 0.159 -0.373 2.278
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.85
Prob(Q): 0.81 Prob(JB): 0.65
Heteroskedasticity (H): 0.49 Skew: -0.59
Prob(H) (two-sided): 0.51 Kurtosis: 2.57
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.57823728013224, Current Price: 122.24
BUY EXECUTED at 122.24
BUY ORDER COMPLETED at 122.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.250
Date: Wed, 09 Oct 2024 AIC 48.501
Time: 14:41:08 BIC 51.325
Sample: 0 HQIC 47.920
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0700 3.724 0.019 0.985 -7.229 7.369
ma.L1 0.0673 3.748 0.018 0.986 -7.278 7.412
ar.S.L7 -0.5017 0.670 -0.749 0.454 -1.815 0.812
ma.S.L7 -0.0269 0.895 -0.030 0.976 -1.780 1.727
sigma2 1.1314 0.757 1.494 0.135 -0.352 2.615
===================================================================================
Ljung-Box (L1) (Q): 0.35 Jarque-Bera (JB): 0.49
Prob(Q): 0.55 Prob(JB): 0.78
Heteroskedasticity (H): 2.83 Skew: 0.08
Prob(H) (two-sided): 0.34 Kurtosis: 2.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.9540866741644, Current Price: 122.98
SELL EXECUTED at 122.98
SELL ORDER COMPLETED at 123.56
OPERATION PROFIT, GROSS 1.019999999999996, NET 0.773899999999996
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.014
Date: Wed, 09 Oct 2024 AIC 44.028
Time: 14:41:08 BIC 46.852
Sample: 0 HQIC 43.447
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.1437 0.205 -5.581 0.000 -1.545 -0.742
ma.L1 1.0000 2.73e+04 3.66e-05 1.000 -5.35e+04 5.35e+04
ar.S.L7 -0.9147 0.406 -2.251 0.024 -1.711 -0.118
ma.S.L7 0.5144 1.052 0.489 0.625 -1.548 2.577
sigma2 0.5820 1.59e+04 3.66e-05 1.000 -3.12e+04 3.12e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.81
Prob(Q): 0.88 Prob(JB): 0.41
Heteroskedasticity (H): 1.54 Skew: -0.90
Prob(H) (two-sided): 0.69 Kurtosis: 3.28
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.29348282087388, Current Price: 123.84
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.857
Date: Wed, 09 Oct 2024 AIC 51.715
Time: 14:41:08 BIC 54.539
Sample: 0 HQIC 51.134
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2346 8.823 -0.027 0.979 -17.526 17.057
ma.L1 0.2768 8.518 0.032 0.974 -16.418 16.972
ar.S.L7 -0.5470 0.455 -1.202 0.230 -1.439 0.345
ma.S.L7 -0.4095 0.860 -0.476 0.634 -2.095 1.276
sigma2 1.3474 0.980 1.375 0.169 -0.573 3.268
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.48
Prob(Q): 0.94 Prob(JB): 0.79
Heteroskedasticity (H): 3.05 Skew: -0.15
Prob(H) (two-sided): 0.31 Kurtosis: 2.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.2279027304827, Current Price: 122.41
BUY EXECUTED at 122.41
BUY ORDER COMPLETED at 123.06
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.789
Date: Wed, 09 Oct 2024 AIC 53.577
Time: 14:41:08 BIC 56.402
Sample: 0 HQIC 52.997
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2366 2.312 0.102 0.919 -4.295 4.768
ma.L1 -0.4328 2.249 -0.192 0.847 -4.841 3.976
ar.S.L7 -0.7317 0.497 -1.471 0.141 -1.706 0.243
ma.S.L7 -0.1160 0.803 -0.145 0.885 -1.689 1.457
sigma2 1.6633 1.060 1.570 0.117 -0.414 3.740
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.06
Prob(Q): 0.79 Prob(JB): 0.97
Heteroskedasticity (H): 1.08 Skew: 0.08
Prob(H) (two-sided): 0.94 Kurtosis: 2.69
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.41144833349684, Current Price: 122.97
SELL EXECUTED at 122.97
SELL ORDER COMPLETED at 123.3
OPERATION PROFIT, GROSS 0.23999999999999488, NET -0.0063600000000051116
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.864
Date: Wed, 09 Oct 2024 AIC 53.728
Time: 14:41:08 BIC 56.552
Sample: 0 HQIC 53.147
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0547 1.827 -0.030 0.976 -3.635 3.526
ma.L1 -0.1671 1.777 -0.094 0.925 -3.649 3.315
ar.S.L7 -0.7395 0.472 -1.568 0.117 -1.664 0.185
ma.S.L7 -0.0709 0.792 -0.090 0.929 -1.624 1.482
sigma2 1.6885 1.128 1.497 0.134 -0.522 3.899
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.05
Prob(Q): 0.79 Prob(JB): 0.97
Heteroskedasticity (H): 0.78 Skew: 0.02
Prob(H) (two-sided): 0.81 Kurtosis: 2.69
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.04426982366991, Current Price: 123.04
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.767
Date: Wed, 09 Oct 2024 AIC 53.534
Time: 14:41:08 BIC 56.359
Sample: 0 HQIC 52.953
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1359 1.803 -0.075 0.940 -3.670 3.398
ma.L1 -0.0699 1.753 -0.040 0.968 -3.506 3.366
ar.S.L7 -0.6572 0.467 -1.408 0.159 -1.572 0.258
ma.S.L7 -0.1490 0.778 -0.192 0.848 -1.673 1.375
sigma2 1.6523 1.101 1.501 0.133 -0.505 3.810
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.12
Prob(Q): 0.76 Prob(JB): 0.94
Heteroskedasticity (H): 0.72 Skew: -0.07
Prob(H) (two-sided): 0.76 Kurtosis: 2.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.77126461455195, Current Price: 123.38
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.505
Date: Wed, 09 Oct 2024 AIC 51.010
Time: 14:41:08 BIC 53.835
Sample: 0 HQIC 50.430
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1553 2.187 -0.071 0.943 -4.441 4.130
ma.L1 -0.0570 2.180 -0.026 0.979 -4.330 4.216
ar.S.L7 -0.2776 0.955 -0.291 0.771 -2.149 1.594
ma.S.L7 -0.5176 2.107 -0.246 0.806 -4.647 3.612
sigma2 1.2150 1.725 0.704 0.481 -2.165 4.595
===================================================================================
Ljung-Box (L1) (Q): 1.55 Jarque-Bera (JB): 0.17
Prob(Q): 0.21 Prob(JB): 0.92
Heteroskedasticity (H): 0.37 Skew: -0.27
Prob(H) (two-sided): 0.35 Kurtosis: 2.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.43446418802226, Current Price: 124.18
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.753
Date: Wed, 09 Oct 2024 AIC 45.505
Time: 14:41:08 BIC 48.330
Sample: 0 HQIC 44.925
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4848 0.462 -1.050 0.294 -1.390 0.420
ma.L1 -0.0637 0.576 -0.111 0.912 -1.192 1.064
ar.S.L7 -0.5301 0.333 -1.592 0.111 -1.183 0.122
ma.S.L7 -0.4847 1.933 -0.251 0.802 -4.274 3.305
sigma2 0.7882 0.789 0.999 0.318 -0.758 2.334
===================================================================================
Ljung-Box (L1) (Q): 1.14 Jarque-Bera (JB): 3.43
Prob(Q): 0.29 Prob(JB): 0.18
Heteroskedasticity (H): 4.02 Skew: 1.20
Prob(H) (two-sided): 0.21 Kurtosis: 3.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.61993562397156, Current Price: 123.68
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.290
Date: Wed, 09 Oct 2024 AIC 46.580
Time: 14:41:08 BIC 49.405
Sample: 0 HQIC 45.999
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3011 2.003 -0.150 0.881 -4.227 3.625
ma.L1 -0.0763 1.856 -0.041 0.967 -3.714 3.562
ar.S.L7 -0.5368 0.359 -1.496 0.135 -1.240 0.167
ma.S.L7 -0.5560 1.991 -0.279 0.780 -4.459 3.347
sigma2 0.8467 0.998 0.849 0.396 -1.109 2.802
===================================================================================
Ljung-Box (L1) (Q): 0.63 Jarque-Bera (JB): 0.58
Prob(Q): 0.43 Prob(JB): 0.75
Heteroskedasticity (H): 3.19 Skew: 0.52
Prob(H) (two-sided): 0.29 Kurtosis: 2.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.52925733339377, Current Price: 123.97
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.589
Date: Wed, 09 Oct 2024 AIC 49.178
Time: 14:41:08 BIC 52.003
Sample: 0 HQIC 48.597
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8135 0.689 1.180 0.238 -0.538 2.165
ma.L1 -1.0000 1.8e+04 -5.55e-05 1.000 -3.53e+04 3.53e+04
ar.S.L7 -0.4044 0.306 -1.320 0.187 -1.005 0.196
ma.S.L7 -0.0074 0.819 -0.009 0.993 -1.612 1.598
sigma2 1.0204 1.84e+04 5.55e-05 1.000 -3.61e+04 3.61e+04
===================================================================================
Ljung-Box (L1) (Q): 2.95 Jarque-Bera (JB): 0.44
Prob(Q): 0.09 Prob(JB): 0.80
Heteroskedasticity (H): 0.65 Skew: -0.04
Prob(H) (two-sided): 0.68 Kurtosis: 2.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.07024373303732, Current Price: 124.92
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.526
Date: Wed, 09 Oct 2024 AIC 47.052
Time: 14:41:08 BIC 49.876
Sample: 0 HQIC 46.471
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6253 0.264 -2.368 0.018 -1.143 -0.108
ma.L1 1.0000 1.51e+04 6.63e-05 1.000 -2.96e+04 2.96e+04
ar.S.L7 -0.3143 0.328 -0.957 0.338 -0.958 0.329
ma.S.L7 -1.0001 1.02e+04 -9.79e-05 1.000 -2e+04 2e+04
sigma2 0.5383 9967.665 5.4e-05 1.000 -1.95e+04 1.95e+04
===================================================================================
Ljung-Box (L1) (Q): 3.01 Jarque-Bera (JB): 0.10
Prob(Q): 0.08 Prob(JB): 0.95
Heteroskedasticity (H): 0.40 Skew: -0.03
Prob(H) (two-sided): 0.39 Kurtosis: 2.57
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.34708396986474, Current Price: 124.3
BUY EXECUTED at 124.3
BUY ORDER COMPLETED at 124.35
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.713
Date: Wed, 09 Oct 2024 AIC 49.425
Time: 14:41:08 BIC 52.250
Sample: 0 HQIC 48.844
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0344 4.708 0.007 0.994 -9.192 9.261
ma.L1 -8.6195 340.510 -0.025 0.980 -676.008 658.769
ar.S.L7 -0.4054 0.444 -0.913 0.361 -1.276 0.465
ma.S.L7 -1.0524 20.290 -0.052 0.959 -40.821 38.716
sigma2 0.0093 0.652 0.014 0.989 -1.268 1.287
===================================================================================
Ljung-Box (L1) (Q): 1.81 Jarque-Bera (JB): 1.28
Prob(Q): 0.18 Prob(JB): 0.53
Heteroskedasticity (H): 0.36 Skew: -0.73
Prob(H) (two-sided): 0.34 Kurtosis: 2.49
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.4638562481813, Current Price: 123.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.099
Date: Wed, 09 Oct 2024 AIC 48.199
Time: 14:41:08 BIC 51.023
Sample: 0 HQIC 47.618
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3168 13.952 0.023 0.982 -27.028 27.662
ma.L1 -3.3807 160.971 -0.021 0.983 -318.878 312.117
ar.S.L7 -0.3185 0.414 -0.769 0.442 -1.131 0.494
ma.S.L7 -1.0017 663.111 -0.002 0.999 -1300.676 1298.673
sigma2 0.0582 40.707 0.001 0.999 -79.727 79.843
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 0.54
Prob(Q): 0.65 Prob(JB): 0.76
Heteroskedasticity (H): 0.30 Skew: -0.26
Prob(H) (two-sided): 0.27 Kurtosis: 2.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 123.90932581439277, Current Price: 121.9
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.349
Date: Wed, 09 Oct 2024 AIC 50.698
Time: 14:41:08 BIC 53.523
Sample: 0 HQIC 50.118
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6279 0.355 1.771 0.077 -0.067 1.323
ma.L1 -1.0000 6005.297 -0.000 1.000 -1.18e+04 1.18e+04
ar.S.L7 -0.3647 0.512 -0.712 0.476 -1.369 0.639
ma.S.L7 -2.4528 4.585 -0.535 0.593 -11.439 6.534
sigma2 0.1709 1026.937 0.000 1.000 -2012.589 2012.931
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 2.21
Prob(Q): 0.76 Prob(JB): 0.33
Heteroskedasticity (H): 1.48 Skew: -0.98
Prob(H) (two-sided): 0.71 Kurtosis: 3.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.53415654217606, Current Price: 122.01
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.861
Date: Wed, 09 Oct 2024 AIC 49.721
Time: 14:41:08 BIC 52.546
Sample: 0 HQIC 49.141
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3414 2.691 -0.127 0.899 -5.615 4.932
ma.L1 0.4658 2.880 0.162 0.872 -5.179 6.111
ar.S.L7 -0.3281 0.707 -0.464 0.643 -1.715 1.058
ma.S.L7 -0.4914 1.820 -0.270 0.787 -4.058 3.075
sigma2 1.1168 1.089 1.026 0.305 -1.017 3.251
===================================================================================
Ljung-Box (L1) (Q): 0.69 Jarque-Bera (JB): 1.89
Prob(Q): 0.41 Prob(JB): 0.39
Heteroskedasticity (H): 1.71 Skew: -0.93
Prob(H) (two-sided): 0.62 Kurtosis: 3.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.82341266245965, Current Price: 121.53
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.984
Date: Wed, 09 Oct 2024 AIC 47.968
Time: 14:41:08 BIC 50.793
Sample: 0 HQIC 47.387
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1211 2.414 -0.050 0.960 -4.853 4.611
ma.L1 -0.0775 2.070 -0.037 0.970 -4.134 3.979
ar.S.L7 -0.2802 0.664 -0.422 0.673 -1.583 1.022
ma.S.L7 -0.4064 1.092 -0.372 0.710 -2.546 1.733
sigma2 1.0113 0.467 2.164 0.030 0.096 1.927
===================================================================================
Ljung-Box (L1) (Q): 1.01 Jarque-Bera (JB): 1.48
Prob(Q): 0.32 Prob(JB): 0.48
Heteroskedasticity (H): 4.21 Skew: -0.77
Prob(H) (two-sided): 0.19 Kurtosis: 3.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.90512167176138, Current Price: 121.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.672
Date: Wed, 09 Oct 2024 AIC 45.343
Time: 14:41:08 BIC 48.168
Sample: 0 HQIC 44.763
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4998 1.188 0.421 0.674 -1.829 2.829
ma.L1 -0.4466 1.216 -0.367 0.713 -2.830 1.937
ar.S.L7 -0.4862 1.780 -0.273 0.785 -3.975 3.003
ma.S.L7 -0.4150 2.736 -0.152 0.879 -5.778 4.948
sigma2 0.8106 0.970 0.835 0.404 -1.092 2.713
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 4.59
Prob(Q): 0.96 Prob(JB): 0.10
Heteroskedasticity (H): 3.35 Skew: -1.19
Prob(H) (two-sided): 0.27 Kurtosis: 4.68
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.41376381178695, Current Price: 121.8
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.540
Date: Wed, 09 Oct 2024 AIC 45.080
Time: 14:41:08 BIC 47.905
Sample: 0 HQIC 44.499
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2592 26.874 0.010 0.992 -52.414 52.932
ma.L1 -0.2420 26.981 -0.009 0.993 -53.125 52.641
ar.S.L7 -0.4639 0.907 -0.511 0.609 -2.242 1.314
ma.S.L7 -0.5173 1.914 -0.270 0.787 -4.269 3.234
sigma2 0.7701 0.764 1.008 0.314 -0.728 2.268
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 4.63
Prob(Q): 0.86 Prob(JB): 0.10
Heteroskedasticity (H): 0.48 Skew: -1.14
Prob(H) (two-sided): 0.50 Kurtosis: 4.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.02368671182914, Current Price: 122.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.094
Date: Wed, 09 Oct 2024 AIC 46.189
Time: 14:41:08 BIC 49.013
Sample: 0 HQIC 45.608
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7072 1.232 0.574 0.566 -1.708 3.122
ma.L1 -0.5649 1.702 -0.332 0.740 -3.901 2.772
ar.S.L7 -0.5430 0.355 -1.531 0.126 -1.238 0.152
ma.S.L7 0.3140 1.665 0.189 0.850 -2.950 3.578
sigma2 0.8962 0.519 1.726 0.084 -0.121 1.914
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 2.35
Prob(Q): 0.86 Prob(JB): 0.31
Heteroskedasticity (H): 0.41 Skew: -0.87
Prob(H) (two-sided): 0.41 Kurtosis: 4.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.71184549318832, Current Price: 121.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.186
Date: Wed, 09 Oct 2024 AIC 46.372
Time: 14:41:08 BIC 49.197
Sample: 0 HQIC 45.791
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6767 2.712 0.250 0.803 -4.639 5.992
ma.L1 -0.5269 3.748 -0.141 0.888 -7.873 6.819
ar.S.L7 -0.5581 0.498 -1.121 0.262 -1.534 0.418
ma.S.L7 0.2851 2.600 0.110 0.913 -4.812 5.382
sigma2 0.9185 0.617 1.490 0.136 -0.290 2.127
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 2.62
Prob(Q): 0.93 Prob(JB): 0.27
Heteroskedasticity (H): 0.12 Skew: -0.93
Prob(H) (two-sided): 0.07 Kurtosis: 4.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.70782788424756, Current Price: 122.51
SELL EXECUTED at 122.51
SELL ORDER COMPLETED at 123.26
OPERATION PROFIT, GROSS -1.0899999999999892, NET -1.337609999999989
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.451
Date: Wed, 09 Oct 2024 AIC 44.901
Time: 14:41:08 BIC 47.726
Sample: 0 HQIC 44.320
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2891 12.681 0.023 0.982 -24.565 25.143
ma.L1 -3.8880 192.889 -0.020 0.984 -381.943 374.167
ar.S.L7 -0.5367 0.406 -1.323 0.186 -1.332 0.258
ma.S.L7 -0.2989 0.834 -0.358 0.720 -1.934 1.336
sigma2 0.0547 5.436 0.010 0.992 -10.600 10.710
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 4.33
Prob(Q): 0.68 Prob(JB): 0.11
Heteroskedasticity (H): 0.17 Skew: -1.08
Prob(H) (two-sided): 0.12 Kurtosis: 4.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.86646629370763, Current Price: 123.15
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.748
Date: Wed, 09 Oct 2024 AIC 45.496
Time: 14:41:09 BIC 48.321
Sample: 0 HQIC 44.916
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9354 0.625 -1.496 0.135 -2.161 0.291
ma.L1 1.0000 1.19e+04 8.4e-05 1.000 -2.33e+04 2.33e+04
ar.S.L7 -0.5330 0.292 -1.825 0.068 -1.106 0.040
ma.S.L7 -0.4468 1.216 -0.367 0.713 -2.830 1.936
sigma2 0.7221 8594.563 8.4e-05 1.000 -1.68e+04 1.68e+04
===================================================================================
Ljung-Box (L1) (Q): 0.33 Jarque-Bera (JB): 1.37
Prob(Q): 0.56 Prob(JB): 0.50
Heteroskedasticity (H): 0.09 Skew: -0.58
Prob(H) (two-sided): 0.04 Kurtosis: 4.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.99085485727498, Current Price: 123.53
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.669
Date: Wed, 09 Oct 2024 AIC 43.338
Time: 14:41:09 BIC 46.163
Sample: 0 HQIC 42.757
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2883 5.322 0.054 0.957 -10.142 10.719
ma.L1 -0.1922 5.363 -0.036 0.971 -10.703 10.319
ar.S.L7 -0.4159 0.251 -1.656 0.098 -0.908 0.076
ma.S.L7 -1.0000 0.065 -15.389 0.000 -1.127 -0.873
sigma2 0.4582 0.142 3.231 0.001 0.180 0.736
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 1.29
Prob(Q): 0.87 Prob(JB): 0.52
Heteroskedasticity (H): 0.05 Skew: -0.59
Prob(H) (two-sided): 0.01 Kurtosis: 4.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 4.81e+19. Standard errors may be unstable.
Predicted Price: 124.0447519980107, Current Price: 121.95
BUY EXECUTED at 121.95
BUY ORDER COMPLETED at 121.96
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.021
Date: Wed, 09 Oct 2024 AIC 44.041
Time: 14:41:09 BIC 46.866
Sample: 0 HQIC 43.461
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9044 0.172 -5.252 0.000 -1.242 -0.567
ma.L1 1.0000 2.41e+04 4.15e-05 1.000 -4.72e+04 4.72e+04
ar.S.L7 -0.4004 0.284 -1.409 0.159 -0.957 0.156
ma.S.L7 -0.7056 3.853 -0.183 0.855 -8.257 6.845
sigma2 0.5557 1.34e+04 4.15e-05 1.000 -2.62e+04 2.62e+04
===================================================================================
Ljung-Box (L1) (Q): 0.40 Jarque-Bera (JB): 1.75
Prob(Q): 0.53 Prob(JB): 0.42
Heteroskedasticity (H): 0.96 Skew: -0.88
Prob(H) (two-sided): 0.97 Kurtosis: 2.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.94954095526778, Current Price: 121.83
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.671
Date: Wed, 09 Oct 2024 AIC 45.341
Time: 14:41:09 BIC 48.166
Sample: 0 HQIC 44.761
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8882 0.177 -5.019 0.000 -1.235 -0.541
ma.L1 1.0000 1.62e+04 6.19e-05 1.000 -3.17e+04 3.17e+04
ar.S.L7 -0.4343 0.284 -1.529 0.126 -0.991 0.122
ma.S.L7 -0.6467 3.375 -0.192 0.848 -7.262 5.969
sigma2 0.6405 1.03e+04 6.19e-05 1.000 -2.03e+04 2.03e+04
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 1.33
Prob(Q): 0.79 Prob(JB): 0.51
Heteroskedasticity (H): 1.00 Skew: -0.73
Prob(H) (two-sided): 1.00 Kurtosis: 2.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.66350984115036, Current Price: 121.6
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.382
Date: Wed, 09 Oct 2024 AIC 42.765
Time: 14:41:09 BIC 45.590
Sample: 0 HQIC 42.184
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9773 0.186 -5.243 0.000 -1.343 -0.612
ma.L1 1.0000 8.23e+04 1.22e-05 1.000 -1.61e+05 1.61e+05
ar.S.L7 -0.2944 0.403 -0.730 0.465 -1.084 0.496
ma.S.L7 -1.0002 5065.426 -0.000 1.000 -9929.052 9927.052
sigma2 0.3873 3.27e+04 1.19e-05 1.000 -6.4e+04 6.4e+04
===================================================================================
Ljung-Box (L1) (Q): 0.28 Jarque-Bera (JB): 2.08
Prob(Q): 0.60 Prob(JB): 0.35
Heteroskedasticity (H): 1.16 Skew: -0.97
Prob(H) (two-sided): 0.89 Kurtosis: 2.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.60613270948326, Current Price: 120.51
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.426
Date: Wed, 09 Oct 2024 AIC 36.853
Time: 14:41:09 BIC 39.677
Sample: 0 HQIC 36.272
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3018 8.020 -0.038 0.970 -16.021 15.417
ma.L1 0.2543 8.234 0.031 0.975 -15.884 16.393
ar.S.L7 -0.5488 0.593 -0.926 0.355 -1.710 0.613
ma.S.L7 -0.3626 0.987 -0.367 0.713 -2.297 1.571
sigma2 0.4368 0.167 2.612 0.009 0.109 0.765
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 6.48
Prob(Q): 0.83 Prob(JB): 0.04
Heteroskedasticity (H): 11.32 Skew: -1.44
Prob(H) (two-sided): 0.04 Kurtosis: 4.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.71948923488655, Current Price: 120.28
SELL EXECUTED at 120.28
SELL ORDER COMPLETED at 120.24
OPERATION PROFIT, GROSS -1.7199999999999989, NET -1.9621999999999988
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.495
Date: Wed, 09 Oct 2024 AIC 36.989
Time: 14:41:09 BIC 39.814
Sample: 0 HQIC 36.409
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2598 5.101 -0.051 0.959 -10.257 9.738
ma.L1 0.1798 5.144 0.035 0.972 -9.902 10.262
ar.S.L7 -0.4762 0.660 -0.721 0.471 -1.770 0.818
ma.S.L7 -0.7560 2.762 -0.274 0.784 -6.168 4.657
sigma2 0.3519 0.675 0.521 0.602 -0.971 1.675
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 8.89
Prob(Q): 0.88 Prob(JB): 0.01
Heteroskedasticity (H): 2.58 Skew: -1.63
Prob(H) (two-sided): 0.38 Kurtosis: 5.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.51224722638341, Current Price: 120.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.321
Date: Wed, 09 Oct 2024 AIC 38.642
Time: 14:41:09 BIC 41.467
Sample: 0 HQIC 38.062
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3303 8.826 -0.037 0.970 -17.629 16.968
ma.L1 0.2397 9.364 0.026 0.980 -18.113 18.592
ar.S.L7 -0.6217 0.202 -3.074 0.002 -1.018 -0.225
ma.S.L7 0.0286 1.026 0.028 0.978 -1.983 2.040
sigma2 0.5300 0.219 2.421 0.015 0.101 0.959
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 2.00
Prob(Q): 0.95 Prob(JB): 0.37
Heteroskedasticity (H): 2.97 Skew: -0.91
Prob(H) (two-sided): 0.32 Kurtosis: 3.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.27823200572482, Current Price: 120.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.147
Date: Wed, 09 Oct 2024 AIC 38.294
Time: 14:41:09 BIC 41.119
Sample: 0 HQIC 37.713
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7600 1.063 -0.715 0.475 -2.843 1.323
ma.L1 1.0000 1.73e+04 5.78e-05 1.000 -3.39e+04 3.39e+04
ar.S.L7 -0.5672 0.212 -2.672 0.008 -0.983 -0.151
ma.S.L7 0.2816 0.953 0.295 0.768 -1.586 2.150
sigma2 0.4171 7213.256 5.78e-05 1.000 -1.41e+04 1.41e+04
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 2.64
Prob(Q): 0.76 Prob(JB): 0.27
Heteroskedasticity (H): 0.60 Skew: -0.95
Prob(H) (two-sided): 0.63 Kurtosis: 4.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.5304385912739, Current Price: 120.12
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.464
Date: Wed, 09 Oct 2024 AIC 38.928
Time: 14:41:09 BIC 41.753
Sample: 0 HQIC 38.347
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7859 0.829 -0.948 0.343 -2.410 0.838
ma.L1 1.0000 4.85e+04 2.06e-05 1.000 -9.5e+04 9.5e+04
ar.S.L7 -0.6231 0.277 -2.248 0.025 -1.166 -0.080
ma.S.L7 0.1426 0.976 0.146 0.884 -1.771 2.056
sigma2 0.4547 2.2e+04 2.06e-05 1.000 -4.32e+04 4.32e+04
===================================================================================
Ljung-Box (L1) (Q): 0.46 Jarque-Bera (JB): 3.93
Prob(Q): 0.50 Prob(JB): 0.14
Heteroskedasticity (H): 0.40 Skew: -1.11
Prob(H) (two-sided): 0.40 Kurtosis: 4.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.83405364382632, Current Price: 120.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.281
Date: Wed, 09 Oct 2024 AIC 38.562
Time: 14:41:09 BIC 41.387
Sample: 0 HQIC 37.981
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3634 3.788 -0.096 0.924 -7.787 7.061
ma.L1 0.2062 4.225 0.049 0.961 -8.075 8.487
ar.S.L7 -0.6777 0.233 -2.913 0.004 -1.134 -0.222
ma.S.L7 -0.0284 0.840 -0.034 0.973 -1.675 1.619
sigma2 0.5269 0.227 2.325 0.020 0.083 0.971
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 2.28
Prob(Q): 0.96 Prob(JB): 0.32
Heteroskedasticity (H): 0.16 Skew: -1.00
Prob(H) (two-sided): 0.11 Kurtosis: 3.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.52081003854343, Current Price: 120.57
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.243
Date: Wed, 09 Oct 2024 AIC 38.486
Time: 14:41:09 BIC 41.311
Sample: 0 HQIC 37.906
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3406 4.823 -0.071 0.944 -9.793 9.112
ma.L1 0.2182 5.080 0.043 0.966 -9.738 10.175
ar.S.L7 -0.7165 0.230 -3.112 0.002 -1.168 -0.265
ma.S.L7 0.1669 0.743 0.225 0.822 -1.290 1.623
sigma2 0.5181 0.221 2.344 0.019 0.085 0.951
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 2.61
Prob(Q): 0.97 Prob(JB): 0.27
Heteroskedasticity (H): 0.10 Skew: -1.06
Prob(H) (two-sided): 0.05 Kurtosis: 3.55
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.0951177448177, Current Price: 121.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.989
Date: Wed, 09 Oct 2024 AIC 37.978
Time: 14:41:09 BIC 40.803
Sample: 0 HQIC 37.398
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8043 0.623 -1.291 0.197 -2.025 0.417
ma.L1 0.7513 1.537 0.489 0.625 -2.261 3.764
ar.S.L7 -0.3846 0.372 -1.033 0.302 -1.114 0.345
ma.S.L7 -1.5684 6.378 -0.246 0.806 -14.069 10.933
sigma2 0.1622 1.091 0.149 0.882 -1.977 2.301
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.70
Prob(Q): 0.90 Prob(JB): 0.70
Heteroskedasticity (H): 0.56 Skew: -0.50
Prob(H) (two-sided): 0.58 Kurtosis: 3.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.99904318975176, Current Price: 120.83
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.414
Date: Wed, 09 Oct 2024 AIC 34.828
Time: 14:41:09 BIC 37.653
Sample: 0 HQIC 34.247
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7468 0.184 -4.058 0.000 -1.107 -0.386
ma.L1 0.7405 0.642 1.153 0.249 -0.519 1.999
ar.S.L7 -0.3001 0.415 -0.724 0.469 -1.113 0.513
ma.S.L7 -1.0000 2.11e+04 -4.75e-05 1.000 -4.13e+04 4.13e+04
sigma2 0.2281 4804.631 4.75e-05 1.000 -9416.676 9417.132
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.18
Prob(Q): 0.87 Prob(JB): 0.91
Heteroskedasticity (H): 0.69 Skew: -0.26
Prob(H) (two-sided): 0.73 Kurtosis: 3.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.0090313879568, Current Price: 121.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.067
Date: Wed, 09 Oct 2024 AIC 36.133
Time: 14:41:09 BIC 38.958
Sample: 0 HQIC 35.553
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2948 3.314 -0.089 0.929 -6.790 6.201
ma.L1 0.0346 3.314 0.010 0.992 -6.460 6.529
ar.S.L7 -0.4290 0.716 -0.599 0.549 -1.833 0.975
ma.S.L7 -1.0001 1.15e+04 -8.73e-05 1.000 -2.24e+04 2.24e+04
sigma2 0.2632 3014.879 8.73e-05 1.000 -5908.792 5909.318
===================================================================================
Ljung-Box (L1) (Q): 0.74 Jarque-Bera (JB): 0.30
Prob(Q): 0.39 Prob(JB): 0.86
Heteroskedasticity (H): 0.40 Skew: -0.05
Prob(H) (two-sided): 0.40 Kurtosis: 3.74
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.1005594987177, Current Price: 120.4
BUY EXECUTED at 120.4
BUY ORDER COMPLETED at 119.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.019
Date: Wed, 09 Oct 2024 AIC 30.038
Time: 14:41:09 BIC 32.863
Sample: 0 HQIC 29.458
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3113 1.175 -0.265 0.791 -2.614 1.992
ma.L1 0.2603 1.238 0.210 0.833 -2.166 2.687
ar.S.L7 -0.4022 0.357 -1.127 0.260 -1.102 0.297
ma.S.L7 -1.0003 3780.960 -0.000 1.000 -7411.545 7409.544
sigma2 0.1647 622.831 0.000 1.000 -1220.562 1220.892
===================================================================================
Ljung-Box (L1) (Q): 0.72 Jarque-Bera (JB): 2.56
Prob(Q): 0.40 Prob(JB): 0.28
Heteroskedasticity (H): 3.08 Skew: 1.03
Prob(H) (two-sided): 0.30 Kurtosis: 3.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.96201216937754, Current Price: 119.94
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -8.780
Date: Wed, 09 Oct 2024 AIC 27.559
Time: 14:41:09 BIC 30.384
Sample: 0 HQIC 26.979
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6744 0.500 -1.347 0.178 -1.655 0.307
ma.L1 0.2814 0.512 0.550 0.583 -0.722 1.285
ar.S.L7 -0.6011 0.253 -2.376 0.018 -1.097 -0.105
ma.S.L7 -0.5074 1.038 -0.489 0.625 -2.542 1.527
sigma2 0.1978 0.169 1.168 0.243 -0.134 0.530
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.17
Prob(Q): 0.79 Prob(JB): 0.92
Heteroskedasticity (H): 2.30 Skew: 0.13
Prob(H) (two-sided): 0.44 Kurtosis: 3.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 119.7457494065667, Current Price: 120.65
SELL EXECUTED at 120.65
SELL ORDER COMPLETED at 120.61
OPERATION PROFIT, GROSS 0.9200000000000017, NET 0.6797000000000017
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.468
Date: Wed, 09 Oct 2024 AIC 30.936
Time: 14:41:09 BIC 33.761
Sample: 0 HQIC 30.356
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2837 0.989 0.287 0.774 -1.654 2.221
ma.L1 -0.7774 0.501 -1.552 0.121 -1.759 0.205
ar.S.L7 -0.6967 0.398 -1.749 0.080 -1.478 0.084
ma.S.L7 -1.0002 4982.424 -0.000 1.000 -9766.372 9764.371
sigma2 0.1720 857.013 0.000 1.000 -1679.542 1679.886
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.30
Prob(Q): 0.80 Prob(JB): 0.86
Heteroskedasticity (H): 2.71 Skew: -0.36
Prob(H) (two-sided): 0.36 Kurtosis: 3.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.12606821060879, Current Price: 120.81
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.247
Date: Wed, 09 Oct 2024 AIC 30.494
Time: 14:41:09 BIC 33.319
Sample: 0 HQIC 29.914
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9669 0.252 -3.837 0.000 -1.461 -0.473
ma.L1 1.0000 2.03e+04 4.93e-05 1.000 -3.98e+04 3.98e+04
ar.S.L7 -0.6210 0.254 -2.440 0.015 -1.120 -0.122
ma.S.L7 -0.1215 0.917 -0.132 0.895 -1.920 1.677
sigma2 0.2434 4940.052 4.93e-05 1.000 -9682.081 9682.568
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.11
Prob(Q): 0.84 Prob(JB): 0.95
Heteroskedasticity (H): 6.30 Skew: 0.07
Prob(H) (two-sided): 0.10 Kurtosis: 2.58
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.05672440169117, Current Price: 121.21
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.721
Date: Wed, 09 Oct 2024 AIC 29.442
Time: 14:41:09 BIC 32.266
Sample: 0 HQIC 28.861
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6600 0.348 -1.894 0.058 -1.343 0.023
ma.L1 0.4954 0.733 0.676 0.499 -0.941 1.932
ar.S.L7 -0.5404 0.179 -3.012 0.003 -0.892 -0.189
ma.S.L7 1.0000 5.2e+04 1.92e-05 1.000 -1.02e+05 1.02e+05
sigma2 0.1519 7904.169 1.92e-05 1.000 -1.55e+04 1.55e+04
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.58
Prob(Q): 0.78 Prob(JB): 0.75
Heteroskedasticity (H): 1.35 Skew: 0.42
Prob(H) (two-sided): 0.78 Kurtosis: 3.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.52960131764947, Current Price: 120.91
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.734
Date: Wed, 09 Oct 2024 AIC 29.469
Time: 14:41:10 BIC 32.294
Sample: 0 HQIC 28.888
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8796 0.291 -3.026 0.002 -1.449 -0.310
ma.L1 1.0000 5086.519 0.000 1.000 -9968.394 9970.394
ar.S.L7 -0.5214 0.176 -2.969 0.003 -0.866 -0.177
ma.S.L7 1.0003 4546.541 0.000 1.000 -8910.056 8912.057
sigma2 0.1267 953.694 0.000 1.000 -1869.079 1869.332
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.19
Prob(Q): 0.85 Prob(JB): 0.91
Heteroskedasticity (H): 1.71 Skew: 0.29
Prob(H) (two-sided): 0.62 Kurtosis: 2.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.85413038783335, Current Price: 121.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.516
Date: Wed, 09 Oct 2024 AIC 31.033
Time: 14:41:10 BIC 33.857
Sample: 0 HQIC 30.452
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7841 0.422 1.859 0.063 -0.042 1.611
ma.L1 -1.0000 8850.733 -0.000 1.000 -1.73e+04 1.73e+04
ar.S.L7 -0.4691 0.213 -2.200 0.028 -0.887 -0.051
ma.S.L7 1.0002 9102.813 0.000 1.000 -1.78e+04 1.78e+04
sigma2 0.1571 978.938 0.000 1.000 -1918.526 1918.841
===================================================================================
Ljung-Box (L1) (Q): 3.14 Jarque-Bera (JB): 0.22
Prob(Q): 0.08 Prob(JB): 0.89
Heteroskedasticity (H): 0.21 Skew: -0.18
Prob(H) (two-sided): 0.16 Kurtosis: 3.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.08180062093547, Current Price: 121.43
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.421
Date: Wed, 09 Oct 2024 AIC 32.843
Time: 14:41:10 BIC 35.668
Sample: 0 HQIC 32.262
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7964 0.413 1.928 0.054 -0.013 1.606
ma.L1 -1.0000 5918.684 -0.000 1.000 -1.16e+04 1.16e+04
ar.S.L7 -0.3138 0.895 -0.351 0.726 -2.069 1.441
ma.S.L7 0.0866 0.549 0.158 0.875 -0.990 1.163
sigma2 0.2917 1726.773 0.000 1.000 -3384.121 3384.705
===================================================================================
Ljung-Box (L1) (Q): 0.83 Jarque-Bera (JB): 0.33
Prob(Q): 0.36 Prob(JB): 0.85
Heteroskedasticity (H): 0.36 Skew: 0.28
Prob(H) (two-sided): 0.35 Kurtosis: 3.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.9099912331339, Current Price: 122.67
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.235
Date: Wed, 09 Oct 2024 AIC 36.469
Time: 14:41:10 BIC 39.294
Sample: 0 HQIC 35.889
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.2189 0.323 3.779 0.000 0.587 1.851
ma.L1 -1.0000 1.89e+04 -5.3e-05 1.000 -3.7e+04 3.7e+04
ar.S.L7 -0.6677 0.228 -2.926 0.003 -1.115 -0.220
ma.S.L7 0.9999 8866.429 0.000 1.000 -1.74e+04 1.74e+04
sigma2 0.2387 4536.640 5.26e-05 1.000 -8891.412 8891.890
===================================================================================
Ljung-Box (L1) (Q): 0.62 Jarque-Bera (JB): 1.01
Prob(Q): 0.43 Prob(JB): 0.60
Heteroskedasticity (H): 0.29 Skew: -0.65
Prob(H) (two-sided): 0.26 Kurtosis: 2.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.34817946959443, Current Price: 122.46
BUY EXECUTED at 122.46
BUY ORDER COMPLETED at 122.71
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.875
Date: Wed, 09 Oct 2024 AIC 39.750
Time: 14:41:10 BIC 42.575
Sample: 0 HQIC 39.170
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3188 2.108 -0.151 0.880 -4.451 3.813
ma.L1 0.2123 2.185 0.097 0.923 -4.069 4.494
ar.S.L7 -0.6006 0.499 -1.203 0.229 -1.580 0.378
ma.S.L7 0.3481 0.791 0.440 0.660 -1.202 1.899
sigma2 0.5488 0.567 0.968 0.333 -0.562 1.660
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 0.32
Prob(Q): 0.65 Prob(JB): 0.85
Heteroskedasticity (H): 1.24 Skew: -0.08
Prob(H) (two-sided): 0.84 Kurtosis: 2.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.79155216726394, Current Price: 122.39
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.935
Date: Wed, 09 Oct 2024 AIC 33.870
Time: 14:41:10 BIC 36.695
Sample: 0 HQIC 33.289
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6823 1.641 0.416 0.678 -2.534 3.899
ma.L1 -1.0003 1352.784 -0.001 0.999 -2652.407 2650.407
ar.S.L7 0.0107 0.223 0.048 0.962 -0.426 0.448
ma.S.L7 -1.0007 2084.542 -0.000 1.000 -4086.629 4084.627
sigma2 0.1852 243.862 0.001 0.999 -477.776 478.146
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 8.20
Prob(Q): 0.84 Prob(JB): 0.02
Heteroskedasticity (H): 4.92 Skew: 1.51
Prob(H) (two-sided): 0.15 Kurtosis: 5.45
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.46141129556014, Current Price: 121.51
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.760
Date: Wed, 09 Oct 2024 AIC 37.520
Time: 14:41:10 BIC 40.344
Sample: 0 HQIC 36.939
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7327 0.369 -1.985 0.047 -1.456 -0.009
ma.L1 0.6961 0.641 1.086 0.278 -0.560 1.953
ar.S.L7 -0.2576 0.716 -0.360 0.719 -1.660 1.145
ma.S.L7 -1.0003 6713.762 -0.000 1.000 -1.32e+04 1.32e+04
sigma2 0.2813 1888.483 0.000 1.000 -3701.078 3701.641
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 1.13
Prob(Q): 0.65 Prob(JB): 0.57
Heteroskedasticity (H): 5.24 Skew: 0.66
Prob(H) (two-sided): 0.14 Kurtosis: 3.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.05652606568152, Current Price: 120.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.036
Date: Wed, 09 Oct 2024 AIC 38.073
Time: 14:41:10 BIC 40.898
Sample: 0 HQIC 37.492
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7142 0.951 -0.751 0.452 -2.578 1.149
ma.L1 0.7220 0.947 0.762 0.446 -1.134 2.578
ar.S.L7 -0.3189 0.931 -0.343 0.732 -2.144 1.506
ma.S.L7 -0.9482 33.224 -0.029 0.977 -66.065 64.169
sigma2 0.3085 9.938 0.031 0.975 -19.170 19.787
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 1.67
Prob(Q): 0.64 Prob(JB): 0.43
Heteroskedasticity (H): 3.20 Skew: 0.63
Prob(H) (two-sided): 0.29 Kurtosis: 4.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.06959034686396, Current Price: 120.64
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.560
Date: Wed, 09 Oct 2024 AIC 37.121
Time: 14:41:10 BIC 39.946
Sample: 0 HQIC 36.540
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2519 5.474 0.046 0.963 -10.477 10.981
ma.L1 -0.1152 5.748 -0.020 0.984 -11.381 11.151
ar.S.L7 -0.2836 1.244 -0.228 0.820 -2.721 2.154
ma.S.L7 -0.3499 2.129 -0.164 0.869 -4.523 3.824
sigma2 0.4478 0.205 2.180 0.029 0.045 0.851
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.63
Prob(Q): 0.91 Prob(JB): 0.73
Heteroskedasticity (H): 6.15 Skew: 0.23
Prob(H) (two-sided): 0.11 Kurtosis: 3.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.34664046059399, Current Price: 120.36
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.461
Date: Wed, 09 Oct 2024 AIC 36.922
Time: 14:41:10 BIC 39.746
Sample: 0 HQIC 36.341
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2550 3.924 0.065 0.948 -7.436 7.946
ma.L1 -0.0842 4.197 -0.020 0.984 -8.310 8.142
ar.S.L7 -0.3634 1.032 -0.352 0.725 -2.386 1.659
ma.S.L7 -0.2805 1.261 -0.222 0.824 -2.752 2.191
sigma2 0.4497 0.150 2.993 0.003 0.155 0.744
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.66
Prob(Q): 0.89 Prob(JB): 0.72
Heteroskedasticity (H): 6.16 Skew: 0.25
Prob(H) (two-sided): 0.11 Kurtosis: 3.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.50458725229794, Current Price: 120.24
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.831
Date: Wed, 09 Oct 2024 AIC 35.661
Time: 14:41:10 BIC 38.486
Sample: 0 HQIC 35.081
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4887 0.431 1.133 0.257 -0.357 1.334
ma.L1 -0.2992 0.799 -0.375 0.708 -1.865 1.266
ar.S.L7 -0.5227 0.473 -1.106 0.269 -1.449 0.404
ma.S.L7 -0.5246 3.000 -0.175 0.861 -6.404 5.355
sigma2 0.3618 0.819 0.442 0.659 -1.243 1.967
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.12
Prob(Q): 1.00 Prob(JB): 0.94
Heteroskedasticity (H): 1.19 Skew: -0.13
Prob(H) (two-sided): 0.87 Kurtosis: 3.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.8975239896335, Current Price: 121.17
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.986
Date: Wed, 09 Oct 2024 AIC 33.972
Time: 14:41:10 BIC 36.797
Sample: 0 HQIC 33.391
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9670 0.269 -3.597 0.000 -1.494 -0.440
ma.L1 1.0000 1.92e+04 5.2e-05 1.000 -3.77e+04 3.77e+04
ar.S.L7 -0.6396 0.538 -1.188 0.235 -1.695 0.415
ma.S.L7 -1.0004 3545.953 -0.000 1.000 -6950.941 6948.941
sigma2 0.1969 4106.259 4.8e-05 1.000 -8047.923 8048.317
===================================================================================
Ljung-Box (L1) (Q): 2.03 Jarque-Bera (JB): 0.03
Prob(Q): 0.15 Prob(JB): 0.98
Heteroskedasticity (H): 0.77 Skew: -0.11
Prob(H) (two-sided): 0.81 Kurtosis: 2.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 121.1177513908869, Current Price: 121.3
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.895
Date: Wed, 09 Oct 2024 AIC 33.790
Time: 14:41:10 BIC 36.615
Sample: 0 HQIC 33.210
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0329 4.173 -0.008 0.994 -8.211 8.146
ma.L1 6.3486 164.650 0.039 0.969 -316.359 329.056
ar.S.L7 -0.7353 0.654 -1.125 0.261 -2.017 0.546
ma.S.L7 -1.1241 12.505 -0.090 0.928 -25.634 23.386
sigma2 0.0048 0.284 0.017 0.987 -0.551 0.561
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.08
Prob(Q): 0.99 Prob(JB): 0.96
Heteroskedasticity (H): 0.33 Skew: 0.11
Prob(H) (two-sided): 0.31 Kurtosis: 3.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.07474692383454, Current Price: 120.83
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.778
Date: Wed, 09 Oct 2024 AIC 35.557
Time: 14:41:10 BIC 38.381
Sample: 0 HQIC 34.976
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8369 0.275 -3.048 0.002 -1.375 -0.299
ma.L1 1.0000 7189.147 0.000 1.000 -1.41e+04 1.41e+04
ar.S.L7 -0.8388 0.320 -2.618 0.009 -1.467 -0.211
ma.S.L7 0.0782 0.445 0.176 0.861 -0.795 0.951
sigma2 0.3549 2551.106 0.000 1.000 -4999.721 5000.430
===================================================================================
Ljung-Box (L1) (Q): 1.69 Jarque-Bera (JB): 0.10
Prob(Q): 0.19 Prob(JB): 0.95
Heteroskedasticity (H): 0.22 Skew: 0.04
Prob(H) (two-sided): 0.17 Kurtosis: 3.42
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.3245808454999, Current Price: 120.87
SELL EXECUTED at 120.87
SELL ORDER COMPLETED at 120.96
OPERATION PROFIT, GROSS -1.75, NET -1.99367
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.844
Date: Wed, 09 Oct 2024 AIC 35.689
Time: 14:41:10 BIC 38.513
Sample: 0 HQIC 35.108
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8083 0.459 -1.760 0.078 -1.708 0.092
ma.L1 0.7502 1.010 0.743 0.458 -1.229 2.729
ar.S.L7 -1.1666 0.485 -2.403 0.016 -2.118 -0.215
ma.S.L7 1.0003 3193.592 0.000 1.000 -6258.324 6260.325
sigma2 0.2378 759.541 0.000 1.000 -1488.436 1488.912
===================================================================================
Ljung-Box (L1) (Q): 1.06 Jarque-Bera (JB): 0.28
Prob(Q): 0.30 Prob(JB): 0.87
Heteroskedasticity (H): 0.38 Skew: -0.27
Prob(H) (two-sided): 0.37 Kurtosis: 3.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 120.98774588577126, Current Price: 121.69
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.664
Date: Wed, 09 Oct 2024 AIC 37.329
Time: 14:41:10 BIC 40.153
Sample: 0 HQIC 36.748
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4517 0.901 0.501 0.616 -1.314 2.217
ma.L1 -0.4417 1.175 -0.376 0.707 -2.745 1.862
ar.S.L7 -1.0887 0.442 -2.463 0.014 -1.955 -0.222
ma.S.L7 1.0002 5073.723 0.000 1.000 -9943.314 9945.314
sigma2 0.2794 1417.796 0.000 1.000 -2778.551 2779.109
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.50
Prob(Q): 0.96 Prob(JB): 0.78
Heteroskedasticity (H): 0.18 Skew: -0.42
Prob(H) (two-sided): 0.13 Kurtosis: 3.45
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 122.41322921949846, Current Price: 123.33
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.317
Date: Wed, 09 Oct 2024 AIC 34.635
Time: 14:41:10 BIC 37.459
Sample: 0 HQIC 34.054
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2028 4.586 0.044 0.965 -8.785 9.190
ma.L1 -0.0745 4.567 -0.016 0.987 -9.025 8.876
ar.S.L7 -1.2495 0.282 -4.434 0.000 -1.802 -0.697
ma.S.L7 1.0001 9388.060 0.000 1.000 -1.84e+04 1.84e+04
sigma2 0.2346 2202.052 0.000 1.000 -4315.708 4316.177
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 2.05
Prob(Q): 0.66 Prob(JB): 0.36
Heteroskedasticity (H): 0.43 Skew: -0.87
Prob(H) (two-sided): 0.43 Kurtosis: 3.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.04472378916942, Current Price: 125.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.614
Date: Wed, 09 Oct 2024 AIC 33.229
Time: 14:41:10 BIC 36.053
Sample: 0 HQIC 32.648
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3292 0.599 0.549 0.583 -0.845 1.504
ma.L1 -0.0336 0.825 -0.041 0.967 -1.650 1.583
ar.S.L7 -1.2047 0.483 -2.493 0.013 -2.152 -0.257
ma.S.L7 1.0000 3.11e+05 3.21e-06 1.000 -6.1e+05 6.1e+05
sigma2 0.2097 6.53e+04 3.21e-06 1.000 -1.28e+05 1.28e+05
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 5.42
Prob(Q): 0.98 Prob(JB): 0.07
Heteroskedasticity (H): 0.52 Skew: -1.27
Prob(H) (two-sided): 0.55 Kurtosis: 4.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.94594788138973, Current Price: 125.15
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.775
Date: Wed, 09 Oct 2024 AIC 31.550
Time: 14:41:11 BIC 34.375
Sample: 0 HQIC 30.970
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8044 0.332 2.420 0.016 0.153 1.456
ma.L1 -0.5684 0.476 -1.195 0.232 -1.501 0.364
ar.S.L7 -0.9539 0.233 -4.095 0.000 -1.411 -0.497
ma.S.L7 1.0001 1.76e+04 5.69e-05 1.000 -3.44e+04 3.44e+04
sigma2 0.1786 3139.769 5.69e-05 1.000 -6153.656 6154.014
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 1.72
Prob(Q): 0.67 Prob(JB): 0.42
Heteroskedasticity (H): 0.64 Skew: -0.80
Prob(H) (two-sided): 0.67 Kurtosis: 3.78
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.14624675240348, Current Price: 125.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -6.742
Date: Wed, 09 Oct 2024 AIC 23.485
Time: 14:41:11 BIC 26.310
Sample: 0 HQIC 22.904
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3328 0.616 0.541 0.589 -0.874 1.540
ma.L1 0.0779 0.648 0.120 0.904 -1.193 1.349
ar.S.L7 -1.0085 0.238 -4.230 0.000 -1.476 -0.541
ma.S.L7 0.9999 8672.028 0.000 1.000 -1.7e+04 1.7e+04
sigma2 0.0992 860.685 0.000 1.000 -1686.812 1687.011
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 0.69
Prob(Q): 0.69 Prob(JB): 0.71
Heteroskedasticity (H): 1.62 Skew: 0.41
Prob(H) (two-sided): 0.65 Kurtosis: 2.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.70231692923463, Current Price: 125.88
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.256
Date: Wed, 09 Oct 2024 AIC 32.512
Time: 14:41:11 BIC 35.337
Sample: 0 HQIC 31.932
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7472 0.488 1.532 0.126 -0.209 1.703
ma.L1 -0.1141 0.672 -0.170 0.865 -1.431 1.202
ar.S.L7 -0.8803 0.197 -4.475 0.000 -1.266 -0.495
ma.S.L7 0.2598 0.356 0.729 0.466 -0.438 0.958
sigma2 0.3203 0.198 1.617 0.106 -0.068 0.708
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.49
Prob(Q): 0.94 Prob(JB): 0.78
Heteroskedasticity (H): 3.69 Skew: 0.16
Prob(H) (two-sided): 0.23 Kurtosis: 2.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.11106457215669, Current Price: 126.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.748
Date: Wed, 09 Oct 2024 AIC 33.495
Time: 14:41:11 BIC 36.320
Sample: 0 HQIC 32.914
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5870 0.762 0.770 0.441 -0.907 2.081
ma.L1 0.1791 0.827 0.216 0.829 -1.443 1.801
ar.S.L7 -0.8417 0.209 -4.030 0.000 -1.251 -0.432
ma.S.L7 0.1791 0.551 0.325 0.745 -0.900 1.258
sigma2 0.3514 0.227 1.547 0.122 -0.094 0.797
===================================================================================
Ljung-Box (L1) (Q): 0.23 Jarque-Bera (JB): 0.89
Prob(Q): 0.63 Prob(JB): 0.64
Heteroskedasticity (H): 2.58 Skew: 0.06
Prob(H) (two-sided): 0.38 Kurtosis: 1.72
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.67971977314372, Current Price: 125.33
BUY EXECUTED at 125.33
BUY ORDER COMPLETED at 124.94
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.051
Date: Wed, 09 Oct 2024 AIC 40.101
Time: 14:41:11 BIC 42.926
Sample: 0 HQIC 39.520
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3068 1.070 -0.287 0.774 -2.405 1.791
ma.L1 1.0000 3.36e+05 2.98e-06 1.000 -6.58e+05 6.58e+05
ar.S.L7 -0.7750 0.462 -1.677 0.094 -1.681 0.131
ma.S.L7 -0.1399 0.965 -0.145 0.885 -2.032 1.752
sigma2 0.5323 1.79e+05 2.98e-06 1.000 -3.5e+05 3.5e+05
===================================================================================
Ljung-Box (L1) (Q): 0.38 Jarque-Bera (JB): 0.62
Prob(Q): 0.54 Prob(JB): 0.73
Heteroskedasticity (H): 7.52 Skew: -0.45
Prob(H) (two-sided): 0.08 Kurtosis: 3.58
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 124.23870338225319, Current Price: 125.18
SELL EXECUTED at 125.18
SELL ORDER COMPLETED at 125.6
OPERATION PROFIT, GROSS 0.6599999999999966, NET 0.4094599999999966
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.423
Date: Wed, 09 Oct 2024 AIC 40.846
Time: 14:41:11 BIC 43.670
Sample: 0 HQIC 40.265
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3237 0.718 -0.451 0.652 -1.731 1.084
ma.L1 1.0000 1.52e+04 6.58e-05 1.000 -2.98e+04 2.98e+04
ar.S.L7 -0.7860 0.387 -2.029 0.042 -1.545 -0.027
ma.S.L7 0.1596 0.695 0.230 0.818 -1.202 1.521
sigma2 0.5484 8338.938 6.58e-05 1.000 -1.63e+04 1.63e+04
===================================================================================
Ljung-Box (L1) (Q): 0.48 Jarque-Bera (JB): 1.86
Prob(Q): 0.49 Prob(JB): 0.39
Heteroskedasticity (H): 6.45 Skew: -0.74
Prob(H) (two-sided): 0.10 Kurtosis: 4.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.2150821909243, Current Price: 125.83
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.477
Date: Wed, 09 Oct 2024 AIC 40.954
Time: 14:41:11 BIC 43.779
Sample: 0 HQIC 40.374
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3406 0.801 -0.425 0.671 -1.911 1.229
ma.L1 1.0000 2767.436 0.000 1.000 -5423.075 5425.075
ar.S.L7 -0.7872 0.400 -1.966 0.049 -1.572 -0.002
ma.S.L7 0.1217 0.786 0.155 0.877 -1.418 1.662
sigma2 0.5575 1543.047 0.000 1.000 -3023.759 3024.874
===================================================================================
Ljung-Box (L1) (Q): 0.58 Jarque-Bera (JB): 0.67
Prob(Q): 0.45 Prob(JB): 0.72
Heteroskedasticity (H): 5.19 Skew: -0.48
Prob(H) (two-sided): 0.14 Kurtosis: 3.57
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.1393755686028, Current Price: 126.6
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.604
Date: Wed, 09 Oct 2024 AIC 41.209
Time: 14:41:11 BIC 44.033
Sample: 0 HQIC 40.628
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3419 0.839 -0.407 0.684 -1.986 1.303
ma.L1 0.9999 2407.150 0.000 1.000 -4716.927 4718.927
ar.S.L7 -0.8439 0.340 -2.481 0.013 -1.511 -0.177
ma.S.L7 0.1922 0.779 0.247 0.805 -1.335 1.719
sigma2 0.5601 1348.078 0.000 1.000 -2641.624 2642.744
===================================================================================
Ljung-Box (L1) (Q): 0.89 Jarque-Bera (JB): 0.84
Prob(Q): 0.35 Prob(JB): 0.66
Heteroskedasticity (H): 0.99 Skew: -0.54
Prob(H) (two-sided): 0.99 Kurtosis: 3.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.13714043788454, Current Price: 126.56
BUY EXECUTED at 126.56
BUY ORDER COMPLETED at 126.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.270
Date: Wed, 09 Oct 2024 AIC 40.540
Time: 14:41:11 BIC 43.365
Sample: 0 HQIC 39.960
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4895 0.782 -0.626 0.531 -2.022 1.043
ma.L1 0.8520 1.073 0.794 0.427 -1.250 2.954
ar.S.L7 -0.9406 0.367 -2.563 0.010 -1.660 -0.221
ma.S.L7 -0.0884 0.678 -0.130 0.896 -1.416 1.240
sigma2 0.5804 0.508 1.143 0.253 -0.415 1.576
===================================================================================
Ljung-Box (L1) (Q): 0.83 Jarque-Bera (JB): 2.42
Prob(Q): 0.36 Prob(JB): 0.30
Heteroskedasticity (H): 0.33 Skew: -0.90
Prob(H) (two-sided): 0.31 Kurtosis: 4.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 125.84959697569346, Current Price: 126.48
SELL EXECUTED at 126.48
SELL ORDER COMPLETED at 127.58
OPERATION PROFIT, GROSS 0.8799999999999955, NET 0.6257199999999954
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.170
Date: Wed, 09 Oct 2024 AIC 40.339
Time: 14:41:11 BIC 43.164
Sample: 0 HQIC 39.759
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1351 0.822 -0.164 0.869 -1.747 1.477
ma.L1 0.5532 1.024 0.540 0.589 -1.455 2.561
ar.S.L7 -0.8273 0.403 -2.052 0.040 -1.618 -0.037
ma.S.L7 0.1082 0.598 0.181 0.856 -1.064 1.281
sigma2 0.6003 0.252 2.378 0.017 0.106 1.095
===================================================================================
Ljung-Box (L1) (Q): 0.24 Jarque-Bera (JB): 4.51
Prob(Q): 0.62 Prob(JB): 0.10
Heteroskedasticity (H): 0.05 Skew: -1.07
Prob(H) (two-sided): 0.01 Kurtosis: 4.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 126.88132657915725, Current Price: 127.12
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.758
Date: Wed, 09 Oct 2024 AIC 39.515
Time: 14:41:11 BIC 42.340
Sample: 0 HQIC 38.934
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3195 1.000 -0.319 0.749 -2.280 1.641
ma.L1 0.7832 1.548 0.506 0.613 -2.251 3.817
ar.S.L7 -0.9477 0.455 -2.083 0.037 -1.840 -0.056
ma.S.L7 0.3490 0.976 0.358 0.721 -1.563 2.262
sigma2 0.5268 0.403 1.306 0.191 -0.264 1.317
===================================================================================
Ljung-Box (L1) (Q): 0.52 Jarque-Bera (JB): 3.71
Prob(Q): 0.47 Prob(JB): 0.16
Heteroskedasticity (H): 0.08 Skew: -1.02
Prob(H) (two-sided): 0.03 Kurtosis: 4.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 127.28847816527805, Current Price: 127.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.214
Date: Wed, 09 Oct 2024 AIC 36.427
Time: 14:41:11 BIC 39.252
Sample: 0 HQIC 35.847
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1503 1.097 -0.137 0.891 -2.301 2.001
ma.L1 0.4795 1.125 0.426 0.670 -1.726 2.685
ar.S.L7 -0.4670 0.310 -1.505 0.132 -1.075 0.141
ma.S.L7 -1.0003 3770.010 -0.000 1.000 -7390.084 7388.084
sigma2 0.2693 1015.244 0.000 1.000 -1989.572 1990.111
===================================================================================
Ljung-Box (L1) (Q): 1.66 Jarque-Bera (JB): 7.29
Prob(Q): 0.20 Prob(JB): 0.03
Heteroskedasticity (H): 0.41 Skew: -1.55
Prob(H) (two-sided): 0.41 Kurtosis: 4.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 128.59627575129164, Current Price: 131.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.845
Date: Wed, 09 Oct 2024 AIC 39.690
Time: 14:41:11 BIC 42.515
Sample: 0 HQIC 39.109
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4320 0.267 -1.616 0.106 -0.956 0.092
ma.L1 1.2476 0.827 1.508 0.131 -0.374 2.869
ar.S.L7 -1.1847 0.151 -7.843 0.000 -1.481 -0.889
ma.S.L7 1.0001 1.27e+04 7.88e-05 1.000 -2.49e+04 2.49e+04
sigma2 0.2047 2596.287 7.88e-05 1.000 -5088.423 5088.833
===================================================================================
Ljung-Box (L1) (Q): 0.30 Jarque-Bera (JB): 0.43
Prob(Q): 0.58 Prob(JB): 0.81
Heteroskedasticity (H): 0.42 Skew: -0.44
Prob(H) (two-sided): 0.42 Kurtosis: 2.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 133.90438120731918, Current Price: 131.98
BUY EXECUTED at 131.98
BUY ORDER COMPLETED at 132.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.612
Date: Wed, 09 Oct 2024 AIC 43.224
Time: 14:41:11 BIC 46.049
Sample: 0 HQIC 42.643
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2476 10.577 0.023 0.981 -20.482 20.978
ma.L1 -0.3549 9.808 -0.036 0.971 -19.579 18.869
ar.S.L7 -0.9863 0.255 -3.870 0.000 -1.486 -0.487
ma.S.L7 0.3565 1.569 0.227 0.820 -2.719 3.432
sigma2 0.7147 0.513 1.393 0.163 -0.291 1.720
===================================================================================
Ljung-Box (L1) (Q): 0.28 Jarque-Bera (JB): 0.48
Prob(Q): 0.60 Prob(JB): 0.79
Heteroskedasticity (H): 0.66 Skew: 0.27
Prob(H) (two-sided): 0.70 Kurtosis: 2.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 132.0051970741124, Current Price: 133.94
SELL EXECUTED at 133.94
SELL ORDER COMPLETED at 134.9
OPERATION PROFIT, GROSS 2.1299999999999955, NET 1.8623299999999954
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.335
Date: Wed, 09 Oct 2024 AIC 46.670
Time: 14:41:11 BIC 49.495
Sample: 0 HQIC 46.089
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6807 1.313 -0.519 0.604 -3.253 1.892
ma.L1 0.4208 1.508 0.279 0.780 -2.536 3.377
ar.S.L7 -0.9401 0.213 -4.417 0.000 -1.357 -0.523
ma.S.L7 0.0356 0.820 0.043 0.965 -1.571 1.642
sigma2 0.9800 0.561 1.746 0.081 -0.120 2.080
===================================================================================
Ljung-Box (L1) (Q): 0.58 Jarque-Bera (JB): 0.77
Prob(Q): 0.45 Prob(JB): 0.68
Heteroskedasticity (H): 0.82 Skew: 0.08
Prob(H) (two-sided): 0.85 Kurtosis: 1.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 133.5698961327067, Current Price: 134.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.487
Date: Wed, 09 Oct 2024 AIC 44.973
Time: 14:41:11 BIC 47.798
Sample: 0 HQIC 44.393
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4809 1.502 -0.320 0.749 -3.426 2.464
ma.L1 0.2585 1.637 0.158 0.874 -2.949 3.467
ar.S.L7 -0.9638 0.186 -5.183 0.000 -1.328 -0.599
ma.S.L7 0.0653 0.759 0.086 0.931 -1.423 1.554
sigma2 0.8607 0.488 1.763 0.078 -0.096 1.818
===================================================================================
Ljung-Box (L1) (Q): 2.54 Jarque-Bera (JB): 0.62
Prob(Q): 0.11 Prob(JB): 0.73
Heteroskedasticity (H): 1.17 Skew: 0.28
Prob(H) (two-sided): 0.88 Kurtosis: 2.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.74677595087522, Current Price: 132.97
BUY EXECUTED at 132.97
BUY ORDER COMPLETED at 132.38
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.257
Date: Wed, 09 Oct 2024 AIC 42.514
Time: 14:41:11 BIC 45.339
Sample: 0 HQIC 41.933
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2575 0.444 -0.580 0.562 -1.128 0.613
ma.L1 -0.3173 0.439 -0.723 0.470 -1.178 0.543
ar.S.L7 -1.0918 0.132 -8.250 0.000 -1.351 -0.832
ma.S.L7 0.3152 1.092 0.289 0.773 -1.824 2.455
sigma2 0.6851 0.420 1.631 0.103 -0.138 1.508
===================================================================================
Ljung-Box (L1) (Q): 1.55 Jarque-Bera (JB): 0.27
Prob(Q): 0.21 Prob(JB): 0.88
Heteroskedasticity (H): 5.46 Skew: -0.34
Prob(H) (two-sided): 0.13 Kurtosis: 3.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.6483373058096, Current Price: 132.84
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.800
Date: Wed, 09 Oct 2024 AIC 43.601
Time: 14:41:11 BIC 46.425
Sample: 0 HQIC 43.020
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5618 0.532 -1.057 0.291 -1.604 0.480
ma.L1 2.1108 3.841 0.550 0.583 -5.418 9.639
ar.S.L7 -0.9156 0.366 -2.500 0.012 -1.633 -0.198
ma.S.L7 -1.0015 1169.873 -0.001 0.999 -2293.911 2291.908
sigma2 0.1014 118.586 0.001 0.999 -232.322 232.525
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.02
Prob(Q): 0.89 Prob(JB): 0.99
Heteroskedasticity (H): 6.74 Skew: 0.08
Prob(H) (two-sided): 0.09 Kurtosis: 2.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 131.8058734954355, Current Price: 133.2
SELL EXECUTED at 133.2
SELL ORDER COMPLETED at 131.56
OPERATION PROFIT, GROSS -0.8199999999999932, NET -1.0839399999999932
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.447
Date: Wed, 09 Oct 2024 AIC 44.894
Time: 14:41:11 BIC 47.719
Sample: 0 HQIC 44.314
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1958 1.500 0.131 0.896 -2.743 3.135
ma.L1 -0.4060 1.060 -0.383 0.702 -2.484 1.672
ar.S.L7 -0.7758 0.423 -1.832 0.067 -1.606 0.054
ma.S.L7 -1.0004 2476.519 -0.000 1.000 -4854.889 4852.888
sigma2 0.5161 1278.447 0.000 1.000 -2505.194 2506.227
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 0.39
Prob(Q): 0.71 Prob(JB): 0.82
Heteroskedasticity (H): 38.79 Skew: 0.42
Prob(H) (two-sided): 0.00 Kurtosis: 2.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 132.46018505906275, Current Price: 130.62
BUY EXECUTED at 130.62
BUY ORDER COMPLETED at 131.27
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.823
Date: Wed, 09 Oct 2024 AIC 45.646
Time: 14:41:11 BIC 48.471
Sample: 0 HQIC 45.065
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0138 0.782 0.018 0.986 -1.519 1.547
ma.L1 -0.5068 0.659 -0.770 0.441 -1.798 0.784
ar.S.L7 -1.2606 0.344 -3.662 0.000 -1.935 -0.586
ma.S.L7 -1.0002 4158.892 -0.000 1.000 -8152.280 8150.279
sigma2 0.5462 2271.927 0.000 1.000 -4452.349 4453.442
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 0.23
Prob(Q): 0.64 Prob(JB): 0.89
Heteroskedasticity (H): 2.65 Skew: -0.00
Prob(H) (two-sided): 0.37 Kurtosis: 2.35
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 131.64559491203542, Current Price: 133.41
SELL EXECUTED at 133.41
SELL ORDER COMPLETED at 133.61
OPERATION PROFIT, GROSS 2.3400000000000034, NET 2.0751200000000036
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.575
Date: Wed, 09 Oct 2024 AIC 47.150
Time: 14:41:11 BIC 49.974
Sample: 0 HQIC 46.569
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4075 0.301 -1.354 0.176 -0.997 0.182
ma.L1 -0.3766 0.333 -1.133 0.257 -1.028 0.275
ar.S.L7 -1.1779 0.298 -3.956 0.000 -1.761 -0.594
ma.S.L7 -0.9999 1.27e+04 -7.85e-05 1.000 -2.5e+04 2.5e+04
sigma2 0.6008 7653.086 7.85e-05 1.000 -1.5e+04 1.5e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.02
Prob(Q): 0.90 Prob(JB): 0.60
Heteroskedasticity (H): 4.08 Skew: -0.64
Prob(H) (two-sided): 0.20 Kurtosis: 2.49
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 131.59327144744603, Current Price: 133.63
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.189
Date: Wed, 09 Oct 2024 AIC 48.378
Time: 14:41:11 BIC 51.203
Sample: 0 HQIC 47.797
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0796 0.543 -0.147 0.883 -1.143 0.984
ma.L1 -0.5124 0.602 -0.851 0.395 -1.692 0.668
ar.S.L7 -1.1226 0.274 -4.091 0.000 -1.660 -0.585
ma.S.L7 -0.4660 0.810 -0.575 0.565 -2.054 1.122
sigma2 1.0155 0.880 1.154 0.248 -0.709 2.740
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 1.20
Prob(Q): 0.62 Prob(JB): 0.55
Heteroskedasticity (H): 1.77 Skew: -0.53
Prob(H) (two-sided): 0.59 Kurtosis: 1.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 132.98941107082658, Current Price: 132.14
BUY EXECUTED at 132.14
BUY ORDER COMPLETED at 132.18
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.991
Date: Wed, 09 Oct 2024 AIC 59.983
Time: 14:41:11 BIC 62.808
Sample: 0 HQIC 59.402
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4433 8.364 0.053 0.958 -15.951 16.837
ma.L1 -1.9652 31.964 -0.061 0.951 -64.613 60.683
ar.S.L7 -3.732e-05 0.092 -0.000 1.000 -0.180 0.180
ma.S.L7 -1.0026 290.487 -0.003 0.997 -570.347 568.342
sigma2 0.5020 154.127 0.003 0.997 -301.581 302.585
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 1.90
Prob(Q): 0.64 Prob(JB): 0.39
Heteroskedasticity (H): 3.44 Skew: -0.85
Prob(H) (two-sided): 0.26 Kurtosis: 3.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 131.89751862998853, Current Price: 131.29
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.009
Date: Wed, 09 Oct 2024 AIC 50.019
Time: 14:41:11 BIC 52.843
Sample: 0 HQIC 49.438
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0936 0.389 0.241 0.810 -0.669 0.856
ma.L1 -1.0000 5022.195 -0.000 1.000 -9844.322 9842.322
ar.S.L7 -1.2637 0.153 -8.264 0.000 -1.563 -0.964
ma.S.L7 -0.0905 0.471 -0.192 0.848 -1.013 0.832
sigma2 1.1106 5578.262 0.000 1.000 -1.09e+04 1.09e+04
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 1.17
Prob(Q): 0.72 Prob(JB): 0.56
Heteroskedasticity (H): 1.25 Skew: -0.04
Prob(H) (two-sided): 0.83 Kurtosis: 1.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 133.30555427456972, Current Price: 131.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.631
Date: Wed, 09 Oct 2024 AIC 49.263
Time: 14:41:11 BIC 52.088
Sample: 0 HQIC 48.682
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1694 0.417 -0.406 0.684 -0.986 0.647
ma.L1 -1.0000 5389.619 -0.000 1.000 -1.06e+04 1.06e+04
ar.S.L7 -1.3071 0.092 -14.207 0.000 -1.487 -1.127
ma.S.L7 1.0001 6351.265 0.000 1.000 -1.24e+04 1.24e+04
sigma2 0.6719 5861.995 0.000 1.000 -1.15e+04 1.15e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.76
Prob(Q): 0.95 Prob(JB): 0.68
Heteroskedasticity (H): 0.93 Skew: 0.03
Prob(H) (two-sided): 0.95 Kurtosis: 1.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.94448689271366, Current Price: 133.83
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.875
Date: Wed, 09 Oct 2024 AIC 49.750
Time: 14:41:12 BIC 52.575
Sample: 0 HQIC 49.169
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0253 0.461 0.055 0.956 -0.877 0.928
ma.L1 -1.0000 4667.751 -0.000 1.000 -9149.623 9147.623
ar.S.L7 -1.2930 0.123 -10.492 0.000 -1.535 -1.051
ma.S.L7 0.3623 0.691 0.525 0.600 -0.992 1.716
sigma2 1.0709 4998.716 0.000 1.000 -9796.232 9798.374
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.42
Prob(Q): 0.96 Prob(JB): 0.49
Heteroskedasticity (H): 0.81 Skew: 0.47
Prob(H) (two-sided): 0.84 Kurtosis: 1.68
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 138.77216024300392, Current Price: 132.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.814
Date: Wed, 09 Oct 2024 AIC 57.628
Time: 14:41:12 BIC 60.452
Sample: 0 HQIC 57.047
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4467 0.314 1.424 0.155 -0.168 1.062
ma.L1 -1.3759 1.200 -1.147 0.252 -3.728 0.976
ar.S.L7 -0.8529 0.358 -2.383 0.017 -1.554 -0.151
ma.S.L7 1.0001 1.41e+04 7.12e-05 1.000 -2.75e+04 2.75e+04
sigma2 0.6956 9774.797 7.12e-05 1.000 -1.92e+04 1.92e+04
===================================================================================
Ljung-Box (L1) (Q): 3.69 Jarque-Bera (JB): 0.18
Prob(Q): 0.05 Prob(JB): 0.91
Heteroskedasticity (H): 0.60 Skew: -0.16
Prob(H) (two-sided): 0.63 Kurtosis: 2.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 136.0460872768688, Current Price: 133.53
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.016
Date: Wed, 09 Oct 2024 AIC 56.033
Time: 14:41:12 BIC 58.857
Sample: 0 HQIC 55.452
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0885 1.190 -0.074 0.941 -2.422 2.245
ma.L1 -0.3238 1.343 -0.241 0.809 -2.956 2.309
ar.S.L7 -0.7306 0.192 -3.796 0.000 -1.108 -0.353
ma.S.L7 0.3068 0.527 0.582 0.561 -0.727 1.340
sigma2 1.9425 1.337 1.453 0.146 -0.678 4.563
===================================================================================
Ljung-Box (L1) (Q): 2.19 Jarque-Bera (JB): 0.54
Prob(Q): 0.14 Prob(JB): 0.76
Heteroskedasticity (H): 1.66 Skew: -0.02
Prob(H) (two-sided): 0.64 Kurtosis: 2.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 135.31500528882324, Current Price: 133.53
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.088
Date: Wed, 09 Oct 2024 AIC 56.175
Time: 14:41:12 BIC 59.000
Sample: 0 HQIC 55.595
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4166 0.241 1.725 0.084 -0.057 0.890
ma.L1 -0.5464 0.424 -1.288 0.198 -1.378 0.285
ar.S.L7 -0.7479 0.216 -3.461 0.001 -1.172 -0.324
ma.S.L7 1.0000 3.67e+04 2.73e-05 1.000 -7.19e+04 7.19e+04
sigma2 1.2092 4.43e+04 2.73e-05 1.000 -8.69e+04 8.69e+04
===================================================================================
Ljung-Box (L1) (Q): 2.50 Jarque-Bera (JB): 0.49
Prob(Q): 0.11 Prob(JB): 0.78
Heteroskedasticity (H): 0.53 Skew: 0.17
Prob(H) (two-sided): 0.56 Kurtosis: 2.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 132.61553734637843, Current Price: 132.4
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.702
Date: Wed, 09 Oct 2024 AIC 55.403
Time: 14:41:12 BIC 58.228
Sample: 0 HQIC 54.823
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9432 0.198 4.769 0.000 0.556 1.331
ma.L1 -1.0000 4724.811 -0.000 1.000 -9261.460 9259.460
ar.S.L7 -0.7327 0.196 -3.740 0.000 -1.117 -0.349
ma.S.L7 1.0001 1.29e+04 7.78e-05 1.000 -2.52e+04 2.52e+04
sigma2 1.0240 1.22e+04 8.37e-05 1.000 -2.4e+04 2.4e+04
===================================================================================
Ljung-Box (L1) (Q): 2.23 Jarque-Bera (JB): 0.29
Prob(Q): 0.14 Prob(JB): 0.86
Heteroskedasticity (H): 0.36 Skew: 0.11
Prob(H) (two-sided): 0.35 Kurtosis: 2.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 131.30166247338656, Current Price: 134.58
SELL EXECUTED at 134.58
SELL ORDER COMPLETED at 133.83
OPERATION PROFIT, GROSS 1.6500000000000057, NET 1.3839900000000056
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.229
Date: Wed, 09 Oct 2024 AIC 60.458
Time: 14:41:12 BIC 63.283
Sample: 0 HQIC 59.877
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6483 0.327 1.981 0.048 0.007 1.290
ma.L1 -1.0172 4.244 -0.240 0.811 -9.334 7.300
ar.S.L7 -0.4591 0.388 -1.182 0.237 -1.220 0.302
ma.S.L7 -18.8740 229.695 -0.082 0.935 -469.069 431.321
sigma2 0.0066 0.172 0.038 0.969 -0.330 0.343
===================================================================================
Ljung-Box (L1) (Q): 2.31 Jarque-Bera (JB): 0.19
Prob(Q): 0.13 Prob(JB): 0.91
Heteroskedasticity (H): 0.65 Skew: 0.13
Prob(H) (two-sided): 0.69 Kurtosis: 2.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.5838538787579, Current Price: 136.48
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.657
Date: Wed, 09 Oct 2024 AIC 61.315
Time: 14:41:12 BIC 64.140
Sample: 0 HQIC 60.734
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5967 0.360 1.658 0.097 -0.109 1.302
ma.L1 -1.0149 4.759 -0.213 0.831 -10.342 8.313
ar.S.L7 -0.4930 0.370 -1.333 0.183 -1.218 0.232
ma.S.L7 -18.8643 235.146 -0.080 0.936 -479.742 442.014
sigma2 0.0070 0.186 0.037 0.970 -0.358 0.371
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.55
Prob(Q): 0.89 Prob(JB): 0.76
Heteroskedasticity (H): 0.77 Skew: 0.22
Prob(H) (two-sided): 0.80 Kurtosis: 2.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 136.90623941715563, Current Price: 134.47
BUY EXECUTED at 134.47
BUY ORDER COMPLETED at 134.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.958
Date: Wed, 09 Oct 2024 AIC 57.916
Time: 14:41:12 BIC 60.741
Sample: 0 HQIC 57.335
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5106 0.145 3.510 0.000 0.226 0.796
ma.L1 -1.0000 8314.307 -0.000 1.000 -1.63e+04 1.63e+04
ar.S.L7 -0.3408 0.365 -0.934 0.350 -1.056 0.374
ma.S.L7 -0.0292 0.530 -0.055 0.956 -1.068 1.009
sigma2 2.0013 1.66e+04 0.000 1.000 -3.26e+04 3.26e+04
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 1.24
Prob(Q): 0.81 Prob(JB): 0.54
Heteroskedasticity (H): 2.40 Skew: 0.55
Prob(H) (two-sided): 0.42 Kurtosis: 1.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 133.22410686842122, Current Price: 134.45
SELL EXECUTED at 134.45
SELL ORDER COMPLETED at 134.43
OPERATION PROFIT, GROSS -0.12999999999999545, NET -0.3989899999999955
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.044
Date: Wed, 09 Oct 2024 AIC 56.087
Time: 14:41:12 BIC 58.912
Sample: 0 HQIC 55.507
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5045 0.171 2.948 0.003 0.169 0.840
ma.L1 -1.0000 4748.380 -0.000 1.000 -9307.653 9305.653
ar.S.L7 -0.3909 0.353 -1.107 0.268 -1.083 0.301
ma.S.L7 -0.2260 0.592 -0.382 0.703 -1.386 0.934
sigma2 1.6532 7850.424 0.000 1.000 -1.54e+04 1.54e+04
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 1.30
Prob(Q): 0.82 Prob(JB): 0.52
Heteroskedasticity (H): 9.75 Skew: 0.59
Prob(H) (two-sided): 0.05 Kurtosis: 2.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 135.6956342695634, Current Price: 133.69
BUY EXECUTED at 133.69
BUY ORDER COMPLETED at 134.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.320
Date: Wed, 09 Oct 2024 AIC 56.641
Time: 14:41:12 BIC 59.466
Sample: 0 HQIC 56.060
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2209 0.620 0.356 0.722 -0.995 1.437
ma.L1 -1.0000 3.54e+04 -2.82e-05 1.000 -6.95e+04 6.95e+04
ar.S.L7 -0.3073 0.201 -1.530 0.126 -0.701 0.086
ma.S.L7 -0.2142 1.118 -0.192 0.848 -2.405 1.976
sigma2 1.8139 6.43e+04 2.82e-05 1.000 -1.26e+05 1.26e+05
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.45
Prob(Q): 0.92 Prob(JB): 0.48
Heteroskedasticity (H): 2.67 Skew: 0.71
Prob(H) (two-sided): 0.36 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.98467418666283, Current Price: 134.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.780
Date: Wed, 09 Oct 2024 AIC 55.560
Time: 14:41:12 BIC 58.385
Sample: 0 HQIC 54.980
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2340 0.532 0.440 0.660 -0.809 1.277
ma.L1 -1.0000 1.05e+04 -9.51e-05 1.000 -2.06e+04 2.06e+04
ar.S.L7 -0.2731 0.195 -1.404 0.160 -0.654 0.108
ma.S.L7 -0.0801 0.828 -0.097 0.923 -1.703 1.542
sigma2 1.7157 1.8e+04 9.51e-05 1.000 -3.54e+04 3.54e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.57
Prob(Q): 0.98 Prob(JB): 0.46
Heteroskedasticity (H): 2.11 Skew: 0.78
Prob(H) (two-sided): 0.49 Kurtosis: 2.31
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 133.63486463859405, Current Price: 133.42
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.563
Date: Wed, 09 Oct 2024 AIC 55.127
Time: 14:41:12 BIC 57.952
Sample: 0 HQIC 54.546
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1688 0.471 0.358 0.720 -0.755 1.092
ma.L1 -1.0000 5695.993 -0.000 1.000 -1.12e+04 1.12e+04
ar.S.L7 -0.3423 0.145 -2.359 0.018 -0.627 -0.058
ma.S.L7 0.0040 0.750 0.005 0.996 -1.465 1.473
sigma2 1.6700 9512.302 0.000 1.000 -1.86e+04 1.86e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.24
Prob(Q): 0.95 Prob(JB): 0.54
Heteroskedasticity (H): 1.36 Skew: 0.68
Prob(H) (two-sided): 0.77 Kurtosis: 2.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.74616360810427, Current Price: 133.64
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.982
Date: Wed, 09 Oct 2024 AIC 55.963
Time: 14:41:12 BIC 58.788
Sample: 0 HQIC 55.383
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1806 0.460 0.393 0.695 -0.721 1.082
ma.L1 -1.0000 1.02e+04 -9.78e-05 1.000 -2e+04 2e+04
ar.S.L7 -0.3954 0.177 -2.239 0.025 -0.741 -0.049
ma.S.L7 -0.0039 0.758 -0.005 0.996 -1.490 1.482
sigma2 1.7809 1.82e+04 9.78e-05 1.000 -3.57e+04 3.57e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.43
Prob(Q): 0.95 Prob(JB): 0.49
Heteroskedasticity (H): 0.63 Skew: 0.69
Prob(H) (two-sided): 0.67 Kurtosis: 2.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 135.69623838103638, Current Price: 134.53
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.367
Date: Wed, 09 Oct 2024 AIC 54.735
Time: 14:41:12 BIC 57.560
Sample: 0 HQIC 54.154
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2570 0.501 0.513 0.608 -0.724 1.238
ma.L1 -1.0000 1.11e+04 -9.03e-05 1.000 -2.17e+04 2.17e+04
ar.S.L7 -0.2884 0.327 -0.883 0.377 -0.929 0.352
ma.S.L7 -0.4244 0.968 -0.439 0.661 -2.321 1.472
sigma2 1.4579 1.62e+04 9.03e-05 1.000 -3.17e+04 3.17e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.73
Prob(Q): 0.96 Prob(JB): 0.42
Heteroskedasticity (H): 0.45 Skew: 0.89
Prob(H) (two-sided): 0.45 Kurtosis: 2.74
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 135.27546372625142, Current Price: 134.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.256
Date: Wed, 09 Oct 2024 AIC 54.512
Time: 14:41:12 BIC 57.337
Sample: 0 HQIC 53.931
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2321 1.166 0.199 0.842 -2.054 2.518
ma.L1 -1.0000 8939.473 -0.000 1.000 -1.75e+04 1.75e+04
ar.S.L7 -0.1212 1.002 -0.121 0.904 -2.086 1.843
ma.S.L7 -1.0003 6156.976 -0.000 1.000 -1.21e+04 1.21e+04
sigma2 0.9215 9133.085 0.000 1.000 -1.79e+04 1.79e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.61
Prob(Q): 0.97 Prob(JB): 0.45
Heteroskedasticity (H): 0.14 Skew: 0.86
Prob(H) (two-sided): 0.08 Kurtosis: 2.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.07007565557896, Current Price: 133.21
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.567
Date: Wed, 09 Oct 2024 AIC 55.134
Time: 14:41:12 BIC 57.959
Sample: 0 HQIC 54.553
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2540 0.679 0.374 0.708 -1.077 1.585
ma.L1 -1.0000 1.01e+04 -9.92e-05 1.000 -1.98e+04 1.98e+04
ar.S.L7 -0.2550 0.516 -0.494 0.621 -1.267 0.757
ma.S.L7 -1.0001 9781.864 -0.000 1.000 -1.92e+04 1.92e+04
sigma2 0.9674 1.46e+04 6.62e-05 1.000 -2.86e+04 2.87e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.37
Prob(Q): 0.97 Prob(JB): 0.50
Heteroskedasticity (H): 0.06 Skew: 0.79
Prob(H) (two-sided): 0.02 Kurtosis: 2.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 135.23975659124193, Current Price: 136.41
SELL EXECUTED at 136.41
SELL ORDER COMPLETED at 135.39
OPERATION PROFIT, GROSS 0.799999999999983, NET 0.530019999999983
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.669
Date: Wed, 09 Oct 2024 AIC 55.338
Time: 14:41:12 BIC 58.163
Sample: 0 HQIC 54.757
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1629 0.522 0.312 0.755 -0.861 1.187
ma.L1 -1.0000 1.72e+04 -5.82e-05 1.000 -3.37e+04 3.37e+04
ar.S.L7 -0.3466 0.651 -0.532 0.595 -1.623 0.930
ma.S.L7 -1.0001 7239.516 -0.000 1.000 -1.42e+04 1.42e+04
sigma2 0.9797 1.83e+04 5.35e-05 1.000 -3.59e+04 3.59e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.75
Prob(Q): 0.94 Prob(JB): 0.69
Heteroskedasticity (H): 0.15 Skew: 0.49
Prob(H) (two-sided): 0.09 Kurtosis: 2.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 136.01889445829332, Current Price: 135.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.420
Date: Wed, 09 Oct 2024 AIC 54.840
Time: 14:41:12 BIC 57.665
Sample: 0 HQIC 54.259
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1745 0.477 0.366 0.715 -0.761 1.110
ma.L1 -1.0000 7197.285 -0.000 1.000 -1.41e+04 1.41e+04
ar.S.L7 -0.4191 0.583 -0.719 0.472 -1.562 0.724
ma.S.L7 -1.0001 1.39e+04 -7.18e-05 1.000 -2.73e+04 2.73e+04
sigma2 0.9432 1.51e+04 6.23e-05 1.000 -2.97e+04 2.97e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.83
Prob(Q): 0.91 Prob(JB): 0.66
Heteroskedasticity (H): 0.19 Skew: 0.46
Prob(H) (two-sided): 0.14 Kurtosis: 2.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 134.60919699478185, Current Price: 137.79
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.075
Date: Wed, 09 Oct 2024 AIC 58.151
Time: 14:41:12 BIC 60.976
Sample: 0 HQIC 57.570
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2134 0.544 0.393 0.695 -0.852 1.279
ma.L1 -1.0000 1.61e+05 -6.22e-06 1.000 -3.15e+05 3.15e+05
ar.S.L7 -0.3952 0.589 -0.670 0.503 -1.551 0.760
ma.S.L7 -0.9999 1.14e+04 -8.8e-05 1.000 -2.23e+04 2.23e+04
sigma2 1.2188 2.02e+05 6.03e-06 1.000 -3.96e+05 3.96e+05
===================================================================================
Ljung-Box (L1) (Q): 0.60 Jarque-Bera (JB): 1.39
Prob(Q): 0.44 Prob(JB): 0.50
Heteroskedasticity (H): 1.23 Skew: 0.77
Prob(H) (two-sided): 0.84 Kurtosis: 2.55
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 136.1476088204908, Current Price: 138.91
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.361
Date: Wed, 09 Oct 2024 AIC 54.723
Time: 14:41:12 BIC 57.548
Sample: 0 HQIC 54.142
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4697 0.466 -1.008 0.313 -1.383 0.444
ma.L1 -0.1128 0.414 -0.272 0.785 -0.924 0.699
ar.S.L7 -0.5513 0.437 -1.261 0.207 -1.408 0.306
ma.S.L7 -0.2820 0.697 -0.404 0.686 -1.649 1.085
sigma2 1.7663 0.938 1.883 0.060 -0.072 3.604
===================================================================================
Ljung-Box (L1) (Q): 1.01 Jarque-Bera (JB): 0.36
Prob(Q): 0.31 Prob(JB): 0.84
Heteroskedasticity (H): 2.00 Skew: 0.23
Prob(H) (two-sided): 0.52 Kurtosis: 2.33
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 140.12584159297998, Current Price: 141.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.574
Date: Wed, 09 Oct 2024 AIC 51.148
Time: 14:41:12 BIC 53.973
Sample: 0 HQIC 50.568
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6935 0.389 -1.783 0.075 -1.456 0.069
ma.L1 0.3058 0.635 0.481 0.630 -0.939 1.551
ar.S.L7 -0.5265 0.441 -1.193 0.233 -1.391 0.338
ma.S.L7 -0.2593 0.567 -0.457 0.647 -1.371 0.852
sigma2 1.3423 0.644 2.084 0.037 0.080 2.605
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 1.10
Prob(Q): 0.72 Prob(JB): 0.58
Heteroskedasticity (H): 2.13 Skew: 0.65
Prob(H) (two-sided): 0.48 Kurtosis: 2.43
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 139.8153538625242, Current Price: 141.73
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.421
Date: Wed, 09 Oct 2024 AIC 52.842
Time: 14:41:12 BIC 55.666
Sample: 0 HQIC 52.261
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4107 0.345 -1.191 0.234 -1.086 0.265
ma.L1 0.1327 0.973 0.136 0.892 -1.774 2.039
ar.S.L7 -0.4372 0.287 -1.526 0.127 -0.999 0.124
ma.S.L7 -1.0002 4954.748 -0.000 1.000 -9712.127 9710.127
sigma2 0.9495 4705.109 0.000 1.000 -9220.894 9222.793
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.02
Prob(Q): 0.97 Prob(JB): 0.60
Heteroskedasticity (H): 3.17 Skew: 0.68
Prob(H) (two-sided): 0.29 Kurtosis: 2.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 140.85231093754535, Current Price: 141.26
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.286
Date: Wed, 09 Oct 2024 AIC 50.573
Time: 14:41:12 BIC 53.398
Sample: 0 HQIC 49.992
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3113 2.327 -0.134 0.894 -4.871 4.249
ma.L1 0.1397 2.755 0.051 0.960 -5.260 5.539
ar.S.L7 -0.6576 0.825 -0.797 0.426 -2.275 0.960
ma.S.L7 -0.7160 3.750 -0.191 0.849 -8.065 6.633
sigma2 1.0328 3.124 0.331 0.741 -5.090 7.156
===================================================================================
Ljung-Box (L1) (Q): 1.23 Jarque-Bera (JB): 5.22
Prob(Q): 0.27 Prob(JB): 0.07
Heteroskedasticity (H): 13.08 Skew: 1.45
Prob(H) (two-sided): 0.03 Kurtosis: 4.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 140.92226741654488, Current Price: 142.63
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.421
Date: Wed, 09 Oct 2024 AIC 52.841
Time: 14:41:12 BIC 55.666
Sample: 0 HQIC 52.260
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5634 0.625 -0.901 0.368 -1.789 0.662
ma.L1 0.2543 0.714 0.356 0.722 -1.146 1.654
ar.S.L7 -0.5704 0.334 -1.707 0.088 -1.225 0.084
ma.S.L7 0.1136 1.127 0.101 0.920 -2.095 2.323
sigma2 1.5665 0.902 1.736 0.082 -0.202 3.335
===================================================================================
Ljung-Box (L1) (Q): 0.58 Jarque-Bera (JB): 0.70
Prob(Q): 0.45 Prob(JB): 0.70
Heteroskedasticity (H): 4.75 Skew: 0.49
Prob(H) (two-sided): 0.16 Kurtosis: 2.43
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 142.69444339579104, Current Price: 141.78
BUY EXECUTED at 141.78
BUY ORDER COMPLETED at 142.9
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.259
Date: Wed, 09 Oct 2024 AIC 52.517
Time: 14:41:12 BIC 55.342
Sample: 0 HQIC 51.936
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6985 0.544 -1.283 0.199 -1.765 0.368
ma.L1 0.3888 0.884 0.440 0.660 -1.344 2.121
ar.S.L7 -0.5715 0.236 -2.419 0.016 -1.035 -0.108
ma.S.L7 0.1769 1.912 0.092 0.926 -3.571 3.925
sigma2 1.5161 1.169 1.296 0.195 -0.776 3.808
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 1.02
Prob(Q): 0.68 Prob(JB): 0.60
Heteroskedasticity (H): 4.70 Skew: 0.55
Prob(H) (two-sided): 0.16 Kurtosis: 2.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 142.8068301181514, Current Price: 142.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.355
Date: Wed, 09 Oct 2024 AIC 52.710
Time: 14:41:12 BIC 55.535
Sample: 0 HQIC 52.130
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7010 0.449 -1.561 0.119 -1.581 0.179
ma.L1 0.3687 0.868 0.425 0.671 -1.333 2.070
ar.S.L7 -0.5500 0.275 -2.002 0.045 -1.089 -0.011
ma.S.L7 0.0728 1.938 0.038 0.970 -3.725 3.871
sigma2 1.5584 0.852 1.830 0.067 -0.111 3.228
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 0.80
Prob(Q): 0.67 Prob(JB): 0.67
Heteroskedasticity (H): 0.17 Skew: 0.47
Prob(H) (two-sided): 0.12 Kurtosis: 2.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 143.1024681643402, Current Price: 143.7
SELL EXECUTED at 143.7
SELL ORDER COMPLETED at 142.75
OPERATION PROFIT, GROSS -0.15000000000000568, NET -0.4356500000000057
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.377
Date: Wed, 09 Oct 2024 AIC 52.754
Time: 14:41:12 BIC 55.579
Sample: 0 HQIC 52.174
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7172 0.552 -1.299 0.194 -1.800 0.365
ma.L1 0.3873 1.108 0.350 0.727 -1.784 2.558
ar.S.L7 -0.4998 0.346 -1.444 0.149 -1.178 0.179
ma.S.L7 0.0665 2.138 0.031 0.975 -4.124 4.257
sigma2 1.5638 0.862 1.813 0.070 -0.126 3.254
===================================================================================
Ljung-Box (L1) (Q): 0.24 Jarque-Bera (JB): 0.46
Prob(Q): 0.62 Prob(JB): 0.79
Heteroskedasticity (H): 0.12 Skew: 0.34
Prob(H) (two-sided): 0.07 Kurtosis: 2.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 145.23511559755258, Current Price: 142.78
BUY EXECUTED at 142.78
BUY ORDER COMPLETED at 141.33
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.057
Date: Wed, 09 Oct 2024 AIC 52.114
Time: 14:41:12 BIC 54.939
Sample: 0 HQIC 51.534
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8608 0.087 -9.908 0.000 -1.031 -0.691
ma.L1 1.0000 1.53e+04 6.54e-05 1.000 -3e+04 3e+04
ar.S.L7 -0.1259 0.268 -0.470 0.639 -0.651 0.399
ma.S.L7 -1.0001 1.25e+04 -8.03e-05 1.000 -2.44e+04 2.44e+04
sigma2 0.7949 1.94e+04 4.11e-05 1.000 -3.79e+04 3.79e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.92
Prob(Q): 0.90 Prob(JB): 0.63
Heteroskedasticity (H): 0.72 Skew: -0.65
Prob(H) (two-sided): 0.76 Kurtosis: 3.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 142.81337364603465, Current Price: 141.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.684
Date: Wed, 09 Oct 2024 AIC 53.367
Time: 14:41:13 BIC 56.192
Sample: 0 HQIC 52.787
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7887 0.127 -6.188 0.000 -1.039 -0.539
ma.L1 1.0000 2.54e+04 3.94e-05 1.000 -4.98e+04 4.98e+04
ar.S.L7 -0.2398 0.213 -1.126 0.260 -0.657 0.178
ma.S.L7 -1.4189 5.635 -0.252 0.801 -12.463 9.625
sigma2 0.5659 1.44e+04 3.94e-05 1.000 -2.82e+04 2.82e+04
===================================================================================
Ljung-Box (L1) (Q): 1.40 Jarque-Bera (JB): 1.48
Prob(Q): 0.24 Prob(JB): 0.48
Heteroskedasticity (H): 1.32 Skew: -0.83
Prob(H) (two-sided): 0.79 Kurtosis: 3.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 139.74978141691582, Current Price: 142.21
SELL EXECUTED at 142.21
SELL ORDER COMPLETED at 141.62
OPERATION PROFIT, GROSS 0.28999999999999204, NET 0.007049999999992007
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.012
Date: Wed, 09 Oct 2024 AIC 56.024
Time: 14:41:13 BIC 58.849
Sample: 0 HQIC 55.443
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3880 1.032 -0.376 0.707 -2.411 1.635
ma.L1 0.2656 1.172 0.227 0.821 -2.032 2.563
ar.S.L7 -0.1906 0.637 -0.299 0.765 -1.439 1.058
ma.S.L7 -0.5216 2.402 -0.217 0.828 -5.230 4.187
sigma2 1.7846 3.415 0.523 0.601 -4.909 8.478
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 0.78
Prob(Q): 0.71 Prob(JB): 0.68
Heteroskedasticity (H): 1.96 Skew: -0.57
Prob(H) (two-sided): 0.53 Kurtosis: 2.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 143.43601040853454, Current Price: 141.76
BUY EXECUTED at 141.76
BUY ORDER COMPLETED at 141.39
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.570
Date: Wed, 09 Oct 2024 AIC 57.140
Time: 14:41:13 BIC 59.965
Sample: 0 HQIC 56.560
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4079 0.600 -0.680 0.497 -1.584 0.768
ma.L1 0.1287 0.568 0.226 0.821 -0.986 1.243
ar.S.L7 -0.2317 0.570 -0.406 0.684 -1.349 0.885
ma.S.L7 -1.0002 4466.958 -0.000 1.000 -8756.076 8754.076
sigma2 1.3258 5922.385 0.000 1.000 -1.16e+04 1.16e+04
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 1.52
Prob(Q): 0.74 Prob(JB): 0.47
Heteroskedasticity (H): 1.95 Skew: -0.77
Prob(H) (two-sided): 0.53 Kurtosis: 2.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 142.26842752048265, Current Price: 141.4
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.734
Date: Wed, 09 Oct 2024 AIC 55.469
Time: 14:41:13 BIC 58.293
Sample: 0 HQIC 54.888
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1509 3.017 -0.050 0.960 -6.064 5.762
ma.L1 0.0615 3.087 0.020 0.984 -5.989 6.112
ar.S.L7 -0.3300 0.520 -0.634 0.526 -1.350 0.690
ma.S.L7 -0.1228 1.550 -0.079 0.937 -3.161 2.915
sigma2 1.9228 1.829 1.051 0.293 -1.662 5.508
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 1.00
Prob(Q): 0.74 Prob(JB): 0.61
Heteroskedasticity (H): 4.85 Skew: -0.50
Prob(H) (two-sided): 0.16 Kurtosis: 2.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 142.5931736164061, Current Price: 144.17
SELL EXECUTED at 144.17
SELL ORDER COMPLETED at 144.35
OPERATION PROFIT, GROSS 2.960000000000008, NET 2.674260000000008
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.233
Date: Wed, 09 Oct 2024 AIC 56.467
Time: 14:41:13 BIC 59.292
Sample: 0 HQIC 55.886
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0459 1.855 -0.025 0.980 -3.681 3.589
ma.L1 -0.0912 1.925 -0.047 0.962 -3.865 3.682
ar.S.L7 -0.3541 0.484 -0.731 0.465 -1.303 0.595
ma.S.L7 -0.1197 1.325 -0.090 0.928 -2.717 2.477
sigma2 2.0770 1.878 1.106 0.269 -1.603 5.757
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 1.17
Prob(Q): 0.84 Prob(JB): 0.56
Heteroskedasticity (H): 3.32 Skew: -0.53
Prob(H) (two-sided): 0.27 Kurtosis: 1.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 144.95014173228287, Current Price: 144.19
BUY EXECUTED at 144.19
BUY ORDER COMPLETED at 144.3
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.537
Date: Wed, 09 Oct 2024 AIC 55.075
Time: 14:41:13 BIC 57.900
Sample: 0 HQIC 54.494
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0257 0.614 -0.042 0.967 -1.230 1.179
ma.L1 -0.3914 0.695 -0.563 0.573 -1.753 0.970
ar.S.L7 -0.5458 0.430 -1.271 0.204 -1.388 0.296
ma.S.L7 -1.0002 6461.893 -0.000 1.000 -1.27e+04 1.27e+04
sigma2 1.1297 7300.255 0.000 1.000 -1.43e+04 1.43e+04
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 1.04
Prob(Q): 0.82 Prob(JB): 0.59
Heteroskedasticity (H): 1.56 Skew: -0.29
Prob(H) (two-sided): 0.68 Kurtosis: 1.74
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 146.45294033140914, Current Price: 145.57
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.906
Date: Wed, 09 Oct 2024 AIC 53.812
Time: 14:41:13 BIC 56.637
Sample: 0 HQIC 53.231
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0655 0.628 -0.104 0.917 -1.296 1.165
ma.L1 -0.3580 0.714 -0.501 0.616 -1.757 1.041
ar.S.L7 -0.5866 0.506 -1.160 0.246 -1.578 0.405
ma.S.L7 -0.5566 1.950 -0.285 0.775 -4.378 3.265
sigma2 1.4749 2.440 0.604 0.546 -3.307 6.257
===================================================================================
Ljung-Box (L1) (Q): 0.42 Jarque-Bera (JB): 0.90
Prob(Q): 0.52 Prob(JB): 0.64
Heteroskedasticity (H): 1.48 Skew: -0.21
Prob(H) (two-sided): 0.71 Kurtosis: 1.78
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 146.36543891559333, Current Price: 145.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.275
Date: Wed, 09 Oct 2024 AIC 54.550
Time: 14:41:13 BIC 57.375
Sample: 0 HQIC 53.970
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0791 0.692 -0.114 0.909 -1.436 1.278
ma.L1 -0.2877 0.754 -0.381 0.703 -1.766 1.191
ar.S.L7 -0.5134 0.563 -0.912 0.362 -1.616 0.590
ma.S.L7 -0.2819 0.918 -0.307 0.759 -2.081 1.517
sigma2 1.7443 1.694 1.030 0.303 -1.576 5.064
===================================================================================
Ljung-Box (L1) (Q): 0.88 Jarque-Bera (JB): 0.64
Prob(Q): 0.35 Prob(JB): 0.73
Heteroskedasticity (H): 2.03 Skew: -0.35
Prob(H) (two-sided): 0.51 Kurtosis: 2.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 144.98159310742105, Current Price: 144.12
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.717
Date: Wed, 09 Oct 2024 AIC 55.434
Time: 14:41:13 BIC 58.259
Sample: 0 HQIC 54.853
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1507 0.853 -0.177 0.860 -1.823 1.522
ma.L1 -0.2807 0.903 -0.311 0.756 -2.051 1.490
ar.S.L7 -0.6049 0.515 -1.175 0.240 -1.614 0.404
ma.S.L7 -0.1343 1.056 -0.127 0.899 -2.204 1.936
sigma2 1.9154 1.228 1.560 0.119 -0.492 4.322
===================================================================================
Ljung-Box (L1) (Q): 0.67 Jarque-Bera (JB): 0.54
Prob(Q): 0.41 Prob(JB): 0.76
Heteroskedasticity (H): 0.31 Skew: -0.38
Prob(H) (two-sided): 0.28 Kurtosis: 2.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 145.58731145681043, Current Price: 143.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.475
Date: Wed, 09 Oct 2024 AIC 54.951
Time: 14:41:13 BIC 57.776
Sample: 0 HQIC 54.370
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6935 0.312 2.222 0.026 0.082 1.305
ma.L1 -1.0000 1.15e+05 -8.67e-06 1.000 -2.26e+05 2.26e+05
ar.S.L7 -0.1556 0.467 -0.334 0.739 -1.070 0.759
ma.S.L7 -0.5857 1.285 -0.456 0.648 -3.103 1.932
sigma2 1.2868 1.49e+05 8.67e-06 1.000 -2.91e+05 2.91e+05
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 0.74
Prob(Q): 0.70 Prob(JB): 0.69
Heteroskedasticity (H): 0.31 Skew: -0.13
Prob(H) (two-sided): 0.29 Kurtosis: 1.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 143.11491953196474, Current Price: 145.75
SELL EXECUTED at 145.75
SELL ORDER COMPLETED at 145.54
OPERATION PROFIT, GROSS 1.2399999999999807, NET 0.9501599999999807
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.688
Date: Wed, 09 Oct 2024 AIC 59.377
Time: 14:41:13 BIC 62.202
Sample: 0 HQIC 58.796
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3430 1.120 -0.306 0.760 -2.539 1.853
ma.L1 16.4540 286.152 0.058 0.954 -544.393 577.301
ar.S.L7 -0.6944 0.572 -1.214 0.225 -1.815 0.426
ma.S.L7 4.4747 15.389 0.291 0.771 -25.686 34.636
sigma2 0.0005 0.017 0.028 0.978 -0.033 0.034
===================================================================================
Ljung-Box (L1) (Q): 1.59 Jarque-Bera (JB): 0.62
Prob(Q): 0.21 Prob(JB): 0.73
Heteroskedasticity (H): 0.61 Skew: 0.13
Prob(H) (two-sided): 0.64 Kurtosis: 1.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
Predicted Price: 146.74056614000236, Current Price: 146.66
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.714
Date: Wed, 09 Oct 2024 AIC 57.427
Time: 14:41:13 BIC 60.252
Sample: 0 HQIC 56.847
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0825 0.700 -0.118 0.906 -1.454 1.289
ma.L1 -0.4691 0.683 -0.687 0.492 -1.807 0.869
ar.S.L7 -0.8088 0.382 -2.117 0.034 -1.558 -0.060
ma.S.L7 1.0005 1951.629 0.001 1.000 -3824.122 3826.123
sigma2 1.3536 2642.413 0.001 1.000 -5177.680 5180.387
===================================================================================
Ljung-Box (L1) (Q): 0.23 Jarque-Bera (JB): 0.39
Prob(Q): 0.63 Prob(JB): 0.82
Heteroskedasticity (H): 0.64 Skew: 0.23
Prob(H) (two-sided): 0.67 Kurtosis: 2.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 146.37343505234506, Current Price: 143.14
BUY EXECUTED at 143.14
BUY ORDER COMPLETED at 143.64
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.474
Date: Wed, 09 Oct 2024 AIC 58.948
Time: 14:41:13 BIC 61.773
Sample: 0 HQIC 58.367
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3885 0.653 -0.595 0.552 -1.667 0.890
ma.L1 1.0000 6305.607 0.000 1.000 -1.24e+04 1.24e+04
ar.S.L7 0.1874 0.409 0.458 0.647 -0.615 0.989
ma.S.L7 -0.4586 1.095 -0.419 0.675 -2.605 1.687
sigma2 2.1533 1.36e+04 0.000 1.000 -2.66e+04 2.66e+04
===================================================================================
Ljung-Box (L1) (Q): 1.16 Jarque-Bera (JB): 0.92
Prob(Q): 0.28 Prob(JB): 0.63
Heteroskedasticity (H): 1.64 Skew: 0.08
Prob(H) (two-sided): 0.65 Kurtosis: 1.71
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 143.80689125414239, Current Price: 141.92
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.741
Date: Wed, 09 Oct 2024 AIC 59.481
Time: 14:41:13 BIC 62.306
Sample: 0 HQIC 58.900
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5220 0.477 -1.095 0.273 -1.456 0.412
ma.L1 1.0000 6703.476 0.000 1.000 -1.31e+04 1.31e+04
ar.S.L7 -0.0112 0.242 -0.046 0.963 -0.486 0.463
ma.S.L7 -0.5209 1.341 -0.388 0.698 -3.150 2.108
sigma2 2.2148 1.48e+04 0.000 1.000 -2.91e+04 2.91e+04
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 0.79
Prob(Q): 0.66 Prob(JB): 0.67
Heteroskedasticity (H): 2.21 Skew: 0.15
Prob(H) (two-sided): 0.46 Kurtosis: 1.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 140.73612581610251, Current Price: 141.39
SELL EXECUTED at 141.39
SELL ORDER COMPLETED at 141.23
OPERATION PROFIT, GROSS -2.4099999999999966, NET -2.6948699999999963
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.533
Date: Wed, 09 Oct 2024 AIC 59.066
Time: 14:41:13 BIC 61.891
Sample: 0 HQIC 58.485
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4960 0.095 -5.198 0.000 -0.683 -0.309
ma.L1 1.1925 0.373 3.199 0.001 0.462 1.923
ar.S.L7 -0.5440 0.627 -0.868 0.385 -1.772 0.684
ma.S.L7 0.1805 1.748 0.103 0.918 -3.246 3.607
sigma2 1.6655 1.834 0.908 0.364 -1.930 5.261
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 0.45
Prob(Q): 0.64 Prob(JB): 0.80
Heteroskedasticity (H): 1.74 Skew: 0.32
Prob(H) (two-sided): 0.60 Kurtosis: 2.35
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 141.63144231960925, Current Price: 140.18
BUY EXECUTED at 140.18
BUY ORDER COMPLETED at 140.34
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.185
Date: Wed, 09 Oct 2024 AIC 56.369
Time: 14:41:13 BIC 59.194
Sample: 0 HQIC 55.789
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3780 0.187 -2.020 0.043 -0.745 -0.011
ma.L1 0.8181 0.292 2.801 0.005 0.246 1.391
ar.S.L7 -0.5676 0.462 -1.229 0.219 -1.473 0.338
ma.S.L7 0.2969 0.932 0.319 0.750 -1.529 2.123
sigma2 1.9456 1.782 1.092 0.275 -1.547 5.438
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.48
Prob(Q): 0.92 Prob(JB): 0.79
Heteroskedasticity (H): 2.69 Skew: 0.25
Prob(H) (two-sided): 0.36 Kurtosis: 2.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 138.97189035939988, Current Price: 141.03
SELL EXECUTED at 141.03
SELL ORDER COMPLETED at 142.68
OPERATION PROFIT, GROSS 2.3400000000000034, NET 2.0569800000000034
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.369
Date: Wed, 09 Oct 2024 AIC 56.739
Time: 14:41:13 BIC 59.564
Sample: 0 HQIC 56.158
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2306 0.973 -0.237 0.813 -2.138 1.677
ma.L1 0.6181 0.910 0.679 0.497 -1.165 2.402
ar.S.L7 -0.5350 0.328 -1.632 0.103 -1.178 0.108
ma.S.L7 1.0000 5.24e+04 1.91e-05 1.000 -1.03e+05 1.03e+05
sigma2 1.2779 6.7e+04 1.91e-05 1.000 -1.31e+05 1.31e+05
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 0.51
Prob(Q): 0.71 Prob(JB): 0.78
Heteroskedasticity (H): 2.00 Skew: -0.06
Prob(H) (two-sided): 0.52 Kurtosis: 2.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 144.0597770985732, Current Price: 141.32
BUY EXECUTED at 141.32
BUY ORDER COMPLETED at 141.73
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.264
Date: Wed, 09 Oct 2024 AIC 58.528
Time: 14:41:13 BIC 61.353
Sample: 0 HQIC 57.948
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6013 1.679 -0.358 0.720 -3.892 2.689
ma.L1 1.3130 3.877 0.339 0.735 -6.286 8.912
ar.S.L7 -0.5339 0.468 -1.140 0.254 -1.452 0.384
ma.S.L7 0.1541 1.072 0.144 0.886 -1.947 2.255
sigma2 1.3557 7.461 0.182 0.856 -13.267 15.978
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 0.05
Prob(Q): 0.64 Prob(JB): 0.98
Heteroskedasticity (H): 2.21 Skew: 0.14
Prob(H) (two-sided): 0.46 Kurtosis: 3.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 142.63311676599426, Current Price: 140.15
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.732
Date: Wed, 09 Oct 2024 AIC 59.465
Time: 14:41:13 BIC 62.290
Sample: 0 HQIC 58.884
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5478 0.279 -1.964 0.050 -1.094 -0.001
ma.L1 1.0000 2.64e+04 3.79e-05 1.000 -5.17e+04 5.17e+04
ar.S.L7 -0.3952 0.569 -0.695 0.487 -1.510 0.720
ma.S.L7 0.0396 1.012 0.039 0.969 -1.943 2.022
sigma2 2.2470 5.92e+04 3.79e-05 1.000 -1.16e+05 1.16e+05
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 0.66
Prob(Q): 0.70 Prob(JB): 0.72
Heteroskedasticity (H): 3.60 Skew: 0.35
Prob(H) (two-sided): 0.24 Kurtosis: 2.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 137.9812995604332, Current Price: 141.32
SELL EXECUTED at 141.32
SELL ORDER COMPLETED at 141.82
OPERATION PROFIT, GROSS 0.09000000000000341, NET -0.19354999999999656
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.667
Date: Wed, 09 Oct 2024 AIC 61.334
Time: 14:41:13 BIC 64.159
Sample: 0 HQIC 60.754
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5292 0.182 -2.910 0.004 -0.886 -0.173
ma.L1 1.0000 1445.174 0.001 0.999 -2831.489 2833.489
ar.S.L7 -0.3925 0.850 -0.462 0.644 -2.057 1.273
ma.S.L7 -1.0030 273.006 -0.004 0.997 -536.085 534.079
sigma2 1.6246 2602.929 0.001 1.000 -5100.023 5103.272
===================================================================================
Ljung-Box (L1) (Q): 1.41 Jarque-Bera (JB): 0.79
Prob(Q): 0.24 Prob(JB): 0.67
Heteroskedasticity (H): 2.15 Skew: 0.16
Prob(H) (two-sided): 0.48 Kurtosis: 1.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 142.88424709135901, Current Price: 141.6
BUY EXECUTED at 141.6
BUY ORDER COMPLETED at 141.93
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.575
Date: Wed, 09 Oct 2024 AIC 61.150
Time: 14:41:13 BIC 63.975
Sample: 0 HQIC 60.569
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4682 0.233 -2.011 0.044 -0.924 -0.012
ma.L1 1.0000 952.552 0.001 0.999 -1865.968 1867.968
ar.S.L7 -0.2502 0.563 -0.445 0.657 -1.353 0.853
ma.S.L7 -1.0004 2569.994 -0.000 1.000 -5038.097 5036.096
sigma2 1.7141 4288.201 0.000 1.000 -8403.005 8406.433
===================================================================================
Ljung-Box (L1) (Q): 2.70 Jarque-Bera (JB): 1.66
Prob(Q): 0.10 Prob(JB): 0.44
Heteroskedasticity (H): 1.30 Skew: 0.64
Prob(H) (two-sided): 0.80 Kurtosis: 1.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 139.7335470495524, Current Price: 140.71
SELL EXECUTED at 140.71
SELL ORDER COMPLETED at 141.57
OPERATION PROFIT, GROSS -0.36000000000001364, NET -0.6435000000000136
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.587
Date: Wed, 09 Oct 2024 AIC 59.174
Time: 14:41:13 BIC 61.999
Sample: 0 HQIC 58.593
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6423 0.602 -1.067 0.286 -1.822 0.538
ma.L1 1.0000 4422.335 0.000 1.000 -8666.618 8668.618
ar.S.L7 -0.0001 0.018 -0.006 0.995 -0.036 0.036
ma.S.L7 -1.0000 1.04e+04 -9.64e-05 1.000 -2.03e+04 2.03e+04
sigma2 1.7647 1.72e+04 0.000 1.000 -3.37e+04 3.37e+04
===================================================================================
Ljung-Box (L1) (Q): 0.77 Jarque-Bera (JB): 0.85
Prob(Q): 0.38 Prob(JB): 0.65
Heteroskedasticity (H): 0.41 Skew: 0.40
Prob(H) (two-sided): 0.40 Kurtosis: 2.05
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 140.74719741121203, Current Price: 141.28
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.593
Date: Wed, 09 Oct 2024 AIC 59.186
Time: 14:41:13 BIC 62.011
Sample: 0 HQIC 58.605
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6330 0.523 -1.210 0.226 -1.658 0.392
ma.L1 1.0000 626.449 0.002 0.999 -1226.818 1228.818
ar.S.L7 0.0001 0.012 0.010 0.992 -0.024 0.025
ma.S.L7 -1.0000 4.56e+04 -2.19e-05 1.000 -8.94e+04 8.94e+04
sigma2 1.7663 8.09e+04 2.18e-05 1.000 -1.59e+05 1.59e+05
===================================================================================
Ljung-Box (L1) (Q): 0.49 Jarque-Bera (JB): 0.79
Prob(Q): 0.49 Prob(JB): 0.67
Heteroskedasticity (H): 0.24 Skew: 0.17
Prob(H) (two-sided): 0.20 Kurtosis: 1.84
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 141.49967972058914, Current Price: 142.95
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.275
Date: Wed, 09 Oct 2024 AIC 60.549
Time: 14:41:13 BIC 63.374
Sample: 0 HQIC 59.969
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4994 0.268 -1.861 0.063 -1.025 0.027
ma.L1 1.0000 2556.879 0.000 1.000 -5010.390 5012.390
ar.S.L7 -0.2865 0.579 -0.495 0.621 -1.422 0.849
ma.S.L7 -0.3418 0.796 -0.429 0.668 -1.902 1.219
sigma2 2.4645 6299.978 0.000 1.000 -1.23e+04 1.24e+04
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 0.87
Prob(Q): 0.69 Prob(JB): 0.65
Heteroskedasticity (H): 0.49 Skew: 0.30
Prob(H) (two-sided): 0.51 Kurtosis: 1.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 144.80486985132086, Current Price: 143.75
BUY EXECUTED at 143.75
BUY ORDER COMPLETED at 143.21
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.856
Date: Wed, 09 Oct 2024 AIC 59.713
Time: 14:41:13 BIC 62.537
Sample: 0 HQIC 59.132
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5084 0.306 -1.663 0.096 -1.108 0.091
ma.L1 0.9999 408.549 0.002 0.998 -799.741 801.741
ar.S.L7 -0.1425 0.455 -0.313 0.754 -1.035 0.749
ma.S.L7 -0.4088 0.825 -0.496 0.620 -2.025 1.208
sigma2 2.2992 938.661 0.002 0.998 -1837.442 1842.041
===================================================================================
Ljung-Box (L1) (Q): 0.56 Jarque-Bera (JB): 0.70
Prob(Q): 0.45 Prob(JB): 0.70
Heteroskedasticity (H): 0.44 Skew: 0.32
Prob(H) (two-sided): 0.45 Kurtosis: 2.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 143.2328402373814, Current Price: 144.51
SELL EXECUTED at 144.51
SELL ORDER COMPLETED at 144.08
OPERATION PROFIT, GROSS 0.8700000000000045, NET 0.5827100000000045
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.510
Date: Wed, 09 Oct 2024 AIC 55.019
Time: 14:41:13 BIC 57.844
Sample: 0 HQIC 54.439
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5304 0.408 -1.301 0.193 -1.329 0.269
ma.L1 1.3724 1.011 1.358 0.174 -0.608 3.353
ar.S.L7 -0.2999 0.516 -0.582 0.561 -1.310 0.711
ma.S.L7 -1.0003 3738.720 -0.000 1.000 -7328.757 7326.756
sigma2 0.5724 2140.227 0.000 1.000 -4194.196 4195.341
===================================================================================
Ljung-Box (L1) (Q): 0.91 Jarque-Bera (JB): 0.30
Prob(Q): 0.34 Prob(JB): 0.86
Heteroskedasticity (H): 1.19 Skew: -0.13
Prob(H) (two-sided): 0.87 Kurtosis: 2.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 143.44305661640382, Current Price: 141.83
BUY EXECUTED at 141.83
BUY ORDER COMPLETED at 142.19
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.704
Date: Wed, 09 Oct 2024 AIC 49.407
Time: 14:41:14 BIC 52.232
Sample: 0 HQIC 48.826
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0414 1.647 0.025 0.980 -3.186 3.269
ma.L1 -0.4036 1.018 -0.397 0.692 -2.398 1.591
ar.S.L7 -0.4625 0.436 -1.062 0.288 -1.316 0.391
ma.S.L7 -1.0001 6464.239 -0.000 1.000 -1.27e+04 1.27e+04
sigma2 0.7304 4721.843 0.000 1.000 -9253.912 9255.373
===================================================================================
Ljung-Box (L1) (Q): 0.38 Jarque-Bera (JB): 0.58
Prob(Q): 0.54 Prob(JB): 0.75
Heteroskedasticity (H): 3.02 Skew: 0.48
Prob(H) (two-sided): 0.31 Kurtosis: 3.40
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 142.07416445667562, Current Price: 141.79
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.549
Date: Wed, 09 Oct 2024 AIC 53.097
Time: 14:41:14 BIC 55.922
Sample: 0 HQIC 52.517
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1832 1.514 0.121 0.904 -2.784 3.151
ma.L1 -0.6453 1.589 -0.406 0.685 -3.760 2.470
ar.S.L7 -0.5978 0.313 -1.912 0.056 -1.211 0.015
ma.S.L7 -1.0003 2063.962 -0.000 1.000 -4046.292 4044.291
sigma2 0.9632 1988.137 0.000 1.000 -3895.713 3897.639
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.78
Prob(Q): 0.79 Prob(JB): 0.68
Heteroskedasticity (H): 0.07 Skew: -0.38
Prob(H) (two-sided): 0.02 Kurtosis: 3.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 141.06377651831482, Current Price: 141.06
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.059
Date: Wed, 09 Oct 2024 AIC 52.117
Time: 14:41:14 BIC 54.942
Sample: 0 HQIC 51.537
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2223 1.417 0.157 0.875 -2.555 2.999
ma.L1 -0.6978 1.489 -0.469 0.639 -3.616 2.221
ar.S.L7 -0.6569 0.341 -1.928 0.054 -1.325 0.011
ma.S.L7 -1.0013 543.756 -0.002 0.999 -1066.744 1064.741
sigma2 0.8877 482.813 0.002 0.999 -945.408 947.184
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 4.41
Prob(Q): 0.89 Prob(JB): 0.11
Heteroskedasticity (H): 0.08 Skew: -0.75
Prob(H) (two-sided): 0.03 Kurtosis: 5.43
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 139.74546202457503, Current Price: 138.87
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.112
Date: Wed, 09 Oct 2024 AIC 52.225
Time: 14:41:14 BIC 55.050
Sample: 0 HQIC 51.644
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3289 0.784 0.419 0.675 -1.209 1.866
ma.L1 -0.9382 2.005 -0.468 0.640 -4.867 2.991
ar.S.L7 -0.7160 0.320 -2.238 0.025 -1.343 -0.089
ma.S.L7 -1.4619 3.056 -0.478 0.632 -7.452 4.529
sigma2 0.5091 1.643 0.310 0.757 -2.711 3.729
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 2.69
Prob(Q): 0.81 Prob(JB): 0.26
Heteroskedasticity (H): 0.20 Skew: -0.65
Prob(H) (two-sided): 0.15 Kurtosis: 4.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 138.80439928139447, Current Price: 139.63
SELL EXECUTED at 139.63
SELL ORDER COMPLETED at 140.79
OPERATION PROFIT, GROSS -1.4000000000000057, NET -1.6829800000000057
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.614
Date: Wed, 09 Oct 2024 AIC 55.229
Time: 14:41:14 BIC 58.054
Sample: 0 HQIC 54.648
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8160 0.289 -2.826 0.005 -1.382 -0.250
ma.L1 1.0000 1.08e+04 9.28e-05 1.000 -2.11e+04 2.11e+04
ar.S.L7 -0.8131 0.311 -2.611 0.009 -1.423 -0.203
ma.S.L7 -0.0076 0.526 -0.014 0.989 -1.039 1.024
sigma2 1.6271 1.75e+04 9.28e-05 1.000 -3.44e+04 3.44e+04
===================================================================================
Ljung-Box (L1) (Q): 0.61 Jarque-Bera (JB): 1.92
Prob(Q): 0.43 Prob(JB): 0.38
Heteroskedasticity (H): 0.16 Skew: -0.83
Prob(H) (two-sided): 0.11 Kurtosis: 3.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 140.0489025516909, Current Price: 141.26
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.125
Date: Wed, 09 Oct 2024 AIC 44.250
Time: 14:41:14 BIC 47.075
Sample: 0 HQIC 43.670
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7404 0.125 -5.913 0.000 -0.986 -0.495
ma.L1 1.0000 3.63e+04 2.75e-05 1.000 -7.11e+04 7.11e+04
ar.S.L7 -0.7372 0.210 -3.511 0.000 -1.149 -0.326
ma.S.L7 -0.5957 0.820 -0.726 0.468 -2.203 1.012
sigma2 0.6086 2.21e+04 2.75e-05 1.000 -4.33e+04 4.33e+04
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.34
Prob(Q): 0.77 Prob(JB): 0.84
Heteroskedasticity (H): 0.18 Skew: 0.12
Prob(H) (two-sided): 0.13 Kurtosis: 2.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 141.101183281796, Current Price: 141.9
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.926
Date: Wed, 09 Oct 2024 AIC 37.852
Time: 14:41:14 BIC 40.677
Sample: 0 HQIC 37.272
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3053 0.389 -0.785 0.433 -1.068 0.457
ma.L1 2.0156 1.616 1.247 0.212 -1.152 5.183
ar.S.L7 -0.4080 0.263 -1.550 0.121 -0.924 0.108
ma.S.L7 -1.0000 4.7e+04 -2.13e-05 1.000 -9.21e+04 9.21e+04
sigma2 0.0741 3482.226 2.13e-05 1.000 -6824.964 6825.112
===================================================================================
Ljung-Box (L1) (Q): 0.31 Jarque-Bera (JB): 0.30
Prob(Q): 0.58 Prob(JB): 0.86
Heteroskedasticity (H): 0.62 Skew: 0.17
Prob(H) (two-sided): 0.65 Kurtosis: 2.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 141.0513170474167, Current Price: 141.9
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.302
Date: Wed, 09 Oct 2024 AIC 42.604
Time: 14:41:14 BIC 45.429
Sample: 0 HQIC 42.023
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3076 1.137 -0.271 0.787 -2.536 1.921
ma.L1 0.5043 1.088 0.464 0.643 -1.628 2.636
ar.S.L7 -0.6077 0.371 -1.637 0.102 -1.335 0.120
ma.S.L7 -0.6923 1.703 -0.407 0.684 -4.029 2.645
sigma2 0.5697 0.740 0.770 0.441 -0.880 2.019
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 0.86
Prob(Q): 0.69 Prob(JB): 0.65
Heteroskedasticity (H): 0.69 Skew: -0.10
Prob(H) (two-sided): 0.73 Kurtosis: 1.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 141.69754965783218, Current Price: 140.69
BUY EXECUTED at 140.69
BUY ORDER COMPLETED at 142.03
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.139
Date: Wed, 09 Oct 2024 AIC 44.279
Time: 14:41:14 BIC 47.103
Sample: 0 HQIC 43.698
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3287 1.020 -0.322 0.747 -2.327 1.670
ma.L1 0.5994 0.961 0.624 0.533 -1.284 2.483
ar.S.L7 -0.7069 0.226 -3.129 0.002 -1.150 -0.264
ma.S.L7 -1.0001 5666.514 -0.000 1.000 -1.11e+04 1.11e+04
sigma2 0.4934 2795.836 0.000 1.000 -5479.244 5480.230
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 1.42
Prob(Q): 0.75 Prob(JB): 0.49
Heteroskedasticity (H): 0.77 Skew: 0.08
Prob(H) (two-sided): 0.81 Kurtosis: 1.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 139.9328790270726, Current Price: 141.92
SELL EXECUTED at 141.92
SELL ORDER COMPLETED at 142.16
OPERATION PROFIT, GROSS 0.12999999999999545, NET -0.1541900000000046
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.629
Date: Wed, 09 Oct 2024 AIC 45.258
Time: 14:41:14 BIC 48.083
Sample: 0 HQIC 44.678
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6103 0.438 1.392 0.164 -0.249 1.470
ma.L1 -1.0000 9846.654 -0.000 1.000 -1.93e+04 1.93e+04
ar.S.L7 -0.6838 0.296 -2.314 0.021 -1.263 -0.105
ma.S.L7 -1.0000 1.86e+04 -5.38e-05 1.000 -3.64e+04 3.64e+04
sigma2 0.4271 9195.728 4.64e-05 1.000 -1.8e+04 1.8e+04
===================================================================================
Ljung-Box (L1) (Q): 0.29 Jarque-Bera (JB): 0.90
Prob(Q): 0.59 Prob(JB): 0.64
Heteroskedasticity (H): 2.58 Skew: 0.28
Prob(H) (two-sided): 0.38 Kurtosis: 1.84
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 141.9383281101059, Current Price: 142.05
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.378
Date: Wed, 09 Oct 2024 AIC 44.756
Time: 14:41:14 BIC 47.580
Sample: 0 HQIC 44.175
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8605 0.296 -2.911 0.004 -1.440 -0.281
ma.L1 1.0000 7954.760 0.000 1.000 -1.56e+04 1.56e+04
ar.S.L7 -0.7283 0.341 -2.135 0.033 -1.397 -0.060
ma.S.L7 -0.8196 4.366 -0.188 0.851 -9.376 7.737
sigma2 0.5352 4256.360 0.000 1.000 -8341.777 8342.847
===================================================================================
Ljung-Box (L1) (Q): 1.12 Jarque-Bera (JB): 1.33
Prob(Q): 0.29 Prob(JB): 0.51
Heteroskedasticity (H): 6.62 Skew: 0.78
Prob(H) (two-sided): 0.09 Kurtosis: 2.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 143.04639192034642, Current Price: 140.81
BUY EXECUTED at 140.81
BUY ORDER COMPLETED at 139.97
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.149
Date: Wed, 09 Oct 2024 AIC 48.298
Time: 14:41:14 BIC 51.122
Sample: 0 HQIC 47.717
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3769 0.123 -3.053 0.002 -0.619 -0.135
ma.L1 1.0000 1.56e+04 6.4e-05 1.000 -3.06e+04 3.06e+04
ar.S.L7 -0.9728 0.238 -4.081 0.000 -1.440 -0.506
ma.S.L7 -1.0000 5.49e+05 -1.82e-06 1.000 -1.08e+06 1.08e+06
sigma2 0.6232 3.39e+05 1.84e-06 1.000 -6.64e+05 6.64e+05
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 0.76
Prob(Q): 0.68 Prob(JB): 0.68
Heteroskedasticity (H): 3.53 Skew: -0.23
Prob(H) (two-sided): 0.25 Kurtosis: 1.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 140.66415193559766, Current Price: 140.03
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.617
Date: Wed, 09 Oct 2024 AIC 49.235
Time: 14:41:14 BIC 52.059
Sample: 0 HQIC 48.654
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1823 0.700 -0.261 0.794 -1.553 1.189
ma.L1 1.0000 4665.502 0.000 1.000 -9143.216 9145.216
ar.S.L7 -1.0045 0.149 -6.750 0.000 -1.296 -0.713
ma.S.L7 -0.6462 1.591 -0.406 0.685 -3.765 2.472
sigma2 0.9166 4276.458 0.000 1.000 -8380.788 8382.621
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.50
Prob(Q): 0.87 Prob(JB): 0.78
Heteroskedasticity (H): 7.34 Skew: -0.22
Prob(H) (two-sided): 0.08 Kurtosis: 2.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 139.57728627842297, Current Price: 140.59
SELL EXECUTED at 140.59
SELL ORDER COMPLETED at 140.27
OPERATION PROFIT, GROSS 0.30000000000001137, NET 0.019760000000011324
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.591
Date: Wed, 09 Oct 2024 AIC 49.181
Time: 14:41:14 BIC 52.006
Sample: 0 HQIC 48.601
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1547 0.666 -0.232 0.816 -1.459 1.150
ma.L1 1.0000 8375.162 0.000 1.000 -1.64e+04 1.64e+04
ar.S.L7 -1.0289 0.171 -6.017 0.000 -1.364 -0.694
ma.S.L7 -0.4405 0.964 -0.457 0.648 -2.331 1.450
sigma2 1.0079 8441.794 0.000 1.000 -1.65e+04 1.65e+04
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 0.74
Prob(Q): 0.71 Prob(JB): 0.69
Heteroskedasticity (H): 8.26 Skew: -0.39
Prob(H) (two-sided): 0.06 Kurtosis: 2.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 138.86917222751282, Current Price: 139.61
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.529
Date: Wed, 09 Oct 2024 AIC 49.058
Time: 14:41:14 BIC 51.883
Sample: 0 HQIC 48.478
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2199 0.587 -0.375 0.708 -1.370 0.930
ma.L1 1.0000 1.37e+04 7.28e-05 1.000 -2.69e+04 2.69e+04
ar.S.L7 -0.9448 0.154 -6.141 0.000 -1.246 -0.643
ma.S.L7 -0.6102 1.600 -0.381 0.703 -3.746 2.526
sigma2 0.9262 1.27e+04 7.28e-05 1.000 -2.49e+04 2.49e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.32
Prob(Q): 0.84 Prob(JB): 0.85
Heteroskedasticity (H): 1.84 Skew: -0.10
Prob(H) (two-sided): 0.57 Kurtosis: 2.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 140.19698375549433, Current Price: 140.41
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.268
Date: Wed, 09 Oct 2024 AIC 48.535
Time: 14:41:14 BIC 51.360
Sample: 0 HQIC 47.955
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1540 0.644 -0.239 0.811 -1.417 1.109
ma.L1 1.0000 1.06e+05 9.43e-06 1.000 -2.08e+05 2.08e+05
ar.S.L7 -1.0065 0.145 -6.921 0.000 -1.292 -0.721
ma.S.L7 -1.0000 2.47e+04 -4.04e-05 1.000 -4.85e+04 4.85e+04
sigma2 0.6441 7.98e+04 8.07e-06 1.000 -1.56e+05 1.56e+05
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.78
Prob(Q): 0.78 Prob(JB): 0.68
Heteroskedasticity (H): 0.59 Skew: -0.55
Prob(H) (two-sided): 0.62 Kurtosis: 2.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 138.36626817242015, Current Price: 140.61
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.720
Date: Wed, 09 Oct 2024 AIC 49.440
Time: 14:41:14 BIC 52.264
Sample: 0 HQIC 48.859
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2590 0.563 -0.460 0.646 -1.363 0.845
ma.L1 1.0000 3702.653 0.000 1.000 -7256.067 7258.067
ar.S.L7 -0.8175 0.205 -3.995 0.000 -1.219 -0.416
ma.S.L7 -0.0902 0.849 -0.106 0.915 -1.754 1.573
sigma2 1.0887 4030.920 0.000 1.000 -7899.370 7901.547
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.29
Prob(Q): 0.88 Prob(JB): 0.86
Heteroskedasticity (H): 0.49 Skew: 0.11
Prob(H) (two-sided): 0.51 Kurtosis: 2.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 139.00437866549123, Current Price: 140.46
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.105
Date: Wed, 09 Oct 2024 AIC 50.210
Time: 14:41:14 BIC 53.035
Sample: 0 HQIC 49.629
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1147 1.158 -0.099 0.921 -2.385 2.156
ma.L1 0.6265 0.680 0.922 0.357 -0.706 1.959
ar.S.L7 -0.6041 0.426 -1.419 0.156 -1.438 0.230
ma.S.L7 -1.0029 303.467 -0.003 0.997 -595.786 593.781
sigma2 0.7760 235.809 0.003 0.997 -461.400 462.952
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.15
Prob(Q): 0.85 Prob(JB): 0.93
Heteroskedasticity (H): 0.77 Skew: -0.25
Prob(H) (two-sided): 0.80 Kurtosis: 2.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 142.4881633421333, Current Price: 139.79
BUY EXECUTED at 139.79
BUY ORDER COMPLETED at 140.13
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.224
Date: Wed, 09 Oct 2024 AIC 52.449
Time: 14:41:14 BIC 55.273
Sample: 0 HQIC 51.868
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2635 1.113 -0.237 0.813 -2.445 1.918
ma.L1 0.5493 0.808 0.680 0.497 -1.035 2.134
ar.S.L7 -0.5982 0.475 -1.259 0.208 -1.529 0.333
ma.S.L7 -0.0218 0.812 -0.027 0.979 -1.614 1.570
sigma2 1.5318 0.880 1.740 0.082 -0.193 3.257
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 0.11
Prob(Q): 0.72 Prob(JB): 0.95
Heteroskedasticity (H): 0.46 Skew: 0.01
Prob(H) (two-sided): 0.47 Kurtosis: 2.55
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 140.0893950548406, Current Price: 140.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.764
Date: Wed, 09 Oct 2024 AIC 51.529
Time: 14:41:14 BIC 54.354
Sample: 0 HQIC 50.948
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5754 0.659 -0.873 0.383 -1.868 0.717
ma.L1 0.8176 1.465 0.558 0.577 -2.053 3.688
ar.S.L7 -0.5837 0.516 -1.131 0.258 -1.595 0.428
ma.S.L7 0.0094 0.993 0.009 0.992 -1.936 1.955
sigma2 1.3645 1.445 0.944 0.345 -1.468 4.197
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.24
Prob(Q): 0.93 Prob(JB): 0.88
Heteroskedasticity (H): 0.45 Skew: -0.17
Prob(H) (two-sided): 0.46 Kurtosis: 2.42
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 141.13769555869604, Current Price: 140.53
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.993
Date: Wed, 09 Oct 2024 AIC 51.987
Time: 14:41:14 BIC 54.811
Sample: 0 HQIC 51.406
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4470 0.480 -0.931 0.352 -1.388 0.494
ma.L1 1.6488 1.728 0.954 0.340 -1.739 5.036
ar.S.L7 -0.2392 0.375 -0.638 0.523 -0.974 0.495
ma.S.L7 -1.0005 1795.906 -0.001 1.000 -3520.912 3518.911
sigma2 0.3258 585.229 0.001 1.000 -1146.703 1147.354
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.62
Prob(Q): 0.91 Prob(JB): 0.73
Heteroskedasticity (H): 0.29 Skew: -0.10
Prob(H) (two-sided): 0.25 Kurtosis: 1.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 139.38238455728484, Current Price: 141.53
SELL EXECUTED at 141.53
SELL ORDER COMPLETED at 142.79
OPERATION PROFIT, GROSS 2.6599999999999966, NET 2.3770799999999968
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.379
Date: Wed, 09 Oct 2024 AIC 50.759
Time: 14:41:14 BIC 53.584
Sample: 0 HQIC 50.178
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6276 0.391 -1.603 0.109 -1.395 0.140
ma.L1 1.0000 2.41e+04 4.15e-05 1.000 -4.72e+04 4.72e+04
ar.S.L7 -0.6454 0.210 -3.078 0.002 -1.056 -0.234
ma.S.L7 1.0002 4056.926 0.000 1.000 -7950.429 7952.429
sigma2 0.6520 1.75e+04 3.74e-05 1.000 -3.42e+04 3.42e+04
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 1.54
Prob(Q): 0.64 Prob(JB): 0.46
Heteroskedasticity (H): 0.16 Skew: -0.84
Prob(H) (two-sided): 0.10 Kurtosis: 2.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 142.35994610159224, Current Price: 141.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.298
Date: Wed, 09 Oct 2024 AIC 48.597
Time: 14:41:14 BIC 51.421
Sample: 0 HQIC 48.016
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6544 0.516 1.269 0.204 -0.356 1.665
ma.L1 -0.8094 0.923 -0.877 0.380 -2.618 0.999
ar.S.L7 -0.7333 0.221 -3.324 0.001 -1.166 -0.301
ma.S.L7 1.0001 8885.145 0.000 1.000 -1.74e+04 1.74e+04
sigma2 0.6542 5812.364 0.000 1.000 -1.14e+04 1.14e+04
===================================================================================
Ljung-Box (L1) (Q): 1.01 Jarque-Bera (JB): 1.57
Prob(Q): 0.31 Prob(JB): 0.46
Heteroskedasticity (H): 0.14 Skew: -0.85
Prob(H) (two-sided): 0.08 Kurtosis: 2.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 142.02261825847938, Current Price: 140.64
BUY EXECUTED at 140.64
BUY ORDER COMPLETED at 140.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.015
Date: Wed, 09 Oct 2024 AIC 46.030
Time: 14:41:15 BIC 48.855
Sample: 0 HQIC 45.449
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4088 0.549 0.745 0.456 -0.667 1.484
ma.L1 -1.0000 1.05e+04 -9.48e-05 1.000 -2.07e+04 2.07e+04
ar.S.L7 -0.0019 0.003 -0.754 0.451 -0.007 0.003
ma.S.L7 -1.0002 3209.497 -0.000 1.000 -6291.498 6289.498
sigma2 0.5183 5918.953 8.76e-05 1.000 -1.16e+04 1.16e+04
===================================================================================
Ljung-Box (L1) (Q): 2.14 Jarque-Bera (JB): 0.29
Prob(Q): 0.14 Prob(JB): 0.87
Heteroskedasticity (H): 0.62 Skew: 0.17
Prob(H) (two-sided): 0.65 Kurtosis: 2.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 140.02784631888503, Current Price: 140.25
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.369
Date: Wed, 09 Oct 2024 AIC 42.739
Time: 14:41:15 BIC 45.564
Sample: 0 HQIC 42.158
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1073 1.058 0.101 0.919 -1.966 2.181
ma.L1 0.3910 0.869 0.450 0.653 -1.313 2.095
ar.S.L7 -0.6015 0.139 -4.337 0.000 -0.873 -0.330
ma.S.L7 1.2737 10.231 0.125 0.901 -18.778 21.325
sigma2 0.3294 3.334 0.099 0.921 -6.205 6.864
===================================================================================
Ljung-Box (L1) (Q): 0.29 Jarque-Bera (JB): 0.63
Prob(Q): 0.59 Prob(JB): 0.73
Heteroskedasticity (H): 4.17 Skew: -0.54
Prob(H) (two-sided): 0.20 Kurtosis: 2.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 139.50087909776465, Current Price: 141.02
SELL EXECUTED at 141.02
SELL ORDER COMPLETED at 141.98
OPERATION PROFIT, GROSS 1.9799999999999898, NET 1.6980199999999899
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.987
Date: Wed, 09 Oct 2024 AIC 43.973
Time: 14:41:15 BIC 46.798
Sample: 0 HQIC 43.393
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4126 0.100 4.146 0.000 0.218 0.608
ma.L1 -0.7828 0.230 -3.410 0.001 -1.233 -0.333
ar.S.L7 -0.3469 0.374 -0.928 0.353 -1.079 0.386
ma.S.L7 -0.0699 0.755 -0.092 0.926 -1.550 1.410
sigma2 0.7852 0.471 1.667 0.096 -0.138 1.708
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.71
Prob(Q): 0.75 Prob(JB): 0.70
Heteroskedasticity (H): 1.90 Skew: 0.12
Prob(H) (two-sided): 0.55 Kurtosis: 1.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 140.59519018639693, Current Price: 142.43
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.446
Date: Wed, 09 Oct 2024 AIC 46.893
Time: 14:41:15 BIC 49.718
Sample: 0 HQIC 46.312
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3644 0.837 0.435 0.663 -1.276 2.005
ma.L1 -0.6666 0.755 -0.883 0.377 -2.146 0.812
ar.S.L7 -0.2925 0.415 -0.704 0.481 -1.106 0.521
ma.S.L7 0.0566 0.843 0.067 0.946 -1.595 1.708
sigma2 0.9986 0.564 1.771 0.077 -0.106 2.104
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.52
Prob(Q): 0.88 Prob(JB): 0.77
Heteroskedasticity (H): 2.68 Skew: -0.13
Prob(H) (two-sided): 0.36 Kurtosis: 2.05
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 142.2129986781322, Current Price: 142.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.373
Date: Wed, 09 Oct 2024 AIC 46.747
Time: 14:41:15 BIC 49.571
Sample: 0 HQIC 46.166
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3753 1.305 0.288 0.774 -2.182 2.932
ma.L1 -0.6336 1.177 -0.538 0.590 -2.940 1.673
ar.S.L7 -0.2287 0.421 -0.544 0.587 -1.053 0.596
ma.S.L7 0.3778 1.638 0.231 0.818 -2.833 3.588
sigma2 0.9312 0.794 1.172 0.241 -0.626 2.488
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.25
Prob(Q): 0.96 Prob(JB): 0.88
Heteroskedasticity (H): 1.46 Skew: -0.01
Prob(H) (two-sided): 0.72 Kurtosis: 2.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 143.58757714753668, Current Price: 142.15
BUY EXECUTED at 142.15
BUY ORDER COMPLETED at 140.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.388
Date: Wed, 09 Oct 2024 AIC 44.777
Time: 14:41:15 BIC 47.602
Sample: 0 HQIC 44.196
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5526 0.718 0.769 0.442 -0.855 1.960
ma.L1 -0.7839 0.840 -0.933 0.351 -2.431 0.863
ar.S.L7 -0.2963 0.495 -0.598 0.550 -1.267 0.674
ma.S.L7 -0.0610 0.932 -0.065 0.948 -1.887 1.765
sigma2 0.8177 0.417 1.959 0.050 -0.000 1.636
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 0.21
Prob(Q): 0.67 Prob(JB): 0.90
Heteroskedasticity (H): 9.18 Skew: 0.10
Prob(H) (two-sided): 0.05 Kurtosis: 2.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 142.52184944005947, Current Price: 139.85
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.823
Date: Wed, 09 Oct 2024 AIC 47.645
Time: 14:41:15 BIC 50.470
Sample: 0 HQIC 47.065
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2840 1.284 0.221 0.825 -2.232 2.800
ma.L1 0.3069 1.044 0.294 0.769 -1.739 2.353
ar.S.L7 -0.1846 0.172 -1.073 0.283 -0.522 0.153
ma.S.L7 1.0000 2.48e+04 4.04e-05 1.000 -4.86e+04 4.86e+04
sigma2 0.6381 1.58e+04 4.04e-05 1.000 -3.1e+04 3.1e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.50
Prob(Q): 0.84 Prob(JB): 0.78
Heteroskedasticity (H): 2.98 Skew: 0.09
Prob(H) (two-sided): 0.31 Kurtosis: 2.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 137.09570733868767, Current Price: 140.45
SELL EXECUTED at 140.45
SELL ORDER COMPLETED at 140.11
OPERATION PROFIT, GROSS -0.539999999999992, NET -0.820759999999992
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.089
Date: Wed, 09 Oct 2024 AIC 50.178
Time: 14:41:15 BIC 53.003
Sample: 0 HQIC 49.598
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3989 0.657 0.607 0.544 -0.888 1.686
ma.L1 -1.0000 4415.901 -0.000 1.000 -8656.006 8654.006
ar.S.L7 -0.5025 0.499 -1.008 0.314 -1.480 0.475
ma.S.L7 -0.2986 1.806 -0.165 0.869 -3.839 3.241
sigma2 1.0785 4762.795 0.000 1.000 -9333.829 9335.986
===================================================================================
Ljung-Box (L1) (Q): 0.42 Jarque-Bera (JB): 0.40
Prob(Q): 0.51 Prob(JB): 0.82
Heteroskedasticity (H): 3.05 Skew: -0.34
Prob(H) (two-sided): 0.31 Kurtosis: 2.49
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 140.5782932808846, Current Price: 138.27
BUY EXECUTED at 138.27
BUY ORDER COMPLETED at 137.73
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.050
Date: Wed, 09 Oct 2024 AIC 54.101
Time: 14:41:15 BIC 56.925
Sample: 0 HQIC 53.520
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1485 8.308 0.018 0.986 -16.134 16.431
ma.L1 -0.1076 8.364 -0.013 0.990 -16.501 16.286
ar.S.L7 -0.5835 0.686 -0.851 0.395 -1.928 0.761
ma.S.L7 -1.0004 6090.077 -0.000 1.000 -1.19e+04 1.19e+04
sigma2 1.0481 6383.865 0.000 1.000 -1.25e+04 1.25e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.88
Prob(Q): 0.84 Prob(JB): 0.64
Heteroskedasticity (H): 5.53 Skew: -0.52
Prob(H) (two-sided): 0.13 Kurtosis: 2.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 137.1405247336521, Current Price: 137.39
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.253
Date: Wed, 09 Oct 2024 AIC 54.506
Time: 14:41:15 BIC 57.330
Sample: 0 HQIC 53.925
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4836 0.732 0.661 0.509 -0.951 1.918
ma.L1 -0.5302 0.898 -0.591 0.555 -2.290 1.230
ar.S.L7 -0.3743 0.780 -0.480 0.631 -1.903 1.154
ma.S.L7 -0.6094 2.540 -0.240 0.810 -5.588 4.369
sigma2 1.4790 2.142 0.691 0.490 -2.718 5.677
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.56
Prob(Q): 1.00 Prob(JB): 0.76
Heteroskedasticity (H): 2.53 Skew: -0.39
Prob(H) (two-sided): 0.39 Kurtosis: 2.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 137.68289670342622, Current Price: 137.06
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.205
Date: Wed, 09 Oct 2024 AIC 54.410
Time: 14:41:15 BIC 57.235
Sample: 0 HQIC 53.830
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2717 18.817 0.014 0.988 -36.608 37.152
ma.L1 -3.5005 227.510 -0.015 0.988 -449.411 442.410
ar.S.L7 -0.4094 0.651 -0.629 0.530 -1.686 0.867
ma.S.L7 -0.9978 548.561 -0.002 0.999 -1076.158 1074.163
sigma2 0.0878 49.679 0.002 0.999 -97.281 97.457
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.58
Prob(Q): 0.95 Prob(JB): 0.75
Heteroskedasticity (H): 0.99 Skew: -0.41
Prob(H) (two-sided): 0.99 Kurtosis: 2.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 137.56239273068724, Current Price: 137.43
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.317
Date: Wed, 09 Oct 2024 AIC 52.633
Time: 14:41:15 BIC 55.458
Sample: 0 HQIC 52.053
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2716 19.534 0.014 0.989 -38.014 38.557
ma.L1 -3.8467 290.612 -0.013 0.989 -573.436 565.742
ar.S.L7 -0.2966 0.518 -0.573 0.567 -1.311 0.718
ma.S.L7 -1.0010 1332.143 -0.001 0.999 -2611.953 2609.951
sigma2 0.0632 86.934 0.001 0.999 -170.325 170.451
===================================================================================
Ljung-Box (L1) (Q): 0.39 Jarque-Bera (JB): 0.51
Prob(Q): 0.53 Prob(JB): 0.77
Heteroskedasticity (H): 1.12 Skew: -0.45
Prob(H) (two-sided): 0.91 Kurtosis: 2.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 137.4198849885374, Current Price: 137.98
SELL EXECUTED at 137.98
SELL ORDER COMPLETED at 138.39
OPERATION PROFIT, GROSS 0.6599999999999966, NET 0.3838799999999966
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.391
Date: Wed, 09 Oct 2024 AIC 52.782
Time: 14:41:15 BIC 55.607
Sample: 0 HQIC 52.201
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2490 53.116 0.005 0.996 -103.856 104.354
ma.L1 -3.9447 823.792 -0.005 0.996 -1618.548 1610.659
ar.S.L7 -0.3359 0.529 -0.635 0.525 -1.372 0.700
ma.S.L7 -0.9986 1051.548 -0.001 0.999 -2061.994 2059.997
sigma2 0.0609 75.801 0.001 0.999 -148.506 148.627
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.70
Prob(Q): 0.82 Prob(JB): 0.71
Heteroskedasticity (H): 0.16 Skew: -0.52
Prob(H) (two-sided): 0.11 Kurtosis: 2.55
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 138.35136393016327, Current Price: 138.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.714
Date: Wed, 09 Oct 2024 AIC 49.427
Time: 14:41:15 BIC 52.252
Sample: 0 HQIC 48.847
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5504 0.920 0.599 0.549 -1.252 2.353
ma.L1 -0.4945 1.371 -0.361 0.718 -3.182 2.193
ar.S.L7 -0.4911 0.760 -0.646 0.518 -1.980 0.998
ma.S.L7 -1.0001 1.66e+04 -6.04e-05 1.000 -3.25e+04 3.25e+04
sigma2 0.7061 1.17e+04 6.04e-05 1.000 -2.29e+04 2.29e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.62
Prob(Q): 0.89 Prob(JB): 0.73
Heteroskedasticity (H): 0.05 Skew: -0.54
Prob(H) (two-sided): 0.01 Kurtosis: 3.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 137.9536435745458, Current Price: 138.21
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.032
Date: Wed, 09 Oct 2024 AIC 50.064
Time: 14:41:15 BIC 52.889
Sample: 0 HQIC 49.484
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2381 25.593 0.009 0.993 -49.924 50.400
ma.L1 -4.3915 498.680 -0.009 0.993 -981.787 973.004
ar.S.L7 -0.4132 0.752 -0.550 0.583 -1.887 1.060
ma.S.L7 -1.0007 1211.854 -0.001 0.999 -2376.190 2374.189
sigma2 0.0398 53.405 0.001 0.999 -104.632 104.711
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.94
Prob(Q): 0.75 Prob(JB): 0.63
Heteroskedasticity (H): 0.04 Skew: -0.66
Prob(H) (two-sided): 0.01 Kurtosis: 3.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 138.1486024758853, Current Price: 138.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.270
Date: Wed, 09 Oct 2024 AIC 48.541
Time: 14:41:15 BIC 51.365
Sample: 0 HQIC 47.960
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4820 0.692 -0.696 0.486 -1.839 0.875
ma.L1 2.8264 12.014 0.235 0.814 -20.721 26.374
ar.S.L7 -0.5641 0.575 -0.981 0.327 -1.691 0.563
ma.S.L7 -1.0000 2.12e+04 -4.71e-05 1.000 -4.16e+04 4.16e+04
sigma2 0.0830 1762.446 4.71e-05 1.000 -3454.249 3454.415
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 1.31
Prob(Q): 0.71 Prob(JB): 0.52
Heteroskedasticity (H): 0.08 Skew: -0.65
Prob(H) (two-sided): 0.03 Kurtosis: 3.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 138.7671627655652, Current Price: 138.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.543
Date: Wed, 09 Oct 2024 AIC 43.087
Time: 14:41:15 BIC 45.911
Sample: 0 HQIC 42.506
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9488 0.246 -3.861 0.000 -1.431 -0.467
ma.L1 1.0000 7361.188 0.000 1.000 -1.44e+04 1.44e+04
ar.S.L7 -0.6330 0.649 -0.976 0.329 -1.904 0.638
ma.S.L7 -1.0000 4.18e+04 -2.39e-05 1.000 -8.19e+04 8.19e+04
sigma2 0.3970 1.9e+04 2.09e-05 1.000 -3.72e+04 3.72e+04
===================================================================================
Ljung-Box (L1) (Q): 0.62 Jarque-Bera (JB): 7.32
Prob(Q): 0.43 Prob(JB): 0.03
Heteroskedasticity (H): 0.17 Skew: -1.54
Prob(H) (two-sided): 0.12 Kurtosis: 5.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 139.88980179124135, Current Price: 138.76
BUY EXECUTED at 138.76
BUY ORDER COMPLETED at 138.39
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.906
Date: Wed, 09 Oct 2024 AIC 43.812
Time: 14:41:15 BIC 46.637
Sample: 0 HQIC 43.231
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8638 0.105 -8.253 0.000 -1.069 -0.659
ma.L1 1.0000 7810.922 0.000 1.000 -1.53e+04 1.53e+04
ar.S.L7 -0.7233 0.395 -1.830 0.067 -1.498 0.051
ma.S.L7 -0.7085 2.741 -0.258 0.796 -6.081 4.664
sigma2 0.5448 4255.344 0.000 1.000 -8339.776 8340.866
===================================================================================
Ljung-Box (L1) (Q): 0.59 Jarque-Bera (JB): 0.36
Prob(Q): 0.44 Prob(JB): 0.83
Heteroskedasticity (H): 0.50 Skew: -0.27
Prob(H) (two-sided): 0.52 Kurtosis: 2.38
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 138.70129576595522, Current Price: 138.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.573
Date: Wed, 09 Oct 2024 AIC 45.146
Time: 14:41:15 BIC 47.970
Sample: 0 HQIC 44.565
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8512 0.155 -5.502 0.000 -1.154 -0.548
ma.L1 1.0000 1.52e+04 6.58e-05 1.000 -2.98e+04 2.98e+04
ar.S.L7 -0.7112 0.484 -1.470 0.142 -1.660 0.237
ma.S.L7 -1.0001 9473.977 -0.000 1.000 -1.86e+04 1.86e+04
sigma2 0.4651 1.03e+04 4.52e-05 1.000 -2.02e+04 2.02e+04
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.44
Prob(Q): 0.76 Prob(JB): 0.80
Heteroskedasticity (H): 0.40 Skew: -0.41
Prob(H) (two-sided): 0.40 Kurtosis: 2.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 138.13405552216116, Current Price: 137.74
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.376
Date: Wed, 09 Oct 2024 AIC 40.753
Time: 14:41:15 BIC 43.578
Sample: 0 HQIC 40.172
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7544 0.186 4.049 0.000 0.389 1.120
ma.L1 -1.0000 2103.279 -0.000 1.000 -4123.351 4121.352
ar.S.L7 -0.9066 0.361 -2.515 0.012 -1.613 -0.200
ma.S.L7 -0.1236 0.597 -0.207 0.836 -1.293 1.046
sigma2 0.5252 1104.540 0.000 1.000 -2164.333 2165.383
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 0.48
Prob(Q): 0.70 Prob(JB): 0.79
Heteroskedasticity (H): 0.58 Skew: -0.14
Prob(H) (two-sided): 0.61 Kurtosis: 2.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 135.81020282321262, Current Price: 137.08
SELL EXECUTED at 137.08
SELL ORDER COMPLETED at 136.98
OPERATION PROFIT, GROSS -1.4099999999999966, NET -1.6853699999999967
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.886
Date: Wed, 09 Oct 2024 AIC 37.771
Time: 14:41:15 BIC 40.596
Sample: 0 HQIC 37.190
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6334 0.109 -5.812 0.000 -0.847 -0.420
ma.L1 1.0000 1.08e+04 9.25e-05 1.000 -2.12e+04 2.12e+04
ar.S.L7 -0.8318 0.203 -4.094 0.000 -1.230 -0.434
ma.S.L7 -0.0458 0.543 -0.084 0.933 -1.109 1.018
sigma2 0.4257 4603.623 9.25e-05 1.000 -9022.509 9023.361
===================================================================================
Ljung-Box (L1) (Q): 2.39 Jarque-Bera (JB): 1.10
Prob(Q): 0.12 Prob(JB): 0.58
Heteroskedasticity (H): 1.36 Skew: 0.27
Prob(H) (two-sided): 0.78 Kurtosis: 1.68
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 137.62504795794135, Current Price: 137.74
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.606
Date: Wed, 09 Oct 2024 AIC 35.212
Time: 14:41:15 BIC 38.036
Sample: 0 HQIC 34.631
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4361 0.714 0.611 0.541 -0.963 1.835
ma.L1 -0.0468 0.794 -0.059 0.953 -1.603 1.510
ar.S.L7 -0.7410 0.202 -3.672 0.000 -1.137 -0.345
ma.S.L7 -0.1846 0.365 -0.506 0.613 -0.900 0.530
sigma2 0.3996 0.255 1.567 0.117 -0.100 0.899
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.61
Prob(Q): 0.82 Prob(JB): 0.74
Heteroskedasticity (H): 2.01 Skew: 0.04
Prob(H) (two-sided): 0.52 Kurtosis: 1.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 136.24028235272064, Current Price: 137.01
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.128
Date: Wed, 09 Oct 2024 AIC 32.257
Time: 14:41:15 BIC 35.081
Sample: 0 HQIC 31.676
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5058 0.644 -0.786 0.432 -1.767 0.756
ma.L1 1.0001 2910.162 0.000 1.000 -5702.812 5704.812
ar.S.L7 -0.7981 0.315 -2.530 0.011 -1.416 -0.180
ma.S.L7 1.0001 1.2e+04 8.32e-05 1.000 -2.36e+04 2.36e+04
sigma2 0.1559 1924.180 8.1e-05 1.000 -3771.168 3771.480
===================================================================================
Ljung-Box (L1) (Q): 0.48 Jarque-Bera (JB): 0.78
Prob(Q): 0.49 Prob(JB): 0.68
Heteroskedasticity (H): 0.68 Skew: 0.57
Prob(H) (two-sided): 0.72 Kurtosis: 3.38
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 136.6667181835562, Current Price: 137.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.016
Date: Wed, 09 Oct 2024 AIC 36.033
Time: 14:41:15 BIC 38.858
Sample: 0 HQIC 35.452
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8819 0.372 -2.373 0.018 -1.610 -0.153
ma.L1 1.0000 1.2e+04 8.33e-05 1.000 -2.35e+04 2.35e+04
ar.S.L7 -0.6682 0.113 -5.899 0.000 -0.890 -0.446
ma.S.L7 1.0000 7.99e+04 1.25e-05 1.000 -1.57e+05 1.57e+05
sigma2 0.2101 1.71e+04 1.23e-05 1.000 -3.35e+04 3.35e+04
===================================================================================
Ljung-Box (L1) (Q): 1.63 Jarque-Bera (JB): 0.23
Prob(Q): 0.20 Prob(JB): 0.89
Heteroskedasticity (H): 1.48 Skew: 0.03
Prob(H) (two-sided): 0.72 Kurtosis: 2.35
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 137.26463530455163, Current Price: 137.79
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.400
Date: Wed, 09 Oct 2024 AIC 36.800
Time: 14:41:15 BIC 39.625
Sample: 0 HQIC 36.220
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7575 0.376 -2.016 0.044 -1.494 -0.021
ma.L1 1.0000 2.84e+04 3.52e-05 1.000 -5.57e+04 5.57e+04
ar.S.L7 -0.6468 0.136 -4.771 0.000 -0.913 -0.381
ma.S.L7 0.4745 1.158 0.410 0.682 -1.796 2.745
sigma2 0.3415 9709.894 3.52e-05 1.000 -1.9e+04 1.9e+04
===================================================================================
Ljung-Box (L1) (Q): 1.93 Jarque-Bera (JB): 0.26
Prob(Q): 0.16 Prob(JB): 0.88
Heteroskedasticity (H): 0.93 Skew: 0.17
Prob(H) (two-sided): 0.94 Kurtosis: 2.40
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 137.36532579736485, Current Price: 139.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.385
Date: Wed, 09 Oct 2024 AIC 40.770
Time: 14:41:15 BIC 43.595
Sample: 0 HQIC 40.190
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2438 0.742 -0.328 0.743 -1.699 1.211
ma.L1 1.0000 7141.861 0.000 1.000 -1.4e+04 1.4e+04
ar.S.L7 -0.9002 0.148 -6.094 0.000 -1.190 -0.611
ma.S.L7 -0.0896 1.022 -0.088 0.930 -2.093 1.914
sigma2 0.5583 3987.104 0.000 1.000 -7814.022 7815.139
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.52
Prob(Q): 0.82 Prob(JB): 0.77
Heteroskedasticity (H): 1.51 Skew: -0.37
Prob(H) (two-sided): 0.70 Kurtosis: 2.35
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 140.2363285486706, Current Price: 138.92
BUY EXECUTED at 138.92
BUY ORDER COMPLETED at 138.8
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.933
Date: Wed, 09 Oct 2024 AIC 39.866
Time: 14:41:15 BIC 42.691
Sample: 0 HQIC 39.286
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9299 0.151 -6.139 0.000 -1.227 -0.633
ma.L1 1.0000 1.26e+04 7.92e-05 1.000 -2.48e+04 2.48e+04
ar.S.L7 -0.4598 0.239 -1.922 0.055 -0.929 0.009
ma.S.L7 -0.0614 0.587 -0.105 0.917 -1.212 1.090
sigma2 0.5005 6320.900 7.92e-05 1.000 -1.24e+04 1.24e+04
===================================================================================
Ljung-Box (L1) (Q): 0.79 Jarque-Bera (JB): 0.67
Prob(Q): 0.37 Prob(JB): 0.72
Heteroskedasticity (H): 0.96 Skew: -0.23
Prob(H) (two-sided): 0.97 Kurtosis: 1.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 138.98699901165534, Current Price: 139.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.513
Date: Wed, 09 Oct 2024 AIC 39.026
Time: 14:41:15 BIC 41.850
Sample: 0 HQIC 38.445
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8603 0.176 -4.880 0.000 -1.206 -0.515
ma.L1 1.0000 1.93e+04 5.17e-05 1.000 -3.79e+04 3.79e+04
ar.S.L7 -0.5097 0.199 -2.555 0.011 -0.901 -0.119
ma.S.L7 0.1734 0.773 0.224 0.823 -1.342 1.689
sigma2 0.4550 8799.555 5.17e-05 1.000 -1.72e+04 1.72e+04
===================================================================================
Ljung-Box (L1) (Q): 0.44 Jarque-Bera (JB): 0.30
Prob(Q): 0.51 Prob(JB): 0.86
Heteroskedasticity (H): 0.90 Skew: -0.03
Prob(H) (two-sided): 0.92 Kurtosis: 2.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 139.14509321543315, Current Price: 137.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.676
Date: Wed, 09 Oct 2024 AIC 39.351
Time: 14:41:16 BIC 42.176
Sample: 0 HQIC 38.771
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3315 1.587 0.209 0.834 -2.778 3.441
ma.L1 -0.1762 1.798 -0.098 0.922 -3.699 3.347
ar.S.L7 -0.5157 0.451 -1.143 0.253 -1.400 0.368
ma.S.L7 -0.3880 1.156 -0.336 0.737 -2.654 1.878
sigma2 0.5247 0.497 1.056 0.291 -0.449 1.498
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.37
Prob(Q): 0.98 Prob(JB): 0.83
Heteroskedasticity (H): 3.27 Skew: -0.02
Prob(H) (two-sided): 0.28 Kurtosis: 2.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 136.9883224139417, Current Price: 137.58
SELL EXECUTED at 137.58
SELL ORDER COMPLETED at 138.25
OPERATION PROFIT, GROSS -0.5500000000000114, NET -0.8270500000000114
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.484
Date: Wed, 09 Oct 2024 AIC 36.969
Time: 14:41:16 BIC 39.794
Sample: 0 HQIC 36.388
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0534 0.092 -11.428 0.000 -1.234 -0.873
ma.L1 1.0000 1.93e+04 5.19e-05 1.000 -3.78e+04 3.78e+04
ar.S.L7 -0.2596 0.288 -0.901 0.368 -0.824 0.305
ma.S.L7 -0.3480 0.529 -0.658 0.511 -1.385 0.689
sigma2 0.3876 7470.633 5.19e-05 1.000 -1.46e+04 1.46e+04
===================================================================================
Ljung-Box (L1) (Q): 5.53 Jarque-Bera (JB): 0.73
Prob(Q): 0.02 Prob(JB): 0.69
Heteroskedasticity (H): 0.60 Skew: -0.09
Prob(H) (two-sided): 0.63 Kurtosis: 1.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 137.05016822564045, Current Price: 137.97
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.456
Date: Wed, 09 Oct 2024 AIC 36.913
Time: 14:41:16 BIC 39.738
Sample: 0 HQIC 36.332
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6126 2.239 -0.274 0.784 -5.000 3.775
ma.L1 2.1883 18.430 0.119 0.905 -33.934 38.310
ar.S.L7 -0.4812 0.959 -0.502 0.616 -2.361 1.398
ma.S.L7 -1.0004 2674.242 -0.000 1.000 -5242.419 5240.418
sigma2 0.0565 151.594 0.000 1.000 -297.063 297.176
===================================================================================
Ljung-Box (L1) (Q): 0.32 Jarque-Bera (JB): 0.40
Prob(Q): 0.57 Prob(JB): 0.82
Heteroskedasticity (H): 1.34 Skew: -0.34
Prob(H) (two-sided): 0.78 Kurtosis: 2.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 137.88702664987625, Current Price: 138.92
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.741
Date: Wed, 09 Oct 2024 AIC 33.482
Time: 14:41:16 BIC 36.307
Sample: 0 HQIC 32.901
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0488 0.167 -6.281 0.000 -1.376 -0.721
ma.L1 0.9999 813.337 0.001 0.999 -1593.112 1595.112
ar.S.L7 -0.3422 0.193 -1.771 0.077 -0.721 0.037
ma.S.L7 -0.9998 5763.129 -0.000 1.000 -1.13e+04 1.13e+04
sigma2 0.1897 1024.788 0.000 1.000 -2008.358 2008.738
===================================================================================
Ljung-Box (L1) (Q): 0.78 Jarque-Bera (JB): 0.45
Prob(Q): 0.38 Prob(JB): 0.80
Heteroskedasticity (H): 2.99 Skew: -0.21
Prob(H) (two-sided): 0.31 Kurtosis: 2.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 138.1690966070833, Current Price: 138.43
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.840
Date: Wed, 09 Oct 2024 AIC 31.681
Time: 14:41:16 BIC 34.506
Sample: 0 HQIC 31.100
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0416 0.075 -13.857 0.000 -1.189 -0.894
ma.L1 1.0000 1.19e+04 8.43e-05 1.000 -2.32e+04 2.32e+04
ar.S.L7 -0.2546 0.261 -0.977 0.329 -0.766 0.256
ma.S.L7 -0.5871 1.480 -0.397 0.692 -3.488 2.314
sigma2 0.2326 2758.221 8.43e-05 1.000 -5405.781 5406.246
===================================================================================
Ljung-Box (L1) (Q): 2.12 Jarque-Bera (JB): 0.43
Prob(Q): 0.15 Prob(JB): 0.81
Heteroskedasticity (H): 2.83 Skew: -0.43
Prob(H) (two-sided): 0.34 Kurtosis: 2.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 139.09495754064199, Current Price: 139.05
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.602
Date: Wed, 09 Oct 2024 AIC 39.203
Time: 14:41:16 BIC 42.028
Sample: 0 HQIC 38.622
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3389 2.207 0.154 0.878 -3.986 4.664
ma.L1 -0.1733 2.324 -0.075 0.941 -4.729 4.382
ar.S.L7 -0.6255 0.359 -1.741 0.082 -1.330 0.079
ma.S.L7 -1.0003 2884.592 -0.000 1.000 -5654.696 5652.696
sigma2 0.3332 961.180 0.000 1.000 -1883.545 1884.211
===================================================================================
Ljung-Box (L1) (Q): 1.47 Jarque-Bera (JB): 1.44
Prob(Q): 0.23 Prob(JB): 0.49
Heteroskedasticity (H): 1.02 Skew: -0.81
Prob(H) (two-sided): 0.98 Kurtosis: 3.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 138.59400240101638, Current Price: 139.04
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.416
Date: Wed, 09 Oct 2024 AIC 34.832
Time: 14:41:16 BIC 37.657
Sample: 0 HQIC 34.252
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9945 0.094 -10.599 0.000 -1.178 -0.811
ma.L1 1.0000 6.5e+04 1.54e-05 1.000 -1.27e+05 1.27e+05
ar.S.L7 -0.2718 0.237 -1.147 0.252 -0.736 0.193
ma.S.L7 -0.3683 0.973 -0.379 0.705 -2.275 1.538
sigma2 0.3269 2.12e+04 1.54e-05 1.000 -4.16e+04 4.16e+04
===================================================================================
Ljung-Box (L1) (Q): 2.30 Jarque-Bera (JB): 1.90
Prob(Q): 0.13 Prob(JB): 0.39
Heteroskedasticity (H): 0.58 Skew: -0.89
Prob(H) (two-sided): 0.61 Kurtosis: 3.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 139.26036713547606, Current Price: 139.01
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.286
Date: Wed, 09 Oct 2024 AIC 34.573
Time: 14:41:16 BIC 37.398
Sample: 0 HQIC 33.992
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9771 0.107 -9.146 0.000 -1.187 -0.768
ma.L1 1.0000 4.21e+05 2.38e-06 1.000 -8.24e+05 8.24e+05
ar.S.L7 -0.3408 0.248 -1.377 0.169 -0.826 0.144
ma.S.L7 -0.1940 0.681 -0.285 0.776 -1.528 1.140
sigma2 0.3316 1.39e+05 2.38e-06 1.000 -2.73e+05 2.73e+05
===================================================================================
Ljung-Box (L1) (Q): 1.92 Jarque-Bera (JB): 1.18
Prob(Q): 0.17 Prob(JB): 0.55
Heteroskedasticity (H): 0.35 Skew: -0.74
Prob(H) (two-sided): 0.33 Kurtosis: 3.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 138.25212797979296, Current Price: 139.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.897
Date: Wed, 09 Oct 2024 AIC 33.794
Time: 14:41:16 BIC 36.619
Sample: 0 HQIC 33.214
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9117 0.192 -4.760 0.000 -1.287 -0.536
ma.L1 1.0000 5502.763 0.000 1.000 -1.08e+04 1.08e+04
ar.S.L7 -0.5878 0.568 -1.035 0.301 -1.701 0.526
ma.S.L7 -0.1089 0.689 -0.158 0.874 -1.459 1.241
sigma2 0.3139 1727.108 0.000 1.000 -3384.755 3385.382
===================================================================================
Ljung-Box (L1) (Q): 0.59 Jarque-Bera (JB): 0.68
Prob(Q): 0.44 Prob(JB): 0.71
Heteroskedasticity (H): 0.75 Skew: -0.56
Prob(H) (two-sided): 0.78 Kurtosis: 2.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 139.81375599085683, Current Price: 139.38
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.627
Date: Wed, 09 Oct 2024 AIC 31.254
Time: 14:41:16 BIC 34.079
Sample: 0 HQIC 30.673
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8031 0.288 -2.788 0.005 -1.368 -0.239
ma.L1 1.0000 3564.281 0.000 1.000 -6984.862 6986.862
ar.S.L7 -0.6840 0.304 -2.246 0.025 -1.281 -0.087
ma.S.L7 0.0351 0.497 0.071 0.944 -0.939 1.009
sigma2 0.2563 913.662 0.000 1.000 -1790.489 1791.002
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 0.71
Prob(Q): 0.62 Prob(JB): 0.70
Heteroskedasticity (H): 0.40 Skew: -0.26
Prob(H) (two-sided): 0.39 Kurtosis: 1.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 139.54299311282662, Current Price: 139.52
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.708
Date: Wed, 09 Oct 2024 AIC 29.416
Time: 14:41:16 BIC 32.241
Sample: 0 HQIC 28.836
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8846 0.244 -3.625 0.000 -1.363 -0.406
ma.L1 1.0000 2.04e+04 4.9e-05 1.000 -4e+04 4e+04
ar.S.L7 -0.5266 0.496 -1.061 0.288 -1.499 0.446
ma.S.L7 -0.1631 0.692 -0.236 0.814 -1.520 1.194
sigma2 0.2236 4559.185 4.9e-05 1.000 -8935.614 8936.061
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.42
Prob(Q): 0.73 Prob(JB): 0.81
Heteroskedasticity (H): 0.30 Skew: -0.42
Prob(H) (two-sided): 0.27 Kurtosis: 2.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 140.17098087495657, Current Price: 139.95
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -7.971
Date: Wed, 09 Oct 2024 AIC 25.943
Time: 14:41:16 BIC 28.768
Sample: 0 HQIC 25.362
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9005 0.119 -7.545 0.000 -1.134 -0.667
ma.L1 1.0000 1.1e+04 9.09e-05 1.000 -2.16e+04 2.16e+04
ar.S.L7 -0.3207 0.483 -0.663 0.507 -1.268 0.627
ma.S.L7 -1.0002 4269.142 -0.000 1.000 -8368.364 8366.364
sigma2 0.1062 1414.349 7.51e-05 1.000 -2771.968 2772.180
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 0.12
Prob(Q): 0.64 Prob(JB): 0.94
Heteroskedasticity (H): 0.24 Skew: 0.05
Prob(H) (two-sided): 0.19 Kurtosis: 2.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 139.56943399376, Current Price: 141.27
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.091
Date: Wed, 09 Oct 2024 AIC 34.183
Time: 14:41:16 BIC 37.007
Sample: 0 HQIC 33.602
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7841 0.285 -2.756 0.006 -1.342 -0.226
ma.L1 1.0000 2.98e+04 3.35e-05 1.000 -5.84e+04 5.84e+04
ar.S.L7 -0.5499 0.334 -1.647 0.099 -1.204 0.104
ma.S.L7 0.1530 1.185 0.129 0.897 -2.169 2.475
sigma2 0.3149 9388.535 3.35e-05 1.000 -1.84e+04 1.84e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.35
Prob(Q): 0.89 Prob(JB): 0.84
Heteroskedasticity (H): 0.74 Skew: -0.32
Prob(H) (two-sided): 0.77 Kurtosis: 2.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 141.54925039139616, Current Price: 142.38
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.967
Date: Wed, 09 Oct 2024 AIC 31.934
Time: 14:41:16 BIC 34.759
Sample: 0 HQIC 31.353
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8447 0.130 -6.519 0.000 -1.099 -0.591
ma.L1 1.0049 11.777 0.085 0.932 -22.078 24.088
ar.S.L7 -0.2657 0.383 -0.693 0.488 -1.017 0.486
ma.S.L7 -2.3562 13.096 -0.180 0.857 -28.024 23.311
sigma2 0.0444 0.362 0.123 0.902 -0.664 0.753
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 0.13
Prob(Q): 0.67 Prob(JB): 0.94
Heteroskedasticity (H): 2.58 Skew: 0.23
Prob(H) (two-sided): 0.38 Kurtosis: 2.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 141.81487583767975, Current Price: 142.33
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.848
Date: Wed, 09 Oct 2024 AIC 31.697
Time: 14:41:16 BIC 34.521
Sample: 0 HQIC 31.116
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7003 0.205 -3.419 0.001 -1.102 -0.299
ma.L1 1.0000 7.19e+04 1.39e-05 1.000 -1.41e+05 1.41e+05
ar.S.L7 -0.4485 0.196 -2.293 0.022 -0.832 -0.065
ma.S.L7 0.1750 0.671 0.261 0.794 -1.140 1.490
sigma2 0.2588 1.86e+04 1.39e-05 1.000 -3.65e+04 3.65e+04
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 1.05
Prob(Q): 0.70 Prob(JB): 0.59
Heteroskedasticity (H): 1.48 Skew: -0.61
Prob(H) (two-sided): 0.71 Kurtosis: 2.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 142.46356717263356, Current Price: 142.63
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.835
Date: Wed, 09 Oct 2024 AIC 33.669
Time: 14:41:16 BIC 36.494
Sample: 0 HQIC 33.089
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7811 0.226 -3.454 0.001 -1.224 -0.338
ma.L1 1.0127 7.153 0.142 0.887 -13.007 15.033
ar.S.L7 -0.3537 0.269 -1.317 0.188 -0.880 0.173
ma.S.L7 -7.6326 61.064 -0.125 0.901 -127.316 112.051
sigma2 0.0052 0.109 0.048 0.962 -0.208 0.218
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.63
Prob(Q): 0.76 Prob(JB): 0.73
Heteroskedasticity (H): 1.64 Skew: -0.53
Prob(H) (two-sided): 0.64 Kurtosis: 2.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 143.04149738745315, Current Price: 142.9
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.114
Date: Wed, 09 Oct 2024 AIC 30.228
Time: 14:41:16 BIC 33.053
Sample: 0 HQIC 29.648
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6231 0.265 -2.352 0.019 -1.142 -0.104
ma.L1 0.9887 8.757 0.113 0.910 -16.175 18.153
ar.S.L7 -0.4568 0.172 -2.657 0.008 -0.794 -0.120
ma.S.L7 -19.8903 320.828 -0.062 0.951 -648.702 608.921
sigma2 0.0006 0.019 0.032 0.974 -0.037 0.038
===================================================================================
Ljung-Box (L1) (Q): 0.37 Jarque-Bera (JB): 0.27
Prob(Q): 0.55 Prob(JB): 0.87
Heteroskedasticity (H): 0.99 Skew: 0.00
Prob(H) (two-sided): 0.99 Kurtosis: 2.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 143.39257291579574, Current Price: 143.95
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -7.396
Date: Wed, 09 Oct 2024 AIC 24.792
Time: 14:41:16 BIC 27.617
Sample: 0 HQIC 24.211
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4610 0.123 -3.735 0.000 -0.703 -0.219
ma.L1 1.0000 3.63e+04 2.75e-05 1.000 -7.12e+04 7.12e+04
ar.S.L7 -0.4724 0.145 -3.264 0.001 -0.756 -0.189
ma.S.L7 1.0002 6602.684 0.000 1.000 -1.29e+04 1.29e+04
sigma2 0.0864 3274.895 2.64e-05 1.000 -6418.590 6418.763
===================================================================================
Ljung-Box (L1) (Q): 1.06 Jarque-Bera (JB): 0.45
Prob(Q): 0.30 Prob(JB): 0.80
Heteroskedasticity (H): 1.12 Skew: 0.05
Prob(H) (two-sided): 0.91 Kurtosis: 2.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 144.2733574339799, Current Price: 145.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.829
Date: Wed, 09 Oct 2024 AIC 37.659
Time: 14:41:16 BIC 40.483
Sample: 0 HQIC 37.078
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8796 0.190 -4.637 0.000 -1.251 -0.508
ma.L1 1.0000 1367.165 0.001 0.999 -2678.595 2680.595
ar.S.L7 6.459e-06 0.094 6.84e-05 1.000 -0.185 0.185
ma.S.L7 -0.2677 0.640 -0.419 0.676 -1.521 0.986
sigma2 0.4646 635.283 0.001 0.999 -1244.666 1245.596
===================================================================================
Ljung-Box (L1) (Q): 1.20 Jarque-Bera (JB): 0.28
Prob(Q): 0.27 Prob(JB): 0.87
Heteroskedasticity (H): 4.53 Skew: 0.27
Prob(H) (two-sided): 0.17 Kurtosis: 2.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 146.99268283165154, Current Price: 147.39
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -10.128
Date: Wed, 09 Oct 2024 AIC 30.256
Time: 14:41:17 BIC 33.081
Sample: 0 HQIC 29.675
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2023 0.454 0.446 0.656 -0.688 1.092
ma.L1 1.0000 1.9e+04 5.26e-05 1.000 -3.72e+04 3.72e+04
ar.S.L7 -0.4196 0.080 -5.265 0.000 -0.576 -0.263
ma.S.L7 -0.0154 0.781 -0.020 0.984 -1.546 1.515
sigma2 0.2430 4617.120 5.26e-05 1.000 -9049.147 9049.633
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 0.41
Prob(Q): 0.62 Prob(JB): 0.81
Heteroskedasticity (H): 5.61 Skew: -0.08
Prob(H) (two-sided): 0.12 Kurtosis: 2.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 147.42922847864517, Current Price: 147.97
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -9.591
Date: Wed, 09 Oct 2024 AIC 29.182
Time: 14:41:17 BIC 32.006
Sample: 0 HQIC 28.601
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1295 0.473 0.274 0.784 -0.797 1.056
ma.L1 1.0000 2.22e+04 4.51e-05 1.000 -4.34e+04 4.34e+04
ar.S.L7 -0.3843 0.059 -6.516 0.000 -0.500 -0.269
ma.S.L7 0.0228 0.803 0.028 0.977 -1.550 1.596
sigma2 0.2235 4951.803 4.51e-05 1.000 -9705.132 9705.579
===================================================================================
Ljung-Box (L1) (Q): 0.28 Jarque-Bera (JB): 0.57
Prob(Q): 0.60 Prob(JB): 0.75
Heteroskedasticity (H): 7.50 Skew: 0.08
Prob(H) (two-sided): 0.08 Kurtosis: 1.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 148.2496024134835, Current Price: 146.86
BUY EXECUTED at 146.86
BUY ORDER COMPLETED at 146.07
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.515
Date: Wed, 09 Oct 2024 AIC 39.030
Time: 14:41:17 BIC 41.855
Sample: 0 HQIC 38.450
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2161 0.572 0.378 0.706 -0.905 1.337
ma.L1 -20.1570 0.001 -1.48e+04 0.000 -20.160 -20.154
ar.S.L7 -0.0126 0.316 -0.040 0.968 -0.632 0.607
ma.S.L7 31.2137 9.44e-05 3.31e+05 0.000 31.213 31.214
sigma2 1.568e-06 1.21e-06 1.298 0.194 -8e-07 3.94e-06
===================================================================================
Ljung-Box (L1) (Q): 0.41 Jarque-Bera (JB): 0.83
Prob(Q): 0.52 Prob(JB): 0.66
Heteroskedasticity (H): 1.50 Skew: 0.03
Prob(H) (two-sided): 0.70 Kurtosis: 1.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 8.91e+21. Standard errors may be unstable.
Predicted Price: 146.98489466367363, Current Price: 146.03
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.867
Date: Wed, 09 Oct 2024 AIC 33.733
Time: 14:41:17 BIC 36.558
Sample: 0 HQIC 33.152
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3359 0.494 0.680 0.496 -0.632 1.304
ma.L1 0.5777 0.367 1.576 0.115 -0.141 1.296
ar.S.L7 -0.3062 0.100 -3.055 0.002 -0.503 -0.110
ma.S.L7 0.3460 1.306 0.265 0.791 -2.213 2.905
sigma2 0.3435 0.251 1.371 0.170 -0.148 0.835
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.53
Prob(Q): 1.00 Prob(JB): 0.77
Heteroskedasticity (H): 1.99 Skew: -0.18
Prob(H) (two-sided): 0.52 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 145.84171886698317, Current Price: 146.91
SELL EXECUTED at 146.91
SELL ORDER COMPLETED at 146.35
OPERATION PROFIT, GROSS 0.28000000000000114, NET -0.012419999999998876
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.436
Date: Wed, 09 Oct 2024 AIC 34.872
Time: 14:41:17 BIC 37.697
Sample: 0 HQIC 34.291
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0555 0.684 -0.081 0.935 -1.395 1.284
ma.L1 1.0117 5.327 0.190 0.849 -9.429 11.452
ar.S.L7 -0.3359 0.083 -4.056 0.000 -0.498 -0.174
ma.S.L7 -9.5431 100.906 -0.095 0.925 -207.315 188.228
sigma2 0.0038 0.073 0.052 0.959 -0.139 0.146
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.79
Prob(Q): 0.90 Prob(JB): 0.41
Heteroskedasticity (H): 1.79 Skew: -0.88
Prob(H) (two-sided): 0.59 Kurtosis: 3.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 147.9876288324064, Current Price: 145.82
BUY EXECUTED at 145.82
BUY ORDER COMPLETED at 145.42
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.263
Date: Wed, 09 Oct 2024 AIC 44.527
Time: 14:41:17 BIC 47.352
Sample: 0 HQIC 43.946
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8771 0.122 -7.204 0.000 -1.116 -0.638
ma.L1 1.0000 1.48e+05 6.76e-06 1.000 -2.9e+05 2.9e+05
ar.S.L7 -1.746e-05 0.145 -0.000 1.000 -0.285 0.285
ma.S.L7 -0.6823 1.561 -0.437 0.662 -3.741 2.377
sigma2 0.7284 1.08e+05 6.76e-06 1.000 -2.11e+05 2.11e+05
===================================================================================
Ljung-Box (L1) (Q): 0.74 Jarque-Bera (JB): 1.08
Prob(Q): 0.39 Prob(JB): 0.58
Heteroskedasticity (H): 1.99 Skew: -0.70
Prob(H) (two-sided): 0.52 Kurtosis: 3.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 146.52514150786982, Current Price: 145.69
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.508
Date: Wed, 09 Oct 2024 AIC 41.017
Time: 14:41:17 BIC 43.841
Sample: 0 HQIC 40.436
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6436 0.441 1.459 0.145 -0.221 1.508
ma.L1 -0.4031 0.585 -0.689 0.491 -1.549 0.743
ar.S.L7 -0.5058 0.621 -0.815 0.415 -1.723 0.711
ma.S.L7 -1.0001 1.14e+04 -8.74e-05 1.000 -2.24e+04 2.24e+04
sigma2 0.3710 4246.340 8.74e-05 1.000 -8322.302 8323.044
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.28
Prob(Q): 0.81 Prob(JB): 0.87
Heteroskedasticity (H): 6.25 Skew: -0.30
Prob(H) (two-sided): 0.10 Kurtosis: 2.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 146.40472733985993, Current Price: 146.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.390
Date: Wed, 09 Oct 2024 AIC 40.780
Time: 14:41:17 BIC 43.605
Sample: 0 HQIC 40.200
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4802 0.552 0.869 0.385 -0.603 1.563
ma.L1 -0.2558 0.641 -0.399 0.690 -1.513 1.001
ar.S.L7 -0.4621 0.627 -0.737 0.461 -1.691 0.767
ma.S.L7 -1.0001 1.47e+04 -6.81e-05 1.000 -2.88e+04 2.88e+04
sigma2 0.3655 5363.626 6.81e-05 1.000 -1.05e+04 1.05e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.04
Prob(Q): 0.99 Prob(JB): 0.98
Heteroskedasticity (H): 9.31 Skew: 0.04
Prob(H) (two-sided): 0.05 Kurtosis: 3.27
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 147.10170506597225, Current Price: 146.31
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.628
Date: Wed, 09 Oct 2024 AIC 41.256
Time: 14:41:17 BIC 44.081
Sample: 0 HQIC 40.676
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3184 1.390 0.229 0.819 -2.406 3.043
ma.L1 -0.1241 1.526 -0.081 0.935 -3.115 2.867
ar.S.L7 -0.4712 0.550 -0.856 0.392 -1.550 0.607
ma.S.L7 -1.0001 1.13e+04 -8.88e-05 1.000 -2.21e+04 2.21e+04
sigma2 0.3904 4395.100 8.88e-05 1.000 -8613.848 8614.629
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.05
Prob(Q): 0.96 Prob(JB): 0.98
Heteroskedasticity (H): 0.99 Skew: 0.15
Prob(H) (two-sided): 1.00 Kurtosis: 3.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 146.06409569834483, Current Price: 146.58
SELL EXECUTED at 146.58
SELL ORDER COMPLETED at 145.77
OPERATION PROFIT, GROSS 0.35000000000002274, NET 0.05881000000002273
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.875
Date: Wed, 09 Oct 2024 AIC 41.749
Time: 14:41:17 BIC 44.574
Sample: 0 HQIC 41.169
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2833 3.163 0.090 0.929 -5.917 6.483
ma.L1 -0.1505 3.100 -0.049 0.961 -6.226 5.925
ar.S.L7 -0.6133 0.565 -1.086 0.278 -1.721 0.494
ma.S.L7 -1.0001 1.11e+04 -9e-05 1.000 -2.18e+04 2.18e+04
sigma2 0.4055 4507.908 9e-05 1.000 -8834.931 8835.742
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.23
Prob(Q): 0.96 Prob(JB): 0.89
Heteroskedasticity (H): 0.39 Skew: 0.32
Prob(H) (two-sided): 0.38 Kurtosis: 3.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 146.9895035642901, Current Price: 146.74
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.099
Date: Wed, 09 Oct 2024 AIC 42.198
Time: 14:41:17 BIC 45.023
Sample: 0 HQIC 41.618
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3245 2.111 0.154 0.878 -3.814 4.463
ma.L1 -0.1482 2.138 -0.069 0.945 -4.338 4.041
ar.S.L7 -0.5276 0.646 -0.817 0.414 -1.794 0.738
ma.S.L7 -1.0001 1.3e+04 -7.68e-05 1.000 -2.55e+04 2.55e+04
sigma2 0.4197 5464.184 7.68e-05 1.000 -1.07e+04 1.07e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.15
Prob(Q): 0.92 Prob(JB): 0.93
Heteroskedasticity (H): 0.45 Skew: 0.26
Prob(H) (two-sided): 0.46 Kurtosis: 2.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 146.9339113639068, Current Price: 146.79
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.988
Date: Wed, 09 Oct 2024 AIC 41.976
Time: 14:41:17 BIC 44.800
Sample: 0 HQIC 41.395
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3301 2.521 0.131 0.896 -4.610 5.270
ma.L1 -0.1430 2.921 -0.049 0.961 -5.868 5.582
ar.S.L7 -0.5043 0.787 -0.641 0.522 -2.047 1.038
ma.S.L7 -1.0001 1.58e+04 -6.34e-05 1.000 -3.09e+04 3.09e+04
sigma2 0.4126 6509.535 6.34e-05 1.000 -1.28e+04 1.28e+04
===================================================================================
Ljung-Box (L1) (Q): 0.38 Jarque-Bera (JB): 0.32
Prob(Q): 0.54 Prob(JB): 0.85
Heteroskedasticity (H): 0.37 Skew: 0.38
Prob(H) (two-sided): 0.36 Kurtosis: 3.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 147.6980232024638, Current Price: 147.12
BUY EXECUTED at 147.12
BUY ORDER COMPLETED at 146.9
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.787
Date: Wed, 09 Oct 2024 AIC 37.574
Time: 14:41:17 BIC 40.399
Sample: 0 HQIC 36.994
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2781 2.224 0.125 0.901 -4.081 4.637
ma.L1 -0.1422 2.432 -0.058 0.953 -4.910 4.625
ar.S.L7 -0.6474 0.835 -0.775 0.438 -2.285 0.990
ma.S.L7 -0.4962 1.631 -0.304 0.761 -3.693 2.700
sigma2 0.4371 0.376 1.164 0.245 -0.299 1.173
===================================================================================
Ljung-Box (L1) (Q): 2.80 Jarque-Bera (JB): 0.55
Prob(Q): 0.09 Prob(JB): 0.76
Heteroskedasticity (H): 0.35 Skew: -0.24
Prob(H) (two-sided): 0.34 Kurtosis: 2.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 148.34206271539847, Current Price: 147.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.038
Date: Wed, 09 Oct 2024 AIC 36.076
Time: 14:41:17 BIC 38.900
Sample: 0 HQIC 35.495
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2714 1.363 0.199 0.842 -2.399 2.942
ma.L1 -0.0406 1.740 -0.023 0.981 -3.451 3.370
ar.S.L7 -0.6391 0.466 -1.373 0.170 -1.552 0.273
ma.S.L7 -1.0001 9524.543 -0.000 1.000 -1.87e+04 1.87e+04
sigma2 0.2622 2497.043 0.000 1.000 -4893.852 4894.377
===================================================================================
Ljung-Box (L1) (Q): 5.35 Jarque-Bera (JB): 0.29
Prob(Q): 0.02 Prob(JB): 0.86
Heteroskedasticity (H): 0.25 Skew: -0.02
Prob(H) (two-sided): 0.21 Kurtosis: 2.27
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 149.32245333259908, Current Price: 148.99
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.406
Date: Wed, 09 Oct 2024 AIC 38.812
Time: 14:41:17 BIC 41.637
Sample: 0 HQIC 38.231
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3231 1.101 0.293 0.769 -1.835 2.481
ma.L1 -0.0146 1.099 -0.013 0.989 -2.168 2.139
ar.S.L7 -0.6793 0.512 -1.326 0.185 -1.683 0.325
ma.S.L7 -1.0003 4562.852 -0.000 1.000 -8944.027 8942.026
sigma2 0.3238 1477.511 0.000 1.000 -2895.544 2896.191
===================================================================================
Ljung-Box (L1) (Q): 3.21 Jarque-Bera (JB): 0.21
Prob(Q): 0.07 Prob(JB): 0.90
Heteroskedasticity (H): 0.26 Skew: 0.20
Prob(H) (two-sided): 0.22 Kurtosis: 2.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 149.8765367729002, Current Price: 147.66
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.152
Date: Wed, 09 Oct 2024 AIC 40.304
Time: 14:41:17 BIC 43.129
Sample: 0 HQIC 39.723
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3202 0.529 -0.605 0.545 -1.358 0.717
ma.L1 1.0000 1.1e+04 9.13e-05 1.000 -2.15e+04 2.15e+04
ar.S.L7 -0.9304 0.405 -2.299 0.022 -1.724 -0.137
ma.S.L7 0.2749 0.602 0.457 0.648 -0.905 1.454
sigma2 0.5124 5611.361 9.13e-05 1.000 -1.1e+04 1.1e+04
===================================================================================
Ljung-Box (L1) (Q): 3.07 Jarque-Bera (JB): 0.16
Prob(Q): 0.08 Prob(JB): 0.92
Heteroskedasticity (H): 1.05 Skew: 0.02
Prob(H) (two-sided): 0.96 Kurtosis: 2.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 145.97685366205036, Current Price: 148.46
SELL EXECUTED at 148.46
SELL ORDER COMPLETED at 148.69
OPERATION PROFIT, GROSS 1.789999999999992, NET 1.494409999999992
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.575
Date: Wed, 09 Oct 2024 AIC 41.150
Time: 14:41:17 BIC 43.975
Sample: 0 HQIC 40.569
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2886 1.606 -0.180 0.857 -3.437 2.859
ma.L1 0.1063 1.629 0.065 0.948 -3.086 3.298
ar.S.L7 -0.8651 0.315 -2.743 0.006 -1.483 -0.247
ma.S.L7 1.0000 3.6e+04 2.78e-05 1.000 -7.06e+04 7.06e+04
sigma2 0.3872 1.39e+04 2.78e-05 1.000 -2.73e+04 2.73e+04
===================================================================================
Ljung-Box (L1) (Q): 0.34 Jarque-Bera (JB): 0.98
Prob(Q): 0.56 Prob(JB): 0.61
Heteroskedasticity (H): 1.01 Skew: 0.22
Prob(H) (two-sided): 0.99 Kurtosis: 1.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 147.85361993468246, Current Price: 148.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.125
Date: Wed, 09 Oct 2024 AIC 40.250
Time: 14:41:17 BIC 43.075
Sample: 0 HQIC 39.669
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5985 0.318 -1.880 0.060 -1.223 0.026
ma.L1 0.6816 0.555 1.228 0.219 -0.406 1.769
ar.S.L7 -0.7107 0.224 -3.174 0.002 -1.150 -0.272
ma.S.L7 1.0000 6.37e+04 1.57e-05 1.000 -1.25e+05 1.25e+05
sigma2 0.3430 2.18e+04 1.57e-05 1.000 -4.28e+04 4.28e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.50
Prob(Q): 0.96 Prob(JB): 0.78
Heteroskedasticity (H): 0.88 Skew: 0.21
Prob(H) (two-sided): 0.90 Kurtosis: 2.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 148.83506813760238, Current Price: 149.33
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.495
Date: Wed, 09 Oct 2024 AIC 38.990
Time: 14:41:17 BIC 41.815
Sample: 0 HQIC 38.409
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3677 1.777 0.207 0.836 -3.115 3.850
ma.L1 -0.2588 2.038 -0.127 0.899 -4.254 3.736
ar.S.L7 -0.7356 0.316 -2.330 0.020 -1.354 -0.117
ma.S.L7 0.7662 3.050 0.251 0.802 -5.212 6.744
sigma2 0.4036 1.168 0.345 0.730 -1.886 2.694
===================================================================================
Ljung-Box (L1) (Q): 0.56 Jarque-Bera (JB): 0.40
Prob(Q): 0.46 Prob(JB): 0.82
Heteroskedasticity (H): 1.80 Skew: 0.18
Prob(H) (two-sided): 0.58 Kurtosis: 2.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 149.0605943436003, Current Price: 148.36
BUY EXECUTED at 148.36
BUY ORDER COMPLETED at 146.97
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.885
Date: Wed, 09 Oct 2024 AIC 35.769
Time: 14:41:17 BIC 38.594
Sample: 0 HQIC 35.188
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4715 0.669 -0.705 0.481 -1.783 0.840
ma.L1 0.3515 0.782 0.449 0.653 -1.181 1.884
ar.S.L7 -0.6886 0.184 -3.736 0.000 -1.050 -0.327
ma.S.L7 1.0001 1.61e+04 6.2e-05 1.000 -3.16e+04 3.16e+04
sigma2 0.2475 3991.298 6.2e-05 1.000 -7822.553 7823.048
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.58
Prob(Q): 0.80 Prob(JB): 0.75
Heteroskedasticity (H): 1.07 Skew: -0.33
Prob(H) (two-sided): 0.95 Kurtosis: 2.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 148.84399278226434, Current Price: 146.43
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.439
Date: Wed, 09 Oct 2024 AIC 42.878
Time: 14:41:17 BIC 45.702
Sample: 0 HQIC 42.297
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4696 0.846 -0.555 0.579 -2.127 1.188
ma.L1 0.3999 0.816 0.490 0.624 -1.199 1.999
ar.S.L7 -0.7724 0.194 -3.980 0.000 -1.153 -0.392
ma.S.L7 1.0002 6869.539 0.000 1.000 -1.35e+04 1.35e+04
sigma2 0.4281 2940.810 0.000 1.000 -5763.453 5764.310
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.33
Prob(Q): 0.85 Prob(JB): 0.85
Heteroskedasticity (H): 3.17 Skew: -0.38
Prob(H) (two-sided): 0.29 Kurtosis: 2.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 147.4881984859752, Current Price: 146.61
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.521
Date: Wed, 09 Oct 2024 AIC 41.042
Time: 14:41:18 BIC 43.867
Sample: 0 HQIC 40.462
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3073 6.808 -0.045 0.964 -13.650 13.036
ma.L1 0.3708 6.598 0.056 0.955 -12.561 13.302
ar.S.L7 -0.7648 0.203 -3.760 0.000 -1.163 -0.366
ma.S.L7 1.0001 2.47e+04 4.04e-05 1.000 -4.85e+04 4.85e+04
sigma2 0.3837 9488.054 4.04e-05 1.000 -1.86e+04 1.86e+04
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.11
Prob(Q): 0.82 Prob(JB): 0.94
Heteroskedasticity (H): 8.21 Skew: -0.19
Prob(H) (two-sided): 0.07 Kurtosis: 3.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 145.37580119358736, Current Price: 147.4
SELL EXECUTED at 147.4
SELL ORDER COMPLETED at 147.83
OPERATION PROFIT, GROSS 0.8600000000000136, NET 0.5652000000000137
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.833
Date: Wed, 09 Oct 2024 AIC 45.665
Time: 14:41:18 BIC 48.490
Sample: 0 HQIC 45.084
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2954 2.286 -0.129 0.897 -4.776 4.186
ma.L1 0.4818 2.097 0.230 0.818 -3.628 4.592
ar.S.L7 -0.7387 0.487 -1.517 0.129 -1.693 0.216
ma.S.L7 0.3256 0.457 0.713 0.476 -0.570 1.221
sigma2 0.8712 0.508 1.715 0.086 -0.125 1.867
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 0.22
Prob(Q): 0.67 Prob(JB): 0.90
Heteroskedasticity (H): 17.90 Skew: 0.32
Prob(H) (two-sided): 0.02 Kurtosis: 3.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 148.55912228571282, Current Price: 147.79
BUY EXECUTED at 147.79
BUY ORDER COMPLETED at 148.21
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.432
Date: Wed, 09 Oct 2024 AIC 46.864
Time: 14:41:18 BIC 49.689
Sample: 0 HQIC 46.284
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8366 0.935 -0.895 0.371 -2.669 0.996
ma.L1 1.0000 1.4e+05 7.14e-06 1.000 -2.75e+05 2.75e+05
ar.S.L7 -0.6355 0.459 -1.385 0.166 -1.535 0.264
ma.S.L7 -0.0995 0.590 -0.169 0.866 -1.255 1.056
sigma2 0.8578 1.2e+05 7.14e-06 1.000 -2.36e+05 2.36e+05
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.04
Prob(Q): 0.89 Prob(JB): 0.98
Heteroskedasticity (H): 13.49 Skew: -0.10
Prob(H) (two-sided): 0.03 Kurtosis: 2.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 147.73442014806355, Current Price: 148.17
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.593
Date: Wed, 09 Oct 2024 AIC 45.185
Time: 14:41:18 BIC 48.010
Sample: 0 HQIC 44.604
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1055 2.526 -0.042 0.967 -5.056 4.844
ma.L1 0.3100 2.437 0.127 0.899 -4.466 5.086
ar.S.L7 -0.4108 0.483 -0.850 0.395 -1.358 0.536
ma.S.L7 -1.0015 718.676 -0.001 0.999 -1409.580 1407.577
sigma2 0.5274 379.367 0.001 0.999 -743.018 744.073
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 2.14
Prob(Q): 0.79 Prob(JB): 0.34
Heteroskedasticity (H): 0.85 Skew: -0.95
Prob(H) (two-sided): 0.88 Kurtosis: 3.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 148.70490513960812, Current Price: 147.66
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.694
Date: Wed, 09 Oct 2024 AIC 45.388
Time: 14:41:18 BIC 48.213
Sample: 0 HQIC 44.807
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1782 2.819 -0.063 0.950 -5.704 5.348
ma.L1 0.3849 2.677 0.144 0.886 -4.863 5.633
ar.S.L7 -0.3533 0.564 -0.627 0.531 -1.458 0.752
ma.S.L7 -1.0001 8141.810 -0.000 1.000 -1.6e+04 1.6e+04
sigma2 0.5364 4367.800 0.000 1.000 -8560.195 8561.267
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.66
Prob(Q): 0.75 Prob(JB): 0.72
Heteroskedasticity (H): 0.88 Skew: -0.55
Prob(H) (two-sided): 0.91 Kurtosis: 3.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 147.237101145113, Current Price: 147.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.201
Date: Wed, 09 Oct 2024 AIC 44.402
Time: 14:41:18 BIC 47.226
Sample: 0 HQIC 43.821
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5389 0.392 1.375 0.169 -0.229 1.307
ma.L1 -1.0000 8089.006 -0.000 1.000 -1.59e+04 1.59e+04
ar.S.L7 -0.7743 0.310 -2.501 0.012 -1.381 -0.168
ma.S.L7 -0.3839 1.221 -0.314 0.753 -2.776 2.008
sigma2 0.6406 5181.958 0.000 1.000 -1.02e+04 1.02e+04
===================================================================================
Ljung-Box (L1) (Q): 0.26 Jarque-Bera (JB): 0.95
Prob(Q): 0.61 Prob(JB): 0.62
Heteroskedasticity (H): 0.16 Skew: -0.57
Prob(H) (two-sided): 0.11 Kurtosis: 2.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 148.70299274446745, Current Price: 148.38
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.504
Date: Wed, 09 Oct 2024 AIC 43.008
Time: 14:41:18 BIC 45.833
Sample: 0 HQIC 42.428
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5013 0.414 1.210 0.226 -0.311 1.313
ma.L1 -1.0000 1.21e+04 -8.26e-05 1.000 -2.37e+04 2.37e+04
ar.S.L7 -0.6087 0.362 -1.682 0.093 -1.318 0.101
ma.S.L7 -1.0004 2953.135 -0.000 1.000 -5789.039 5787.039
sigma2 0.3578 4813.855 7.43e-05 1.000 -9434.626 9435.341
===================================================================================
Ljung-Box (L1) (Q): 0.69 Jarque-Bera (JB): 1.20
Prob(Q): 0.41 Prob(JB): 0.55
Heteroskedasticity (H): 0.24 Skew: -0.71
Prob(H) (two-sided): 0.20 Kurtosis: 2.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 149.57402780722896, Current Price: 149.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.931
Date: Wed, 09 Oct 2024 AIC 39.861
Time: 14:41:18 BIC 42.686
Sample: 0 HQIC 39.280
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2982 0.486 0.613 0.540 -0.655 1.251
ma.L1 -0.7820 0.729 -1.073 0.283 -2.210 0.646
ar.S.L7 -0.9254 0.304 -3.049 0.002 -1.520 -0.330
ma.S.L7 -0.0301 0.725 -0.042 0.967 -1.451 1.391
sigma2 0.5764 0.429 1.344 0.179 -0.264 1.417
===================================================================================
Ljung-Box (L1) (Q): 2.64 Jarque-Bera (JB): 0.61
Prob(Q): 0.10 Prob(JB): 0.74
Heteroskedasticity (H): 0.46 Skew: -0.39
Prob(H) (two-sided): 0.47 Kurtosis: 2.28
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 148.1315632946493, Current Price: 150.91
SELL EXECUTED at 150.91
SELL ORDER COMPLETED at 151.0
OPERATION PROFIT, GROSS 2.789999999999992, NET 2.490789999999992
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.911
Date: Wed, 09 Oct 2024 AIC 47.822
Time: 14:41:18 BIC 50.646
Sample: 0 HQIC 47.241
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4002 0.159 -2.524 0.012 -0.711 -0.089
ma.L1 1.0000 2.27e+05 4.41e-06 1.000 -4.44e+05 4.44e+05
ar.S.L7 -0.7664 0.825 -0.929 0.353 -2.383 0.850
ma.S.L7 0.0128 1.990 0.006 0.995 -3.888 3.913
sigma2 0.9452 2.14e+05 4.41e-06 1.000 -4.2e+05 4.2e+05
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 1.29
Prob(Q): 0.71 Prob(JB): 0.53
Heteroskedasticity (H): 2.27 Skew: 0.57
Prob(H) (two-sided): 0.45 Kurtosis: 4.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 152.9462981358726, Current Price: 151.79
BUY EXECUTED at 151.79
BUY ORDER COMPLETED at 152.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.955
Date: Wed, 09 Oct 2024 AIC 47.910
Time: 14:41:18 BIC 50.735
Sample: 0 HQIC 47.329
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0735 12.085 0.006 0.995 -23.612 23.759
ma.L1 -0.0185 12.048 -0.002 0.999 -23.633 23.596
ar.S.L7 -0.8609 0.400 -2.153 0.031 -1.644 -0.077
ma.S.L7 0.3595 1.039 0.346 0.729 -1.677 2.396
sigma2 1.0237 0.729 1.405 0.160 -0.404 2.452
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.69
Prob(Q): 0.95 Prob(JB): 0.43
Heteroskedasticity (H): 2.10 Skew: 0.73
Prob(H) (two-sided): 0.49 Kurtosis: 4.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 151.87749536660093, Current Price: 152.41
SELL EXECUTED at 152.41
SELL ORDER COMPLETED at 154.43
OPERATION PROFIT, GROSS 2.430000000000007, NET 2.123570000000007
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.841
Date: Wed, 09 Oct 2024 AIC 47.682
Time: 14:41:18 BIC 50.506
Sample: 0 HQIC 47.101
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3581 1.424 0.251 0.801 -2.433 3.150
ma.L1 -0.2631 1.863 -0.141 0.888 -3.915 3.389
ar.S.L7 -0.8637 0.252 -3.431 0.001 -1.357 -0.370
ma.S.L7 0.7557 2.695 0.280 0.779 -4.526 6.037
sigma2 0.7979 1.776 0.449 0.653 -2.684 4.280
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.66
Prob(Q): 0.88 Prob(JB): 0.72
Heteroskedasticity (H): 1.35 Skew: 0.52
Prob(H) (two-sided): 0.78 Kurtosis: 3.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 152.72179023578778, Current Price: 154.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.292
Date: Wed, 09 Oct 2024 AIC 50.583
Time: 14:41:18 BIC 53.408
Sample: 0 HQIC 50.003
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3383 5.052 -0.067 0.947 -10.239 9.562
ma.L1 0.4228 4.738 0.089 0.929 -8.863 9.709
ar.S.L7 -0.9458 0.400 -2.367 0.018 -1.729 -0.163
ma.S.L7 0.3144 1.600 0.197 0.844 -2.821 3.450
sigma2 1.2747 1.055 1.208 0.227 -0.793 3.343
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.90
Prob(Q): 0.77 Prob(JB): 0.64
Heteroskedasticity (H): 2.50 Skew: 0.59
Prob(H) (two-sided): 0.40 Kurtosis: 3.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 153.76068813329712, Current Price: 156.09
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.915
Date: Wed, 09 Oct 2024 AIC 49.830
Time: 14:41:18 BIC 52.655
Sample: 0 HQIC 49.250
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8736 0.531 1.645 0.100 -0.167 1.914
ma.L1 -0.5619 0.808 -0.696 0.487 -2.145 1.021
ar.S.L7 -0.7382 0.514 -1.436 0.151 -1.746 0.269
ma.S.L7 0.2808 1.233 0.228 0.820 -2.135 2.697
sigma2 1.1980 1.090 1.099 0.272 -0.938 3.334
===================================================================================
Ljung-Box (L1) (Q): 1.25 Jarque-Bera (JB): 1.14
Prob(Q): 0.26 Prob(JB): 0.57
Heteroskedasticity (H): 1.13 Skew: 0.33
Prob(H) (two-sided): 0.91 Kurtosis: 1.71
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 156.36047250883146, Current Price: 153.3
BUY EXECUTED at 153.3
BUY ORDER COMPLETED at 153.82
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.341
Date: Wed, 09 Oct 2024 AIC 52.683
Time: 14:41:18 BIC 55.508
Sample: 0 HQIC 52.102
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2635 15.211 -0.017 0.986 -30.076 29.549
ma.L1 0.3068 14.478 0.021 0.983 -28.069 28.682
ar.S.L7 -0.8708 1.424 -0.612 0.541 -3.661 1.920
ma.S.L7 0.0650 2.931 0.022 0.982 -5.679 5.809
sigma2 1.5586 0.830 1.878 0.060 -0.068 3.186
===================================================================================
Ljung-Box (L1) (Q): 0.59 Jarque-Bera (JB): 0.80
Prob(Q): 0.44 Prob(JB): 0.67
Heteroskedasticity (H): 5.09 Skew: 0.58
Prob(H) (two-sided): 0.14 Kurtosis: 2.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 153.44288137197174, Current Price: 153.97
SELL EXECUTED at 153.97
SELL ORDER COMPLETED at 155.58
OPERATION PROFIT, GROSS 1.7600000000000193, NET 1.4506000000000192
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.725
Date: Wed, 09 Oct 2024 AIC 51.450
Time: 14:41:18 BIC 54.274
Sample: 0 HQIC 50.869
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7011 2.354 0.298 0.766 -3.913 5.316
ma.L1 -0.5740 3.072 -0.187 0.852 -6.594 5.446
ar.S.L7 -0.8523 0.867 -0.983 0.325 -2.551 0.847
ma.S.L7 0.2024 2.182 0.093 0.926 -4.075 4.480
sigma2 1.3812 0.774 1.785 0.074 -0.135 2.898
===================================================================================
Ljung-Box (L1) (Q): 0.65 Jarque-Bera (JB): 0.37
Prob(Q): 0.42 Prob(JB): 0.83
Heteroskedasticity (H): 15.93 Skew: 0.41
Prob(H) (two-sided): 0.02 Kurtosis: 3.02
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.58371038162417, Current Price: 154.0
BUY EXECUTED at 154.0
BUY ORDER COMPLETED at 152.71
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.641
Date: Wed, 09 Oct 2024 AIC 51.282
Time: 14:41:18 BIC 54.107
Sample: 0 HQIC 50.702
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5139 1.012 -0.508 0.612 -2.498 1.470
ma.L1 0.5180 1.092 0.474 0.635 -1.623 2.659
ar.S.L7 -0.7141 0.426 -1.677 0.094 -1.549 0.121
ma.S.L7 -0.4995 2.859 -0.175 0.861 -6.102 5.103
sigma2 1.2178 2.395 0.508 0.611 -3.477 5.912
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.62
Prob(Q): 0.74 Prob(JB): 0.73
Heteroskedasticity (H): 6.42 Skew: 0.52
Prob(H) (two-sided): 0.10 Kurtosis: 2.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 154.27012911898996, Current Price: 148.38
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.564
Date: Wed, 09 Oct 2024 AIC 65.127
Time: 14:41:18 BIC 67.952
Sample: 0 HQIC 64.547
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3904 1.430 -0.273 0.785 -3.194 2.413
ma.L1 0.8033 0.796 1.009 0.313 -0.757 2.363
ar.S.L7 -0.4784 0.584 -0.820 0.412 -1.622 0.666
ma.S.L7 -3.5811 18.098 -0.198 0.843 -39.052 31.890
sigma2 0.3059 2.961 0.103 0.918 -5.498 6.110
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 2.14
Prob(Q): 0.93 Prob(JB): 0.34
Heteroskedasticity (H): 15.66 Skew: -0.99
Prob(H) (two-sided): 0.02 Kurtosis: 3.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 147.2159165070821, Current Price: 149.2
SELL EXECUTED at 149.2
SELL ORDER COMPLETED at 150.84
OPERATION PROFIT, GROSS -1.8700000000000045, NET -2.1735500000000045
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.246
Date: Wed, 09 Oct 2024 AIC 64.493
Time: 14:41:18 BIC 67.317
Sample: 0 HQIC 63.912
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4770 0.598 -0.798 0.425 -1.649 0.695
ma.L1 1.0001 676.200 0.001 0.999 -1324.328 1326.328
ar.S.L7 -0.0026 0.011 -0.241 0.809 -0.024 0.019
ma.S.L7 -0.6945 3.317 -0.209 0.834 -7.196 5.807
sigma2 3.1751 2144.589 0.001 0.999 -4200.143 4206.493
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 2.99
Prob(Q): 0.70 Prob(JB): 0.22
Heteroskedasticity (H): 8.56 Skew: -1.17
Prob(H) (two-sided): 0.06 Kurtosis: 2.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 151.33553472217534, Current Price: 153.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.107
Date: Wed, 09 Oct 2024 AIC 66.215
Time: 14:41:18 BIC 69.040
Sample: 0 HQIC 65.634
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2539 0.502 -0.505 0.613 -1.238 0.731
ma.L1 1.0000 1.38e+04 7.25e-05 1.000 -2.7e+04 2.7e+04
ar.S.L7 0.2740 0.496 0.552 0.581 -0.699 1.247
ma.S.L7 -0.5923 1.693 -0.350 0.726 -3.911 2.726
sigma2 3.5092 4.84e+04 7.25e-05 1.000 -9.49e+04 9.49e+04
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 1.65
Prob(Q): 0.73 Prob(JB): 0.44
Heteroskedasticity (H): 5.85 Skew: -0.79
Prob(H) (two-sided): 0.12 Kurtosis: 2.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.40283605237718, Current Price: 154.16
BUY EXECUTED at 154.16
BUY ORDER COMPLETED at 156.06
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.783
Date: Wed, 09 Oct 2024 AIC 65.567
Time: 14:41:18 BIC 68.392
Sample: 0 HQIC 64.986
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3174 0.511 -0.622 0.534 -1.318 0.683
ma.L1 1.0000 2744.690 0.000 1.000 -5378.493 5380.493
ar.S.L7 0.2727 0.508 0.537 0.591 -0.723 1.268
ma.S.L7 -1.0004 2083.636 -0.000 1.000 -4084.852 4082.852
sigma2 2.4080 6487.735 0.000 1.000 -1.27e+04 1.27e+04
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 1.31
Prob(Q): 0.77 Prob(JB): 0.52
Heteroskedasticity (H): 12.54 Skew: -0.63
Prob(H) (two-sided): 0.03 Kurtosis: 2.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 151.27159603141794, Current Price: 157.49
SELL EXECUTED at 157.49
SELL ORDER COMPLETED at 158.33
OPERATION PROFIT, GROSS 2.2700000000000102, NET 1.9556100000000103
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.043
Date: Wed, 09 Oct 2024 AIC 70.086
Time: 14:41:18 BIC 72.911
Sample: 0 HQIC 69.505
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4191 0.635 -0.660 0.509 -1.663 0.825
ma.L1 1.0000 3467.918 0.000 1.000 -6795.995 6797.995
ar.S.L7 3.539e-05 0.179 0.000 1.000 -0.351 0.351
ma.S.L7 -1.0002 1968.280 -0.001 1.000 -3858.759 3856.758
sigma2 4.0862 1.99e+04 0.000 1.000 -3.9e+04 3.9e+04
===================================================================================
Ljung-Box (L1) (Q): 0.29 Jarque-Bera (JB): 0.63
Prob(Q): 0.59 Prob(JB): 0.73
Heteroskedasticity (H): 6.34 Skew: -0.49
Prob(H) (two-sided): 0.10 Kurtosis: 2.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.58946312919568, Current Price: 157.55
BUY EXECUTED at 157.55
BUY ORDER COMPLETED at 158.6
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.147
Date: Wed, 09 Oct 2024 AIC 70.294
Time: 14:41:18 BIC 73.118
Sample: 0 HQIC 69.713
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0477 1.069 0.045 0.964 -2.047 2.142
ma.L1 22.3743 0.003 7881.776 0.000 22.369 22.380
ar.S.L7 -1.0565 0.571 -1.849 0.064 -2.176 0.063
ma.S.L7 7.0060 87.500 0.080 0.936 -164.491 178.503
sigma2 0.0002 0.006 0.041 0.967 -0.011 0.012
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.94
Prob(Q): 0.98 Prob(JB): 0.38
Heteroskedasticity (H): 4.52 Skew: -0.60
Prob(H) (two-sided): 0.17 Kurtosis: 4.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 2e+20. Standard errors may be unstable.
Predicted Price: 159.33079818340525, Current Price: 157.81
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.327
Date: Wed, 09 Oct 2024 AIC 70.654
Time: 14:41:18 BIC 73.478
Sample: 0 HQIC 70.073
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1161 0.870 0.133 0.894 -1.589 1.821
ma.L1 -61.9383 0.000 -2.95e+05 0.000 -61.939 -61.938
ar.S.L7 -0.9993 0.598 -1.672 0.094 -2.170 0.172
ma.S.L7 0.1435 1.599 0.090 0.929 -2.991 3.278
sigma2 0.0016 0.001 1.595 0.111 -0.000 0.004
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.06
Prob(Q): 0.93 Prob(JB): 0.59
Heteroskedasticity (H): 1.19 Skew: -0.50
Prob(H) (two-sided): 0.87 Kurtosis: 3.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 2.02e+18. Standard errors may be unstable.
Predicted Price: 157.6733943556581, Current Price: 154.48
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.477
Date: Wed, 09 Oct 2024 AIC 70.954
Time: 14:41:19 BIC 73.779
Sample: 0 HQIC 70.374
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0391 1.089 -0.036 0.971 -2.174 2.096
ma.L1 21.9852 0.002 9758.899 0.000 21.981 21.990
ar.S.L7 -0.9476 0.403 -2.351 0.019 -1.737 -0.158
ma.S.L7 1.7789 5.096 0.349 0.727 -8.209 11.767
sigma2 0.0036 0.018 0.201 0.841 -0.031 0.039
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.43
Prob(Q): 0.93 Prob(JB): 0.49
Heteroskedasticity (H): 1.70 Skew: -0.58
Prob(H) (two-sided): 0.62 Kurtosis: 4.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 1.53e+18. Standard errors may be unstable.
Predicted Price: 155.19786979678966, Current Price: 153.93
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.700
Date: Wed, 09 Oct 2024 AIC 69.401
Time: 14:41:19 BIC 72.226
Sample: 0 HQIC 68.820
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1608 13.995 -0.011 0.991 -27.591 27.269
ma.L1 9.3341 1184.556 0.008 0.994 -2312.354 2331.022
ar.S.L7 -0.8977 0.783 -1.146 0.252 -2.433 0.638
ma.S.L7 0.9996 3259.676 0.000 1.000 -6387.848 6389.848
sigma2 0.0391 126.483 0.000 1.000 -247.864 247.942
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.22
Prob(Q): 0.82 Prob(JB): 0.89
Heteroskedasticity (H): 0.67 Skew: -0.08
Prob(H) (two-sided): 0.71 Kurtosis: 3.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.28416836786022, Current Price: 147.79
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -33.972
Date: Wed, 09 Oct 2024 AIC 77.944
Time: 14:41:19 BIC 80.769
Sample: 0 HQIC 77.363
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1693 1.569 0.108 0.914 -2.906 3.244
ma.L1 11.0210 171.652 0.064 0.949 -325.411 347.453
ar.S.L7 -0.6335 0.912 -0.694 0.487 -2.422 1.155
ma.S.L7 -0.9842 80.662 -0.012 0.990 -159.079 157.110
sigma2 0.0545 3.785 0.014 0.989 -7.364 7.473
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.20
Prob(Q): 0.88 Prob(JB): 0.90
Heteroskedasticity (H): 1.90 Skew: -0.03
Prob(H) (two-sided): 0.55 Kurtosis: 2.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 146.6758762025433, Current Price: 143.28
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -33.961
Date: Wed, 09 Oct 2024 AIC 77.921
Time: 14:41:19 BIC 80.746
Sample: 0 HQIC 77.341
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4506 1.652 0.273 0.785 -2.787 3.689
ma.L1 -0.0343 1.792 -0.019 0.985 -3.547 3.479
ar.S.L7 -0.5576 1.144 -0.487 0.626 -2.800 1.685
ma.S.L7 -1.0001 3.2e+04 -3.12e-05 1.000 -6.28e+04 6.28e+04
sigma2 6.5592 2.1e+05 3.12e-05 1.000 -4.12e+05 4.12e+05
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.44
Prob(Q): 0.85 Prob(JB): 0.80
Heteroskedasticity (H): 2.03 Skew: -0.28
Prob(H) (two-sided): 0.51 Kurtosis: 2.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 139.0141574932081, Current Price: 141.64
SELL EXECUTED at 141.64
SELL ORDER COMPLETED at 140.18
OPERATION PROFIT, GROSS -18.419999999999987, NET -18.718779999999988
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -34.478
Date: Wed, 09 Oct 2024 AIC 78.956
Time: 14:41:19 BIC 81.781
Sample: 0 HQIC 78.375
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4072 2.856 0.143 0.887 -5.190 6.005
ma.L1 -0.0452 3.144 -0.014 0.989 -6.207 6.117
ar.S.L7 -0.4437 1.730 -0.257 0.798 -3.834 2.947
ma.S.L7 -1.0004 7776.920 -0.000 1.000 -1.52e+04 1.52e+04
sigma2 7.0944 5.52e+04 0.000 1.000 -1.08e+05 1.08e+05
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 0.41
Prob(Q): 0.66 Prob(JB): 0.82
Heteroskedasticity (H): 1.64 Skew: -0.33
Prob(H) (two-sided): 0.64 Kurtosis: 2.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 142.1778183068336, Current Price: 143.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -34.683
Date: Wed, 09 Oct 2024 AIC 79.367
Time: 14:41:19 BIC 82.192
Sample: 0 HQIC 78.786
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3514 1.819 0.193 0.847 -3.214 3.917
ma.L1 0.0269 2.054 0.013 0.990 -3.999 4.053
ar.S.L7 -0.5064 1.202 -0.421 0.674 -2.863 1.850
ma.S.L7 -1.0001 1.83e+04 -5.48e-05 1.000 -3.58e+04 3.58e+04
sigma2 7.3227 1.34e+05 5.48e-05 1.000 -2.62e+05 2.62e+05
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.61
Prob(Q): 0.78 Prob(JB): 0.74
Heteroskedasticity (H): 1.58 Skew: -0.38
Prob(H) (two-sided): 0.67 Kurtosis: 2.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 145.09180393993333, Current Price: 140.7
BUY EXECUTED at 140.7
BUY ORDER COMPLETED at 139.08
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -33.965
Date: Wed, 09 Oct 2024 AIC 77.930
Time: 14:41:19 BIC 80.755
Sample: 0 HQIC 77.349
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0684 1.500 0.046 0.964 -2.872 3.009
ma.L1 0.2767 1.459 0.190 0.850 -2.583 3.136
ar.S.L7 -0.7262 0.722 -1.006 0.314 -2.141 0.689
ma.S.L7 -0.1657 0.890 -0.186 0.852 -1.909 1.578
sigma2 10.7687 9.249 1.164 0.244 -7.360 28.897
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.75
Prob(Q): 0.85 Prob(JB): 0.69
Heteroskedasticity (H): 0.63 Skew: -0.58
Prob(H) (two-sided): 0.66 Kurtosis: 3.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 135.07784992078945, Current Price: 138.04
SELL EXECUTED at 138.04
SELL ORDER COMPLETED at 140.71
OPERATION PROFIT, GROSS 1.6299999999999955, NET 1.3502099999999955
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -33.582
Date: Wed, 09 Oct 2024 AIC 77.164
Time: 14:41:19 BIC 79.989
Sample: 0 HQIC 76.584
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5786 0.388 1.490 0.136 -0.182 1.340
ma.L1 -0.3186 0.531 -0.601 0.548 -1.358 0.721
ar.S.L7 -0.6229 0.560 -1.113 0.266 -1.720 0.474
ma.S.L7 -1.0002 5951.025 -0.000 1.000 -1.17e+04 1.17e+04
sigma2 5.9879 3.56e+04 0.000 1.000 -6.98e+04 6.98e+04
===================================================================================
Ljung-Box (L1) (Q): 0.28 Jarque-Bera (JB): 0.51
Prob(Q): 0.60 Prob(JB): 0.78
Heteroskedasticity (H): 0.85 Skew: -0.26
Prob(H) (two-sided): 0.88 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 137.9724166253055, Current Price: 140.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.348
Date: Wed, 09 Oct 2024 AIC 74.697
Time: 14:41:19 BIC 77.521
Sample: 0 HQIC 74.116
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3525 1.800 0.196 0.845 -3.175 3.880
ma.L1 -0.0940 2.034 -0.046 0.963 -4.080 3.892
ar.S.L7 -0.8605 0.465 -1.852 0.064 -1.771 0.050
ma.S.L7 -1.0002 4896.316 -0.000 1.000 -9597.602 9595.602
sigma2 5.1119 2.5e+04 0.000 1.000 -4.91e+04 4.91e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.45
Prob(Q): 0.87 Prob(JB): 0.80
Heteroskedasticity (H): 2.10 Skew: -0.28
Prob(H) (two-sided): 0.49 Kurtosis: 2.28
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 147.74478215450094, Current Price: 146.3
BUY EXECUTED at 146.3
BUY ORDER COMPLETED at 153.5
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.391
Date: Wed, 09 Oct 2024 AIC 74.782
Time: 14:41:19 BIC 77.607
Sample: 0 HQIC 74.202
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3079 1.756 0.175 0.861 -3.134 3.750
ma.L1 -0.0218 1.977 -0.011 0.991 -3.897 3.854
ar.S.L7 -0.7810 0.559 -1.398 0.162 -1.876 0.314
ma.S.L7 -0.7350 3.020 -0.243 0.808 -6.655 5.185
sigma2 6.5518 16.996 0.385 0.700 -26.760 39.864
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.67
Prob(Q): 0.82 Prob(JB): 0.72
Heteroskedasticity (H): 1.39 Skew: -0.51
Prob(H) (two-sided): 0.76 Kurtosis: 2.58
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 148.9168488083622, Current Price: 153.4
SELL EXECUTED at 153.4
SELL ORDER COMPLETED at 152.58
OPERATION PROFIT, GROSS -0.9199999999999875, NET -1.2260799999999876
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -33.981
Date: Wed, 09 Oct 2024 AIC 77.962
Time: 14:41:19 BIC 80.786
Sample: 0 HQIC 77.381
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3867 1.835 0.211 0.833 -3.210 3.983
ma.L1 -0.1194 2.076 -0.058 0.954 -4.187 3.949
ar.S.L7 -0.7396 0.864 -0.856 0.392 -2.432 0.953
ma.S.L7 -1.0000 2.88e+04 -3.47e-05 1.000 -5.64e+04 5.64e+04
sigma2 6.5711 1.89e+05 3.47e-05 1.000 -3.71e+05 3.71e+05
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.34
Prob(Q): 0.89 Prob(JB): 0.84
Heteroskedasticity (H): 4.18 Skew: -0.40
Prob(H) (two-sided): 0.19 Kurtosis: 3.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.740159827213, Current Price: 151.3
BUY EXECUTED at 151.3
BUY ORDER COMPLETED at 153.3107
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -34.772
Date: Wed, 09 Oct 2024 AIC 79.543
Time: 14:41:19 BIC 82.368
Sample: 0 HQIC 78.963
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3695 5.150 0.072 0.943 -9.724 10.463
ma.L1 -0.2192 5.332 -0.041 0.967 -10.671 10.232
ar.S.L7 -0.7655 0.678 -1.130 0.259 -2.094 0.563
ma.S.L7 -1.0000 3.55e+04 -2.82e-05 1.000 -6.96e+04 6.96e+04
sigma2 7.4245 2.64e+05 2.82e-05 1.000 -5.16e+05 5.16e+05
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 0.06
Prob(Q): 0.70 Prob(JB): 0.97
Heteroskedasticity (H): 0.77 Skew: -0.11
Prob(H) (two-sided): 0.81 Kurtosis: 2.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 150.70921438104713, Current Price: 153.24
SELL EXECUTED at 153.24
SELL ORDER COMPLETED at 153.0
OPERATION PROFIT, GROSS -0.3106999999999971, NET -0.6170106999999971
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -35.246
Date: Wed, 09 Oct 2024 AIC 80.491
Time: 14:41:19 BIC 83.316
Sample: 0 HQIC 79.911
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3924 3.102 0.127 0.899 -5.686 6.471
ma.L1 -0.2986 3.188 -0.094 0.925 -6.548 5.950
ar.S.L7 -0.7986 0.715 -1.117 0.264 -2.199 0.602
ma.S.L7 -1.0001 1.53e+04 -6.55e-05 1.000 -2.99e+04 2.99e+04
sigma2 7.9840 1.22e+05 6.55e-05 1.000 -2.39e+05 2.39e+05
===================================================================================
Ljung-Box (L1) (Q): 0.58 Jarque-Bera (JB): 0.31
Prob(Q): 0.45 Prob(JB): 0.85
Heteroskedasticity (H): 0.71 Skew: -0.23
Prob(H) (two-sided): 0.75 Kurtosis: 2.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.38612374558642, Current Price: 152.25
BUY EXECUTED at 152.25
BUY ORDER COMPLETED at 152.41
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -33.898
Date: Wed, 09 Oct 2024 AIC 77.797
Time: 14:41:19 BIC 80.622
Sample: 0 HQIC 77.216
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6781 0.208 3.259 0.001 0.270 1.086
ma.L1 -1.0000 3.83e+04 -2.61e-05 1.000 -7.51e+04 7.51e+04
ar.S.L7 -1.0743 0.501 -2.143 0.032 -2.057 -0.092
ma.S.L7 -1.0000 3.97e+04 -2.52e-05 1.000 -7.79e+04 7.79e+04
sigma2 5.2173 7310.520 0.001 0.999 -1.43e+04 1.43e+04
===================================================================================
Ljung-Box (L1) (Q): 0.38 Jarque-Bera (JB): 0.78
Prob(Q): 0.54 Prob(JB): 0.68
Heteroskedasticity (H): 0.71 Skew: -0.36
Prob(H) (two-sided): 0.75 Kurtosis: 2.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 4.58e+17. Standard errors may be unstable.
Predicted Price: 147.01537023588838, Current Price: 152.92
SELL EXECUTED at 152.92
SELL ORDER COMPLETED at 151.36
OPERATION PROFIT, GROSS -1.049999999999983, NET -1.353769999999983
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -34.924
Date: Wed, 09 Oct 2024 AIC 79.849
Time: 14:41:19 BIC 82.674
Sample: 0 HQIC 79.268
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5670 0.153 3.706 0.000 0.267 0.867
ma.L1 -1.0000 1.71e+04 -5.83e-05 1.000 -3.36e+04 3.36e+04
ar.S.L7 -1.2748 0.365 -3.496 0.000 -1.989 -0.560
ma.S.L7 -0.0663 0.477 -0.139 0.889 -1.001 0.869
sigma2 10.6383 1.82e+05 5.83e-05 1.000 -3.57e+05 3.57e+05
===================================================================================
Ljung-Box (L1) (Q): 0.96 Jarque-Bera (JB): 0.86
Prob(Q): 0.33 Prob(JB): 0.65
Heteroskedasticity (H): 0.75 Skew: -0.18
Prob(H) (two-sided): 0.78 Kurtosis: 1.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 150.4106904327932, Current Price: 148.05
BUY EXECUTED at 148.05
BUY ORDER COMPLETED at 148.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -33.383
Date: Wed, 09 Oct 2024 AIC 76.767
Time: 14:41:19 BIC 79.591
Sample: 0 HQIC 76.186
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9026 0.750 -1.204 0.229 -2.372 0.567
ma.L1 0.5995 1.094 0.548 0.584 -1.545 2.744
ar.S.L7 -0.9011 0.671 -1.344 0.179 -2.215 0.413
ma.S.L7 -1.0000 5.11e+04 -1.96e-05 1.000 -1e+05 1e+05
sigma2 5.7828 2.96e+05 1.96e-05 1.000 -5.79e+05 5.79e+05
===================================================================================
Ljung-Box (L1) (Q): 1.45 Jarque-Bera (JB): 1.81
Prob(Q): 0.23 Prob(JB): 0.40
Heteroskedasticity (H): 0.22 Skew: -0.85
Prob(H) (two-sided): 0.17 Kurtosis: 3.68
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 146.90670374924926, Current Price: 149.45
SELL EXECUTED at 149.45
SELL ORDER COMPLETED at 151.2
OPERATION PROFIT, GROSS 3.0, NET 2.7006
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.969
Date: Wed, 09 Oct 2024 AIC 63.938
Time: 14:41:19 BIC 66.763
Sample: 0 HQIC 63.357
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0645 0.133 -8.012 0.000 -1.325 -0.804
ma.L1 0.5086 0.307 1.657 0.098 -0.093 1.110
ar.S.L7 -0.8967 0.222 -4.047 0.000 -1.331 -0.462
ma.S.L7 -1.0000 3.55e+04 -2.82e-05 1.000 -6.95e+04 6.95e+04
sigma2 2.1613 7.66e+04 2.82e-05 1.000 -1.5e+05 1.5e+05
===================================================================================
Ljung-Box (L1) (Q): 0.97 Jarque-Bera (JB): 0.66
Prob(Q): 0.32 Prob(JB): 0.72
Heteroskedasticity (H): 1.44 Skew: -0.16
Prob(H) (two-sided): 0.73 Kurtosis: 1.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 138.57745618875018, Current Price: 151.9
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -35.747
Date: Wed, 09 Oct 2024 AIC 81.495
Time: 14:41:19 BIC 84.319
Sample: 0 HQIC 80.914
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2494 2.087 -0.120 0.905 -4.339 3.841
ma.L1 -0.0942 2.280 -0.041 0.967 -4.562 4.374
ar.S.L7 -0.8341 0.264 -3.165 0.002 -1.351 -0.318
ma.S.L7 0.3215 0.697 0.461 0.645 -1.045 1.688
sigma2 13.7161 8.439 1.625 0.104 -2.825 30.257
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 1.85
Prob(Q): 0.62 Prob(JB): 0.40
Heteroskedasticity (H): 3.44 Skew: 0.74
Prob(H) (two-sided): 0.26 Kurtosis: 4.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 147.85279227066385, Current Price: 152.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -35.173
Date: Wed, 09 Oct 2024 AIC 80.345
Time: 14:41:19 BIC 83.170
Sample: 0 HQIC 79.765
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8067 0.726 -1.111 0.267 -2.230 0.616
ma.L1 0.5850 0.813 0.719 0.472 -1.009 2.179
ar.S.L7 -0.7865 0.195 -4.041 0.000 -1.168 -0.405
ma.S.L7 0.6692 1.741 0.384 0.701 -2.742 4.081
sigma2 10.2071 14.653 0.697 0.486 -18.511 38.925
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.01
Prob(Q): 0.75 Prob(JB): 1.00
Heteroskedasticity (H): 2.27 Skew: -0.04
Prob(H) (two-sided): 0.45 Kurtosis: 2.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 153.2574604580483, Current Price: 156.88
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -152.257
Date: Wed, 09 Oct 2024 AIC 314.515
Time: 14:41:19 BIC 317.339
Sample: 0 HQIC 313.934
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -48.8241 4204.747 -0.012 0.991 -8289.978 8192.330
ma.L1 -56.8119 3366.293 -0.017 0.987 -6654.626 6541.002
ar.S.L7 91.5375 7895.125 0.012 0.991 -1.54e+04 1.56e+04
ma.S.L7 -29.5523 1773.234 -0.017 0.987 -3505.026 3445.922
sigma2 481.1266 1.06e+05 0.005 0.996 -2.07e+05 2.08e+05
===================================================================================
Ljung-Box (L1) (Q): 4.45 Jarque-Bera (JB): 0.36
Prob(Q): 0.03 Prob(JB): 0.84
Heteroskedasticity (H): 2.27 Skew: -0.41
Prob(H) (two-sided): 0.45 Kurtosis: 3.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 537.4312419097392, Current Price: 156.04
BUY EXECUTED at 156.04
BUY ORDER COMPLETED at 155.91
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -34.785
Date: Wed, 09 Oct 2024 AIC 79.571
Time: 14:41:19 BIC 82.395
Sample: 0 HQIC 78.990
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3965 3.073 -0.129 0.897 -6.419 5.626
ma.L1 0.2670 2.930 0.091 0.927 -5.476 6.010
ar.S.L7 -0.7940 0.242 -3.283 0.001 -1.268 -0.320
ma.S.L7 1.0000 2.58e+04 3.88e-05 1.000 -5.05e+04 5.05e+04
sigma2 7.4453 1.92e+05 3.88e-05 1.000 -3.76e+05 3.76e+05
===================================================================================
Ljung-Box (L1) (Q): 0.60 Jarque-Bera (JB): 0.90
Prob(Q): 0.44 Prob(JB): 0.64
Heteroskedasticity (H): 0.40 Skew: -0.57
Prob(H) (two-sided): 0.39 Kurtosis: 3.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.69279541357997, Current Price: 154.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -33.829
Date: Wed, 09 Oct 2024 AIC 77.659
Time: 14:41:20 BIC 80.484
Sample: 0 HQIC 77.078
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9087 0.281 -3.235 0.001 -1.459 -0.358
ma.L1 1.0000 6.95e+04 1.44e-05 1.000 -1.36e+05 1.36e+05
ar.S.L7 -0.7886 0.209 -3.774 0.000 -1.198 -0.379
ma.S.L7 1.0000 1.16e+05 8.64e-06 1.000 -2.27e+05 2.27e+05
sigma2 5.1633 6.35e+05 8.13e-06 1.000 -1.25e+06 1.25e+06
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 0.16
Prob(Q): 0.66 Prob(JB): 0.92
Heteroskedasticity (H): 0.29 Skew: 0.05
Prob(H) (two-sided): 0.26 Kurtosis: 3.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 153.43100636658988, Current Price: 158.69
SELL EXECUTED at 158.69
SELL ORDER COMPLETED at 159.17
OPERATION PROFIT, GROSS 3.259999999999991, NET 2.944919999999991
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -34.748
Date: Wed, 09 Oct 2024 AIC 79.495
Time: 14:41:20 BIC 82.320
Sample: 0 HQIC 78.915
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1268 0.996 -0.127 0.899 -2.078 1.824
ma.L1 0.4305 0.880 0.489 0.625 -1.295 2.156
ar.S.L7 -0.0050 0.011 -0.444 0.657 -0.027 0.017
ma.S.L7 -1.0002 2779.077 -0.000 1.000 -5447.892 5445.891
sigma2 8.0781 2.24e+04 0.000 1.000 -4.4e+04 4.4e+04
===================================================================================
Ljung-Box (L1) (Q): 3.22 Jarque-Bera (JB): 1.01
Prob(Q): 0.07 Prob(JB): 0.60
Heteroskedasticity (H): 0.55 Skew: -0.63
Prob(H) (two-sided): 0.58 Kurtosis: 3.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.11567125143048, Current Price: 161.41
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.633
Date: Wed, 09 Oct 2024 AIC 71.266
Time: 14:41:20 BIC 74.091
Sample: 0 HQIC 70.685
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3815 2.150 -0.177 0.859 -4.594 3.832
ma.L1 0.0050 1.867 0.003 0.998 -3.655 3.665
ar.S.L7 -0.6131 0.319 -1.924 0.054 -1.238 0.012
ma.S.L7 0.2182 0.723 0.302 0.763 -1.199 1.635
sigma2 6.4048 3.714 1.725 0.085 -0.874 13.684
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 0.05
Prob(Q): 0.62 Prob(JB): 0.98
Heteroskedasticity (H): 2.66 Skew: -0.02
Prob(H) (two-sided): 0.37 Kurtosis: 2.72
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.60357489151266, Current Price: 162.68
BUY EXECUTED at 162.68
BUY ORDER COMPLETED at 161.8
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.830
Date: Wed, 09 Oct 2024 AIC 67.661
Time: 14:41:20 BIC 70.486
Sample: 0 HQIC 67.080
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5843 0.229 2.546 0.011 0.135 1.034
ma.L1 -0.7280 0.570 -1.278 0.201 -1.845 0.389
ar.S.L7 -0.4266 0.278 -1.535 0.125 -0.971 0.118
ma.S.L7 -1.0000 2.07e+04 -4.82e-05 1.000 -4.06e+04 4.06e+04
sigma2 2.7975 5.8e+04 4.82e-05 1.000 -1.14e+05 1.14e+05
===================================================================================
Ljung-Box (L1) (Q): 0.35 Jarque-Bera (JB): 2.73
Prob(Q): 0.56 Prob(JB): 0.26
Heteroskedasticity (H): 0.39 Skew: -0.99
Prob(H) (two-sided): 0.38 Kurtosis: 4.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.44116468974286, Current Price: 161.85
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.439
Date: Wed, 09 Oct 2024 AIC 68.878
Time: 14:41:20 BIC 71.703
Sample: 0 HQIC 68.298
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3661 3.191 -0.115 0.909 -6.621 5.889
ma.L1 0.2502 3.297 0.076 0.939 -6.211 6.712
ar.S.L7 -0.5123 0.303 -1.692 0.091 -1.106 0.081
ma.S.L7 -1.0000 2.98e+04 -3.36e-05 1.000 -5.83e+04 5.83e+04
sigma2 3.2694 9.73e+04 3.36e-05 1.000 -1.91e+05 1.91e+05
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 3.10
Prob(Q): 0.75 Prob(JB): 0.21
Heteroskedasticity (H): 0.53 Skew: -1.16
Prob(H) (two-sided): 0.56 Kurtosis: 3.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.91260246169227, Current Price: 161.71
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.658
Date: Wed, 09 Oct 2024 AIC 67.316
Time: 14:41:20 BIC 70.141
Sample: 0 HQIC 66.736
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8148 0.192 -4.239 0.000 -1.192 -0.438
ma.L1 1.0000 1.65e+04 6.07e-05 1.000 -3.23e+04 3.23e+04
ar.S.L7 -0.5445 0.249 -2.185 0.029 -1.033 -0.056
ma.S.L7 -1.0000 2.72e+04 -3.68e-05 1.000 -5.33e+04 5.33e+04
sigma2 2.5608 8.35e+04 3.07e-05 1.000 -1.64e+05 1.64e+05
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 1.65
Prob(Q): 0.73 Prob(JB): 0.44
Heteroskedasticity (H): 0.47 Skew: -0.80
Prob(H) (two-sided): 0.48 Kurtosis: 2.31
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.08866476657732, Current Price: 158.57
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.771
Date: Wed, 09 Oct 2024 AIC 65.542
Time: 14:41:20 BIC 68.367
Sample: 0 HQIC 64.961
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7814 0.198 -3.948 0.000 -1.169 -0.393
ma.L1 1.0000 1.09e+04 9.21e-05 1.000 -2.13e+04 2.13e+04
ar.S.L7 -0.5461 0.220 -2.482 0.013 -0.977 -0.115
ma.S.L7 -1.0000 9.09e+04 -1.1e-05 1.000 -1.78e+05 1.78e+05
sigma2 2.2337 2.03e+05 1.1e-05 1.000 -3.97e+05 3.97e+05
===================================================================================
Ljung-Box (L1) (Q): 0.46 Jarque-Bera (JB): 0.88
Prob(Q): 0.50 Prob(JB): 0.64
Heteroskedasticity (H): 0.43 Skew: -0.41
Prob(H) (two-sided): 0.44 Kurtosis: 2.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 157.96589162899866, Current Price: 159.7
SELL EXECUTED at 159.7
SELL ORDER COMPLETED at 157.6
OPERATION PROFIT, GROSS -4.200000000000017, NET -4.519400000000017
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.014
Date: Wed, 09 Oct 2024 AIC 62.028
Time: 14:41:20 BIC 64.853
Sample: 0 HQIC 61.447
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5932 0.156 -3.800 0.000 -0.899 -0.287
ma.L1 1.0000 2.96e+04 3.38e-05 1.000 -5.81e+04 5.81e+04
ar.S.L7 -0.6280 0.136 -4.615 0.000 -0.895 -0.361
ma.S.L7 -1.0000 3.33e+04 -3e-05 1.000 -6.52e+04 6.52e+04
sigma2 1.7135 9.11e+04 1.88e-05 1.000 -1.79e+05 1.79e+05
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.51
Prob(Q): 0.96 Prob(JB): 0.77
Heteroskedasticity (H): 0.39 Skew: -0.02
Prob(H) (two-sided): 0.38 Kurtosis: 2.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 156.38528775399138, Current Price: 158.61
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.568
Date: Wed, 09 Oct 2024 AIC 61.137
Time: 14:41:20 BIC 63.961
Sample: 0 HQIC 60.556
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1186 0.731 -0.162 0.871 -1.551 1.314
ma.L1 0.3752 0.671 0.559 0.576 -0.940 1.691
ar.S.L7 -0.6350 0.253 -2.506 0.012 -1.132 -0.138
ma.S.L7 -1.0000 2.49e+04 -4.02e-05 1.000 -4.87e+04 4.87e+04
sigma2 1.8016 4.48e+04 4.02e-05 1.000 -8.78e+04 8.78e+04
===================================================================================
Ljung-Box (L1) (Q): 0.23 Jarque-Bera (JB): 1.45
Prob(Q): 0.63 Prob(JB): 0.48
Heteroskedasticity (H): 1.14 Skew: -0.64
Prob(H) (two-sided): 0.90 Kurtosis: 1.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.9827032458253, Current Price: 161.73
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.858
Date: Wed, 09 Oct 2024 AIC 61.716
Time: 14:41:20 BIC 64.541
Sample: 0 HQIC 61.136
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5380 0.353 -1.523 0.128 -1.230 0.154
ma.L1 1.0000 1.13e+04 8.84e-05 1.000 -2.22e+04 2.22e+04
ar.S.L7 -0.7025 0.128 -5.484 0.000 -0.954 -0.451
ma.S.L7 -1.0002 3568.562 -0.000 1.000 -6995.254 6993.254
sigma2 1.6596 2.11e+04 7.86e-05 1.000 -4.14e+04 4.14e+04
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 0.47
Prob(Q): 0.67 Prob(JB): 0.79
Heteroskedasticity (H): 1.65 Skew: 0.06
Prob(H) (two-sided): 0.64 Kurtosis: 2.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.60148206426106, Current Price: 163.34
BUY EXECUTED at 163.34
BUY ORDER COMPLETED at 163.13
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.196
Date: Wed, 09 Oct 2024 AIC 62.393
Time: 14:41:20 BIC 65.218
Sample: 0 HQIC 61.812
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3472 0.706 -0.492 0.623 -1.730 1.036
ma.L1 1.0000 1.21e+04 8.28e-05 1.000 -2.37e+04 2.37e+04
ar.S.L7 -0.7426 0.127 -5.862 0.000 -0.991 -0.494
ma.S.L7 -0.4099 0.774 -0.529 0.596 -1.927 1.107
sigma2 2.8513 3.45e+04 8.28e-05 1.000 -6.75e+04 6.75e+04
===================================================================================
Ljung-Box (L1) (Q): 0.55 Jarque-Bera (JB): 0.30
Prob(Q): 0.46 Prob(JB): 0.86
Heteroskedasticity (H): 0.61 Skew: -0.35
Prob(H) (two-sided): 0.64 Kurtosis: 2.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.8667414826964, Current Price: 162.64
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.298
Date: Wed, 09 Oct 2024 AIC 62.597
Time: 14:41:20 BIC 65.422
Sample: 0 HQIC 62.016
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4928 0.132 -3.727 0.000 -0.752 -0.234
ma.L1 1.0000 1.4e+04 7.16e-05 1.000 -2.74e+04 2.74e+04
ar.S.L7 -0.6225 0.118 -5.265 0.000 -0.854 -0.391
ma.S.L7 -0.6510 1.130 -0.576 0.565 -2.865 1.564
sigma2 2.4233 3.39e+04 7.16e-05 1.000 -6.64e+04 6.64e+04
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 0.54
Prob(Q): 0.64 Prob(JB): 0.76
Heteroskedasticity (H): 0.33 Skew: 0.48
Prob(H) (two-sided): 0.31 Kurtosis: 2.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.53799284168213, Current Price: 161.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.280
Date: Wed, 09 Oct 2024 AIC 66.560
Time: 14:41:20 BIC 69.385
Sample: 0 HQIC 65.979
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2947 0.781 -0.377 0.706 -1.826 1.237
ma.L1 1.0000 2.11e+05 4.74e-06 1.000 -4.13e+05 4.13e+05
ar.S.L7 -0.7872 0.146 -5.391 0.000 -1.073 -0.501
ma.S.L7 0.5542 0.558 0.993 0.321 -0.540 1.649
sigma2 3.3848 7.14e+05 4.74e-06 1.000 -1.4e+06 1.4e+06
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 0.38
Prob(Q): 0.68 Prob(JB): 0.83
Heteroskedasticity (H): 0.42 Skew: -0.24
Prob(H) (two-sided): 0.42 Kurtosis: 2.31
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 157.71397576277786, Current Price: 160.84
SELL EXECUTED at 160.84
SELL ORDER COMPLETED at 160.1
OPERATION PROFIT, GROSS -3.030000000000001, NET -3.3532300000000013
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.284
Date: Wed, 09 Oct 2024 AIC 68.568
Time: 14:41:20 BIC 71.393
Sample: 0 HQIC 67.988
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5099 0.601 0.848 0.396 -0.668 1.688
ma.L1 -0.6057 0.616 -0.983 0.326 -1.814 0.602
ar.S.L7 -0.6199 0.268 -2.317 0.021 -1.144 -0.095
ma.S.L7 0.2831 0.861 0.329 0.742 -1.404 1.970
sigma2 5.0455 3.869 1.304 0.192 -2.538 12.629
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.39
Prob(Q): 0.81 Prob(JB): 0.82
Heteroskedasticity (H): 0.33 Skew: 0.32
Prob(H) (two-sided): 0.31 Kurtosis: 2.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.8222067269226, Current Price: 161.73
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.238
Date: Wed, 09 Oct 2024 AIC 60.476
Time: 14:41:20 BIC 63.301
Sample: 0 HQIC 59.896
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5318 1.197 -0.444 0.657 -2.878 1.814
ma.L1 0.6331 0.926 0.683 0.494 -1.183 2.449
ar.S.L7 -0.0037 0.007 -0.512 0.609 -0.018 0.010
ma.S.L7 -0.9998 1737.059 -0.001 1.000 -3405.572 3403.572
sigma2 1.8144 3150.447 0.001 1.000 -6172.949 6176.578
===================================================================================
Ljung-Box (L1) (Q): 0.24 Jarque-Bera (JB): 0.41
Prob(Q): 0.62 Prob(JB): 0.82
Heteroskedasticity (H): 0.87 Skew: -0.02
Prob(H) (two-sided): 0.90 Kurtosis: 2.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.126923567884, Current Price: 158.8
BUY EXECUTED at 158.8
BUY ORDER COMPLETED at 158.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.178
Date: Wed, 09 Oct 2024 AIC 64.357
Time: 14:41:20 BIC 67.182
Sample: 0 HQIC 63.776
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4172 0.131 -3.177 0.001 -0.675 -0.160
ma.L1 0.8679 0.552 1.573 0.116 -0.214 1.950
ar.S.L7 -0.5245 0.173 -3.024 0.002 -0.865 -0.185
ma.S.L7 1.0000 1.12e+05 8.94e-06 1.000 -2.19e+05 2.19e+05
sigma2 2.1669 2.42e+05 8.94e-06 1.000 -4.75e+05 4.75e+05
===================================================================================
Ljung-Box (L1) (Q): 2.17 Jarque-Bera (JB): 0.65
Prob(Q): 0.14 Prob(JB): 0.72
Heteroskedasticity (H): 1.14 Skew: 0.45
Prob(H) (two-sided): 0.90 Kurtosis: 2.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.300239586436, Current Price: 159.78
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.749
Date: Wed, 09 Oct 2024 AIC 63.498
Time: 14:41:20 BIC 66.323
Sample: 0 HQIC 62.917
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3576 1.345 -0.266 0.790 -2.993 2.278
ma.L1 0.5425 1.245 0.436 0.663 -1.897 2.982
ar.S.L7 -0.3768 0.170 -2.211 0.027 -0.711 -0.043
ma.S.L7 0.4304 0.789 0.545 0.585 -1.116 1.977
sigma2 3.3044 2.259 1.463 0.144 -1.124 7.732
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 0.57
Prob(Q): 0.69 Prob(JB): 0.75
Heteroskedasticity (H): 1.17 Skew: 0.18
Prob(H) (two-sided): 0.89 Kurtosis: 2.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.43343454562873, Current Price: 160.34
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.781
Date: Wed, 09 Oct 2024 AIC 63.562
Time: 14:41:20 BIC 66.387
Sample: 0 HQIC 62.981
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4669 0.180 -2.598 0.009 -0.819 -0.115
ma.L1 0.6173 0.398 1.549 0.121 -0.164 1.398
ar.S.L7 -0.3910 0.169 -2.313 0.021 -0.722 -0.060
ma.S.L7 0.4528 0.849 0.533 0.594 -1.211 2.117
sigma2 3.2407 2.487 1.303 0.193 -1.634 8.116
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.82
Prob(Q): 0.85 Prob(JB): 0.66
Heteroskedasticity (H): 0.75 Skew: 0.42
Prob(H) (two-sided): 0.79 Kurtosis: 2.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.44240111234353, Current Price: 161.02
SELL EXECUTED at 161.02
SELL ORDER COMPLETED at 158.99
OPERATION PROFIT, GROSS 0.9900000000000091, NET 0.6730100000000091
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.166
Date: Wed, 09 Oct 2024 AIC 60.333
Time: 14:41:20 BIC 63.158
Sample: 0 HQIC 59.752
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2568 3.131 -0.082 0.935 -6.393 5.879
ma.L1 0.3761 3.287 0.114 0.909 -6.066 6.818
ar.S.L7 -0.3330 0.138 -2.415 0.016 -0.603 -0.063
ma.S.L7 0.6114 1.415 0.432 0.666 -2.163 3.386
sigma2 2.3557 1.907 1.235 0.217 -1.382 6.093
===================================================================================
Ljung-Box (L1) (Q): 0.78 Jarque-Bera (JB): 0.82
Prob(Q): 0.38 Prob(JB): 0.66
Heteroskedasticity (H): 1.15 Skew: 0.37
Prob(H) (two-sided): 0.90 Kurtosis: 2.02
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.00482279600953, Current Price: 158.95
BUY EXECUTED at 158.95
BUY ORDER COMPLETED at 159.5
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.339
Date: Wed, 09 Oct 2024 AIC 58.678
Time: 14:41:20 BIC 61.502
Sample: 0 HQIC 58.097
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1799 2.302 0.078 0.938 -4.332 4.692
ma.L1 -0.3723 2.166 -0.172 0.864 -4.617 3.873
ar.S.L7 -0.2808 0.242 -1.161 0.246 -0.755 0.193
ma.S.L7 0.3600 0.691 0.521 0.602 -0.994 1.714
sigma2 2.3433 1.426 1.643 0.100 -0.452 5.139
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.52
Prob(Q): 0.87 Prob(JB): 0.77
Heteroskedasticity (H): 1.62 Skew: 0.13
Prob(H) (two-sided): 0.65 Kurtosis: 2.05
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 158.55117748451988, Current Price: 161.39
SELL EXECUTED at 161.39
SELL ORDER COMPLETED at 161.08
OPERATION PROFIT, GROSS 1.5800000000000125, NET 1.2594200000000124
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.962
Date: Wed, 09 Oct 2024 AIC 59.923
Time: 14:41:20 BIC 62.748
Sample: 0 HQIC 59.343
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5670 0.327 1.734 0.083 -0.074 1.208
ma.L1 -0.7938 0.323 -2.457 0.014 -1.427 -0.161
ar.S.L7 -0.1631 0.125 -1.306 0.191 -0.408 0.082
ma.S.L7 1.0000 1.46e+04 6.86e-05 1.000 -2.86e+04 2.86e+04
sigma2 1.5838 2.31e+04 6.86e-05 1.000 -4.53e+04 4.53e+04
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 0.41
Prob(Q): 0.67 Prob(JB): 0.81
Heteroskedasticity (H): 0.91 Skew: 0.19
Prob(H) (two-sided): 0.93 Kurtosis: 2.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.37548895554326, Current Price: 160.42
BUY EXECUTED at 160.42
BUY ORDER COMPLETED at 160.34
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.989
Date: Wed, 09 Oct 2024 AIC 55.977
Time: 14:41:20 BIC 58.802
Sample: 0 HQIC 55.396
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5852 0.817 0.716 0.474 -1.016 2.187
ma.L1 -0.8469 1.225 -0.691 0.489 -3.248 1.554
ar.S.L7 0.1862 0.445 0.418 0.676 -0.686 1.059
ma.S.L7 -34.2996 603.807 -0.057 0.955 -1217.739 1149.140
sigma2 0.0016 0.057 0.028 0.978 -0.109 0.112
===================================================================================
Ljung-Box (L1) (Q): 0.24 Jarque-Bera (JB): 0.84
Prob(Q): 0.62 Prob(JB): 0.66
Heteroskedasticity (H): 36.00 Skew: 0.61
Prob(H) (two-sided): 0.00 Kurtosis: 2.72
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 157.33112553354232, Current Price: 159.42
SELL EXECUTED at 159.42
SELL ORDER COMPLETED at 160.3
OPERATION PROFIT, GROSS -0.03999999999999204, NET -0.3606399999999921
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.217
Date: Wed, 09 Oct 2024 AIC 52.434
Time: 14:41:20 BIC 55.259
Sample: 0 HQIC 51.853
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5109 0.639 -0.800 0.424 -1.763 0.741
ma.L1 9.6732 68.468 0.141 0.888 -124.522 143.869
ar.S.L7 0.0034 0.005 0.731 0.465 -0.006 0.013
ma.S.L7 0.9881 49.669 0.020 0.984 -96.362 98.338
sigma2 0.0101 0.530 0.019 0.985 -1.029 1.050
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.15
Prob(Q): 0.82 Prob(JB): 0.93
Heteroskedasticity (H): 0.36 Skew: -0.25
Prob(H) (two-sided): 0.35 Kurtosis: 3.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 158.489660467005, Current Price: 160.04
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.627
Date: Wed, 09 Oct 2024 AIC 57.254
Time: 14:41:21 BIC 60.079
Sample: 0 HQIC 56.673
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7137 0.685 -1.041 0.298 -2.057 0.629
ma.L1 0.4262 0.961 0.444 0.657 -1.457 2.309
ar.S.L7 0.1334 0.226 0.590 0.555 -0.310 0.577
ma.S.L7 0.0673 0.564 0.119 0.905 -1.038 1.172
sigma2 2.2086 1.826 1.210 0.226 -1.370 5.787
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.62
Prob(Q): 0.79 Prob(JB): 0.73
Heteroskedasticity (H): 1.23 Skew: -0.03
Prob(H) (two-sided): 0.84 Kurtosis: 1.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.80469455823334, Current Price: 161.58
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.696
Date: Wed, 09 Oct 2024 AIC 57.392
Time: 14:41:21 BIC 60.217
Sample: 0 HQIC 56.812
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7734 0.547 -1.415 0.157 -1.845 0.298
ma.L1 0.4654 0.838 0.556 0.578 -1.176 2.107
ar.S.L7 0.1307 0.231 0.567 0.571 -0.321 0.583
ma.S.L7 0.0355 0.617 0.058 0.954 -1.173 1.244
sigma2 2.2334 1.912 1.168 0.243 -1.513 5.980
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 0.63
Prob(Q): 0.71 Prob(JB): 0.73
Heteroskedasticity (H): 0.36 Skew: -0.05
Prob(H) (two-sided): 0.35 Kurtosis: 1.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.87813818274847, Current Price: 163.01
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.779
Date: Wed, 09 Oct 2024 AIC 57.559
Time: 14:41:21 BIC 60.383
Sample: 0 HQIC 56.978
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7386 0.569 -1.297 0.194 -1.855 0.377
ma.L1 0.4823 0.759 0.636 0.525 -1.005 1.970
ar.S.L7 0.1429 0.216 0.661 0.509 -0.281 0.567
ma.S.L7 0.1185 0.497 0.238 0.812 -0.856 1.093
sigma2 2.2470 2.150 1.045 0.296 -1.967 6.461
===================================================================================
Ljung-Box (L1) (Q): 0.23 Jarque-Bera (JB): 0.99
Prob(Q): 0.63 Prob(JB): 0.61
Heteroskedasticity (H): 0.38 Skew: -0.27
Prob(H) (two-sided): 0.37 Kurtosis: 1.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.85204958983024, Current Price: 163.93
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.228
Date: Wed, 09 Oct 2024 AIC 58.455
Time: 14:41:21 BIC 61.280
Sample: 0 HQIC 57.875
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7879 0.503 -1.566 0.117 -1.774 0.198
ma.L1 0.5062 0.848 0.597 0.550 -1.155 2.168
ar.S.L7 0.2990 0.395 0.757 0.449 -0.475 1.073
ma.S.L7 -0.0225 0.656 -0.034 0.973 -1.309 1.264
sigma2 2.4206 2.238 1.082 0.279 -1.965 6.807
===================================================================================
Ljung-Box (L1) (Q): 0.39 Jarque-Bera (JB): 0.60
Prob(Q): 0.53 Prob(JB): 0.74
Heteroskedasticity (H): 1.46 Skew: -0.08
Prob(H) (two-sided): 0.72 Kurtosis: 1.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.22914961822727, Current Price: 162.69
BUY EXECUTED at 162.69
BUY ORDER COMPLETED at 163.6
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.788
Date: Wed, 09 Oct 2024 AIC 59.576
Time: 14:41:21 BIC 62.400
Sample: 0 HQIC 58.995
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6726 0.586 -1.149 0.251 -1.820 0.475
ma.L1 0.3087 0.545 0.566 0.571 -0.760 1.378
ar.S.L7 0.2103 0.281 0.749 0.454 -0.340 0.761
ma.S.L7 -1.0001 1.42e+04 -7.06e-05 1.000 -2.78e+04 2.78e+04
sigma2 1.5479 2.19e+04 7.05e-05 1.000 -4.3e+04 4.3e+04
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.59
Prob(Q): 0.80 Prob(JB): 0.74
Heteroskedasticity (H): 1.64 Skew: 0.31
Prob(H) (two-sided): 0.65 Kurtosis: 2.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.3407552376002, Current Price: 164.26
SELL EXECUTED at 164.26
SELL ORDER COMPLETED at 164.54
OPERATION PROFIT, GROSS 0.9399999999999977, NET 0.6118599999999977
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.461
Date: Wed, 09 Oct 2024 AIC 56.922
Time: 14:41:21 BIC 59.747
Sample: 0 HQIC 56.342
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0709 0.126 -8.496 0.000 -1.318 -0.824
ma.L1 1.0000 2585.739 0.000 1.000 -5066.956 5068.956
ar.S.L7 0.0309 0.280 0.111 0.912 -0.517 0.579
ma.S.L7 -1.0000 3.08e+04 -3.25e-05 1.000 -6.03e+04 6.03e+04
sigma2 1.1497 3.48e+04 3.3e-05 1.000 -6.82e+04 6.82e+04
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.85
Prob(Q): 0.75 Prob(JB): 0.65
Heteroskedasticity (H): 1.47 Skew: 0.49
Prob(H) (two-sided): 0.72 Kurtosis: 2.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.99559140386387, Current Price: 164.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.786
Date: Wed, 09 Oct 2024 AIC 59.572
Time: 14:41:21 BIC 62.397
Sample: 0 HQIC 58.992
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4643 0.946 -0.491 0.624 -2.318 1.390
ma.L1 0.2155 0.983 0.219 0.826 -1.711 2.142
ar.S.L7 -0.1179 0.557 -0.212 0.832 -1.209 0.973
ma.S.L7 -1.0008 1708.438 -0.001 1.000 -3349.477 3347.476
sigma2 1.6003 2734.054 0.001 1.000 -5357.047 5360.248
===================================================================================
Ljung-Box (L1) (Q): 0.52 Jarque-Bera (JB): 1.22
Prob(Q): 0.47 Prob(JB): 0.54
Heteroskedasticity (H): 1.65 Skew: 0.26
Prob(H) (two-sided): 0.64 Kurtosis: 1.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.02236744560562, Current Price: 162.25
BUY EXECUTED at 162.25
BUY ORDER COMPLETED at 162.88
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.314
Date: Wed, 09 Oct 2024 AIC 60.628
Time: 14:41:21 BIC 63.452
Sample: 0 HQIC 60.047
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5128 0.680 -0.754 0.451 -1.845 0.819
ma.L1 -0.1908 0.558 -0.342 0.732 -1.283 0.902
ar.S.L7 -0.0931 0.621 -0.150 0.881 -1.309 1.123
ma.S.L7 -0.0880 0.976 -0.090 0.928 -2.000 1.825
sigma2 2.8670 1.602 1.790 0.074 -0.273 6.007
===================================================================================
Ljung-Box (L1) (Q): 2.73 Jarque-Bera (JB): 0.46
Prob(Q): 0.10 Prob(JB): 0.79
Heteroskedasticity (H): 1.53 Skew: 0.35
Prob(H) (two-sided): 0.69 Kurtosis: 2.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 165.54635366879748, Current Price: 163.21
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.872
Date: Wed, 09 Oct 2024 AIC 61.744
Time: 14:41:21 BIC 64.568
Sample: 0 HQIC 61.163
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3225 0.804 -0.401 0.688 -1.898 1.253
ma.L1 -0.1632 0.804 -0.203 0.839 -1.740 1.413
ar.S.L7 -0.0893 0.539 -0.166 0.868 -1.146 0.967
ma.S.L7 -0.3539 1.021 -0.347 0.729 -2.355 1.647
sigma2 2.9722 2.310 1.287 0.198 -1.555 7.500
===================================================================================
Ljung-Box (L1) (Q): 0.51 Jarque-Bera (JB): 0.60
Prob(Q): 0.47 Prob(JB): 0.74
Heteroskedasticity (H): 1.72 Skew: 0.11
Prob(H) (two-sided): 0.61 Kurtosis: 1.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.47922356189594, Current Price: 160.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.924
Date: Wed, 09 Oct 2024 AIC 63.848
Time: 14:41:21 BIC 66.673
Sample: 0 HQIC 63.268
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8785 0.245 -3.586 0.000 -1.359 -0.398
ma.L1 0.7031 0.347 2.025 0.043 0.023 1.384
ar.S.L7 -0.4204 0.543 -0.774 0.439 -1.485 0.644
ma.S.L7 -1.0009 1106.633 -0.001 0.999 -2169.963 2167.961
sigma2 2.1291 2357.125 0.001 0.999 -4617.752 4622.010
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.28
Prob(Q): 0.88 Prob(JB): 0.87
Heteroskedasticity (H): 4.20 Skew: -0.21
Prob(H) (two-sided): 0.19 Kurtosis: 2.42
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.73835871570333, Current Price: 161.18
SELL EXECUTED at 161.18
SELL ORDER COMPLETED at 162.12
OPERATION PROFIT, GROSS -0.7599999999999909, NET -1.0849999999999909
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.568
Date: Wed, 09 Oct 2024 AIC 61.136
Time: 14:41:21 BIC 63.961
Sample: 0 HQIC 60.556
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3927 0.756 -0.520 0.603 -1.874 1.089
ma.L1 0.0634 0.887 0.072 0.943 -1.675 1.802
ar.S.L7 -0.4259 1.077 -0.395 0.693 -2.538 1.686
ma.S.L7 -0.4052 1.661 -0.244 0.807 -3.661 2.851
sigma2 2.7915 2.100 1.330 0.184 -1.324 6.907
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.19
Prob(Q): 0.81 Prob(JB): 0.91
Heteroskedasticity (H): 17.60 Skew: -0.05
Prob(H) (two-sided): 0.02 Kurtosis: 2.42
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.3099207954342, Current Price: 161.72
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.694
Date: Wed, 09 Oct 2024 AIC 61.388
Time: 14:41:21 BIC 64.212
Sample: 0 HQIC 60.807
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8241 0.377 -2.183 0.029 -1.564 -0.084
ma.L1 0.6154 0.475 1.296 0.195 -0.315 1.546
ar.S.L7 -0.4854 0.900 -0.540 0.589 -2.248 1.278
ma.S.L7 -1.0003 6238.743 -0.000 1.000 -1.22e+04 1.22e+04
sigma2 1.7703 1.1e+04 0.000 1.000 -2.16e+04 2.17e+04
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.36
Prob(Q): 0.82 Prob(JB): 0.84
Heteroskedasticity (H): 1.05 Skew: -0.13
Prob(H) (two-sided): 0.96 Kurtosis: 2.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.69511388942576, Current Price: 162.91
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.980
Date: Wed, 09 Oct 2024 AIC 61.959
Time: 14:41:21 BIC 64.784
Sample: 0 HQIC 61.379
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3764 0.950 -0.396 0.692 -2.239 1.486
ma.L1 -0.0469 1.179 -0.040 0.968 -2.358 2.264
ar.S.L7 -0.4126 0.823 -0.501 0.616 -2.026 1.200
ma.S.L7 -0.5406 3.314 -0.163 0.870 -7.036 5.955
sigma2 2.7882 4.841 0.576 0.565 -6.700 12.276
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.24
Prob(Q): 0.92 Prob(JB): 0.89
Heteroskedasticity (H): 0.94 Skew: 0.07
Prob(H) (two-sided): 0.96 Kurtosis: 2.35
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.89322604576557, Current Price: 163.66
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.822
Date: Wed, 09 Oct 2024 AIC 61.644
Time: 14:41:21 BIC 64.469
Sample: 0 HQIC 61.063
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3203 2.661 -0.120 0.904 -5.536 4.896
ma.L1 0.1665 2.612 0.064 0.949 -4.954 5.287
ar.S.L7 -0.6883 0.506 -1.359 0.174 -1.681 0.304
ma.S.L7 0.4507 1.132 0.398 0.691 -1.769 2.670
sigma2 2.8434 1.623 1.752 0.080 -0.338 6.025
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.78
Prob(Q): 0.99 Prob(JB): 0.68
Heteroskedasticity (H): 0.09 Skew: -0.60
Prob(H) (two-sided): 0.04 Kurtosis: 3.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.2009236988109, Current Price: 162.6
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.786
Date: Wed, 09 Oct 2024 AIC 61.572
Time: 14:41:21 BIC 64.397
Sample: 0 HQIC 60.992
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3265 2.296 -0.142 0.887 -4.826 4.173
ma.L1 0.1168 2.111 0.055 0.956 -4.021 4.254
ar.S.L7 -0.7932 0.549 -1.446 0.148 -1.868 0.282
ma.S.L7 0.6218 2.281 0.273 0.785 -3.849 5.092
sigma2 2.5760 3.170 0.813 0.416 -3.638 8.790
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 1.16
Prob(Q): 0.85 Prob(JB): 0.56
Heteroskedasticity (H): 0.15 Skew: -0.70
Prob(H) (two-sided): 0.09 Kurtosis: 3.40
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.03546351658943, Current Price: 159.6
BUY EXECUTED at 159.6
BUY ORDER COMPLETED at 161.14
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.742
Date: Wed, 09 Oct 2024 AIC 65.484
Time: 14:41:21 BIC 68.309
Sample: 0 HQIC 64.904
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4885 0.186 2.626 0.009 0.124 0.853
ma.L1 -0.8408 0.823 -1.022 0.307 -2.453 0.772
ar.S.L7 -0.6119 0.820 -0.746 0.456 -2.219 0.995
ma.S.L7 0.1535 2.597 0.059 0.953 -4.936 5.243
sigma2 3.9743 2.587 1.536 0.124 -1.096 9.045
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 0.42
Prob(Q): 0.62 Prob(JB): 0.81
Heteroskedasticity (H): 1.15 Skew: -0.38
Prob(H) (two-sided): 0.89 Kurtosis: 2.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.5051561644995, Current Price: 161.28
SELL EXECUTED at 161.28
SELL ORDER COMPLETED at 158.72
OPERATION PROFIT, GROSS -2.4199999999999875, NET -2.7398599999999873
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.839
Date: Wed, 09 Oct 2024 AIC 63.677
Time: 14:41:21 BIC 66.502
Sample: 0 HQIC 63.097
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3693 0.531 0.696 0.487 -0.671 1.410
ma.L1 -0.8479 0.647 -1.310 0.190 -2.116 0.421
ar.S.L7 -0.5632 0.881 -0.640 0.522 -2.289 1.163
ma.S.L7 0.0358 1.871 0.019 0.985 -3.630 3.702
sigma2 3.5617 1.937 1.839 0.066 -0.234 7.358
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.16
Prob(Q): 0.96 Prob(JB): 0.92
Heteroskedasticity (H): 1.18 Skew: -0.26
Prob(H) (two-sided): 0.88 Kurtosis: 3.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.6407713889511, Current Price: 158.01
BUY EXECUTED at 158.01
BUY ORDER COMPLETED at 158.9
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.820
Date: Wed, 09 Oct 2024 AIC 63.640
Time: 14:41:21 BIC 66.464
Sample: 0 HQIC 63.059
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4307 0.638 -0.676 0.499 -1.680 0.819
ma.L1 -0.2534 0.607 -0.418 0.676 -1.443 0.936
ar.S.L7 -0.4670 0.344 -1.359 0.174 -1.140 0.206
ma.S.L7 1.0000 5.33e+05 1.88e-06 1.000 -1.04e+06 1.04e+06
sigma2 2.1938 1.17e+06 1.88e-06 1.000 -2.29e+06 2.29e+06
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.68
Prob(Q): 0.89 Prob(JB): 0.71
Heteroskedasticity (H): 1.38 Skew: 0.03
Prob(H) (two-sided): 0.76 Kurtosis: 1.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.46539503031178, Current Price: 159.72
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.809
Date: Wed, 09 Oct 2024 AIC 65.618
Time: 14:41:21 BIC 68.443
Sample: 0 HQIC 65.038
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4252 0.697 -0.610 0.542 -1.791 0.940
ma.L1 0.0470 0.741 0.063 0.949 -1.406 1.500
ar.S.L7 4.238e-05 0.132 0.000 1.000 -0.258 0.258
ma.S.L7 -0.4224 0.843 -0.501 0.616 -2.075 1.230
sigma2 4.1605 2.216 1.877 0.061 -0.184 8.505
===================================================================================
Ljung-Box (L1) (Q): 0.50 Jarque-Bera (JB): 0.61
Prob(Q): 0.48 Prob(JB): 0.74
Heteroskedasticity (H): 0.83 Skew: -0.24
Prob(H) (two-sided): 0.86 Kurtosis: 2.05
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.11899826809207, Current Price: 161.26
SELL EXECUTED at 161.26
SELL ORDER COMPLETED at 162.1
OPERATION PROFIT, GROSS 3.1999999999999886, NET 2.8789999999999885
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.723
Date: Wed, 09 Oct 2024 AIC 61.446
Time: 14:41:21 BIC 64.270
Sample: 0 HQIC 60.865
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7284 0.308 -2.367 0.018 -1.332 -0.125
ma.L1 0.0302 0.370 0.082 0.935 -0.695 0.756
ar.S.L7 -0.5227 0.403 -1.297 0.195 -1.313 0.267
ma.S.L7 1.0000 4.98e+04 2.01e-05 1.000 -9.76e+04 9.76e+04
sigma2 1.7889 8.9e+04 2.01e-05 1.000 -1.75e+05 1.75e+05
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.89
Prob(Q): 0.76 Prob(JB): 0.64
Heteroskedasticity (H): 0.38 Skew: -0.21
Prob(H) (two-sided): 0.37 Kurtosis: 1.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.75137224918376, Current Price: 163.57
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.410
Date: Wed, 09 Oct 2024 AIC 60.821
Time: 14:41:21 BIC 63.645
Sample: 0 HQIC 60.240
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9449 0.121 -7.808 0.000 -1.182 -0.708
ma.L1 1.0000 1.84e+04 5.45e-05 1.000 -3.6e+04 3.6e+04
ar.S.L7 -0.5853 0.400 -1.462 0.144 -1.370 0.199
ma.S.L7 0.5862 2.371 0.247 0.805 -4.062 5.234
sigma2 2.0234 3.71e+04 5.45e-05 1.000 -7.28e+04 7.28e+04
===================================================================================
Ljung-Box (L1) (Q): 1.15 Jarque-Bera (JB): 0.73
Prob(Q): 0.28 Prob(JB): 0.69
Heteroskedasticity (H): 1.23 Skew: -0.06
Prob(H) (two-sided): 0.84 Kurtosis: 1.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.14716956664404, Current Price: 162.39
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.533
Date: Wed, 09 Oct 2024 AIC 59.065
Time: 14:41:21 BIC 61.890
Sample: 0 HQIC 58.485
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8193 0.198 -4.140 0.000 -1.207 -0.431
ma.L1 0.3337 0.423 0.790 0.430 -0.495 1.162
ar.S.L7 -0.4232 0.307 -1.379 0.168 -1.025 0.178
ma.S.L7 1.0000 3.04e+04 3.29e-05 1.000 -5.96e+04 5.96e+04
sigma2 1.4888 4.53e+04 3.29e-05 1.000 -8.88e+04 8.88e+04
===================================================================================
Ljung-Box (L1) (Q): 0.43 Jarque-Bera (JB): 1.29
Prob(Q): 0.51 Prob(JB): 0.53
Heteroskedasticity (H): 0.77 Skew: -0.58
Prob(H) (two-sided): 0.80 Kurtosis: 1.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.23122822360625, Current Price: 162.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.879
Date: Wed, 09 Oct 2024 AIC 59.757
Time: 14:41:21 BIC 62.582
Sample: 0 HQIC 59.177
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6163 0.398 -1.550 0.121 -1.396 0.163
ma.L1 0.2073 0.634 0.327 0.744 -1.035 1.450
ar.S.L7 -0.2554 0.491 -0.520 0.603 -1.218 0.707
ma.S.L7 -0.2110 0.618 -0.341 0.733 -1.422 1.000
sigma2 2.6351 1.605 1.642 0.101 -0.511 5.781
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 4.82
Prob(Q): 0.88 Prob(JB): 0.09
Heteroskedasticity (H): 2.03 Skew: -1.42
Prob(H) (two-sided): 0.51 Kurtosis: 3.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.24098742911048, Current Price: 162.33
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.538
Date: Wed, 09 Oct 2024 AIC 57.075
Time: 14:41:21 BIC 59.900
Sample: 0 HQIC 56.495
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6455 0.439 -1.472 0.141 -1.505 0.214
ma.L1 0.0316 0.335 0.094 0.925 -0.626 0.689
ar.S.L7 -0.0055 0.012 -0.455 0.649 -0.029 0.018
ma.S.L7 -0.5789 0.632 -0.917 0.359 -1.817 0.659
sigma2 1.8964 1.696 1.118 0.263 -1.427 5.220
===================================================================================
Ljung-Box (L1) (Q): 0.28 Jarque-Bera (JB): 2.83
Prob(Q): 0.60 Prob(JB): 0.24
Heteroskedasticity (H): 2.86 Skew: -1.14
Prob(H) (two-sided): 0.33 Kurtosis: 3.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.5527347072969, Current Price: 162.25
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.531
Date: Wed, 09 Oct 2024 AIC 57.062
Time: 14:41:21 BIC 59.887
Sample: 0 HQIC 56.481
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7058 0.274 -2.574 0.010 -1.243 -0.168
ma.L1 0.1652 0.418 0.395 0.693 -0.654 0.984
ar.S.L7 -0.1120 0.330 -0.339 0.735 -0.759 0.535
ma.S.L7 -1.0002 3751.906 -0.000 1.000 -7354.601 7352.600
sigma2 1.2760 4787.381 0.000 1.000 -9381.818 9384.370
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 6.47
Prob(Q): 0.70 Prob(JB): 0.04
Heteroskedasticity (H): 0.43 Skew: -1.51
Prob(H) (two-sided): 0.43 Kurtosis: 4.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.42264467421, Current Price: 162.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.576
Date: Wed, 09 Oct 2024 AIC 57.152
Time: 14:41:21 BIC 59.977
Sample: 0 HQIC 56.571
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6823 0.263 -2.591 0.010 -1.199 -0.166
ma.L1 0.1413 0.411 0.344 0.731 -0.664 0.946
ar.S.L7 -0.1138 0.316 -0.360 0.719 -0.733 0.506
ma.S.L7 -1.0002 3799.678 -0.000 1.000 -7448.232 7446.232
sigma2 1.2893 4898.952 0.000 1.000 -9600.479 9603.058
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 4.45
Prob(Q): 0.71 Prob(JB): 0.11
Heteroskedasticity (H): 0.19 Skew: -1.33
Prob(H) (two-sided): 0.14 Kurtosis: 4.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.8189513990221, Current Price: 162.24
BUY EXECUTED at 162.24
BUY ORDER COMPLETED at 162.87
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.136
Date: Wed, 09 Oct 2024 AIC 58.272
Time: 14:41:21 BIC 61.096
Sample: 0 HQIC 57.691
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6955 0.420 -1.656 0.098 -1.519 0.128
ma.L1 0.1881 0.570 0.330 0.741 -0.928 1.305
ar.S.L7 -0.1976 0.369 -0.536 0.592 -0.920 0.525
ma.S.L7 -1.0001 8086.318 -0.000 1.000 -1.58e+04 1.58e+04
sigma2 1.4039 1.14e+04 0.000 1.000 -2.22e+04 2.23e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.87
Prob(Q): 0.94 Prob(JB): 0.39
Heteroskedasticity (H): 0.32 Skew: -0.93
Prob(H) (two-sided): 0.29 Kurtosis: 2.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.72325057005554, Current Price: 164.03
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.554
Date: Wed, 09 Oct 2024 AIC 57.108
Time: 14:41:21 BIC 59.933
Sample: 0 HQIC 56.528
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6250 0.400 -1.563 0.118 -1.409 0.159
ma.L1 0.0316 0.635 0.050 0.960 -1.213 1.276
ar.S.L7 -0.2098 0.328 -0.640 0.522 -0.852 0.432
ma.S.L7 -1.0000 2.32e+04 -4.32e-05 1.000 -4.54e+04 4.54e+04
sigma2 1.2821 2.97e+04 4.32e-05 1.000 -5.82e+04 5.82e+04
===================================================================================
Ljung-Box (L1) (Q): 0.45 Jarque-Bera (JB): 1.58
Prob(Q): 0.50 Prob(JB): 0.45
Heteroskedasticity (H): 0.34 Skew: -0.85
Prob(H) (two-sided): 0.32 Kurtosis: 2.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.82631696402632, Current Price: 165.09
SELL EXECUTED at 165.09
SELL ORDER COMPLETED at 165.63
OPERATION PROFIT, GROSS 2.759999999999991, NET 2.431499999999991
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.738
Date: Wed, 09 Oct 2024 AIC 47.476
Time: 14:41:21 BIC 50.300
Sample: 0 HQIC 46.895
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8451 0.087 -9.701 0.000 -1.016 -0.674
ma.L1 1.0000 1.72e+04 5.8e-05 1.000 -3.38e+04 3.38e+04
ar.S.L7 -0.3772 0.181 -2.083 0.037 -0.732 -0.022
ma.S.L7 -0.9999 2.27e+04 -4.41e-05 1.000 -4.44e+04 4.44e+04
sigma2 0.5566 6056.936 9.19e-05 1.000 -1.19e+04 1.19e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.76
Prob(Q): 0.96 Prob(JB): 0.69
Heteroskedasticity (H): 1.06 Skew: -0.59
Prob(H) (two-sided): 0.96 Kurtosis: 3.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.7937406096415, Current Price: 166.48
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.760
Date: Wed, 09 Oct 2024 AIC 55.519
Time: 14:41:22 BIC 58.344
Sample: 0 HQIC 54.939
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9231 0.156 -5.914 0.000 -1.229 -0.617
ma.L1 1.0000 3021.883 0.000 1.000 -5921.781 5923.781
ar.S.L7 -0.0035 0.003 -1.177 0.239 -0.009 0.002
ma.S.L7 -1.0009 634.238 -0.002 0.999 -1244.085 1242.083
sigma2 1.1427 3321.338 0.000 1.000 -6508.561 6510.846
===================================================================================
Ljung-Box (L1) (Q): 1.02 Jarque-Bera (JB): 0.61
Prob(Q): 0.31 Prob(JB): 0.74
Heteroskedasticity (H): 1.98 Skew: -0.50
Prob(H) (two-sided): 0.52 Kurtosis: 2.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.77077794546835, Current Price: 165.9
BUY EXECUTED at 165.9
BUY ORDER COMPLETED at 165.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.711
Date: Wed, 09 Oct 2024 AIC 53.422
Time: 14:41:22 BIC 56.247
Sample: 0 HQIC 52.842
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6728 0.173 -3.895 0.000 -1.011 -0.334
ma.L1 1.0000 2.5e+04 4e-05 1.000 -4.9e+04 4.9e+04
ar.S.L7 -0.4423 0.212 -2.089 0.037 -0.857 -0.027
ma.S.L7 0.0012 0.595 0.002 0.998 -1.165 1.167
sigma2 1.4150 3.54e+04 4e-05 1.000 -6.93e+04 6.93e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.75
Prob(Q): 0.93 Prob(JB): 0.69
Heteroskedasticity (H): 3.89 Skew: -0.27
Prob(H) (two-sided): 0.22 Kurtosis: 1.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.9723893849547, Current Price: 165.8
SELL EXECUTED at 165.8
SELL ORDER COMPLETED at 164.87
OPERATION PROFIT, GROSS -1.0199999999999818, NET -1.3507599999999818
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.981
Date: Wed, 09 Oct 2024 AIC 55.961
Time: 14:41:22 BIC 58.786
Sample: 0 HQIC 55.381
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2889 2.279 0.127 0.899 -4.179 4.757
ma.L1 -0.1812 2.372 -0.076 0.939 -4.829 4.467
ar.S.L7 -0.4224 0.268 -1.577 0.115 -0.947 0.103
ma.S.L7 -0.0692 0.480 -0.144 0.885 -1.009 0.871
sigma2 2.0051 1.675 1.197 0.231 -1.277 5.288
===================================================================================
Ljung-Box (L1) (Q): 0.41 Jarque-Bera (JB): 0.96
Prob(Q): 0.52 Prob(JB): 0.62
Heteroskedasticity (H): 3.03 Skew: -0.25
Prob(H) (two-sided): 0.31 Kurtosis: 1.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.8968820908266, Current Price: 166.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.353
Date: Wed, 09 Oct 2024 AIC 54.707
Time: 14:41:22 BIC 57.532
Sample: 0 HQIC 54.126
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1754 1.648 0.106 0.915 -3.055 3.406
ma.L1 -0.0015 1.604 -0.001 0.999 -3.145 3.142
ar.S.L7 -0.4251 0.159 -2.673 0.008 -0.737 -0.113
ma.S.L7 0.4453 0.943 0.472 0.637 -1.402 2.293
sigma2 1.6714 1.448 1.154 0.248 -1.167 4.510
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 1.08
Prob(Q): 0.74 Prob(JB): 0.58
Heteroskedasticity (H): 1.20 Skew: -0.34
Prob(H) (two-sided): 0.86 Kurtosis: 1.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.33563907934155, Current Price: 166.63
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.876
Date: Wed, 09 Oct 2024 AIC 51.753
Time: 14:41:22 BIC 54.578
Sample: 0 HQIC 51.172
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2114 2.524 -0.084 0.933 -5.158 4.736
ma.L1 0.3554 2.576 0.138 0.890 -4.693 5.403
ar.S.L7 -0.4351 0.170 -2.563 0.010 -0.768 -0.102
ma.S.L7 0.7509 2.837 0.265 0.791 -4.809 6.310
sigma2 1.0999 3.123 0.352 0.725 -5.020 7.220
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.84
Prob(Q): 0.75 Prob(JB): 0.66
Heteroskedasticity (H): 0.61 Skew: -0.13
Prob(H) (two-sided): 0.65 Kurtosis: 1.78
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.34014868466264, Current Price: 167.37
BUY EXECUTED at 167.37
BUY ORDER COMPLETED at 167.05
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.219
Date: Wed, 09 Oct 2024 AIC 50.438
Time: 14:41:22 BIC 53.263
Sample: 0 HQIC 49.858
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6417 0.735 -0.873 0.383 -2.083 0.799
ma.L1 0.7155 1.239 0.578 0.564 -1.712 3.143
ar.S.L7 -0.3270 0.326 -1.002 0.316 -0.966 0.312
ma.S.L7 1.0000 5.75e+04 1.74e-05 1.000 -1.13e+05 1.13e+05
sigma2 0.7462 4.29e+04 1.74e-05 1.000 -8.41e+04 8.41e+04
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 0.97
Prob(Q): 0.67 Prob(JB): 0.61
Heteroskedasticity (H): 0.56 Skew: -0.14
Prob(H) (two-sided): 0.59 Kurtosis: 1.69
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.60238075945776, Current Price: 166.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.512
Date: Wed, 09 Oct 2024 AIC 51.024
Time: 14:41:22 BIC 53.849
Sample: 0 HQIC 50.443
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6007 0.297 -2.024 0.043 -1.182 -0.019
ma.L1 1.0000 2.42e+04 4.12e-05 1.000 -4.75e+04 4.75e+04
ar.S.L7 -0.2522 0.263 -0.958 0.338 -0.768 0.264
ma.S.L7 0.5251 0.865 0.607 0.544 -1.170 2.220
sigma2 0.9860 2.39e+04 4.12e-05 1.000 -4.69e+04 4.69e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 1.01
Prob(Q): 0.86 Prob(JB): 0.60
Heteroskedasticity (H): 0.68 Skew: 0.32
Prob(H) (two-sided): 0.72 Kurtosis: 1.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.43502059341165, Current Price: 166.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.732
Date: Wed, 09 Oct 2024 AIC 49.465
Time: 14:41:22 BIC 52.289
Sample: 0 HQIC 48.884
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6395 0.220 -2.904 0.004 -1.071 -0.208
ma.L1 0.8884 0.458 1.938 0.053 -0.010 1.787
ar.S.L7 -0.0890 0.340 -0.262 0.793 -0.755 0.577
ma.S.L7 -1.0001 7085.609 -0.000 1.000 -1.39e+04 1.39e+04
sigma2 0.6585 4666.437 0.000 1.000 -9145.390 9146.707
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 0.72
Prob(Q): 0.65 Prob(JB): 0.70
Heteroskedasticity (H): 0.36 Skew: 0.24
Prob(H) (two-sided): 0.35 Kurtosis: 1.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.45222993629434, Current Price: 167.98
SELL EXECUTED at 167.98
SELL ORDER COMPLETED at 167.41
OPERATION PROFIT, GROSS 0.3599999999999852, NET 0.02553999999998524
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.298
Date: Wed, 09 Oct 2024 AIC 48.597
Time: 14:41:22 BIC 51.421
Sample: 0 HQIC 48.016
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6225 0.782 -0.796 0.426 -2.154 0.909
ma.L1 1.0000 2327.397 0.000 1.000 -4560.614 4562.615
ar.S.L7 -0.0403 0.424 -0.095 0.924 -0.872 0.791
ma.S.L7 -0.4405 1.330 -0.331 0.741 -3.048 2.167
sigma2 0.9297 2164.371 0.000 1.000 -4241.160 4243.019
===================================================================================
Ljung-Box (L1) (Q): 0.42 Jarque-Bera (JB): 1.16
Prob(Q): 0.51 Prob(JB): 0.56
Heteroskedasticity (H): 0.66 Skew: 0.69
Prob(H) (two-sided): 0.70 Kurtosis: 2.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.19889851183515, Current Price: 169.04
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22352.432
Date: Wed, 09 Oct 2024 AIC 44714.864
Time: 14:41:22 BIC 44717.689
Sample: 0 HQIC 44714.283
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9041 4.68e-05 -1.93e+04 0.000 -0.904 -0.904
ma.L1 0.7644 0.000 4215.032 0.000 0.764 0.765
ar.S.L7 -58.0107 0.296 -195.889 0.000 -58.591 -57.430
ma.S.L7 0.0495 0.000 481.601 0.000 0.049 0.050
sigma2 2.4444 0.025 96.988 0.000 2.395 2.494
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 1.96
Prob(Q): 0.83 Prob(JB): 0.38
Heteroskedasticity (H): 0.54 Skew: -0.91
Prob(H) (two-sided): 0.57 Kurtosis: 3.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 157.4530769030276, Current Price: 170.09
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.538
Date: Wed, 09 Oct 2024 AIC 41.077
Time: 14:41:22 BIC 43.902
Sample: 0 HQIC 40.496
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0764 1.153 0.066 0.947 -2.182 2.335
ma.L1 0.5986 0.603 0.992 0.321 -0.584 1.781
ar.S.L7 -0.0587 0.241 -0.244 0.807 -0.531 0.413
ma.S.L7 -1.0002 9106.746 -0.000 1.000 -1.78e+04 1.78e+04
sigma2 0.3849 3505.374 0.000 1.000 -6870.022 6870.792
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 2.33
Prob(Q): 0.98 Prob(JB): 0.31
Heteroskedasticity (H): 0.76 Skew: 1.02
Prob(H) (two-sided): 0.79 Kurtosis: 3.43
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.5898728599718, Current Price: 169.63
BUY EXECUTED at 169.63
BUY ORDER COMPLETED at 169.95
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.114
Date: Wed, 09 Oct 2024 AIC 42.227
Time: 14:41:22 BIC 45.052
Sample: 0 HQIC 41.647
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1134 1.524 0.074 0.941 -2.874 3.100
ma.L1 0.5751 0.638 0.902 0.367 -0.674 1.825
ar.S.L7 -0.0587 0.206 -0.285 0.776 -0.463 0.346
ma.S.L7 -0.5489 1.061 -0.517 0.605 -2.628 1.530
sigma2 0.6068 0.595 1.019 0.308 -0.560 1.773
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 2.13
Prob(Q): 0.88 Prob(JB): 0.35
Heteroskedasticity (H): 0.93 Skew: 0.98
Prob(H) (two-sided): 0.94 Kurtosis: 3.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.4892914575269, Current Price: 169.19
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.279
Date: Wed, 09 Oct 2024 AIC 38.557
Time: 14:41:22 BIC 41.382
Sample: 0 HQIC 37.977
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0778 0.833 0.093 0.926 -1.554 1.710
ma.L1 0.6189 0.571 1.084 0.278 -0.500 1.738
ar.S.L7 -0.0224 0.190 -0.118 0.906 -0.394 0.349
ma.S.L7 -0.1906 0.417 -0.457 0.648 -1.008 0.626
sigma2 0.5172 0.201 2.574 0.010 0.123 0.911
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 4.42
Prob(Q): 0.76 Prob(JB): 0.11
Heteroskedasticity (H): 6.08 Skew: 1.15
Prob(H) (two-sided): 0.11 Kurtosis: 4.69
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.05520433890825, Current Price: 169.4
SELL EXECUTED at 169.4
SELL ORDER COMPLETED at 168.97
OPERATION PROFIT, GROSS -0.9799999999999898, NET -1.3189199999999897
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.973
Date: Wed, 09 Oct 2024 AIC 41.946
Time: 14:41:22 BIC 44.771
Sample: 0 HQIC 41.365
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6529 0.630 1.037 0.300 -0.582 1.887
ma.L1 -0.9999 1478.453 -0.001 0.999 -2898.715 2896.715
ar.S.L7 0.0028 0.007 0.402 0.687 -0.011 0.016
ma.S.L7 -0.3879 0.392 -0.991 0.322 -1.155 0.379
sigma2 0.5775 853.599 0.001 0.999 -1672.447 1673.602
===================================================================================
Ljung-Box (L1) (Q): 1.80 Jarque-Bera (JB): 0.95
Prob(Q): 0.18 Prob(JB): 0.62
Heteroskedasticity (H): 3.87 Skew: -0.34
Prob(H) (two-sided): 0.22 Kurtosis: 1.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.04718832867056, Current Price: 170.19
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.093
Date: Wed, 09 Oct 2024 AIC 42.185
Time: 14:41:22 BIC 45.010
Sample: 0 HQIC 41.605
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3991 1.352 0.295 0.768 -2.250 3.048
ma.L1 -20.9899 548.998 -0.038 0.970 -1097.006 1055.026
ar.S.L7 -0.1393 0.296 -0.470 0.638 -0.720 0.441
ma.S.L7 -0.4923 1.087 -0.453 0.651 -2.623 1.638
sigma2 0.0014 0.072 0.019 0.985 -0.139 0.142
===================================================================================
Ljung-Box (L1) (Q): 0.86 Jarque-Bera (JB): 0.33
Prob(Q): 0.36 Prob(JB): 0.85
Heteroskedasticity (H): 2.66 Skew: -0.27
Prob(H) (two-sided): 0.37 Kurtosis: 2.43
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.4158626604659, Current Price: 170.34
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.357
Date: Wed, 09 Oct 2024 AIC 40.714
Time: 14:41:22 BIC 43.539
Sample: 0 HQIC 40.134
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1553 1.355 0.115 0.909 -2.500 2.811
ma.L1 0.1644 1.352 0.122 0.903 -2.486 2.814
ar.S.L7 -0.4335 0.303 -1.430 0.153 -1.028 0.161
ma.S.L7 0.0975 0.413 0.236 0.813 -0.711 0.906
sigma2 0.6194 0.301 2.060 0.039 0.030 1.209
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 1.01
Prob(Q): 0.64 Prob(JB): 0.60
Heteroskedasticity (H): 1.23 Skew: 0.66
Prob(H) (two-sided): 0.84 Kurtosis: 3.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.8976804849506, Current Price: 168.73
BUY EXECUTED at 168.73
BUY ORDER COMPLETED at 169.94
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.207
Date: Wed, 09 Oct 2024 AIC 42.414
Time: 14:41:22 BIC 45.239
Sample: 0 HQIC 41.834
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2608 1.219 0.214 0.831 -2.128 2.649
ma.L1 0.1722 1.132 0.152 0.879 -2.046 2.390
ar.S.L7 -0.7250 0.238 -3.050 0.002 -1.191 -0.259
ma.S.L7 1.0000 1.18e+05 8.5e-06 1.000 -2.31e+05 2.31e+05
sigma2 0.4269 5.02e+04 8.5e-06 1.000 -9.84e+04 9.84e+04
===================================================================================
Ljung-Box (L1) (Q): 0.40 Jarque-Bera (JB): 0.40
Prob(Q): 0.52 Prob(JB): 0.82
Heteroskedasticity (H): 2.84 Skew: -0.42
Prob(H) (two-sided): 0.34 Kurtosis: 2.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.3852780226476, Current Price: 170.12
SELL EXECUTED at 170.12
SELL ORDER COMPLETED at 170.76
OPERATION PROFIT, GROSS 0.8199999999999932, NET 0.4792999999999932
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.102
Date: Wed, 09 Oct 2024 AIC 46.205
Time: 14:41:22 BIC 49.029
Sample: 0 HQIC 45.624
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2269 3.156 0.072 0.943 -5.958 6.412
ma.L1 0.0243 3.200 0.008 0.994 -6.248 6.297
ar.S.L7 -0.7287 0.719 -1.014 0.311 -2.137 0.680
ma.S.L7 0.3208 0.917 0.350 0.727 -1.477 2.118
sigma2 0.9086 0.411 2.212 0.027 0.103 1.714
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.89
Prob(Q): 0.79 Prob(JB): 0.64
Heteroskedasticity (H): 1.69 Skew: -0.62
Prob(H) (two-sided): 0.63 Kurtosis: 2.71
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.16008317366388, Current Price: 170.94
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.477
Date: Wed, 09 Oct 2024 AIC 44.954
Time: 14:41:22 BIC 47.779
Sample: 0 HQIC 44.373
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0457 3.260 -0.014 0.989 -6.435 6.344
ma.L1 0.2488 2.984 0.083 0.934 -5.599 6.097
ar.S.L7 -0.7931 0.565 -1.404 0.160 -1.900 0.314
ma.S.L7 0.4708 1.068 0.441 0.659 -1.623 2.564
sigma2 0.7803 0.436 1.788 0.074 -0.075 1.636
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 2.53
Prob(Q): 0.90 Prob(JB): 0.28
Heteroskedasticity (H): 2.45 Skew: -1.04
Prob(H) (two-sided): 0.41 Kurtosis: 3.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.89242056613975, Current Price: 173.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.792
Date: Wed, 09 Oct 2024 AIC 47.584
Time: 14:41:22 BIC 50.409
Sample: 0 HQIC 47.004
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3018 2.772 0.109 0.913 -5.131 5.734
ma.L1 -0.0144 2.489 -0.006 0.995 -4.892 4.864
ar.S.L7 -0.8637 0.875 -0.987 0.324 -2.579 0.851
ma.S.L7 -0.0098 0.815 -0.012 0.990 -1.608 1.588
sigma2 1.0546 0.496 2.125 0.034 0.082 2.027
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.81
Prob(Q): 0.99 Prob(JB): 0.40
Heteroskedasticity (H): 2.55 Skew: -0.91
Prob(H) (two-sided): 0.39 Kurtosis: 2.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 172.809730624081, Current Price: 175.63
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.728
Date: Wed, 09 Oct 2024 AIC 51.456
Time: 14:41:22 BIC 54.280
Sample: 0 HQIC 50.875
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2649 1.141 0.232 0.816 -1.971 2.501
ma.L1 0.1719 1.184 0.145 0.885 -2.149 2.493
ar.S.L7 -0.2336 0.925 -0.253 0.801 -2.046 1.579
ma.S.L7 -1.6100 7.637 -0.211 0.833 -16.578 13.358
sigma2 0.4562 3.527 0.129 0.897 -6.457 7.370
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.41
Prob(Q): 0.85 Prob(JB): 0.81
Heteroskedasticity (H): 2.79 Skew: -0.38
Prob(H) (two-sided): 0.34 Kurtosis: 2.58
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.4493879178591, Current Price: 177.18
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.888
Date: Wed, 09 Oct 2024 AIC 49.776
Time: 14:41:22 BIC 52.600
Sample: 0 HQIC 49.195
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3501 1.128 0.310 0.756 -1.861 2.561
ma.L1 0.1572 1.243 0.126 0.899 -2.279 2.594
ar.S.L7 -0.2791 0.822 -0.340 0.734 -1.890 1.332
ma.S.L7 -0.2780 1.218 -0.228 0.819 -2.665 2.108
sigma2 1.2095 0.752 1.609 0.108 -0.264 2.683
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.28
Prob(Q): 0.77 Prob(JB): 0.87
Heteroskedasticity (H): 3.13 Skew: -0.23
Prob(H) (two-sided): 0.30 Kurtosis: 2.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.81458488825302, Current Price: 178.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.993
Date: Wed, 09 Oct 2024 AIC 49.986
Time: 14:41:22 BIC 52.810
Sample: 0 HQIC 49.405
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4860 0.827 0.588 0.557 -1.135 2.107
ma.L1 -0.0422 0.951 -0.044 0.965 -1.905 1.821
ar.S.L7 -0.4877 0.605 -0.806 0.420 -1.674 0.698
ma.S.L7 -0.2653 0.927 -0.286 0.775 -2.081 1.551
sigma2 1.2279 0.684 1.796 0.073 -0.112 2.568
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.15
Prob(Q): 0.91 Prob(JB): 0.93
Heteroskedasticity (H): 2.00 Skew: -0.19
Prob(H) (two-sided): 0.52 Kurtosis: 2.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.3522339688465, Current Price: 182.23
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.106
Date: Wed, 09 Oct 2024 AIC 52.212
Time: 14:41:22 BIC 55.037
Sample: 0 HQIC 51.631
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9119 0.536 1.702 0.089 -0.138 1.962
ma.L1 -0.5200 0.666 -0.781 0.435 -1.825 0.785
ar.S.L7 -0.7640 0.628 -1.217 0.223 -1.994 0.466
ma.S.L7 -1.0001 1.45e+04 -6.9e-05 1.000 -2.84e+04 2.84e+04
sigma2 0.8750 1.27e+04 6.9e-05 1.000 -2.48e+04 2.48e+04
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.06
Prob(Q): 0.75 Prob(JB): 0.97
Heteroskedasticity (H): 1.83 Skew: 0.11
Prob(H) (two-sided): 0.57 Kurtosis: 2.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 184.25715439786768, Current Price: 183.75
BUY EXECUTED at 183.75
BUY ORDER COMPLETED at 184.0089
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.045
Date: Wed, 09 Oct 2024 AIC 52.090
Time: 14:41:22 BIC 54.915
Sample: 0 HQIC 51.510
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8474 0.628 1.349 0.177 -0.384 2.079
ma.L1 -0.4869 1.025 -0.475 0.635 -2.495 1.521
ar.S.L7 -0.8215 0.477 -1.722 0.085 -1.757 0.114
ma.S.L7 -1.0001 1.21e+04 -8.27e-05 1.000 -2.37e+04 2.37e+04
sigma2 0.8680 1.05e+04 8.27e-05 1.000 -2.06e+04 2.06e+04
===================================================================================
Ljung-Box (L1) (Q): 1.34 Jarque-Bera (JB): 0.02
Prob(Q): 0.25 Prob(JB): 0.99
Heteroskedasticity (H): 0.48 Skew: 0.11
Prob(H) (two-sided): 0.50 Kurtosis: 2.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 184.03356444680142, Current Price: 185.13
SELL EXECUTED at 185.13
SELL ORDER COMPLETED at 183.44
OPERATION PROFIT, GROSS -0.5689000000000135, NET -0.9363489000000135
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.700
Date: Wed, 09 Oct 2024 AIC 51.401
Time: 14:41:23 BIC 54.225
Sample: 0 HQIC 50.820
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9160 0.291 3.144 0.002 0.345 1.487
ma.L1 -0.5111 0.482 -1.061 0.289 -1.455 0.433
ar.S.L7 -0.8831 0.428 -2.065 0.039 -1.721 -0.045
ma.S.L7 -0.6412 2.077 -0.309 0.758 -4.713 3.430
sigma2 1.1298 1.616 0.699 0.485 -2.038 4.298
===================================================================================
Ljung-Box (L1) (Q): 3.14 Jarque-Bera (JB): 0.03
Prob(Q): 0.08 Prob(JB): 0.98
Heteroskedasticity (H): 0.95 Skew: 0.12
Prob(H) (two-sided): 0.96 Kurtosis: 2.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 186.04017697153242, Current Price: 183.76
BUY EXECUTED at 183.76
BUY ORDER COMPLETED at 184.51
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.781
Date: Wed, 09 Oct 2024 AIC 53.561
Time: 14:41:23 BIC 56.386
Sample: 0 HQIC 52.981
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3608 1.059 0.341 0.733 -1.715 2.436
ma.L1 -0.1073 1.223 -0.088 0.930 -2.504 2.289
ar.S.L7 -1.1186 0.833 -1.343 0.179 -2.751 0.514
ma.S.L7 -0.6289 3.782 -0.166 0.868 -8.042 6.784
sigma2 1.3862 3.707 0.374 0.708 -5.880 8.652
===================================================================================
Ljung-Box (L1) (Q): 2.45 Jarque-Bera (JB): 0.27
Prob(Q): 0.12 Prob(JB): 0.87
Heteroskedasticity (H): 1.74 Skew: 0.35
Prob(H) (two-sided): 0.60 Kurtosis: 3.02
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 181.88704794550938, Current Price: 185.43
SELL EXECUTED at 185.43
SELL ORDER COMPLETED at 185.05
OPERATION PROFIT, GROSS 0.5400000000000205, NET 0.17044000000002046
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.451
Date: Wed, 09 Oct 2024 AIC 54.901
Time: 14:41:23 BIC 57.726
Sample: 0 HQIC 54.321
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.0557 0.236 4.470 0.000 0.593 1.519
ma.L1 -1.0001 1278.469 -0.001 0.999 -2506.754 2504.753
ar.S.L7 -1.0055 0.376 -2.676 0.007 -1.742 -0.269
ma.S.L7 -0.5425 1.422 -0.382 0.703 -3.329 2.244
sigma2 1.3202 1687.641 0.001 0.999 -3306.395 3309.036
===================================================================================
Ljung-Box (L1) (Q): 1.22 Jarque-Bera (JB): 0.38
Prob(Q): 0.27 Prob(JB): 0.83
Heteroskedasticity (H): 1.51 Skew: -0.35
Prob(H) (two-sided): 0.70 Kurtosis: 2.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 187.57775669433835, Current Price: 185.64
BUY EXECUTED at 185.64
BUY ORDER COMPLETED at 185.61
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.417
Date: Wed, 09 Oct 2024 AIC 54.834
Time: 14:41:23 BIC 57.659
Sample: 0 HQIC 54.254
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9035 0.455 1.987 0.047 0.012 1.795
ma.L1 -0.6623 0.906 -0.731 0.465 -2.438 1.113
ar.S.L7 -1.2739 0.388 -3.284 0.001 -2.034 -0.514
ma.S.L7 0.1006 0.578 0.174 0.862 -1.032 1.233
sigma2 1.8051 1.081 1.670 0.095 -0.313 3.924
===================================================================================
Ljung-Box (L1) (Q): 1.37 Jarque-Bera (JB): 0.44
Prob(Q): 0.24 Prob(JB): 0.80
Heteroskedasticity (H): 1.93 Skew: 0.43
Prob(H) (two-sided): 0.54 Kurtosis: 2.72
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 185.84582861638327, Current Price: 189.59
SELL EXECUTED at 189.59
SELL ORDER COMPLETED at 191.65
OPERATION PROFIT, GROSS 6.039999999999992, NET 5.662739999999992
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.748
Date: Wed, 09 Oct 2024 AIC 57.496
Time: 14:41:23 BIC 60.321
Sample: 0 HQIC 56.915
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.0549 0.093 11.341 0.000 0.873 1.237
ma.L1 -1.0000 4838.206 -0.000 1.000 -9483.709 9481.709
ar.S.L7 -1.2493 0.564 -2.213 0.027 -2.356 -0.143
ma.S.L7 -0.1234 0.752 -0.164 0.870 -1.597 1.350
sigma2 1.9040 9212.002 0.000 1.000 -1.81e+04 1.81e+04
===================================================================================
Ljung-Box (L1) (Q): 2.35 Jarque-Bera (JB): 0.27
Prob(Q): 0.13 Prob(JB): 0.87
Heteroskedasticity (H): 1.61 Skew: 0.23
Prob(H) (two-sided): 0.66 Kurtosis: 2.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 188.43143143580917, Current Price: 191.35
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.775
Date: Wed, 09 Oct 2024 AIC 59.551
Time: 14:41:23 BIC 62.376
Sample: 0 HQIC 58.970
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.0753 0.172 6.253 0.000 0.738 1.412
ma.L1 -1.0000 6269.871 -0.000 1.000 -1.23e+04 1.23e+04
ar.S.L7 -0.8783 0.588 -1.494 0.135 -2.030 0.274
ma.S.L7 -0.4958 2.119 -0.234 0.815 -4.649 3.657
sigma2 1.9417 1.22e+04 0.000 1.000 -2.39e+04 2.39e+04
===================================================================================
Ljung-Box (L1) (Q): 0.30 Jarque-Bera (JB): 0.70
Prob(Q): 0.58 Prob(JB): 0.71
Heteroskedasticity (H): 1.46 Skew: -0.40
Prob(H) (two-sided): 0.72 Kurtosis: 2.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 195.18023660305573, Current Price: 193.89
BUY EXECUTED at 193.89
BUY ORDER COMPLETED at 192.705
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.820
Date: Wed, 09 Oct 2024 AIC 57.640
Time: 14:41:23 BIC 60.465
Sample: 0 HQIC 57.060
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9606 0.104 9.218 0.000 0.756 1.165
ma.L1 -1.0000 9077.213 -0.000 1.000 -1.78e+04 1.78e+04
ar.S.L7 -0.8157 0.291 -2.801 0.005 -1.387 -0.245
ma.S.L7 0.2311 1.085 0.213 0.831 -1.896 2.358
sigma2 1.9468 1.77e+04 0.000 1.000 -3.46e+04 3.46e+04
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 0.17
Prob(Q): 0.69 Prob(JB): 0.92
Heteroskedasticity (H): 2.44 Skew: -0.13
Prob(H) (two-sided): 0.41 Kurtosis: 2.49
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 195.82096812801828, Current Price: 190.81
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.679
Date: Wed, 09 Oct 2024 AIC 65.358
Time: 14:41:23 BIC 68.183
Sample: 0 HQIC 64.778
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0945 0.292 -3.747 0.000 -1.667 -0.522
ma.L1 1.0000 2.73e+04 3.66e-05 1.000 -5.35e+04 5.35e+04
ar.S.L7 -0.5475 0.499 -1.096 0.273 -1.526 0.431
ma.S.L7 0.2717 0.921 0.295 0.768 -1.534 2.077
sigma2 3.3556 9.16e+04 3.66e-05 1.000 -1.79e+05 1.79e+05
===================================================================================
Ljung-Box (L1) (Q): 1.28 Jarque-Bera (JB): 0.24
Prob(Q): 0.26 Prob(JB): 0.89
Heteroskedasticity (H): 0.57 Skew: -0.10
Prob(H) (two-sided): 0.59 Kurtosis: 2.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 192.81141025133937, Current Price: 190.15
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.814
Date: Wed, 09 Oct 2024 AIC 63.629
Time: 14:41:23 BIC 66.453
Sample: 0 HQIC 63.048
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0080 0.449 -2.245 0.025 -1.888 -0.128
ma.L1 1.0000 8.35e+04 1.2e-05 1.000 -1.64e+05 1.64e+05
ar.S.L7 -0.4412 0.445 -0.991 0.321 -1.314 0.431
ma.S.L7 0.1609 0.662 0.243 0.808 -1.136 1.458
sigma2 3.0286 2.53e+05 1.2e-05 1.000 -4.96e+05 4.96e+05
===================================================================================
Ljung-Box (L1) (Q): 2.58 Jarque-Bera (JB): 0.02
Prob(Q): 0.11 Prob(JB): 0.99
Heteroskedasticity (H): 0.85 Skew: 0.00
Prob(H) (two-sided): 0.88 Kurtosis: 2.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 190.96245148645994, Current Price: 179.94
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -35.261
Date: Wed, 09 Oct 2024 AIC 80.521
Time: 14:41:23 BIC 83.346
Sample: 0 HQIC 79.941
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4287 0.678 0.632 0.527 -0.901 1.758
ma.L1 0.3241 0.496 0.653 0.514 -0.649 1.297
ar.S.L7 -1.4767 0.856 -1.725 0.085 -3.155 0.201
ma.S.L7 -1.0001 1.86e+04 -5.36e-05 1.000 -3.65e+04 3.65e+04
sigma2 8.0220 1.5e+05 5.36e-05 1.000 -2.93e+05 2.93e+05
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 1.97
Prob(Q): 0.85 Prob(JB): 0.37
Heteroskedasticity (H): 14.46 Skew: -0.82
Prob(H) (two-sided): 0.02 Kurtosis: 3.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 174.7149511811244, Current Price: 179.1
SELL EXECUTED at 179.1
SELL ORDER COMPLETED at 181.56
OPERATION PROFIT, GROSS -11.14500000000001, NET -11.51926500000001
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -35.088
Date: Wed, 09 Oct 2024 AIC 80.177
Time: 14:41:23 BIC 83.002
Sample: 0 HQIC 79.596
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0476 0.335 -3.129 0.002 -1.704 -0.391
ma.L1 1.0000 2.58e+04 3.87e-05 1.000 -5.06e+04 5.06e+04
ar.S.L7 0.0467 0.989 0.047 0.962 -1.892 1.985
ma.S.L7 0.3431 2.189 0.157 0.875 -3.947 4.633
sigma2 10.2218 2.64e+05 3.87e-05 1.000 -5.17e+05 5.17e+05
===================================================================================
Ljung-Box (L1) (Q): 1.62 Jarque-Bera (JB): 1.14
Prob(Q): 0.20 Prob(JB): 0.57
Heteroskedasticity (H): 3.62 Skew: -0.49
Prob(H) (two-sided): 0.24 Kurtosis: 4.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 180.05170950274686, Current Price: 183.33
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -34.328
Date: Wed, 09 Oct 2024 AIC 78.656
Time: 14:41:23 BIC 81.480
Sample: 0 HQIC 78.075
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9968 0.322 -3.096 0.002 -1.628 -0.366
ma.L1 1.0000 4493.425 0.000 1.000 -8805.952 8807.952
ar.S.L7 0.1680 0.943 0.178 0.859 -1.681 2.017
ma.S.L7 0.3123 1.714 0.182 0.855 -3.047 3.672
sigma2 9.2050 4.14e+04 0.000 1.000 -8.11e+04 8.11e+04
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 4.33
Prob(Q): 0.74 Prob(JB): 0.11
Heteroskedasticity (H): 5.74 Skew: -1.15
Prob(H) (two-sided): 0.12 Kurtosis: 4.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 186.2711917803642, Current Price: 182.54
BUY EXECUTED at 182.54
BUY ORDER COMPLETED at 184.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -33.967
Date: Wed, 09 Oct 2024 AIC 77.934
Time: 14:41:23 BIC 80.759
Sample: 0 HQIC 77.353
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9278 0.331 -2.800 0.005 -1.577 -0.278
ma.L1 1.0000 2.36e+04 4.23e-05 1.000 -4.63e+04 4.63e+04
ar.S.L7 0.3188 0.577 0.552 0.581 -0.813 1.450
ma.S.L7 1.0000 2.13e+05 4.68e-06 1.000 -4.18e+05 4.18e+05
sigma2 5.2748 1.09e+06 4.85e-06 1.000 -2.13e+06 2.13e+06
===================================================================================
Ljung-Box (L1) (Q): 1.06 Jarque-Bera (JB): 3.20
Prob(Q): 0.30 Prob(JB): 0.20
Heteroskedasticity (H): 4.31 Skew: -1.01
Prob(H) (two-sided): 0.19 Kurtosis: 4.35
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 182.554696437135, Current Price: 186.5
SELL EXECUTED at 186.5
SELL ORDER COMPLETED at 189.18
OPERATION PROFIT, GROSS 4.490000000000009, NET 4.116130000000009
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -34.717
Date: Wed, 09 Oct 2024 AIC 79.433
Time: 14:41:23 BIC 82.258
Sample: 0 HQIC 78.852
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8557 0.431 -1.987 0.047 -1.700 -0.012
ma.L1 0.6075 0.725 0.838 0.402 -0.813 2.028
ar.S.L7 0.4475 0.511 0.875 0.382 -0.555 1.450
ma.S.L7 0.8695 9.449 0.092 0.927 -17.651 19.390
sigma2 8.0095 72.073 0.111 0.912 -133.252 149.271
===================================================================================
Ljung-Box (L1) (Q): 1.10 Jarque-Bera (JB): 0.30
Prob(Q): 0.29 Prob(JB): 0.86
Heteroskedasticity (H): 0.94 Skew: -0.36
Prob(H) (two-sided): 0.95 Kurtosis: 2.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.44460864884093, Current Price: 188.18
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -36.223
Date: Wed, 09 Oct 2024 AIC 82.446
Time: 14:41:23 BIC 85.271
Sample: 0 HQIC 81.866
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5571 2.893 0.193 0.847 -5.114 6.228
ma.L1 -0.4527 3.806 -0.119 0.905 -7.912 7.007
ar.S.L7 -0.2349 2.567 -0.092 0.927 -5.266 4.796
ma.S.L7 -0.1177 2.517 -0.047 0.963 -5.050 4.815
sigma2 15.3017 7.895 1.938 0.053 -0.171 30.775
===================================================================================
Ljung-Box (L1) (Q): 0.24 Jarque-Bera (JB): 10.81
Prob(Q): 0.63 Prob(JB): 0.00
Heteroskedasticity (H): 2.65 Skew: -1.75
Prob(H) (two-sided): 0.37 Kurtosis: 5.78
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 187.73492682764868, Current Price: 182.24
BUY EXECUTED at 182.24
BUY ORDER COMPLETED at 181.19
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -35.670
Date: Wed, 09 Oct 2024 AIC 81.339
Time: 14:41:23 BIC 84.164
Sample: 0 HQIC 80.759
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9966 0.102 -9.737 0.000 -1.197 -0.796
ma.L1 1.0000 1.16e+04 8.6e-05 1.000 -2.28e+04 2.28e+04
ar.S.L7 0.4805 0.942 0.510 0.610 -1.365 2.326
ma.S.L7 0.2477 1.166 0.212 0.832 -2.037 2.533
sigma2 11.5611 1.34e+05 8.6e-05 1.000 -2.63e+05 2.64e+05
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.11
Prob(Q): 0.73 Prob(JB): 0.95
Heteroskedasticity (H): 9.23 Skew: 0.08
Prob(H) (two-sided): 0.05 Kurtosis: 2.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.05125199541004, Current Price: 183.5
SELL EXECUTED at 183.5
SELL ORDER COMPLETED at 182.14
OPERATION PROFIT, GROSS 0.9499999999999886, NET 0.5866699999999887
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -37.472
Date: Wed, 09 Oct 2024 AIC 84.944
Time: 14:41:23 BIC 87.768
Sample: 0 HQIC 84.363
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4256 5.041 -0.084 0.933 -10.305 9.454
ma.L1 0.4901 4.979 0.098 0.922 -9.269 10.249
ar.S.L7 -0.5554 2.195 -0.253 0.800 -4.858 3.748
ma.S.L7 -0.3082 2.163 -0.142 0.887 -4.547 3.931
sigma2 17.9486 11.274 1.592 0.111 -4.148 40.046
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 6.10
Prob(Q): 0.66 Prob(JB): 0.05
Heteroskedasticity (H): 1.27 Skew: -1.46
Prob(H) (two-sided): 0.82 Kurtosis: 4.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 184.09578288737634, Current Price: 182.03
BUY EXECUTED at 182.03
BUY ORDER COMPLETED at 182.91
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -35.518
Date: Wed, 09 Oct 2024 AIC 81.036
Time: 14:41:23 BIC 83.861
Sample: 0 HQIC 80.455
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9027 0.194 -4.656 0.000 -1.283 -0.523
ma.L1 1.0000 7434.826 0.000 1.000 -1.46e+04 1.46e+04
ar.S.L7 -0.2778 0.619 -0.449 0.654 -1.492 0.936
ma.S.L7 -1.0000 4.68e+04 -2.14e-05 1.000 -9.18e+04 9.18e+04
sigma2 7.3520 3.44e+05 2.14e-05 1.000 -6.74e+05 6.74e+05
===================================================================================
Ljung-Box (L1) (Q): 0.65 Jarque-Bera (JB): 2.25
Prob(Q): 0.42 Prob(JB): 0.32
Heteroskedasticity (H): 3.87 Skew: -0.99
Prob(H) (two-sided): 0.22 Kurtosis: 3.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 185.1142470913596, Current Price: 181.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -36.000
Date: Wed, 09 Oct 2024 AIC 82.001
Time: 14:41:23 BIC 84.826
Sample: 0 HQIC 81.420
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7877 0.697 -1.130 0.258 -2.154 0.578
ma.L1 1.0000 1.19e+04 8.43e-05 1.000 -2.33e+04 2.33e+04
ar.S.L7 -0.4925 1.546 -0.319 0.750 -3.523 2.538
ma.S.L7 -1.0001 1.26e+04 -7.96e-05 1.000 -2.46e+04 2.46e+04
sigma2 7.9234 1.48e+05 5.35e-05 1.000 -2.9e+05 2.9e+05
===================================================================================
Ljung-Box (L1) (Q): 0.43 Jarque-Bera (JB): 3.00
Prob(Q): 0.51 Prob(JB): 0.22
Heteroskedasticity (H): 0.53 Skew: -1.11
Prob(H) (two-sided): 0.55 Kurtosis: 3.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 183.1194709256031, Current Price: 181.22
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -36.204
Date: Wed, 09 Oct 2024 AIC 82.408
Time: 14:41:23 BIC 85.232
Sample: 0 HQIC 81.827
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8096 0.481 -1.683 0.092 -1.752 0.133
ma.L1 1.0000 7643.549 0.000 1.000 -1.5e+04 1.5e+04
ar.S.L7 -0.4115 0.844 -0.487 0.626 -2.066 1.243
ma.S.L7 -1.0000 2.94e+04 -3.4e-05 1.000 -5.77e+04 5.77e+04
sigma2 8.1740 2.46e+05 3.32e-05 1.000 -4.82e+05 4.82e+05
===================================================================================
Ljung-Box (L1) (Q): 0.67 Jarque-Bera (JB): 1.68
Prob(Q): 0.41 Prob(JB): 0.43
Heteroskedasticity (H): 0.25 Skew: -0.85
Prob(H) (two-sided): 0.20 Kurtosis: 3.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 183.09932791704458, Current Price: 183.36
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -35.774
Date: Wed, 09 Oct 2024 AIC 81.548
Time: 14:41:23 BIC 84.372
Sample: 0 HQIC 80.967
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5349 0.239 -2.240 0.025 -1.003 -0.067
ma.L1 1.0000 1.44e+04 6.96e-05 1.000 -2.82e+04 2.82e+04
ar.S.L7 -0.7471 0.629 -1.188 0.235 -1.979 0.485
ma.S.L7 -1.0004 1713.015 -0.001 1.000 -3358.449 3356.448
sigma2 7.7099 1.11e+05 6.95e-05 1.000 -2.17e+05 2.17e+05
===================================================================================
Ljung-Box (L1) (Q): 0.94 Jarque-Bera (JB): 4.72
Prob(Q): 0.33 Prob(JB): 0.09
Heteroskedasticity (H): 0.24 Skew: -1.32
Prob(H) (two-sided): 0.20 Kurtosis: 4.33
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 182.0954913490728, Current Price: 181.24
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -33.894
Date: Wed, 09 Oct 2024 AIC 77.788
Time: 14:41:23 BIC 80.613
Sample: 0 HQIC 77.207
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7581 0.187 4.059 0.000 0.392 1.124
ma.L1 -1.0000 2.43e+04 -4.12e-05 1.000 -4.76e+04 4.76e+04
ar.S.L7 -0.5434 0.652 -0.833 0.405 -1.822 0.735
ma.S.L7 -1.0001 1.69e+04 -5.93e-05 1.000 -3.31e+04 3.31e+04
sigma2 5.2137 1.92e+05 2.71e-05 1.000 -3.77e+05 3.77e+05
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 2.31
Prob(Q): 0.79 Prob(JB): 0.32
Heteroskedasticity (H): 0.19 Skew: -0.95
Prob(H) (two-sided): 0.13 Kurtosis: 3.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 180.03591314568274, Current Price: 184.39
SELL EXECUTED at 184.39
SELL ORDER COMPLETED at 184.79
OPERATION PROFIT, GROSS 1.8799999999999955, NET 1.5122999999999955
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.891
Date: Wed, 09 Oct 2024 AIC 67.781
Time: 14:41:23 BIC 70.606
Sample: 0 HQIC 67.200
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3473 0.298 -1.165 0.244 -0.932 0.237
ma.L1 1.0000 1.34e+04 7.45e-05 1.000 -2.63e+04 2.63e+04
ar.S.L7 -0.9199 0.082 -11.178 0.000 -1.081 -0.759
ma.S.L7 -0.2553 0.275 -0.928 0.353 -0.795 0.284
sigma2 4.4652 5.99e+04 7.45e-05 1.000 -1.17e+05 1.17e+05
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.68
Prob(Q): 0.89 Prob(JB): 0.71
Heteroskedasticity (H): 0.33 Skew: 0.25
Prob(H) (two-sided): 0.30 Kurtosis: 1.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.09097410732903, Current Price: 184.83
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.597
Date: Wed, 09 Oct 2024 AIC 73.195
Time: 14:41:23 BIC 76.020
Sample: 0 HQIC 72.614
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4036 0.249 -1.619 0.105 -0.892 0.085
ma.L1 1.0000 1.55e+04 6.47e-05 1.000 -3.03e+04 3.03e+04
ar.S.L7 -0.7823 0.414 -1.887 0.059 -1.595 0.030
ma.S.L7 -1.0000 1.49e+04 -6.71e-05 1.000 -2.92e+04 2.92e+04
sigma2 4.3095 1.12e+05 3.86e-05 1.000 -2.19e+05 2.19e+05
===================================================================================
Ljung-Box (L1) (Q): 0.46 Jarque-Bera (JB): 0.30
Prob(Q): 0.50 Prob(JB): 0.86
Heteroskedasticity (H): 1.98 Skew: 0.20
Prob(H) (two-sided): 0.52 Kurtosis: 2.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 187.45190392942024, Current Price: 185.05
BUY EXECUTED at 185.05
BUY ORDER COMPLETED at 183.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -33.408
Date: Wed, 09 Oct 2024 AIC 76.817
Time: 14:41:24 BIC 79.642
Sample: 0 HQIC 76.236
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4301 0.198 -2.177 0.029 -0.817 -0.043
ma.L1 1.0000 1.14e+04 8.78e-05 1.000 -2.23e+04 2.23e+04
ar.S.L7 -0.7306 0.239 -3.062 0.002 -1.198 -0.263
ma.S.L7 -0.2710 1.109 -0.244 0.807 -2.446 1.904
sigma2 8.8590 1.01e+05 8.78e-05 1.000 -1.98e+05 1.98e+05
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 1.17
Prob(Q): 0.80 Prob(JB): 0.56
Heteroskedasticity (H): 1.27 Skew: 0.50
Prob(H) (two-sided): 0.82 Kurtosis: 1.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 187.85351650937648, Current Price: 182.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -33.343
Date: Wed, 09 Oct 2024 AIC 76.686
Time: 14:41:24 BIC 79.511
Sample: 0 HQIC 76.106
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2496 0.449 -0.556 0.578 -1.129 0.630
ma.L1 1.0000 1.5e+04 6.67e-05 1.000 -2.94e+04 2.94e+04
ar.S.L7 -0.8008 0.088 -9.118 0.000 -0.973 -0.629
ma.S.L7 -0.0240 0.706 -0.034 0.973 -1.409 1.361
sigma2 8.8222 1.32e+05 6.67e-05 1.000 -2.59e+05 2.59e+05
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 1.35
Prob(Q): 0.77 Prob(JB): 0.51
Heteroskedasticity (H): 1.74 Skew: 0.52
Prob(H) (two-sided): 0.61 Kurtosis: 1.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.97864461894164, Current Price: 181.14
SELL EXECUTED at 181.14
SELL ORDER COMPLETED at 180.95
OPERATION PROFIT, GROSS -2.8000000000000114, NET -3.1647000000000114
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.381
Date: Wed, 09 Oct 2024 AIC 74.762
Time: 14:41:24 BIC 77.586
Sample: 0 HQIC 74.181
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0805 0.700 -0.115 0.908 -1.453 1.292
ma.L1 1.0000 4.7e+04 2.13e-05 1.000 -9.22e+04 9.22e+04
ar.S.L7 -0.8668 0.118 -7.334 0.000 -1.098 -0.635
ma.S.L7 0.3423 0.962 0.356 0.722 -1.543 2.228
sigma2 6.9831 3.28e+05 2.13e-05 1.000 -6.44e+05 6.44e+05
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.99
Prob(Q): 0.85 Prob(JB): 0.61
Heteroskedasticity (H): 1.01 Skew: 0.48
Prob(H) (two-sided): 1.00 Kurtosis: 2.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 185.49251286785577, Current Price: 181.64
BUY EXECUTED at 181.64
BUY ORDER COMPLETED at 179.5
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -33.532
Date: Wed, 09 Oct 2024 AIC 77.065
Time: 14:41:24 BIC 79.889
Sample: 0 HQIC 76.484
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0351 0.950 -0.037 0.971 -1.897 1.827
ma.L1 1.0000 3.11e+04 3.22e-05 1.000 -6.09e+04 6.09e+04
ar.S.L7 -0.9012 0.118 -7.611 0.000 -1.133 -0.669
ma.S.L7 1.0000 5.83e+04 1.72e-05 1.000 -1.14e+05 1.14e+05
sigma2 5.1911 2.87e+05 1.81e-05 1.000 -5.62e+05 5.62e+05
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.06
Prob(Q): 0.96 Prob(JB): 0.59
Heteroskedasticity (H): 0.52 Skew: 0.49
Prob(H) (two-sided): 0.54 Kurtosis: 2.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 180.37078385053576, Current Price: 181.29
SELL EXECUTED at 181.29
SELL ORDER COMPLETED at 182.5
OPERATION PROFIT, GROSS 3.0, NET 2.638
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.807
Date: Wed, 09 Oct 2024 AIC 75.614
Time: 14:41:24 BIC 78.439
Sample: 0 HQIC 75.034
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0597 0.915 -0.065 0.948 -1.853 1.734
ma.L1 1.0000 6.5e+04 1.54e-05 1.000 -1.27e+05 1.27e+05
ar.S.L7 -0.8878 0.119 -7.474 0.000 -1.121 -0.655
ma.S.L7 1.0000 5.12e+04 1.95e-05 1.000 -1e+05 1e+05
sigma2 4.6457 4.18e+05 1.11e-05 1.000 -8.2e+05 8.2e+05
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.85
Prob(Q): 0.74 Prob(JB): 0.65
Heteroskedasticity (H): 0.66 Skew: 0.41
Prob(H) (two-sided): 0.70 Kurtosis: 2.05
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 181.67797100736973, Current Price: 183.05
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.455
Date: Wed, 09 Oct 2024 AIC 72.910
Time: 14:41:24 BIC 75.734
Sample: 0 HQIC 72.329
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0625 0.842 0.074 0.941 -1.589 1.714
ma.L1 1.0000 2.19e+04 4.57e-05 1.000 -4.29e+04 4.29e+04
ar.S.L7 -0.7993 0.120 -6.646 0.000 -1.035 -0.564
ma.S.L7 1.0001 1.04e+04 9.59e-05 1.000 -2.04e+04 2.04e+04
sigma2 3.7601 9.5e+04 3.96e-05 1.000 -1.86e+05 1.86e+05
===================================================================================
Ljung-Box (L1) (Q): 0.31 Jarque-Bera (JB): 0.38
Prob(Q): 0.58 Prob(JB): 0.83
Heteroskedasticity (H): 1.53 Skew: -0.04
Prob(H) (two-sided): 0.69 Kurtosis: 2.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 189.4993533008203, Current Price: 182.46
BUY EXECUTED at 182.46
BUY ORDER COMPLETED at 183.14
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.526
Date: Wed, 09 Oct 2024 AIC 71.052
Time: 14:41:24 BIC 73.877
Sample: 0 HQIC 70.472
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0363 0.542 -0.067 0.947 -1.098 1.026
ma.L1 -1.0000 1.26e+04 -7.96e-05 1.000 -2.46e+04 2.46e+04
ar.S.L7 0.3005 0.328 0.915 0.360 -0.343 0.944
ma.S.L7 -0.2993 0.545 -0.549 0.583 -1.367 0.769
sigma2 5.3035 6.67e+04 7.96e-05 1.000 -1.31e+05 1.31e+05
===================================================================================
Ljung-Box (L1) (Q): 0.67 Jarque-Bera (JB): 0.74
Prob(Q): 0.41 Prob(JB): 0.69
Heteroskedasticity (H): 0.39 Skew: -0.58
Prob(H) (two-sided): 0.38 Kurtosis: 2.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 185.1212755426611, Current Price: 182.45
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.671
Date: Wed, 09 Oct 2024 AIC 69.342
Time: 14:41:24 BIC 72.166
Sample: 0 HQIC 68.761
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2545 1.044 -0.244 0.807 -2.301 1.792
ma.L1 0.6151 0.963 0.639 0.523 -1.272 2.502
ar.S.L7 -0.4704 0.134 -3.502 0.000 -0.734 -0.207
ma.S.L7 1.0000 3.83e+04 2.61e-05 1.000 -7.51e+04 7.51e+04
sigma2 3.3697 1.29e+05 2.61e-05 1.000 -2.53e+05 2.53e+05
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 2.15
Prob(Q): 0.81 Prob(JB): 0.34
Heteroskedasticity (H): 0.36 Skew: 0.93
Prob(H) (two-sided): 0.34 Kurtosis: 3.72
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 180.07806742840273, Current Price: 183.89
SELL EXECUTED at 183.89
SELL ORDER COMPLETED at 184.46
OPERATION PROFIT, GROSS 1.3200000000000216, NET 0.9524000000000216
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.762
Date: Wed, 09 Oct 2024 AIC 71.524
Time: 14:41:24 BIC 74.349
Sample: 0 HQIC 70.943
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2852 0.748 -0.381 0.703 -1.752 1.182
ma.L1 0.7769 0.793 0.979 0.327 -0.778 2.332
ar.S.L7 -0.5255 0.160 -3.281 0.001 -0.839 -0.212
ma.S.L7 1.1391 6.167 0.185 0.853 -10.947 13.226
sigma2 3.3826 20.014 0.169 0.866 -35.844 42.610
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.54
Prob(Q): 0.84 Prob(JB): 0.76
Heteroskedasticity (H): 0.73 Skew: 0.34
Prob(H) (two-sided): 0.76 Kurtosis: 2.27
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 184.03036512689042, Current Price: 183.45
BUY EXECUTED at 183.45
BUY ORDER COMPLETED at 184.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.656
Date: Wed, 09 Oct 2024 AIC 73.312
Time: 14:41:24 BIC 76.137
Sample: 0 HQIC 72.732
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0993 1.984 -0.050 0.960 -3.988 3.790
ma.L1 0.3531 1.750 0.202 0.840 -3.077 3.783
ar.S.L7 -0.3909 0.242 -1.616 0.106 -0.865 0.083
ma.S.L7 0.0574 0.489 0.117 0.906 -0.901 1.015
sigma2 7.6214 3.977 1.916 0.055 -0.174 15.417
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 2.08
Prob(Q): 0.75 Prob(JB): 0.35
Heteroskedasticity (H): 0.24 Skew: 0.87
Prob(H) (two-sided): 0.20 Kurtosis: 3.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 184.29277859637776, Current Price: 183.97
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.248
Date: Wed, 09 Oct 2024 AIC 70.496
Time: 14:41:24 BIC 73.321
Sample: 0 HQIC 69.915
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1887 0.833 0.227 0.821 -1.444 1.821
ma.L1 -1.0000 1.88e+04 -5.33e-05 1.000 -3.68e+04 3.68e+04
ar.S.L7 0.1571 0.321 0.489 0.625 -0.473 0.787
ma.S.L7 -0.5052 1.441 -0.351 0.726 -3.330 2.320
sigma2 4.6924 8.8e+04 5.33e-05 1.000 -1.72e+05 1.72e+05
===================================================================================
Ljung-Box (L1) (Q): 1.14 Jarque-Bera (JB): 0.83
Prob(Q): 0.29 Prob(JB): 0.66
Heteroskedasticity (H): 0.41 Skew: 0.62
Prob(H) (two-sided): 0.40 Kurtosis: 2.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 182.29123979521273, Current Price: 182.96
SELL EXECUTED at 182.96
SELL ORDER COMPLETED at 183.07
OPERATION PROFIT, GROSS -1.9099999999999966, NET -2.278049999999997
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.359
Date: Wed, 09 Oct 2024 AIC 54.718
Time: 14:41:24 BIC 57.543
Sample: 0 HQIC 54.137
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7454 0.213 3.502 0.000 0.328 1.163
ma.L1 -1.0000 2146.002 -0.000 1.000 -4207.087 4205.087
ar.S.L7 0.0037 0.007 0.550 0.582 -0.010 0.017
ma.S.L7 -0.3275 0.410 -0.799 0.424 -1.131 0.476
sigma2 1.5857 3402.958 0.000 1.000 -6668.089 6671.260
===================================================================================
Ljung-Box (L1) (Q): 0.62 Jarque-Bera (JB): 0.71
Prob(Q): 0.43 Prob(JB): 0.70
Heteroskedasticity (H): 1.59 Skew: 0.57
Prob(H) (two-sided): 0.66 Kurtosis: 2.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 184.19083502415674, Current Price: 183.2
BUY EXECUTED at 183.2
BUY ORDER COMPLETED at 179.84
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.344
Date: Wed, 09 Oct 2024 AIC 54.688
Time: 14:41:24 BIC 57.513
Sample: 0 HQIC 54.107
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7076 0.474 1.492 0.136 -0.222 1.637
ma.L1 -1.0000 8838.806 -0.000 1.000 -1.73e+04 1.73e+04
ar.S.L7 -0.0022 0.003 -0.848 0.397 -0.007 0.003
ma.S.L7 -1.7610 1.203 -1.464 0.143 -4.118 0.596
sigma2 0.4723 4175.111 0.000 1.000 -8182.595 8183.539
===================================================================================
Ljung-Box (L1) (Q): 0.39 Jarque-Bera (JB): 0.25
Prob(Q): 0.53 Prob(JB): 0.88
Heteroskedasticity (H): 0.11 Skew: 0.10
Prob(H) (two-sided): 0.05 Kurtosis: 2.35
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 182.73247227196924, Current Price: 179.52
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.818
Date: Wed, 09 Oct 2024 AIC 57.635
Time: 14:41:24 BIC 60.460
Sample: 0 HQIC 57.055
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3314 0.539 -0.614 0.539 -1.389 0.726
ma.L1 1.0000 6306.629 0.000 1.000 -1.24e+04 1.24e+04
ar.S.L7 -0.4137 0.237 -1.744 0.081 -0.879 0.051
ma.S.L7 -1.0000 2.28e+04 -4.38e-05 1.000 -4.47e+04 4.47e+04
sigma2 1.3113 3.5e+04 3.75e-05 1.000 -6.86e+04 6.86e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.18
Prob(Q): 1.00 Prob(JB): 0.55
Heteroskedasticity (H): 0.59 Skew: -0.25
Prob(H) (two-sided): 0.63 Kurtosis: 1.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.85798914817389, Current Price: 178.65
SELL EXECUTED at 178.65
SELL ORDER COMPLETED at 176.98
OPERATION PROFIT, GROSS -2.8600000000000136, NET -3.2168200000000136
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.805
Date: Wed, 09 Oct 2024 AIC 57.611
Time: 14:41:24 BIC 60.435
Sample: 0 HQIC 57.030
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4646 0.972 0.478 0.633 -1.440 2.369
ma.L1 -10.8608 131.968 -0.082 0.934 -269.513 247.792
ar.S.L7 -0.1976 0.294 -0.671 0.502 -0.775 0.379
ma.S.L7 -3.9103 7.051 -0.555 0.579 -17.731 9.910
sigma2 0.0012 0.030 0.040 0.968 -0.058 0.061
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.32
Prob(Q): 0.99 Prob(JB): 0.85
Heteroskedasticity (H): 2.17 Skew: 0.37
Prob(H) (two-sided): 0.47 Kurtosis: 2.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.14145796930643, Current Price: 174.79
BUY EXECUTED at 174.79
BUY ORDER COMPLETED at 174.36
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.706
Date: Wed, 09 Oct 2024 AIC 61.413
Time: 14:41:24 BIC 64.238
Sample: 0 HQIC 60.832
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4404 0.370 1.189 0.234 -0.285 1.166
ma.L1 -0.1366 1.106 -0.123 0.902 -2.304 2.031
ar.S.L7 -0.2319 0.414 -0.560 0.576 -1.044 0.580
ma.S.L7 -1.6024 4.581 -0.350 0.726 -10.581 7.376
sigma2 0.9901 4.593 0.216 0.829 -8.011 9.992
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.18
Prob(Q): 0.73 Prob(JB): 0.91
Heteroskedasticity (H): 3.59 Skew: 0.05
Prob(H) (two-sided): 0.24 Kurtosis: 2.43
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.1181572701491, Current Price: 175.44
SELL EXECUTED at 175.44
SELL ORDER COMPLETED at 174.41
OPERATION PROFIT, GROSS 0.04999999999998295, NET -0.2987700000000171
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.276
Date: Wed, 09 Oct 2024 AIC 62.551
Time: 14:41:24 BIC 65.376
Sample: 0 HQIC 61.970
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3755 6.634 -0.057 0.955 -13.377 12.626
ma.L1 0.5715 6.153 0.093 0.926 -11.487 12.630
ar.S.L7 -0.2754 0.411 -0.671 0.503 -1.080 0.530
ma.S.L7 -1.0002 1.01e+04 -9.95e-05 1.000 -1.97e+04 1.97e+04
sigma2 2.0115 2.02e+04 9.95e-05 1.000 -3.96e+04 3.96e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.15
Prob(Q): 0.86 Prob(JB): 0.93
Heteroskedasticity (H): 8.91 Skew: -0.16
Prob(H) (two-sided): 0.06 Kurtosis: 2.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.50554143802177, Current Price: 174.94
BUY EXECUTED at 174.94
BUY ORDER COMPLETED at 175.83
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -33578.884
Date: Wed, 09 Oct 2024 AIC 67167.768
Time: 14:41:24 BIC 67170.593
Sample: 0 HQIC 67167.187
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.1055 3.98e-05 -2.78e+04 0.000 -1.106 -1.105
ma.L1 1.1579 0.000 9336.560 0.000 1.158 1.158
ar.S.L7 -51.0000 0.272 -187.614 0.000 -51.533 -50.467
ma.S.L7 9.059e-12 0.000 6.77e-08 1.000 -0.000 0.000
sigma2 3.6767 0.039 93.278 0.000 3.599 3.754
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.13
Prob(Q): 0.80 Prob(JB): 0.94
Heteroskedasticity (H): 0.30 Skew: 0.03
Prob(H) (two-sided): 0.27 Kurtosis: 2.51
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 133.23284432762168, Current Price: 176.7
SELL EXECUTED at 176.7
SELL ORDER COMPLETED at 177.19
OPERATION PROFIT, GROSS 1.3599999999999852, NET 1.0069799999999853
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.588
Date: Wed, 09 Oct 2024 AIC 63.176
Time: 14:41:24 BIC 66.001
Sample: 0 HQIC 62.596
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3443 1.649 -0.209 0.835 -3.577 2.888
ma.L1 5.4830 55.006 0.100 0.921 -102.327 113.293
ar.S.L7 -0.8021 0.930 -0.863 0.388 -2.624 1.020
ma.S.L7 -0.4385 1.893 -0.232 0.817 -4.148 3.271
sigma2 0.1070 2.173 0.049 0.961 -4.152 4.366
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.80
Prob(Q): 0.73 Prob(JB): 0.67
Heteroskedasticity (H): 1.09 Skew: -0.52
Prob(H) (two-sided): 0.93 Kurtosis: 3.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.92300674565274, Current Price: 178.19
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.438
Date: Wed, 09 Oct 2024 AIC 62.875
Time: 14:41:24 BIC 65.700
Sample: 0 HQIC 62.294
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4381 0.232 -1.889 0.059 -0.893 0.016
ma.L1 0.3043 0.387 0.785 0.432 -0.455 1.064
ar.S.L7 -0.7511 1.162 -0.647 0.518 -3.028 1.525
ma.S.L7 -0.7375 5.555 -0.133 0.894 -11.625 10.150
sigma2 2.6015 11.375 0.229 0.819 -19.694 24.897
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 0.72
Prob(Q): 0.71 Prob(JB): 0.70
Heteroskedasticity (H): 0.97 Skew: -0.48
Prob(H) (two-sided): 0.97 Kurtosis: 3.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.64181367796365, Current Price: 177.12
BUY EXECUTED at 177.12
BUY ORDER COMPLETED at 178.71
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.544
Date: Wed, 09 Oct 2024 AIC 63.088
Time: 14:41:24 BIC 65.913
Sample: 0 HQIC 62.507
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2975 1.565 0.190 0.849 -2.769 3.364
ma.L1 -0.0667 1.450 -0.046 0.963 -2.909 2.775
ar.S.L7 -1.0097 0.455 -2.221 0.026 -1.901 -0.118
ma.S.L7 0.3119 0.763 0.408 0.683 -1.184 1.808
sigma2 3.3388 2.374 1.406 0.160 -1.314 7.992
===================================================================================
Ljung-Box (L1) (Q): 0.34 Jarque-Bera (JB): 0.72
Prob(Q): 0.56 Prob(JB): 0.70
Heteroskedasticity (H): 0.48 Skew: 0.12
Prob(H) (two-sided): 0.50 Kurtosis: 1.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 176.8001671067095, Current Price: 178.7
SELL EXECUTED at 178.7
SELL ORDER COMPLETED at 178.69
OPERATION PROFIT, GROSS -0.020000000000010232, NET -0.3774000000000102
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.873
Date: Wed, 09 Oct 2024 AIC 59.745
Time: 14:41:24 BIC 62.570
Sample: 0 HQIC 59.164
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3863 3.214 -0.120 0.904 -6.686 5.914
ma.L1 0.3007 3.284 0.092 0.927 -6.135 6.737
ar.S.L7 -0.3741 0.523 -0.715 0.475 -1.400 0.651
ma.S.L7 -1.0001 2.57e+04 -3.89e-05 1.000 -5.03e+04 5.03e+04
sigma2 1.6185 4.16e+04 3.89e-05 1.000 -8.15e+04 8.15e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.27
Prob(Q): 0.97 Prob(JB): 0.87
Heteroskedasticity (H): 2.31 Skew: 0.01
Prob(H) (two-sided): 0.44 Kurtosis: 2.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.13712678347196, Current Price: 178.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.855
Date: Wed, 09 Oct 2024 AIC 59.710
Time: 14:41:24 BIC 62.534
Sample: 0 HQIC 59.129
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3535 5.587 0.063 0.950 -10.598 11.305
ma.L1 -0.2769 5.665 -0.049 0.961 -11.380 10.826
ar.S.L7 -0.3451 0.615 -0.561 0.575 -1.550 0.860
ma.S.L7 -1.0000 3.47e+04 -2.88e-05 1.000 -6.81e+04 6.81e+04
sigma2 1.6161 5.62e+04 2.88e-05 1.000 -1.1e+05 1.1e+05
===================================================================================
Ljung-Box (L1) (Q): 0.41 Jarque-Bera (JB): 0.43
Prob(Q): 0.52 Prob(JB): 0.81
Heteroskedasticity (H): 0.29 Skew: 0.26
Prob(H) (two-sided): 0.26 Kurtosis: 2.28
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.7579907389279, Current Price: 179.41
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.567
Date: Wed, 09 Oct 2024 AIC 59.134
Time: 14:41:24 BIC 61.958
Sample: 0 HQIC 58.553
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8216 0.250 3.289 0.001 0.332 1.311
ma.L1 -0.7993 0.544 -1.470 0.142 -1.865 0.266
ar.S.L7 -0.9161 0.331 -2.763 0.006 -1.566 -0.266
ma.S.L7 1.0000 1.46e+05 6.85e-06 1.000 -2.86e+05 2.86e+05
sigma2 1.4729 2.15e+05 6.85e-06 1.000 -4.21e+05 4.21e+05
===================================================================================
Ljung-Box (L1) (Q): 0.52 Jarque-Bera (JB): 0.94
Prob(Q): 0.47 Prob(JB): 0.62
Heteroskedasticity (H): 0.43 Skew: -0.55
Prob(H) (two-sided): 0.43 Kurtosis: 2.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.29617319962557, Current Price: 177.3
BUY EXECUTED at 177.3
BUY ORDER COMPLETED at 177.09
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.465
Date: Wed, 09 Oct 2024 AIC 58.930
Time: 14:41:25 BIC 61.755
Sample: 0 HQIC 58.349
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7092 0.172 4.122 0.000 0.372 1.046
ma.L1 -1.0000 7797.149 -0.000 1.000 -1.53e+04 1.53e+04
ar.S.L7 -0.9994 0.477 -2.094 0.036 -1.935 -0.064
ma.S.L7 1.0000 3.84e+04 2.6e-05 1.000 -7.53e+04 7.53e+04
sigma2 1.3431 4.88e+04 2.75e-05 1.000 -9.56e+04 9.56e+04
===================================================================================
Ljung-Box (L1) (Q): 0.89 Jarque-Bera (JB): 0.46
Prob(Q): 0.35 Prob(JB): 0.79
Heteroskedasticity (H): 0.53 Skew: -0.04
Prob(H) (two-sided): 0.56 Kurtosis: 2.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 176.79542354843457, Current Price: 177.22
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.473
Date: Wed, 09 Oct 2024 AIC 56.947
Time: 14:41:25 BIC 59.771
Sample: 0 HQIC 56.366
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6664 0.183 3.638 0.000 0.307 1.025
ma.L1 -1.0000 5223.786 -0.000 1.000 -1.02e+04 1.02e+04
ar.S.L7 -0.9921 0.473 -2.096 0.036 -1.920 -0.064
ma.S.L7 1.0001 9115.993 0.000 1.000 -1.79e+04 1.79e+04
sigma2 1.1529 1.27e+04 9.07e-05 1.000 -2.49e+04 2.49e+04
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.38
Prob(Q): 0.81 Prob(JB): 0.83
Heteroskedasticity (H): 0.26 Skew: -0.38
Prob(H) (two-sided): 0.23 Kurtosis: 2.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.70730041151103, Current Price: 177.85
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.501
Date: Wed, 09 Oct 2024 AIC 53.001
Time: 14:41:25 BIC 55.826
Sample: 0 HQIC 52.421
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7053 0.653 -1.080 0.280 -1.986 0.575
ma.L1 0.4021 0.661 0.608 0.543 -0.893 1.698
ar.S.L7 -0.9690 0.209 -4.634 0.000 -1.379 -0.559
ma.S.L7 0.0885 0.568 0.156 0.876 -1.025 1.202
sigma2 1.5907 1.431 1.112 0.266 -1.214 4.396
===================================================================================
Ljung-Box (L1) (Q): 0.24 Jarque-Bera (JB): 0.91
Prob(Q): 0.62 Prob(JB): 0.63
Heteroskedasticity (H): 0.59 Skew: -0.14
Prob(H) (two-sided): 0.63 Kurtosis: 1.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 174.38567471849268, Current Price: 181.08
SELL EXECUTED at 181.08
SELL ORDER COMPLETED at 180.57
OPERATION PROFIT, GROSS 3.4799999999999898, NET 3.1223399999999897
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.488
Date: Wed, 09 Oct 2024 AIC 62.976
Time: 14:41:25 BIC 65.801
Sample: 0 HQIC 62.396
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0265 0.264 -3.887 0.000 -1.544 -0.509
ma.L1 0.6331 0.546 1.159 0.246 -0.437 1.704
ar.S.L7 -0.7493 0.547 -1.370 0.171 -1.821 0.323
ma.S.L7 -1.0002 8528.784 -0.000 1.000 -1.67e+04 1.67e+04
sigma2 1.9991 1.71e+04 0.000 1.000 -3.34e+04 3.34e+04
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 3.38
Prob(Q): 0.69 Prob(JB): 0.18
Heteroskedasticity (H): 15.71 Skew: 1.11
Prob(H) (two-sided): 0.02 Kurtosis: 4.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.46171485146454, Current Price: 180.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.002
Date: Wed, 09 Oct 2024 AIC 64.004
Time: 14:41:25 BIC 66.829
Sample: 0 HQIC 63.423
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8036 0.659 -1.219 0.223 -2.096 0.489
ma.L1 0.6509 1.418 0.459 0.646 -2.128 3.430
ar.S.L7 -0.4337 0.898 -0.483 0.629 -2.194 1.326
ma.S.L7 -0.2175 1.026 -0.212 0.832 -2.229 1.794
sigma2 3.5977 1.755 2.050 0.040 0.158 7.038
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 5.23
Prob(Q): 0.86 Prob(JB): 0.07
Heteroskedasticity (H): 5.76 Skew: 1.11
Prob(H) (two-sided): 0.12 Kurtosis: 5.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.36017173771745, Current Price: 177.72
BUY EXECUTED at 177.72
BUY ORDER COMPLETED at 179.09
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.249
Date: Wed, 09 Oct 2024 AIC 64.497
Time: 14:41:25 BIC 67.322
Sample: 0 HQIC 63.916
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3754 3.188 0.118 0.906 -5.874 6.624
ma.L1 -0.5329 2.999 -0.178 0.859 -6.412 5.346
ar.S.L7 -0.6067 0.911 -0.666 0.505 -2.392 1.179
ma.S.L7 0.2103 2.087 0.101 0.920 -3.881 4.301
sigma2 3.8058 2.595 1.466 0.143 -1.281 8.893
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 4.59
Prob(Q): 0.64 Prob(JB): 0.10
Heteroskedasticity (H): 4.62 Skew: 1.25
Prob(H) (two-sided): 0.17 Kurtosis: 4.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.51700761742475, Current Price: 178.27
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.099
Date: Wed, 09 Oct 2024 AIC 62.197
Time: 14:41:25 BIC 65.022
Sample: 0 HQIC 61.616
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7798 0.423 1.845 0.065 -0.049 1.608
ma.L1 -1.0000 1.54e+04 -6.51e-05 1.000 -3.01e+04 3.01e+04
ar.S.L7 -0.4792 0.551 -0.869 0.385 -1.559 0.601
ma.S.L7 0.3435 1.460 0.235 0.814 -2.518 3.205
sigma2 2.7015 4.15e+04 6.51e-05 1.000 -8.13e+04 8.14e+04
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 8.40
Prob(Q): 0.66 Prob(JB): 0.01
Heteroskedasticity (H): 4.81 Skew: 1.59
Prob(H) (two-sided): 0.16 Kurtosis: 5.33
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 176.31994001713707, Current Price: 178.92
SELL EXECUTED at 178.92
SELL ORDER COMPLETED at 179.22
OPERATION PROFIT, GROSS 0.12999999999999545, NET -0.22831000000000456
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.582
Date: Wed, 09 Oct 2024 AIC 63.163
Time: 14:41:25 BIC 65.988
Sample: 0 HQIC 62.583
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8082 0.461 1.754 0.079 -0.095 1.711
ma.L1 -1.0000 9855.785 -0.000 1.000 -1.93e+04 1.93e+04
ar.S.L7 -0.4525 0.591 -0.766 0.444 -1.610 0.705
ma.S.L7 0.0963 0.814 0.118 0.906 -1.499 1.691
sigma2 3.0053 2.96e+04 0.000 1.000 -5.81e+04 5.81e+04
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 4.39
Prob(Q): 0.72 Prob(JB): 0.11
Heteroskedasticity (H): 1.54 Skew: 1.24
Prob(H) (two-sided): 0.69 Kurtosis: 4.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.29671090283233, Current Price: 178.3
BUY EXECUTED at 178.3
BUY ORDER COMPLETED at 179.41
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.152
Date: Wed, 09 Oct 2024 AIC 64.305
Time: 14:41:25 BIC 67.130
Sample: 0 HQIC 63.724
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2919 2.760 0.106 0.916 -5.117 5.701
ma.L1 -0.5047 2.002 -0.252 0.801 -4.428 3.419
ar.S.L7 -0.5503 0.609 -0.903 0.366 -1.745 0.644
ma.S.L7 0.2201 1.106 0.199 0.842 -1.947 2.387
sigma2 3.7431 2.652 1.412 0.158 -1.454 8.940
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 2.97
Prob(Q): 0.69 Prob(JB): 0.23
Heteroskedasticity (H): 0.61 Skew: 1.10
Prob(H) (two-sided): 0.64 Kurtosis: 3.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.41522991866856, Current Price: 178.39
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.766
Date: Wed, 09 Oct 2024 AIC 61.531
Time: 14:41:25 BIC 64.356
Sample: 0 HQIC 60.950
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6067 0.314 1.932 0.053 -0.009 1.222
ma.L1 -1.0000 7.03e+04 -1.42e-05 1.000 -1.38e+05 1.38e+05
ar.S.L7 -0.3296 0.360 -0.916 0.360 -1.035 0.376
ma.S.L7 -0.1248 0.789 -0.158 0.874 -1.672 1.422
sigma2 2.5834 1.82e+05 1.42e-05 1.000 -3.56e+05 3.56e+05
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 3.33
Prob(Q): 0.82 Prob(JB): 0.19
Heteroskedasticity (H): 0.60 Skew: 1.18
Prob(H) (two-sided): 0.63 Kurtosis: 3.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.69307473454663, Current Price: 179.25
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.595
Date: Wed, 09 Oct 2024 AIC 63.190
Time: 14:41:25 BIC 66.015
Sample: 0 HQIC 62.610
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5297 4.255 -0.124 0.901 -8.870 7.811
ma.L1 0.4789 4.729 0.101 0.919 -8.790 9.748
ar.S.L7 -0.4066 0.542 -0.750 0.453 -1.469 0.655
ma.S.L7 -0.1272 0.942 -0.135 0.893 -1.974 1.719
sigma2 3.4577 1.884 1.835 0.066 -0.235 7.150
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 8.48
Prob(Q): 0.74 Prob(JB): 0.01
Heteroskedasticity (H): 0.79 Skew: 1.61
Prob(H) (two-sided): 0.83 Kurtosis: 5.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.6863177883594, Current Price: 180.6
SELL EXECUTED at 180.6
SELL ORDER COMPLETED at 178.8767
OPERATION PROFIT, GROSS -0.533299999999997, NET -0.8915866999999971
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.953
Date: Wed, 09 Oct 2024 AIC 51.905
Time: 14:41:25 BIC 54.730
Sample: 0 HQIC 51.325
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1774 0.493 0.360 0.719 -0.789 1.144
ma.L1 -1.0000 2.23e+05 -4.48e-06 1.000 -4.37e+05 4.37e+05
ar.S.L7 -0.1395 0.218 -0.640 0.522 -0.566 0.287
ma.S.L7 -1.0000 8.02e+04 -1.25e-05 1.000 -1.57e+05 1.57e+05
sigma2 0.7530 1.08e+05 7e-06 1.000 -2.11e+05 2.11e+05
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.08
Prob(Q): 0.98 Prob(JB): 0.58
Heteroskedasticity (H): 0.42 Skew: 0.54
Prob(H) (two-sided): 0.42 Kurtosis: 2.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 1.96e+17. Standard errors may be unstable.
Predicted Price: 178.41839172717096, Current Price: 178.83
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.992
Date: Wed, 09 Oct 2024 AIC 51.985
Time: 14:41:25 BIC 54.809
Sample: 0 HQIC 51.404
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0755 0.939 0.080 0.936 -1.764 1.915
ma.L1 -1.0000 1.48e+04 -6.74e-05 1.000 -2.91e+04 2.91e+04
ar.S.L7 -0.1825 0.403 -0.453 0.651 -0.972 0.607
ma.S.L7 -1.0000 1.53e+04 -6.55e-05 1.000 -2.99e+04 2.99e+04
sigma2 0.7547 1.35e+04 5.57e-05 1.000 -2.65e+04 2.65e+04
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 4.04
Prob(Q): 0.72 Prob(JB): 0.13
Heteroskedasticity (H): 0.18 Skew: 1.20
Prob(H) (two-sided): 0.13 Kurtosis: 4.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.38843661813317, Current Price: 178.64
BUY EXECUTED at 178.64
BUY ORDER COMPLETED at 178.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.025
Date: Wed, 09 Oct 2024 AIC 54.049
Time: 14:41:25 BIC 56.874
Sample: 0 HQIC 53.468
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0990 0.624 0.159 0.874 -1.125 1.323
ma.L1 -1.0000 1.5e+04 -6.67e-05 1.000 -2.94e+04 2.94e+04
ar.S.L7 -0.2327 0.174 -1.338 0.181 -0.574 0.108
ma.S.L7 -1.0001 5492.338 -0.000 1.000 -1.08e+04 1.08e+04
sigma2 0.8852 1.43e+04 6.17e-05 1.000 -2.81e+04 2.81e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.79
Prob(Q): 0.96 Prob(JB): 0.41
Heteroskedasticity (H): 0.06 Skew: 0.88
Prob(H) (two-sided): 0.02 Kurtosis: 3.48
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.27451109557532, Current Price: 178.55
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.923
Date: Wed, 09 Oct 2024 AIC 51.847
Time: 14:41:25 BIC 54.671
Sample: 0 HQIC 51.266
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0247 0.538 0.046 0.963 -1.030 1.080
ma.L1 -1.0000 1.06e+04 -9.43e-05 1.000 -2.08e+04 2.08e+04
ar.S.L7 -0.1956 0.116 -1.686 0.092 -0.423 0.032
ma.S.L7 -1.0001 5700.156 -0.000 1.000 -1.12e+04 1.12e+04
sigma2 0.7457 8964.695 8.32e-05 1.000 -1.76e+04 1.76e+04
===================================================================================
Ljung-Box (L1) (Q): 0.42 Jarque-Bera (JB): 2.18
Prob(Q): 0.51 Prob(JB): 0.34
Heteroskedasticity (H): 0.06 Skew: 0.95
Prob(H) (two-sided): 0.02 Kurtosis: 3.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.8724745259334, Current Price: 179.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.641
Date: Wed, 09 Oct 2024 AIC 59.282
Time: 14:41:25 BIC 62.107
Sample: 0 HQIC 58.702
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8569 0.241 -3.552 0.000 -1.330 -0.384
ma.L1 1.0000 3.96e+04 2.52e-05 1.000 -7.76e+04 7.76e+04
ar.S.L7 -0.1963 0.304 -0.646 0.518 -0.792 0.399
ma.S.L7 -0.7007 2.023 -0.346 0.729 -4.665 3.264
sigma2 1.8023 7.14e+04 2.52e-05 1.000 -1.4e+05 1.4e+05
===================================================================================
Ljung-Box (L1) (Q): 0.28 Jarque-Bera (JB): 2.09
Prob(Q): 0.60 Prob(JB): 0.35
Heteroskedasticity (H): 0.07 Skew: 0.90
Prob(H) (two-sided): 0.03 Kurtosis: 3.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.58517640606226, Current Price: 176.13
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.732
Date: Wed, 09 Oct 2024 AIC 49.464
Time: 14:41:25 BIC 52.289
Sample: 0 HQIC 48.884
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2343 0.490 0.478 0.632 -0.725 1.194
ma.L1 -1.0000 9576.527 -0.000 1.000 -1.88e+04 1.88e+04
ar.S.L7 -0.2921 0.232 -1.259 0.208 -0.747 0.163
ma.S.L7 -0.1162 0.341 -0.341 0.733 -0.784 0.552
sigma2 1.0673 1.02e+04 0.000 1.000 -2e+04 2e+04
===================================================================================
Ljung-Box (L1) (Q): 0.54 Jarque-Bera (JB): 1.84
Prob(Q): 0.46 Prob(JB): 0.40
Heteroskedasticity (H): 1.78 Skew: -0.62
Prob(H) (two-sided): 0.59 Kurtosis: 4.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.6026336325979, Current Price: 175.4
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.306
Date: Wed, 09 Oct 2024 AIC 56.612
Time: 14:41:25 BIC 59.437
Sample: 0 HQIC 56.031
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4316 0.169 2.555 0.011 0.100 0.763
ma.L1 -0.6299 0.807 -0.780 0.435 -2.212 0.952
ar.S.L7 -0.5599 0.544 -1.029 0.304 -1.627 0.507
ma.S.L7 1.0000 3.06e+04 3.26e-05 1.000 -6e+04 6e+04
sigma2 1.2516 3.83e+04 3.27e-05 1.000 -7.51e+04 7.51e+04
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 0.34
Prob(Q): 0.65 Prob(JB): 0.84
Heteroskedasticity (H): 3.66 Skew: -0.02
Prob(H) (two-sided): 0.24 Kurtosis: 2.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.18319505969401, Current Price: 176.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.879
Date: Wed, 09 Oct 2024 AIC 55.758
Time: 14:41:25 BIC 58.583
Sample: 0 HQIC 55.178
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4684 0.452 1.036 0.300 -0.417 1.354
ma.L1 -0.5083 0.560 -0.907 0.364 -1.606 0.590
ar.S.L7 -0.3764 0.297 -1.266 0.206 -0.959 0.206
ma.S.L7 0.3047 1.906 0.160 0.873 -3.430 4.040
sigma2 1.8877 2.516 0.750 0.453 -3.044 6.819
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.08
Prob(Q): 0.92 Prob(JB): 0.96
Heteroskedasticity (H): 2.48 Skew: -0.07
Prob(H) (two-sided): 0.40 Kurtosis: 2.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 174.20378369827768, Current Price: 177.91
SELL EXECUTED at 177.91
SELL ORDER COMPLETED at 178.95
OPERATION PROFIT, GROSS 0.19999999999998863, NET -0.1577000000000114
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.096
Date: Wed, 09 Oct 2024 AIC 58.192
Time: 14:41:25 BIC 61.016
Sample: 0 HQIC 57.611
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3785 1.098 0.345 0.730 -1.773 2.530
ma.L1 -1.2902 1.355 -0.952 0.341 -3.946 1.365
ar.S.L7 -0.1791 0.342 -0.525 0.600 -0.848 0.490
ma.S.L7 1.0001 2.8e+04 3.57e-05 1.000 -5.49e+04 5.49e+04
sigma2 0.8705 2.44e+04 3.57e-05 1.000 -4.78e+04 4.78e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.04
Prob(Q): 1.00 Prob(JB): 0.59
Heteroskedasticity (H): 2.83 Skew: 0.04
Prob(H) (two-sided): 0.34 Kurtosis: 1.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.28422261686669, Current Price: 178.92
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.964
Date: Wed, 09 Oct 2024 AIC 57.927
Time: 14:41:25 BIC 60.752
Sample: 0 HQIC 57.347
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5374 0.623 0.862 0.389 -0.684 1.759
ma.L1 -1.0000 4315.433 -0.000 1.000 -8459.093 8457.093
ar.S.L7 -0.0348 0.280 -0.124 0.901 -0.584 0.514
ma.S.L7 0.2693 0.693 0.388 0.698 -1.090 1.628
sigma2 2.1134 9121.207 0.000 1.000 -1.79e+04 1.79e+04
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 1.30
Prob(Q): 0.72 Prob(JB): 0.52
Heteroskedasticity (H): 2.68 Skew: -0.29
Prob(H) (two-sided): 0.36 Kurtosis: 1.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.21375100319793, Current Price: 178.82
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.046
Date: Wed, 09 Oct 2024 AIC 58.092
Time: 14:41:25 BIC 60.916
Sample: 0 HQIC 57.511
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5494 0.585 0.939 0.348 -0.598 1.696
ma.L1 -1.0000 1.74e+04 -5.74e-05 1.000 -3.41e+04 3.41e+04
ar.S.L7 -0.0253 0.272 -0.093 0.926 -0.558 0.507
ma.S.L7 0.2293 0.650 0.353 0.724 -1.045 1.504
sigma2 2.1556 3.75e+04 5.74e-05 1.000 -7.36e+04 7.36e+04
===================================================================================
Ljung-Box (L1) (Q): 0.27 Jarque-Bera (JB): 1.37
Prob(Q): 0.60 Prob(JB): 0.50
Heteroskedasticity (H): 1.40 Skew: -0.32
Prob(H) (two-sided): 0.75 Kurtosis: 1.55
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.1575596609103, Current Price: 182.93
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.224
Date: Wed, 09 Oct 2024 AIC 62.448
Time: 14:41:25 BIC 65.273
Sample: 0 HQIC 61.868
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2184 28.451 0.008 0.994 -55.545 55.982
ma.L1 -0.1994 28.482 -0.007 0.994 -56.023 55.624
ar.S.L7 -0.1166 0.447 -0.261 0.794 -0.993 0.759
ma.S.L7 0.9997 5803.137 0.000 1.000 -1.14e+04 1.14e+04
sigma2 1.9935 1.16e+04 0.000 1.000 -2.27e+04 2.27e+04
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.39
Prob(Q): 0.83 Prob(JB): 0.82
Heteroskedasticity (H): 3.91 Skew: 0.14
Prob(H) (two-sided): 0.22 Kurtosis: 2.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.6278817991117, Current Price: 183.19
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.772
Date: Wed, 09 Oct 2024 AIC 61.544
Time: 14:41:25 BIC 64.369
Sample: 0 HQIC 60.964
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1683 0.793 -0.212 0.832 -1.722 1.385
ma.L1 1.0000 1.82e+04 5.49e-05 1.000 -3.57e+04 3.57e+04
ar.S.L7 -0.5831 0.452 -1.291 0.197 -1.469 0.302
ma.S.L7 0.1312 1.319 0.099 0.921 -2.453 2.716
sigma2 2.6864 4.89e+04 5.49e-05 1.000 -9.59e+04 9.59e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.22
Prob(Q): 0.83 Prob(JB): 0.90
Heteroskedasticity (H): 7.40 Skew: 0.31
Prob(H) (two-sided): 0.08 Kurtosis: 2.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 182.41448923696842, Current Price: 175.08
BUY EXECUTED at 175.08
BUY ORDER COMPLETED at 176.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.886
Date: Wed, 09 Oct 2024 AIC 71.772
Time: 14:41:25 BIC 74.597
Sample: 0 HQIC 71.192
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1832 0.841 0.218 0.828 -1.465 1.831
ma.L1 1.0000 2.14e+04 4.67e-05 1.000 -4.19e+04 4.19e+04
ar.S.L7 -0.7984 0.224 -3.559 0.000 -1.238 -0.359
ma.S.L7 0.0869 1.094 0.079 0.937 -2.057 2.231
sigma2 5.8594 1.25e+05 4.67e-05 1.000 -2.46e+05 2.46e+05
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 0.43
Prob(Q): 0.64 Prob(JB): 0.80
Heteroskedasticity (H): 12.36 Skew: -0.39
Prob(H) (two-sided): 0.03 Kurtosis: 2.57
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.50261393820128, Current Price: 175.66
SELL EXECUTED at 175.66
SELL ORDER COMPLETED at 174.695
OPERATION PROFIT, GROSS -2.055000000000007, NET -2.406445000000007
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.519
Date: Wed, 09 Oct 2024 AIC 71.039
Time: 14:41:25 BIC 73.863
Sample: 0 HQIC 70.458
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5294 0.912 0.581 0.561 -1.257 2.316
ma.L1 -1.0000 1.79e+04 -5.6e-05 1.000 -3.5e+04 3.5e+04
ar.S.L7 5.361e-07 0.085 6.29e-06 1.000 -0.167 0.167
ma.S.L7 0.1561 0.751 0.208 0.835 -1.315 1.627
sigma2 6.0368 1.08e+05 5.6e-05 1.000 -2.11e+05 2.11e+05
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 0.54
Prob(Q): 0.70 Prob(JB): 0.76
Heteroskedasticity (H): 7.28 Skew: 0.47
Prob(H) (two-sided): 0.08 Kurtosis: 2.69
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.798117689203, Current Price: 174.9
BUY EXECUTED at 174.9
BUY ORDER COMPLETED at 176.04
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.139
Date: Wed, 09 Oct 2024 AIC 72.278
Time: 14:41:26 BIC 75.103
Sample: 0 HQIC 71.697
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5295 0.634 0.835 0.404 -0.713 1.772
ma.L1 -1.0000 3170.552 -0.000 1.000 -6215.168 6213.168
ar.S.L7 5.269e-05 0.078 0.001 0.999 -0.153 0.153
ma.S.L7 0.0821 0.662 0.124 0.901 -1.216 1.380
sigma2 6.6150 2.1e+04 0.000 1.000 -4.11e+04 4.11e+04
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 0.69
Prob(Q): 0.68 Prob(JB): 0.71
Heteroskedasticity (H): 3.95 Skew: 0.47
Prob(H) (two-sided): 0.21 Kurtosis: 2.38
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.24817382011437, Current Price: 175.96
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.257
Date: Wed, 09 Oct 2024 AIC 72.514
Time: 14:41:26 BIC 75.339
Sample: 0 HQIC 71.933
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5643 0.659 0.856 0.392 -0.727 1.856
ma.L1 -0.9997 183.579 -0.005 0.996 -360.808 358.809
ar.S.L7 0.0002 0.052 0.004 0.997 -0.102 0.103
ma.S.L7 0.0932 0.663 0.141 0.888 -1.207 1.393
sigma2 6.7567 1238.116 0.005 0.996 -2419.907 2433.420
===================================================================================
Ljung-Box (L1) (Q): 0.23 Jarque-Bera (JB): 0.64
Prob(Q): 0.63 Prob(JB): 0.73
Heteroskedasticity (H): 1.66 Skew: 0.42
Prob(H) (two-sided): 0.64 Kurtosis: 2.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.0487437929726, Current Price: 177.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -50708.235
Date: Wed, 09 Oct 2024 AIC 101426.470
Time: 14:41:26 BIC 101429.294
Sample: 0 HQIC 101425.889
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7747 0.000 4180.220 0.000 0.774 0.775
ma.L1 -0.8547 0.000 -4661.266 0.000 -0.855 -0.854
ar.S.L7 -130.0000 0.115 -1127.270 0.000 -130.226 -129.774
ma.S.L7 1.859e-05 0.000 0.170 0.865 -0.000 0.000
sigma2 6.4543 0.012 544.863 0.000 6.431 6.477
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 0.37
Prob(Q): 0.62 Prob(JB): 0.83
Heteroskedasticity (H): 1.01 Skew: 0.21
Prob(H) (two-sided): 0.99 Kurtosis: 2.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: -300.98962974773985, Current Price: 177.15
SELL EXECUTED at 177.15
SELL ORDER COMPLETED at 177.25
OPERATION PROFIT, GROSS 1.210000000000008, NET 0.856710000000008
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.859
Date: Wed, 09 Oct 2024 AIC 73.717
Time: 14:41:26 BIC 76.542
Sample: 0 HQIC 73.137
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5745 1.037 0.554 0.580 -1.458 2.607
ma.L1 -1.0000 1.3e+04 -7.68e-05 1.000 -2.55e+04 2.55e+04
ar.S.L7 0.0236 0.583 0.040 0.968 -1.119 1.166
ma.S.L7 -0.4979 1.064 -0.468 0.640 -2.583 1.587
sigma2 6.1887 8.06e+04 7.68e-05 1.000 -1.58e+05 1.58e+05
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 0.09
Prob(Q): 0.65 Prob(JB): 0.96
Heteroskedasticity (H): 0.89 Skew: -0.17
Prob(H) (two-sided): 0.92 Kurtosis: 2.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.54313832931769, Current Price: 176.5
BUY EXECUTED at 176.5
BUY ORDER COMPLETED at 176.26
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.559
Date: Wed, 09 Oct 2024 AIC 73.118
Time: 14:41:26 BIC 75.943
Sample: 0 HQIC 72.537
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5878 0.902 0.652 0.515 -1.180 2.355
ma.L1 -1.0000 7.75e+04 -1.29e-05 1.000 -1.52e+05 1.52e+05
ar.S.L7 0.0536 0.754 0.071 0.943 -1.425 1.532
ma.S.L7 -1.0000 3.48e+04 -2.87e-05 1.000 -6.83e+04 6.83e+04
sigma2 3.8824 3.71e+05 1.05e-05 1.000 -7.28e+05 7.28e+05
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 1.24
Prob(Q): 0.74 Prob(JB): 0.54
Heteroskedasticity (H): 0.70 Skew: -0.71
Prob(H) (two-sided): 0.74 Kurtosis: 3.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.80088829473712, Current Price: 175.49
SELL EXECUTED at 175.49
SELL ORDER COMPLETED at 174.3
OPERATION PROFIT, GROSS -1.9599999999999795, NET -2.3105599999999793
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.110
Date: Wed, 09 Oct 2024 AIC 72.220
Time: 14:41:26 BIC 75.045
Sample: 0 HQIC 71.639
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3172 0.711 -0.446 0.656 -1.712 1.077
ma.L1 1.0000 2.18e+04 4.58e-05 1.000 -4.28e+04 4.28e+04
ar.S.L7 -1.1530 0.458 -2.517 0.012 -2.051 -0.255
ma.S.L7 0.4163 0.794 0.524 0.600 -1.140 1.973
sigma2 5.6411 1.23e+05 4.58e-05 1.000 -2.41e+05 2.41e+05
===================================================================================
Ljung-Box (L1) (Q): 0.56 Jarque-Bera (JB): 0.64
Prob(Q): 0.45 Prob(JB): 0.73
Heteroskedasticity (H): 0.40 Skew: -0.53
Prob(H) (two-sided): 0.39 Kurtosis: 3.27
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 175.1205072281762, Current Price: 175.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.686
Date: Wed, 09 Oct 2024 AIC 69.371
Time: 14:41:26 BIC 72.196
Sample: 0 HQIC 68.791
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5189 0.222 2.335 0.020 0.083 0.954
ma.L1 -1.0000 2876.233 -0.000 1.000 -5638.314 5636.314
ar.S.L7 -0.2910 0.719 -0.405 0.685 -1.699 1.117
ma.S.L7 -1.0001 2.12e+04 -4.72e-05 1.000 -4.15e+04 4.15e+04
sigma2 2.8377 5.83e+04 4.87e-05 1.000 -1.14e+05 1.14e+05
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 0.93
Prob(Q): 0.69 Prob(JB): 0.63
Heteroskedasticity (H): 0.19 Skew: -0.57
Prob(H) (two-sided): 0.14 Kurtosis: 3.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 175.34822596006788, Current Price: 175.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.277
Date: Wed, 09 Oct 2024 AIC 68.554
Time: 14:41:26 BIC 71.379
Sample: 0 HQIC 67.973
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5015 0.156 3.214 0.001 0.196 0.807
ma.L1 -1.0000 4002.561 -0.000 1.000 -7845.876 7843.876
ar.S.L7 -0.3104 0.640 -0.485 0.628 -1.565 0.944
ma.S.L7 -1.0000 3.26e+04 -3.07e-05 1.000 -6.39e+04 6.39e+04
sigma2 2.6655 8.5e+04 3.14e-05 1.000 -1.67e+05 1.67e+05
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.93
Prob(Q): 0.73 Prob(JB): 0.63
Heteroskedasticity (H): 0.04 Skew: -0.49
Prob(H) (two-sided): 0.01 Kurtosis: 3.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 176.54251467818438, Current Price: 172.23
BUY EXECUTED at 172.23
BUY ORDER COMPLETED at 169.3
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.028
Date: Wed, 09 Oct 2024 AIC 74.056
Time: 14:41:26 BIC 76.881
Sample: 0 HQIC 73.475
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4158 0.567 0.733 0.464 -0.696 1.528
ma.L1 -0.8456 0.716 -1.182 0.237 -2.248 0.557
ar.S.L7 -0.5284 0.853 -0.620 0.536 -2.200 1.143
ma.S.L7 -7.1453 50.871 -0.140 0.888 -106.851 92.560
sigma2 0.1531 2.160 0.071 0.944 -4.081 4.388
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.14
Prob(Q): 0.80 Prob(JB): 0.93
Heteroskedasticity (H): 0.33 Skew: -0.21
Prob(H) (two-sided): 0.31 Kurtosis: 2.71
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 174.4799830823925, Current Price: 169.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.582
Date: Wed, 09 Oct 2024 AIC 71.164
Time: 14:41:26 BIC 73.989
Sample: 0 HQIC 70.584
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3935 0.942 -0.418 0.676 -2.240 1.452
ma.L1 0.7344 0.669 1.098 0.272 -0.577 2.046
ar.S.L7 -0.5717 0.696 -0.822 0.411 -1.935 0.791
ma.S.L7 -1.0001 2.78e+04 -3.6e-05 1.000 -5.44e+04 5.44e+04
sigma2 3.9331 1.09e+05 3.6e-05 1.000 -2.14e+05 2.14e+05
===================================================================================
Ljung-Box (L1) (Q): 1.42 Jarque-Bera (JB): 3.64
Prob(Q): 0.23 Prob(JB): 0.16
Heteroskedasticity (H): 0.34 Skew: -1.19
Prob(H) (two-sided): 0.32 Kurtosis: 4.02
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.90349130083095, Current Price: 169.51
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.128
Date: Wed, 09 Oct 2024 AIC 72.255
Time: 14:41:26 BIC 75.080
Sample: 0 HQIC 71.675
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4043 1.975 -0.205 0.838 -4.276 3.467
ma.L1 0.6192 1.709 0.362 0.717 -2.730 3.968
ar.S.L7 -0.4408 0.634 -0.695 0.487 -1.684 0.802
ma.S.L7 -1.0000 3.25e+04 -3.07e-05 1.000 -6.38e+04 6.38e+04
sigma2 4.2567 1.39e+05 3.07e-05 1.000 -2.72e+05 2.72e+05
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 3.59
Prob(Q): 0.71 Prob(JB): 0.17
Heteroskedasticity (H): 0.49 Skew: -1.20
Prob(H) (two-sided): 0.51 Kurtosis: 3.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.88032433061773, Current Price: 167.79
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.652
Date: Wed, 09 Oct 2024 AIC 61.305
Time: 14:41:26 BIC 64.129
Sample: 0 HQIC 60.724
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4336 1.118 0.388 0.698 -1.757 2.625
ma.L1 -0.1816 1.207 -0.150 0.880 -2.547 2.184
ar.S.L7 -0.6846 0.438 -1.564 0.118 -1.542 0.173
ma.S.L7 -0.2209 0.883 -0.250 0.802 -1.951 1.509
sigma2 2.9732 1.449 2.052 0.040 0.133 5.814
===================================================================================
Ljung-Box (L1) (Q): 0.27 Jarque-Bera (JB): 0.82
Prob(Q): 0.60 Prob(JB): 0.66
Heteroskedasticity (H): 5.79 Skew: -0.58
Prob(H) (two-sided): 0.12 Kurtosis: 2.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.33938395129658, Current Price: 166.67
SELL EXECUTED at 166.67
SELL ORDER COMPLETED at 169.76
OPERATION PROFIT, GROSS 0.45999999999997954, NET 0.12093999999997951
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.393
Date: Wed, 09 Oct 2024 AIC 64.786
Time: 14:41:26 BIC 67.611
Sample: 0 HQIC 64.205
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3755 0.341 -1.100 0.271 -1.045 0.294
ma.L1 0.8029 0.420 1.910 0.056 -0.021 1.627
ar.S.L7 -0.6230 0.260 -2.395 0.017 -1.133 -0.113
ma.S.L7 -1.0000 1.2e+04 -8.34e-05 1.000 -2.35e+04 2.35e+04
sigma2 2.4073 2.89e+04 8.34e-05 1.000 -5.66e+04 5.66e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.02
Prob(Q): 0.91 Prob(JB): 0.99
Heteroskedasticity (H): 3.99 Skew: 0.02
Prob(H) (two-sided): 0.21 Kurtosis: 3.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.81897789323958, Current Price: 170.18
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.520
Date: Wed, 09 Oct 2024 AIC 67.040
Time: 14:41:26 BIC 69.865
Sample: 0 HQIC 66.460
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2850 0.905 -0.315 0.753 -2.058 1.488
ma.L1 1.0000 4.34e+04 2.3e-05 1.000 -8.51e+04 8.51e+04
ar.S.L7 -0.6961 0.336 -2.071 0.038 -1.355 -0.037
ma.S.L7 0.1238 1.707 0.073 0.942 -3.221 3.469
sigma2 4.1317 1.79e+05 2.3e-05 1.000 -3.51e+05 3.51e+05
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.46
Prob(Q): 0.88 Prob(JB): 0.80
Heteroskedasticity (H): 2.47 Skew: -0.46
Prob(H) (two-sided): 0.40 Kurtosis: 2.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.98943198022602, Current Price: 171.46
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.106
Date: Wed, 09 Oct 2024 AIC 68.212
Time: 14:41:26 BIC 71.037
Sample: 0 HQIC 67.632
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2656 1.026 0.259 0.796 -1.745 2.276
ma.L1 0.2239 0.912 0.246 0.806 -1.563 2.011
ar.S.L7 -0.6166 0.250 -2.471 0.013 -1.106 -0.128
ma.S.L7 0.2013 1.331 0.151 0.880 -2.407 2.810
sigma2 5.0725 2.601 1.950 0.051 -0.026 10.171
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.01
Prob(Q): 0.95 Prob(JB): 0.99
Heteroskedasticity (H): 1.70 Skew: -0.07
Prob(H) (two-sided): 0.62 Kurtosis: 2.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.34790381200125, Current Price: 172.81
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.293
Date: Wed, 09 Oct 2024 AIC 68.586
Time: 14:41:26 BIC 71.411
Sample: 0 HQIC 68.005
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3775 0.860 0.439 0.661 -1.308 2.063
ma.L1 0.1041 0.908 0.115 0.909 -1.675 1.883
ar.S.L7 -0.6527 0.240 -2.720 0.007 -1.123 -0.182
ma.S.L7 2.521e-05 0.887 2.84e-05 1.000 -1.739 1.739
sigma2 5.3055 2.821 1.881 0.060 -0.223 10.834
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.21
Prob(Q): 0.89 Prob(JB): 0.90
Heteroskedasticity (H): 1.78 Skew: 0.28
Prob(H) (two-sided): 0.59 Kurtosis: 3.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.50653486958527, Current Price: 172.32
BUY EXECUTED at 172.32
BUY ORDER COMPLETED at 172.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.837
Date: Wed, 09 Oct 2024 AIC 67.674
Time: 14:41:26 BIC 70.498
Sample: 0 HQIC 67.093
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5160 0.851 0.606 0.544 -1.153 2.185
ma.L1 -0.0298 0.809 -0.037 0.971 -1.616 1.556
ar.S.L7 -0.6154 0.177 -3.476 0.001 -0.962 -0.268
ma.S.L7 0.1250 0.775 0.161 0.872 -1.395 1.645
sigma2 4.8996 2.494 1.965 0.049 0.012 9.787
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.01
Prob(Q): 0.77 Prob(JB): 0.99
Heteroskedasticity (H): 0.51 Skew: 0.06
Prob(H) (two-sided): 0.53 Kurtosis: 3.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 172.11573602442272, Current Price: 174.89
SELL EXECUTED at 174.89
SELL ORDER COMPLETED at 175.51
OPERATION PROFIT, GROSS 2.9499999999999886, NET 2.6019299999999888
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13498.502
Date: Wed, 09 Oct 2024 AIC 27007.005
Time: 14:41:26 BIC 27009.830
Sample: 0 HQIC 27006.424
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -9.0551 0.025 -361.847 0.000 -9.104 -9.006
ma.L1 9.1584 0.030 304.279 0.000 9.099 9.217
ar.S.L7 -37.8570 1.578 -23.995 0.000 -40.949 -34.765
ma.S.L7 -8.446e-05 0.001 -0.087 0.931 -0.002 0.002
sigma2 8.8884 0.749 11.867 0.000 7.420 10.356
===================================================================================
Ljung-Box (L1) (Q): 0.63 Jarque-Bera (JB): 0.17
Prob(Q): 0.43 Prob(JB): 0.92
Heteroskedasticity (H): 0.58 Skew: 0.27
Prob(H) (two-sided): 0.61 Kurtosis: 3.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 92.17150765971499, Current Price: 175.5
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.338
Date: Wed, 09 Oct 2024 AIC 62.675
Time: 14:41:26 BIC 65.500
Sample: 0 HQIC 62.094
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5627 1.038 0.542 0.588 -1.471 2.597
ma.L1 -0.1212 1.072 -0.113 0.910 -2.222 1.980
ar.S.L7 -2.382e-06 0.123 -1.94e-05 1.000 -0.240 0.240
ma.S.L7 -1.0000 1.13e+04 -8.84e-05 1.000 -2.22e+04 2.22e+04
sigma2 2.3918 2.7e+04 8.84e-05 1.000 -5.3e+04 5.3e+04
===================================================================================
Ljung-Box (L1) (Q): 0.24 Jarque-Bera (JB): 0.83
Prob(Q): 0.63 Prob(JB): 0.66
Heteroskedasticity (H): 0.17 Skew: -0.62
Prob(H) (two-sided): 0.12 Kurtosis: 3.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.70539018040753, Current Price: 172.5
BUY EXECUTED at 172.5
BUY ORDER COMPLETED at 172.9
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.050
Date: Wed, 09 Oct 2024 AIC 62.100
Time: 14:41:26 BIC 64.925
Sample: 0 HQIC 61.519
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6053 0.551 1.098 0.272 -0.475 1.685
ma.L1 -0.0965 0.656 -0.147 0.883 -1.382 1.189
ar.S.L7 -0.3271 0.235 -1.392 0.164 -0.788 0.134
ma.S.L7 -1.0001 1.57e+04 -6.36e-05 1.000 -3.08e+04 3.08e+04
sigma2 1.8568 2.92e+04 6.36e-05 1.000 -5.72e+04 5.72e+04
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.66
Prob(Q): 0.82 Prob(JB): 0.72
Heteroskedasticity (H): 0.51 Skew: -0.45
Prob(H) (two-sided): 0.54 Kurtosis: 3.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.51178714527197, Current Price: 172.17
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.365
Date: Wed, 09 Oct 2024 AIC 60.730
Time: 14:41:26 BIC 63.554
Sample: 0 HQIC 60.149
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1288 0.906 -0.142 0.887 -1.905 1.647
ma.L1 1.0000 1.05e+04 9.49e-05 1.000 -2.07e+04 2.07e+04
ar.S.L7 -0.6118 0.129 -4.741 0.000 -0.865 -0.359
ma.S.L7 -1.0000 2.41e+04 -4.15e-05 1.000 -4.73e+04 4.73e+04
sigma2 1.6435 5.18e+04 3.17e-05 1.000 -1.01e+05 1.01e+05
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.68
Prob(Q): 0.89 Prob(JB): 0.71
Heteroskedasticity (H): 0.28 Skew: -0.55
Prob(H) (two-sided): 0.25 Kurtosis: 2.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.57889548917936, Current Price: 172.49
SELL EXECUTED at 172.49
SELL ORDER COMPLETED at 171.91
OPERATION PROFIT, GROSS -0.9900000000000091, NET -1.3348100000000092
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.639
Date: Wed, 09 Oct 2024 AIC 55.279
Time: 14:41:26 BIC 58.104
Sample: 0 HQIC 54.698
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2977 1.302 0.229 0.819 -2.254 2.850
ma.L1 0.2689 1.183 0.227 0.820 -2.049 2.587
ar.S.L7 -0.3808 0.134 -2.834 0.005 -0.644 -0.117
ma.S.L7 -1.0001 9959.122 -0.000 1.000 -1.95e+04 1.95e+04
sigma2 1.1481 1.14e+04 0.000 1.000 -2.24e+04 2.24e+04
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 1.64
Prob(Q): 0.83 Prob(JB): 0.44
Heteroskedasticity (H): 0.10 Skew: 0.83
Prob(H) (two-sided): 0.05 Kurtosis: 2.48
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.6193312819153, Current Price: 171.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.083
Date: Wed, 09 Oct 2024 AIC 54.166
Time: 14:41:27 BIC 56.990
Sample: 0 HQIC 53.585
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3346 1.096 0.305 0.760 -1.813 2.482
ma.L1 0.0133 1.151 0.012 0.991 -2.242 2.269
ar.S.L7 -0.3610 0.106 -3.404 0.001 -0.569 -0.153
ma.S.L7 -1.0000 2.12e+04 -4.72e-05 1.000 -4.16e+04 4.16e+04
sigma2 1.0548 2.24e+04 4.72e-05 1.000 -4.38e+04 4.38e+04
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 1.34
Prob(Q): 0.74 Prob(JB): 0.51
Heteroskedasticity (H): 0.15 Skew: 0.61
Prob(H) (two-sided): 0.09 Kurtosis: 2.02
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.909744368914, Current Price: 173.94
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.326
Date: Wed, 09 Oct 2024 AIC 60.651
Time: 14:41:27 BIC 63.476
Sample: 0 HQIC 60.071
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3602 1.405 0.256 0.798 -2.393 3.114
ma.L1 0.1173 1.185 0.099 0.921 -2.205 2.439
ar.S.L7 -0.4268 0.197 -2.172 0.030 -0.812 -0.042
ma.S.L7 -1.0000 1.82e+04 -5.49e-05 1.000 -3.57e+04 3.57e+04
sigma2 1.7368 3.16e+04 5.49e-05 1.000 -6.2e+04 6.2e+04
===================================================================================
Ljung-Box (L1) (Q): 1.05 Jarque-Bera (JB): 0.71
Prob(Q): 0.30 Prob(JB): 0.70
Heteroskedasticity (H): 0.72 Skew: 0.16
Prob(H) (two-sided): 0.75 Kurtosis: 1.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 175.65688832002337, Current Price: 174.9
BUY EXECUTED at 174.9
BUY ORDER COMPLETED at 177.15
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.579
Date: Wed, 09 Oct 2024 AIC 61.158
Time: 14:41:27 BIC 63.983
Sample: 0 HQIC 60.578
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0687 0.814 -0.084 0.933 -1.664 1.527
ma.L1 0.6504 0.807 0.806 0.420 -0.932 2.233
ar.S.L7 -0.5402 0.166 -3.259 0.001 -0.865 -0.215
ma.S.L7 -1.0000 2.19e+04 -4.57e-05 1.000 -4.29e+04 4.29e+04
sigma2 1.8062 3.96e+04 4.57e-05 1.000 -7.75e+04 7.75e+04
===================================================================================
Ljung-Box (L1) (Q): 1.05 Jarque-Bera (JB): 0.75
Prob(Q): 0.31 Prob(JB): 0.69
Heteroskedasticity (H): 0.92 Skew: 0.46
Prob(H) (two-sided): 0.94 Kurtosis: 2.27
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 172.94151102380275, Current Price: 176.74
SELL EXECUTED at 176.74
SELL ORDER COMPLETED at 176.65
OPERATION PROFIT, GROSS -0.5, NET -0.8538
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.098
Date: Wed, 09 Oct 2024 AIC 56.196
Time: 14:41:27 BIC 59.021
Sample: 0 HQIC 55.615
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9332 0.199 4.695 0.000 0.544 1.323
ma.L1 -0.4895 0.369 -1.328 0.184 -1.212 0.233
ar.S.L7 -0.7490 0.329 -2.275 0.023 -1.394 -0.104
ma.S.L7 -1.0000 1.57e+04 -6.37e-05 1.000 -3.08e+04 3.08e+04
sigma2 1.1904 1.87e+04 6.37e-05 1.000 -3.66e+04 3.67e+04
===================================================================================
Ljung-Box (L1) (Q): 0.38 Jarque-Bera (JB): 0.65
Prob(Q): 0.54 Prob(JB): 0.72
Heteroskedasticity (H): 2.38 Skew: 0.49
Prob(H) (two-sided): 0.42 Kurtosis: 2.51
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.40758612766086, Current Price: 176.44
BUY EXECUTED at 176.44
BUY ORDER COMPLETED at 176.29
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.591
Date: Wed, 09 Oct 2024 AIC 61.182
Time: 14:41:27 BIC 64.007
Sample: 0 HQIC 60.602
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4330 0.319 1.359 0.174 -0.192 1.058
ma.L1 -0.0959 0.653 -0.147 0.883 -1.375 1.183
ar.S.L7 -0.5915 0.391 -1.514 0.130 -1.357 0.174
ma.S.L7 -0.4174 1.207 -0.346 0.730 -2.783 1.949
sigma2 2.7929 1.954 1.429 0.153 -1.037 6.623
===================================================================================
Ljung-Box (L1) (Q): 1.16 Jarque-Bera (JB): 0.73
Prob(Q): 0.28 Prob(JB): 0.70
Heteroskedasticity (H): 2.42 Skew: 0.43
Prob(H) (two-sided): 0.41 Kurtosis: 2.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.1333498027147, Current Price: 175.88
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.311
Date: Wed, 09 Oct 2024 AIC 62.622
Time: 14:41:27 BIC 65.446
Sample: 0 HQIC 62.041
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7044 0.171 4.131 0.000 0.370 1.039
ma.L1 -1.0000 5648.368 -0.000 1.000 -1.11e+04 1.11e+04
ar.S.L7 -0.4001 0.264 -1.515 0.130 -0.918 0.117
ma.S.L7 0.0506 0.624 0.081 0.935 -1.172 1.273
sigma2 2.8794 1.63e+04 0.000 1.000 -3.19e+04 3.19e+04
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 1.02
Prob(Q): 0.66 Prob(JB): 0.60
Heteroskedasticity (H): 1.64 Skew: 0.03
Prob(H) (two-sided): 0.64 Kurtosis: 1.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 176.12947169997986, Current Price: 174.49
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.989
Date: Wed, 09 Oct 2024 AIC 63.977
Time: 14:41:27 BIC 66.802
Sample: 0 HQIC 63.397
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3701 1.507 -0.246 0.806 -3.324 2.584
ma.L1 0.5561 1.276 0.436 0.663 -1.945 3.057
ar.S.L7 -0.4281 0.582 -0.736 0.462 -1.568 0.712
ma.S.L7 0.0585 0.927 0.063 0.950 -1.758 1.875
sigma2 3.7146 2.430 1.529 0.126 -1.048 8.477
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.23
Prob(Q): 0.94 Prob(JB): 0.54
Heteroskedasticity (H): 1.13 Skew: 0.51
Prob(H) (two-sided): 0.91 Kurtosis: 1.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 174.29184052170993, Current Price: 175.65
SELL EXECUTED at 175.65
SELL ORDER COMPLETED at 175.55
OPERATION PROFIT, GROSS -0.7399999999999807, NET -1.0918399999999808
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.352
Date: Wed, 09 Oct 2024 AIC 62.704
Time: 14:41:27 BIC 65.529
Sample: 0 HQIC 62.123
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5720 0.173 3.315 0.001 0.234 0.910
ma.L1 -1.0000 1.02e+04 -9.81e-05 1.000 -2e+04 2e+04
ar.S.L7 -0.3336 0.230 -1.450 0.147 -0.784 0.117
ma.S.L7 -0.0058 0.582 -0.010 0.992 -1.147 1.135
sigma2 2.8946 2.95e+04 9.81e-05 1.000 -5.78e+04 5.79e+04
===================================================================================
Ljung-Box (L1) (Q): 0.65 Jarque-Bera (JB): 1.21
Prob(Q): 0.42 Prob(JB): 0.55
Heteroskedasticity (H): 0.70 Skew: -0.01
Prob(H) (two-sided): 0.74 Kurtosis: 1.51
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 176.70966651209474, Current Price: 176.35
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.701
Date: Wed, 09 Oct 2024 AIC 61.401
Time: 14:41:27 BIC 64.226
Sample: 0 HQIC 60.821
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4528 0.131 3.448 0.001 0.195 0.710
ma.L1 -1.0000 9770.494 -0.000 1.000 -1.92e+04 1.91e+04
ar.S.L7 -0.2572 0.138 -1.867 0.062 -0.527 0.013
ma.S.L7 0.1846 0.626 0.295 0.768 -1.042 1.412
sigma2 2.7545 2.69e+04 0.000 1.000 -5.27e+04 5.27e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.05
Prob(Q): 0.89 Prob(JB): 0.59
Heteroskedasticity (H): 0.37 Skew: 0.18
Prob(H) (two-sided): 0.36 Kurtosis: 1.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.26231704550165, Current Price: 175.71
BUY EXECUTED at 175.71
BUY ORDER COMPLETED at 176.25
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.239
Date: Wed, 09 Oct 2024 AIC 60.477
Time: 14:41:27 BIC 63.302
Sample: 0 HQIC 59.897
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3980 0.428 0.930 0.352 -0.441 1.237
ma.L1 -1.0000 9316.359 -0.000 1.000 -1.83e+04 1.83e+04
ar.S.L7 -0.2448 0.121 -2.028 0.043 -0.481 -0.008
ma.S.L7 0.0660 0.540 0.122 0.903 -0.992 1.124
sigma2 2.5804 2.4e+04 0.000 1.000 -4.71e+04 4.71e+04
===================================================================================
Ljung-Box (L1) (Q): 0.63 Jarque-Bera (JB): 0.87
Prob(Q): 0.43 Prob(JB): 0.65
Heteroskedasticity (H): 0.45 Skew: 0.30
Prob(H) (two-sided): 0.45 Kurtosis: 1.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.23967231795453, Current Price: 176.35
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.885
Date: Wed, 09 Oct 2024 AIC 61.770
Time: 14:41:27 BIC 64.595
Sample: 0 HQIC 61.189
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3463 0.937 -0.369 0.712 -2.183 1.491
ma.L1 0.5994 0.826 0.726 0.468 -1.019 2.218
ar.S.L7 -0.4801 0.421 -1.141 0.254 -1.305 0.345
ma.S.L7 0.1567 0.690 0.227 0.820 -1.196 1.509
sigma2 3.1089 1.597 1.946 0.052 -0.022 6.240
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 2.11
Prob(Q): 0.68 Prob(JB): 0.35
Heteroskedasticity (H): 0.43 Skew: 0.98
Prob(H) (two-sided): 0.43 Kurtosis: 2.74
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 175.02266938615972, Current Price: 177.7
SELL EXECUTED at 177.7
SELL ORDER COMPLETED at 178.07
OPERATION PROFIT, GROSS 1.8199999999999932, NET 1.4656799999999932
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.621
Date: Wed, 09 Oct 2024 AIC 59.243
Time: 14:41:27 BIC 62.067
Sample: 0 HQIC 58.662
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5255 0.249 2.113 0.035 0.038 1.013
ma.L1 -1.0000 1.41e+04 -7.07e-05 1.000 -2.77e+04 2.77e+04
ar.S.L7 -0.1512 0.347 -0.436 0.663 -0.831 0.528
ma.S.L7 0.0093 0.697 0.013 0.989 -1.357 1.376
sigma2 2.2770 3.22e+04 7.07e-05 1.000 -6.31e+04 6.31e+04
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 1.24
Prob(Q): 0.83 Prob(JB): 0.54
Heteroskedasticity (H): 0.62 Skew: 0.32
Prob(H) (two-sided): 0.65 Kurtosis: 1.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.25858496349701, Current Price: 178.36
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.083
Date: Wed, 09 Oct 2024 AIC 58.166
Time: 14:41:27 BIC 60.991
Sample: 0 HQIC 57.586
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4149 0.425 0.976 0.329 -0.418 1.248
ma.L1 -1.0000 8691.959 -0.000 1.000 -1.7e+04 1.7e+04
ar.S.L7 -0.1321 0.158 -0.834 0.404 -0.442 0.178
ma.S.L7 0.2197 0.413 0.532 0.595 -0.590 1.030
sigma2 2.1468 1.87e+04 0.000 1.000 -3.66e+04 3.66e+04
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.75
Prob(Q): 0.76 Prob(JB): 0.69
Heteroskedasticity (H): 0.61 Skew: -0.07
Prob(H) (two-sided): 0.65 Kurtosis: 1.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 176.58675657369642, Current Price: 182.33
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.279
Date: Wed, 09 Oct 2024 AIC 66.557
Time: 14:41:27 BIC 69.382
Sample: 0 HQIC 65.977
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0297 10.236 0.003 0.998 -20.032 20.091
ma.L1 -0.0922 10.492 -0.009 0.993 -20.656 20.472
ar.S.L7 -0.1085 0.724 -0.150 0.881 -1.528 1.311
ma.S.L7 -1.0004 2248.041 -0.000 1.000 -4407.079 4405.078
sigma2 2.7329 6144.823 0.000 1.000 -1.2e+04 1.2e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.49
Prob(Q): 0.85 Prob(JB): 0.78
Heteroskedasticity (H): 1.90 Skew: -0.01
Prob(H) (two-sided): 0.55 Kurtosis: 2.05
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 182.37739637068836, Current Price: 182.87
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.186
Date: Wed, 09 Oct 2024 AIC 64.371
Time: 14:41:27 BIC 67.196
Sample: 0 HQIC 63.791
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4306 1.361 -0.316 0.752 -3.098 2.237
ma.L1 0.5127 1.495 0.343 0.732 -2.418 3.443
ar.S.L7 -0.2420 0.577 -0.419 0.675 -1.374 0.890
ma.S.L7 -0.3976 1.207 -0.330 0.742 -2.762 1.967
sigma2 3.5835 2.062 1.738 0.082 -0.458 7.625
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.61
Prob(Q): 0.91 Prob(JB): 0.74
Heteroskedasticity (H): 2.90 Skew: 0.42
Prob(H) (two-sided): 0.33 Kurtosis: 2.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 183.76386180030227, Current Price: 179.9
BUY EXECUTED at 179.9
BUY ORDER COMPLETED at 179.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.309
Date: Wed, 09 Oct 2024 AIC 66.617
Time: 14:41:27 BIC 69.442
Sample: 0 HQIC 66.037
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6049 0.556 1.088 0.277 -0.485 1.695
ma.L1 -1.0000 1.11e+04 -8.99e-05 1.000 -2.18e+04 2.18e+04
ar.S.L7 -0.1356 0.750 -0.181 0.857 -1.606 1.335
ma.S.L7 0.0328 1.157 0.028 0.977 -2.235 2.301
sigma2 3.9558 4.4e+04 8.99e-05 1.000 -8.62e+04 8.62e+04
===================================================================================
Ljung-Box (L1) (Q): 0.58 Jarque-Bera (JB): 1.38
Prob(Q): 0.45 Prob(JB): 0.50
Heteroskedasticity (H): 4.45 Skew: 0.78
Prob(H) (two-sided): 0.18 Kurtosis: 3.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.27154917750312, Current Price: 179.48
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.153
Date: Wed, 09 Oct 2024 AIC 66.306
Time: 14:41:27 BIC 69.131
Sample: 0 HQIC 65.726
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5580 1.155 0.483 0.629 -1.705 2.821
ma.L1 -1.0000 1.61e+04 -6.2e-05 1.000 -3.16e+04 3.16e+04
ar.S.L7 -0.0420 0.493 -0.085 0.932 -1.008 0.924
ma.S.L7 0.1679 1.422 0.118 0.906 -2.619 2.954
sigma2 4.0621 6.55e+04 6.2e-05 1.000 -1.28e+05 1.28e+05
===================================================================================
Ljung-Box (L1) (Q): 0.30 Jarque-Bera (JB): 2.74
Prob(Q): 0.58 Prob(JB): 0.25
Heteroskedasticity (H): 3.35 Skew: 1.04
Prob(H) (two-sided): 0.27 Kurtosis: 3.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.47161059441737, Current Price: 173.34
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.877
Date: Wed, 09 Oct 2024 AIC 73.754
Time: 14:41:27 BIC 76.579
Sample: 0 HQIC 73.173
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7810 1.838 -0.425 0.671 -4.384 2.822
ma.L1 1.0000 6664.693 0.000 1.000 -1.31e+04 1.31e+04
ar.S.L7 -0.0057 0.051 -0.112 0.911 -0.105 0.094
ma.S.L7 0.3229 1.941 0.166 0.868 -3.481 4.127
sigma2 6.9159 4.61e+04 0.000 1.000 -9.03e+04 9.03e+04
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 0.86
Prob(Q): 0.62 Prob(JB): 0.65
Heteroskedasticity (H): 3.86 Skew: 0.42
Prob(H) (two-sided): 0.22 Kurtosis: 3.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 174.33701985551153, Current Price: 173.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.178
Date: Wed, 09 Oct 2024 AIC 74.355
Time: 14:41:27 BIC 77.180
Sample: 0 HQIC 73.774
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2907 2.374 0.122 0.903 -4.363 4.945
ma.L1 -0.1441 2.333 -0.062 0.951 -4.716 4.428
ar.S.L7 -0.1278 1.333 -0.096 0.924 -2.740 2.484
ma.S.L7 0.0459 1.738 0.026 0.979 -3.361 3.452
sigma2 8.2623 4.478 1.845 0.065 -0.515 17.040
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.18
Prob(Q): 0.82 Prob(JB): 0.92
Heteroskedasticity (H): 4.92 Skew: -0.23
Prob(H) (two-sided): 0.15 Kurtosis: 3.33
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.18390663865537, Current Price: 174.12
SELL EXECUTED at 174.12
SELL ORDER COMPLETED at 173.68
OPERATION PROFIT, GROSS -6.009999999999991, NET -6.363369999999991
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.634
Date: Wed, 09 Oct 2024 AIC 73.269
Time: 14:41:27 BIC 76.094
Sample: 0 HQIC 72.688
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6746 0.580 -1.164 0.245 -1.811 0.462
ma.L1 1.0000 5963.267 0.000 1.000 -1.17e+04 1.17e+04
ar.S.L7 0.1722 1.284 0.134 0.893 -2.345 2.689
ma.S.L7 0.0548 3.457 0.016 0.987 -6.721 6.831
sigma2 6.4915 3.87e+04 0.000 1.000 -7.59e+04 7.59e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.70
Prob(Q): 0.90 Prob(JB): 0.70
Heteroskedasticity (H): 4.25 Skew: 0.12
Prob(H) (two-sided): 0.19 Kurtosis: 4.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.63632432665528, Current Price: 173.37
BUY EXECUTED at 173.37
BUY ORDER COMPLETED at 173.44
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.315
Date: Wed, 09 Oct 2024 AIC 74.630
Time: 14:41:27 BIC 77.454
Sample: 0 HQIC 74.049
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3314 1.814 0.183 0.855 -3.224 3.887
ma.L1 -6.1332 90.704 -0.068 0.946 -183.910 171.644
ar.S.L7 -0.3116 1.002 -0.311 0.756 -2.276 1.653
ma.S.L7 -0.2547 1.331 -0.191 0.848 -2.863 2.354
sigma2 0.2187 6.458 0.034 0.973 -12.439 12.876
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.97
Prob(Q): 0.90 Prob(JB): 0.62
Heteroskedasticity (H): 4.95 Skew: -0.65
Prob(H) (two-sided): 0.15 Kurtosis: 3.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.70340878252875, Current Price: 173.28
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.442
Date: Wed, 09 Oct 2024 AIC 74.884
Time: 14:41:27 BIC 77.708
Sample: 0 HQIC 74.303
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3318 1.889 0.176 0.861 -3.371 4.034
ma.L1 -6.2290 111.271 -0.056 0.955 -224.315 211.857
ar.S.L7 -0.2624 1.031 -0.254 0.799 -2.284 1.759
ma.S.L7 -0.1699 1.668 -0.102 0.919 -3.438 3.099
sigma2 0.2194 7.826 0.028 0.978 -15.119 15.558
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.58
Prob(Q): 0.85 Prob(JB): 0.75
Heteroskedasticity (H): 0.82 Skew: -0.50
Prob(H) (two-sided): 0.85 Kurtosis: 3.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.80170675008787, Current Price: 171.13
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.171
Date: Wed, 09 Oct 2024 AIC 74.343
Time: 14:41:27 BIC 77.167
Sample: 0 HQIC 73.762
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6186 0.950 0.651 0.515 -1.244 2.481
ma.L1 -0.4520 1.139 -0.397 0.691 -2.684 1.780
ar.S.L7 -0.2192 0.872 -0.251 0.802 -1.929 1.490
ma.S.L7 -0.3141 1.418 -0.221 0.825 -3.093 2.465
sigma2 7.8136 5.492 1.423 0.155 -2.951 18.578
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.92
Prob(Q): 0.90 Prob(JB): 0.63
Heteroskedasticity (H): 0.29 Skew: -0.63
Prob(H) (two-sided): 0.25 Kurtosis: 3.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.42472138251784, Current Price: 172.58
SELL EXECUTED at 172.58
SELL ORDER COMPLETED at 174.37
OPERATION PROFIT, GROSS 0.9300000000000068, NET 0.5821900000000069
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.866
Date: Wed, 09 Oct 2024 AIC 71.732
Time: 14:41:27 BIC 74.557
Sample: 0 HQIC 71.152
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5091 0.587 -0.867 0.386 -1.660 0.642
ma.L1 1.0000 7260.218 0.000 1.000 -1.42e+04 1.42e+04
ar.S.L7 0.0768 0.755 0.102 0.919 -1.403 1.557
ma.S.L7 -1.0001 1.2e+04 -8.33e-05 1.000 -2.35e+04 2.35e+04
sigma2 3.9126 6.41e+04 6.11e-05 1.000 -1.26e+05 1.26e+05
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 1.24
Prob(Q): 0.62 Prob(JB): 0.54
Heteroskedasticity (H): 0.14 Skew: -0.47
Prob(H) (two-sided): 0.08 Kurtosis: 4.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.09681295950108, Current Price: 175.39
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.817
Date: Wed, 09 Oct 2024 AIC 73.633
Time: 14:41:27 BIC 76.458
Sample: 0 HQIC 73.053
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5231 0.398 -1.315 0.189 -1.303 0.257
ma.L1 0.8479 0.580 1.461 0.144 -0.289 1.985
ar.S.L7 -0.2344 0.663 -0.353 0.724 -1.534 1.065
ma.S.L7 -1.0001 1.36e+04 -7.37e-05 1.000 -2.66e+04 2.66e+04
sigma2 4.6522 6.31e+04 7.37e-05 1.000 -1.24e+05 1.24e+05
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 2.56
Prob(Q): 0.65 Prob(JB): 0.28
Heteroskedasticity (H): 0.45 Skew: -0.87
Prob(H) (two-sided): 0.46 Kurtosis: 4.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 176.16028275034867, Current Price: 175.28
BUY EXECUTED at 175.28
BUY ORDER COMPLETED at 172.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.266
Date: Wed, 09 Oct 2024 AIC 72.532
Time: 14:41:27 BIC 75.356
Sample: 0 HQIC 71.951
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4478 0.694 -0.645 0.519 -1.808 0.912
ma.L1 0.7811 0.666 1.172 0.241 -0.525 2.087
ar.S.L7 -0.2838 0.431 -0.659 0.510 -1.128 0.561
ma.S.L7 -1.0000 3.3e+04 -3.03e-05 1.000 -6.47e+04 6.47e+04
sigma2 4.3724 1.44e+05 3.03e-05 1.000 -2.83e+05 2.83e+05
===================================================================================
Ljung-Box (L1) (Q): 0.48 Jarque-Bera (JB): 0.53
Prob(Q): 0.49 Prob(JB): 0.77
Heteroskedasticity (H): 0.60 Skew: -0.46
Prob(H) (two-sided): 0.63 Kurtosis: 3.35
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 174.89661584248728, Current Price: 173.9
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.239
Date: Wed, 09 Oct 2024 AIC 70.479
Time: 14:41:27 BIC 73.303
Sample: 0 HQIC 69.898
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4560 0.638 -0.715 0.475 -1.706 0.794
ma.L1 0.7809 0.584 1.337 0.181 -0.364 1.926
ar.S.L7 -0.2298 0.389 -0.590 0.555 -0.993 0.533
ma.S.L7 -1.0000 3.11e+04 -3.21e-05 1.000 -6.1e+04 6.1e+04
sigma2 3.7344 1.16e+05 3.21e-05 1.000 -2.28e+05 2.28e+05
===================================================================================
Ljung-Box (L1) (Q): 0.51 Jarque-Bera (JB): 2.20
Prob(Q): 0.47 Prob(JB): 0.33
Heteroskedasticity (H): 0.32 Skew: -0.83
Prob(H) (two-sided): 0.29 Kurtosis: 4.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 174.86851355656123, Current Price: 174.05
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.149
Date: Wed, 09 Oct 2024 AIC 70.297
Time: 14:41:27 BIC 73.122
Sample: 0 HQIC 69.717
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4262 0.636 -0.670 0.503 -1.674 0.821
ma.L1 0.7905 0.542 1.459 0.145 -0.272 1.853
ar.S.L7 -0.1988 0.354 -0.562 0.574 -0.892 0.495
ma.S.L7 -1.0000 3.55e+04 -2.81e-05 1.000 -6.97e+04 6.97e+04
sigma2 3.6984 1.31e+05 2.81e-05 1.000 -2.58e+05 2.58e+05
===================================================================================
Ljung-Box (L1) (Q): 0.65 Jarque-Bera (JB): 1.58
Prob(Q): 0.42 Prob(JB): 0.45
Heteroskedasticity (H): 0.30 Skew: -0.66
Prob(H) (two-sided): 0.27 Kurtosis: 4.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 174.39454161604954, Current Price: 173.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.987
Date: Wed, 09 Oct 2024 AIC 67.974
Time: 14:41:28 BIC 70.799
Sample: 0 HQIC 67.393
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5986 0.279 -2.147 0.032 -1.145 -0.052
ma.L1 1.0000 6731.198 0.000 1.000 -1.32e+04 1.32e+04
ar.S.L7 -0.5427 0.545 -0.995 0.320 -1.611 0.526
ma.S.L7 -1.2924 5.060 -0.255 0.798 -11.210 8.626
sigma2 1.9896 1.34e+04 0.000 1.000 -2.63e+04 2.63e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.52
Prob(Q): 0.98 Prob(JB): 0.47
Heteroskedasticity (H): 0.37 Skew: -0.73
Prob(H) (two-sided): 0.35 Kurtosis: 3.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 172.67158082922646, Current Price: 172.52
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.787
Date: Wed, 09 Oct 2024 AIC 63.574
Time: 14:41:28 BIC 66.399
Sample: 0 HQIC 62.994
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5285 0.166 -3.182 0.001 -0.854 -0.203
ma.L1 1.0000 9020.242 0.000 1.000 -1.77e+04 1.77e+04
ar.S.L7 -0.6678 0.506 -1.318 0.187 -1.660 0.325
ma.S.L7 -1.0001 1.48e+04 -6.76e-05 1.000 -2.9e+04 2.9e+04
sigma2 1.8721 3.25e+04 5.77e-05 1.000 -6.36e+04 6.36e+04
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 3.52
Prob(Q): 0.75 Prob(JB): 0.17
Heteroskedasticity (H): 0.32 Skew: -1.14
Prob(H) (two-sided): 0.30 Kurtosis: 4.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 172.2272278905406, Current Price: 172.68
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.450
Date: Wed, 09 Oct 2024 AIC 48.899
Time: 14:41:28 BIC 51.724
Sample: 0 HQIC 48.319
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4235 0.056 -7.582 0.000 -0.533 -0.314
ma.L1 1.0000 1.15e+04 8.72e-05 1.000 -2.25e+04 2.25e+04
ar.S.L7 -0.6980 0.253 -2.755 0.006 -1.195 -0.201
ma.S.L7 -1.0001 5474.571 -0.000 1.000 -1.07e+04 1.07e+04
sigma2 0.6342 9120.066 6.95e-05 1.000 -1.79e+04 1.79e+04
===================================================================================
Ljung-Box (L1) (Q): 0.80 Jarque-Bera (JB): 1.64
Prob(Q): 0.37 Prob(JB): 0.44
Heteroskedasticity (H): 4.04 Skew: -0.85
Prob(H) (two-sided): 0.20 Kurtosis: 3.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.00780544135029, Current Price: 172.61
SELL EXECUTED at 172.61
SELL ORDER COMPLETED at 175.02
OPERATION PROFIT, GROSS 2.130000000000024, NET 1.782090000000024
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.809
Date: Wed, 09 Oct 2024 AIC 55.618
Time: 14:41:28 BIC 58.443
Sample: 0 HQIC 55.038
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3189 0.696 -0.458 0.647 -1.684 1.046
ma.L1 1.0000 9277.376 0.000 1.000 -1.82e+04 1.82e+04
ar.S.L7 -0.5576 0.327 -1.704 0.088 -1.199 0.084
ma.S.L7 -1.0001 6805.926 -0.000 1.000 -1.33e+04 1.33e+04
sigma2 1.1228 7984.198 0.000 1.000 -1.56e+04 1.56e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.03
Prob(Q): 0.89 Prob(JB): 0.60
Heteroskedasticity (H): 7.58 Skew: 0.47
Prob(H) (two-sided): 0.08 Kurtosis: 4.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 174.91565726771591, Current Price: 174.23
BUY EXECUTED at 174.23
BUY ORDER COMPLETED at 172.49
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.309
Date: Wed, 09 Oct 2024 AIC 62.618
Time: 14:41:28 BIC 65.443
Sample: 0 HQIC 62.037
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4352 0.168 -2.585 0.010 -0.765 -0.105
ma.L1 0.9933 13.479 0.074 0.941 -25.426 27.412
ar.S.L7 -0.5918 0.275 -2.149 0.032 -1.132 -0.052
ma.S.L7 -7.4513 51.161 -0.146 0.884 -107.725 92.822
sigma2 0.0531 1.071 0.050 0.960 -2.045 2.152
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 1.27
Prob(Q): 0.79 Prob(JB): 0.53
Heteroskedasticity (H): 0.87 Skew: 0.60
Prob(H) (two-sided): 0.90 Kurtosis: 2.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.927231812758, Current Price: 172.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.666
Date: Wed, 09 Oct 2024 AIC 61.333
Time: 14:41:28 BIC 64.158
Sample: 0 HQIC 60.752
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4370 0.150 -2.909 0.004 -0.732 -0.143
ma.L1 1.0000 1.63e+05 6.13e-06 1.000 -3.2e+05 3.2e+05
ar.S.L7 -0.6084 0.229 -2.653 0.008 -1.058 -0.159
ma.S.L7 0.4838 1.033 0.468 0.640 -1.541 2.509
sigma2 2.3009 3.75e+05 6.13e-06 1.000 -7.35e+05 7.35e+05
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.25
Prob(Q): 0.88 Prob(JB): 0.54
Heteroskedasticity (H): 0.43 Skew: 0.51
Prob(H) (two-sided): 0.43 Kurtosis: 1.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.38538359305946, Current Price: 171.85
SELL EXECUTED at 171.85
SELL ORDER COMPLETED at 168.29
OPERATION PROFIT, GROSS -4.200000000000017, NET -4.540780000000017
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.646
Date: Wed, 09 Oct 2024 AIC 61.293
Time: 14:41:28 BIC 64.118
Sample: 0 HQIC 60.712
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3548 0.499 -0.711 0.477 -1.333 0.623
ma.L1 1.0000 1.92e+04 5.22e-05 1.000 -3.76e+04 3.76e+04
ar.S.L7 -0.6012 0.228 -2.634 0.008 -1.049 -0.154
ma.S.L7 0.3396 0.915 0.371 0.710 -1.453 2.132
sigma2 2.5141 4.82e+04 5.22e-05 1.000 -9.44e+04 9.44e+04
===================================================================================
Ljung-Box (L1) (Q): 0.56 Jarque-Bera (JB): 1.06
Prob(Q): 0.45 Prob(JB): 0.59
Heteroskedasticity (H): 0.42 Skew: 0.21
Prob(H) (two-sided): 0.42 Kurtosis: 1.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 172.59312278701782, Current Price: 168.15
BUY EXECUTED at 168.15
BUY ORDER COMPLETED at 168.99
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.297
Date: Wed, 09 Oct 2024 AIC 66.594
Time: 14:41:28 BIC 69.418
Sample: 0 HQIC 66.013
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4029 2.257 -0.178 0.858 -4.827 4.021
ma.L1 0.5846 2.318 0.252 0.801 -3.958 5.127
ar.S.L7 -0.5898 0.303 -1.949 0.051 -1.183 0.003
ma.S.L7 0.3728 0.803 0.464 0.642 -1.201 1.947
sigma2 4.2817 4.113 1.041 0.298 -3.780 12.343
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.29
Prob(Q): 0.84 Prob(JB): 0.87
Heteroskedasticity (H): 0.79 Skew: 0.18
Prob(H) (two-sided): 0.82 Kurtosis: 2.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.3469891963026, Current Price: 169.81
SELL EXECUTED at 169.81
SELL ORDER COMPLETED at 171.9799
OPERATION PROFIT, GROSS 2.9898999999999774, NET 2.648930099999977
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.221
Date: Wed, 09 Oct 2024 AIC 62.442
Time: 14:41:28 BIC 65.267
Sample: 0 HQIC 61.861
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3746 0.547 0.685 0.494 -0.698 1.447
ma.L1 -1.0000 1.17e+04 -8.53e-05 1.000 -2.3e+04 2.3e+04
ar.S.L7 -0.6185 0.183 -3.376 0.001 -0.978 -0.259
ma.S.L7 1.0000 4.77e+05 2.1e-06 1.000 -9.34e+05 9.34e+05
sigma2 1.8943 9.09e+05 2.08e-06 1.000 -1.78e+06 1.78e+06
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.46
Prob(Q): 0.79 Prob(JB): 0.79
Heteroskedasticity (H): 0.43 Skew: 0.42
Prob(H) (two-sided): 0.44 Kurtosis: 2.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.55603965478932, Current Price: 171.52
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.981
Date: Wed, 09 Oct 2024 AIC 53.962
Time: 14:41:28 BIC 56.787
Sample: 0 HQIC 53.381
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4333 0.077 5.616 0.000 0.282 0.584
ma.L1 -1.0000 8520.105 -0.000 1.000 -1.67e+04 1.67e+04
ar.S.L7 -0.4286 0.223 -1.922 0.055 -0.866 0.008
ma.S.L7 0.3989 0.897 0.445 0.657 -1.359 2.157
sigma2 1.4405 1.23e+04 0.000 1.000 -2.41e+04 2.41e+04
===================================================================================
Ljung-Box (L1) (Q): 1.45 Jarque-Bera (JB): 0.99
Prob(Q): 0.23 Prob(JB): 0.61
Heteroskedasticity (H): 3.78 Skew: -0.68
Prob(H) (two-sided): 0.23 Kurtosis: 2.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.68339366834547, Current Price: 172.08
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.207
Date: Wed, 09 Oct 2024 AIC 50.414
Time: 14:41:28 BIC 53.239
Sample: 0 HQIC 49.834
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0831 0.574 0.145 0.885 -1.042 1.208
ma.L1 -1.0000 1040.239 -0.001 0.999 -2039.832 2037.832
ar.S.L7 -0.3961 0.155 -2.554 0.011 -0.700 -0.092
ma.S.L7 0.4191 0.746 0.561 0.574 -1.044 1.882
sigma2 1.1121 1156.352 0.001 0.999 -2265.295 2267.520
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 2.21
Prob(Q): 0.70 Prob(JB): 0.33
Heteroskedasticity (H): 2.98 Skew: -0.99
Prob(H) (two-sided): 0.32 Kurtosis: 3.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.06900034576213, Current Price: 172.71
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.991
Date: Wed, 09 Oct 2024 AIC 51.982
Time: 14:41:28 BIC 54.806
Sample: 0 HQIC 51.401
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4953 0.186 2.658 0.008 0.130 0.860
ma.L1 -1.0000 5555.436 -0.000 1.000 -1.09e+04 1.09e+04
ar.S.L7 -0.3300 0.206 -1.605 0.109 -0.733 0.073
ma.S.L7 0.7181 2.643 0.272 0.786 -4.463 5.899
sigma2 1.0085 5602.438 0.000 1.000 -1.1e+04 1.1e+04
===================================================================================
Ljung-Box (L1) (Q): 0.67 Jarque-Bera (JB): 3.14
Prob(Q): 0.41 Prob(JB): 0.21
Heteroskedasticity (H): 2.15 Skew: -1.04
Prob(H) (two-sided): 0.48 Kurtosis: 4.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.59139747404808, Current Price: 171.21
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.944
Date: Wed, 09 Oct 2024 AIC 47.888
Time: 14:41:28 BIC 50.713
Sample: 0 HQIC 47.307
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0343 0.859 0.040 0.968 -1.649 1.717
ma.L1 -1.0000 8806.127 -0.000 1.000 -1.73e+04 1.73e+04
ar.S.L7 -0.3933 0.142 -2.775 0.006 -0.671 -0.115
ma.S.L7 1.0000 3.58e+04 2.79e-05 1.000 -7.02e+04 7.02e+04
sigma2 0.6093 2.24e+04 2.72e-05 1.000 -4.38e+04 4.38e+04
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 4.43
Prob(Q): 0.72 Prob(JB): 0.11
Heteroskedasticity (H): 0.81 Skew: -1.27
Prob(H) (two-sided): 0.84 Kurtosis: 4.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.03343706553846, Current Price: 170.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.627
Date: Wed, 09 Oct 2024 AIC 49.254
Time: 14:41:28 BIC 52.079
Sample: 0 HQIC 48.674
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0150 0.955 -0.016 0.988 -1.887 1.857
ma.L1 -1.0000 4535.813 -0.000 1.000 -8891.030 8889.030
ar.S.L7 -0.3667 0.067 -5.445 0.000 -0.499 -0.235
ma.S.L7 1.0000 4.05e+04 2.47e-05 1.000 -7.94e+04 7.94e+04
sigma2 0.6755 2.71e+04 2.5e-05 1.000 -5.3e+04 5.3e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 6.64
Prob(Q): 0.89 Prob(JB): 0.04
Heteroskedasticity (H): 0.36 Skew: -1.30
Prob(H) (two-sided): 0.34 Kurtosis: 5.33
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.2504189166268, Current Price: 168.24
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.356
Date: Wed, 09 Oct 2024 AIC 50.712
Time: 14:41:28 BIC 53.537
Sample: 0 HQIC 50.132
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1045 1.326 0.079 0.937 -2.494 2.703
ma.L1 -1.0000 9217.944 -0.000 1.000 -1.81e+04 1.81e+04
ar.S.L7 -0.3344 0.077 -4.344 0.000 -0.485 -0.183
ma.S.L7 0.1501 0.569 0.264 0.792 -0.964 1.264
sigma2 1.1904 1.1e+04 0.000 1.000 -2.15e+04 2.15e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 15.78
Prob(Q): 1.00 Prob(JB): 0.00
Heteroskedasticity (H): 0.29 Skew: -1.83
Prob(H) (two-sided): 0.26 Kurtosis: 6.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.75701639861498, Current Price: 166.33
BUY EXECUTED at 166.33
BUY ORDER COMPLETED at 166.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.282
Date: Wed, 09 Oct 2024 AIC 54.564
Time: 14:41:28 BIC 57.389
Sample: 0 HQIC 53.983
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0363 0.998 -0.036 0.971 -1.993 1.921
ma.L1 -1.0000 1.74e+04 -5.76e-05 1.000 -3.4e+04 3.4e+04
ar.S.L7 -0.3431 0.105 -3.268 0.001 -0.549 -0.137
ma.S.L7 0.2166 0.675 0.321 0.748 -1.106 1.540
sigma2 1.5846 2.75e+04 5.76e-05 1.000 -5.39e+04 5.39e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 3.53
Prob(Q): 0.99 Prob(JB): 0.17
Heteroskedasticity (H): 2.10 Skew: -1.21
Prob(H) (two-sided): 0.49 Kurtosis: 3.84
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.09777923873102, Current Price: 166.32
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.691
Date: Wed, 09 Oct 2024 AIC 55.381
Time: 14:41:28 BIC 58.206
Sample: 0 HQIC 54.801
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5640 0.657 0.858 0.391 -0.724 1.852
ma.L1 -1.0005 433.850 -0.002 0.998 -851.331 849.330
ar.S.L7 -0.0606 0.472 -0.129 0.898 -0.985 0.864
ma.S.L7 -1.0000 4.29e+04 -2.33e-05 1.000 -8.42e+04 8.42e+04
sigma2 0.9771 4.23e+04 2.31e-05 1.000 -8.29e+04 8.29e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.36
Prob(Q): 0.95 Prob(JB): 0.83
Heteroskedasticity (H): 0.72 Skew: -0.34
Prob(H) (two-sided): 0.75 Kurtosis: 2.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.07186116911228, Current Price: 167.01
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.285
Date: Wed, 09 Oct 2024 AIC 54.571
Time: 14:41:28 BIC 57.396
Sample: 0 HQIC 53.990
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6657 0.380 1.752 0.080 -0.079 1.411
ma.L1 -0.9106 2.231 -0.408 0.683 -5.284 3.463
ar.S.L7 -0.0932 0.365 -0.255 0.799 -0.809 0.623
ma.S.L7 -1.0001 1.79e+04 -5.58e-05 1.000 -3.51e+04 3.51e+04
sigma2 0.9481 1.7e+04 5.58e-05 1.000 -3.33e+04 3.33e+04
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.01
Prob(Q): 0.81 Prob(JB): 1.00
Heteroskedasticity (H): 0.45 Skew: -0.05
Prob(H) (two-sided): 0.46 Kurtosis: 2.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.84837873198327, Current Price: 169.51
SELL EXECUTED at 169.51
SELL ORDER COMPLETED at 169.48
OPERATION PROFIT, GROSS 2.5, NET 2.1635400000000002
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.794
Date: Wed, 09 Oct 2024 AIC 55.588
Time: 14:41:28 BIC 58.412
Sample: 0 HQIC 55.007
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4942 0.923 0.535 0.593 -1.316 2.304
ma.L1 -1.0000 8773.262 -0.000 1.000 -1.72e+04 1.72e+04
ar.S.L7 -0.0755 0.458 -0.165 0.869 -0.973 0.822
ma.S.L7 -1.0002 1.15e+04 -8.72e-05 1.000 -2.25e+04 2.25e+04
sigma2 1.0149 1.96e+04 5.18e-05 1.000 -3.84e+04 3.84e+04
===================================================================================
Ljung-Box (L1) (Q): 0.63 Jarque-Bera (JB): 1.08
Prob(Q): 0.43 Prob(JB): 0.58
Heteroskedasticity (H): 0.80 Skew: -0.61
Prob(H) (two-sided): 0.83 Kurtosis: 2.28
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.86829447778405, Current Price: 169.12
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.659
Date: Wed, 09 Oct 2024 AIC 55.318
Time: 14:41:28 BIC 58.143
Sample: 0 HQIC 54.738
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5301 0.152 3.482 0.000 0.232 0.828
ma.L1 -1.0000 5161.259 -0.000 1.000 -1.01e+04 1.01e+04
ar.S.L7 -0.3209 0.455 -0.705 0.481 -1.213 0.571
ma.S.L7 -1.0005 1725.891 -0.001 1.000 -3383.685 3381.684
sigma2 0.9369 5755.887 0.000 1.000 -1.13e+04 1.13e+04
===================================================================================
Ljung-Box (L1) (Q): 0.31 Jarque-Bera (JB): 0.33
Prob(Q): 0.58 Prob(JB): 0.85
Heteroskedasticity (H): 0.39 Skew: -0.08
Prob(H) (two-sided): 0.39 Kurtosis: 2.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.25946941655036, Current Price: 169.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.643
Date: Wed, 09 Oct 2024 AIC 51.287
Time: 14:41:28 BIC 54.112
Sample: 0 HQIC 50.706
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4131 0.898 0.460 0.646 -1.347 2.173
ma.L1 -1.9204 4.268 -0.450 0.653 -10.286 6.446
ar.S.L7 -0.2763 0.551 -0.501 0.616 -1.356 0.804
ma.S.L7 -1.0003 3196.368 -0.000 1.000 -6265.767 6263.767
sigma2 0.2284 730.328 0.000 1.000 -1431.189 1431.645
===================================================================================
Ljung-Box (L1) (Q): 4.94 Jarque-Bera (JB): 0.52
Prob(Q): 0.03 Prob(JB): 0.77
Heteroskedasticity (H): 0.63 Skew: 0.27
Prob(H) (two-sided): 0.67 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.96224716865248, Current Price: 165.82
BUY EXECUTED at 165.82
BUY ORDER COMPLETED at 165.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.475
Date: Wed, 09 Oct 2024 AIC 34.950
Time: 14:41:28 BIC 37.775
Sample: 0 HQIC 34.370
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5030 0.258 1.949 0.051 -0.003 1.009
ma.L1 -28.7929 209.272 -0.138 0.891 -438.958 381.373
ar.S.L7 -0.3477 0.210 -1.657 0.098 -0.759 0.064
ma.S.L7 -0.9696 16.502 -0.059 0.953 -33.313 31.374
sigma2 0.0003 0.006 0.048 0.962 -0.011 0.012
===================================================================================
Ljung-Box (L1) (Q): 1.58 Jarque-Bera (JB): 1.26
Prob(Q): 0.21 Prob(JB): 0.53
Heteroskedasticity (H): 3.00 Skew: 0.73
Prob(H) (two-sided): 0.31 Kurtosis: 2.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 165.1864446782793, Current Price: 161.81
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.605
Date: Wed, 09 Oct 2024 AIC 51.209
Time: 14:41:28 BIC 54.034
Sample: 0 HQIC 50.629
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5380 0.339 1.586 0.113 -0.127 1.203
ma.L1 -15.0116 123.943 -0.121 0.904 -257.935 227.912
ar.S.L7 -0.3761 0.299 -1.257 0.209 -0.962 0.210
ma.S.L7 1.0383 23.545 0.044 0.965 -45.108 47.185
sigma2 0.0035 0.113 0.031 0.975 -0.218 0.225
===================================================================================
Ljung-Box (L1) (Q): 0.61 Jarque-Bera (JB): 0.47
Prob(Q): 0.44 Prob(JB): 0.79
Heteroskedasticity (H): 2.98 Skew: -0.45
Prob(H) (two-sided): 0.32 Kurtosis: 2.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.07033272254063, Current Price: 161.53
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.066
Date: Wed, 09 Oct 2024 AIC 50.132
Time: 14:41:29 BIC 52.957
Sample: 0 HQIC 49.552
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4876 0.648 0.752 0.452 -0.782 1.758
ma.L1 -32.4438 446.210 -0.073 0.942 -906.998 842.111
ar.S.L7 -0.3872 0.232 -1.666 0.096 -0.843 0.068
ma.S.L7 1.0144 84.767 0.012 0.990 -165.126 167.155
sigma2 0.0007 0.060 0.012 0.991 -0.117 0.119
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 0.99
Prob(Q): 0.71 Prob(JB): 0.61
Heteroskedasticity (H): 11.37 Skew: -0.67
Prob(H) (two-sided): 0.04 Kurtosis: 2.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.6380092141785, Current Price: 162.41
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.247
Date: Wed, 09 Oct 2024 AIC 48.493
Time: 14:41:29 BIC 51.318
Sample: 0 HQIC 47.913
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4089 1.429 0.286 0.775 -2.392 3.210
ma.L1 -24.7099 844.964 -0.029 0.977 -1680.809 1631.389
ar.S.L7 -0.3740 0.098 -3.833 0.000 -0.565 -0.183
ma.S.L7 0.9418 14.827 0.064 0.949 -28.119 30.002
sigma2 0.0012 0.076 0.015 0.988 -0.149 0.151
===================================================================================
Ljung-Box (L1) (Q): 0.27 Jarque-Bera (JB): 1.68
Prob(Q): 0.61 Prob(JB): 0.43
Heteroskedasticity (H): 0.93 Skew: -0.88
Prob(H) (two-sided): 0.94 Kurtosis: 3.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 165.25628859684534, Current Price: 160.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.639
Date: Wed, 09 Oct 2024 AIC 59.278
Time: 14:41:29 BIC 62.102
Sample: 0 HQIC 58.697
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5279 2.078 0.254 0.799 -3.544 4.600
ma.L1 -5.5413 71.140 -0.078 0.938 -144.972 133.890
ar.S.L7 -0.4928 0.276 -1.786 0.074 -1.034 0.048
ma.S.L7 0.3024 1.268 0.238 0.812 -2.183 2.788
sigma2 0.0807 2.023 0.040 0.968 -3.884 4.045
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 2.38
Prob(Q): 0.92 Prob(JB): 0.30
Heteroskedasticity (H): 5.91 Skew: -1.05
Prob(H) (two-sided): 0.11 Kurtosis: 2.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 158.74993612176175, Current Price: 159.04
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.367
Date: Wed, 09 Oct 2024 AIC 56.734
Time: 14:41:29 BIC 59.558
Sample: 0 HQIC 56.153
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3036 0.911 -0.333 0.739 -2.089 1.482
ma.L1 1.0000 2.73e+04 3.66e-05 1.000 -5.35e+04 5.35e+04
ar.S.L7 -0.4691 0.147 -3.182 0.001 -0.758 -0.180
ma.S.L7 0.3662 0.957 0.383 0.702 -1.509 2.241
sigma2 1.7471 4.77e+04 3.66e-05 1.000 -9.35e+04 9.35e+04
===================================================================================
Ljung-Box (L1) (Q): 0.36 Jarque-Bera (JB): 1.84
Prob(Q): 0.55 Prob(JB): 0.40
Heteroskedasticity (H): 2.35 Skew: -0.87
Prob(H) (two-sided): 0.43 Kurtosis: 2.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.56813773531312, Current Price: 159.14
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.428
Date: Wed, 09 Oct 2024 AIC 56.856
Time: 14:41:29 BIC 59.681
Sample: 0 HQIC 56.276
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3288 0.943 -0.349 0.727 -2.178 1.520
ma.L1 1.0000 6630.450 0.000 1.000 -1.3e+04 1.3e+04
ar.S.L7 -0.4767 0.186 -2.566 0.010 -0.841 -0.113
ma.S.L7 3.4511 11.636 0.297 0.767 -19.355 26.257
sigma2 0.1524 1011.022 0.000 1.000 -1981.413 1981.718
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 1.63
Prob(Q): 0.73 Prob(JB): 0.44
Heteroskedasticity (H): 1.60 Skew: -0.82
Prob(H) (two-sided): 0.66 Kurtosis: 2.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.8780999380993, Current Price: 157.49
SELL EXECUTED at 157.49
SELL ORDER COMPLETED at 160.75
OPERATION PROFIT, GROSS -4.25, NET -4.57575
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.408
Date: Wed, 09 Oct 2024 AIC 56.817
Time: 14:41:29 BIC 59.641
Sample: 0 HQIC 56.236
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0500 1.326 -0.038 0.970 -2.648 2.548
ma.L1 0.4238 1.219 0.348 0.728 -1.965 2.812
ar.S.L7 8.07e-07 0.922 8.75e-07 1.000 -1.807 1.807
ma.S.L7 -0.1591 1.387 -0.115 0.909 -2.877 2.558
sigma2 2.1448 1.254 1.710 0.087 -0.314 4.603
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 5.82
Prob(Q): 0.88 Prob(JB): 0.05
Heteroskedasticity (H): 5.95 Skew: -1.44
Prob(H) (two-sided): 0.11 Kurtosis: 4.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 154.43914118540522, Current Price: 160.84
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.176
Date: Wed, 09 Oct 2024 AIC 60.351
Time: 14:41:29 BIC 63.176
Sample: 0 HQIC 59.771
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1450 0.562 -0.258 0.796 -1.246 0.957
ma.L1 1.0000 7885.298 0.000 1.000 -1.55e+04 1.55e+04
ar.S.L7 -0.3108 0.264 -1.177 0.239 -0.828 0.207
ma.S.L7 -1.0000 9266.009 -0.000 1.000 -1.82e+04 1.82e+04
sigma2 1.5975 1.63e+04 9.78e-05 1.000 -3.2e+04 3.2e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.59
Prob(Q): 0.93 Prob(JB): 0.74
Heteroskedasticity (H): 7.10 Skew: -0.52
Prob(H) (two-sided): 0.08 Kurtosis: 2.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.47988616412982, Current Price: 161.66
BUY EXECUTED at 161.66
BUY ORDER COMPLETED at 161.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.395
Date: Wed, 09 Oct 2024 AIC 60.790
Time: 14:41:29 BIC 63.615
Sample: 0 HQIC 60.210
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5465 0.918 -0.595 0.552 -2.345 1.252
ma.L1 1.0000 1.76e+04 5.7e-05 1.000 -3.44e+04 3.44e+04
ar.S.L7 -0.6599 0.544 -1.213 0.225 -1.726 0.407
ma.S.L7 -1.0000 3.92e+04 -2.55e-05 1.000 -7.68e+04 7.68e+04
sigma2 1.5529 7.31e+04 2.13e-05 1.000 -1.43e+05 1.43e+05
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 1.31
Prob(Q): 0.87 Prob(JB): 0.52
Heteroskedasticity (H): 6.60 Skew: -0.45
Prob(H) (two-sided): 0.09 Kurtosis: 4.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.4862965213974, Current Price: 161.52
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.059
Date: Wed, 09 Oct 2024 AIC 60.117
Time: 14:41:29 BIC 62.942
Sample: 0 HQIC 59.537
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3856 0.612 -0.630 0.528 -1.584 0.813
ma.L1 1.0000 9435.522 0.000 1.000 -1.85e+04 1.85e+04
ar.S.L7 -0.4383 0.222 -1.972 0.049 -0.874 -0.003
ma.S.L7 -1.0000 2.06e+04 -4.86e-05 1.000 -4.03e+04 4.03e+04
sigma2 1.5852 3.25e+04 4.88e-05 1.000 -6.37e+04 6.37e+04
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 0.15
Prob(Q): 0.68 Prob(JB): 0.93
Heteroskedasticity (H): 1.59 Skew: 0.11
Prob(H) (two-sided): 0.67 Kurtosis: 3.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.13679060042602, Current Price: 161.49
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.141
Date: Wed, 09 Oct 2024 AIC 62.282
Time: 14:41:29 BIC 65.107
Sample: 0 HQIC 61.701
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3994 1.139 -0.351 0.726 -2.631 1.833
ma.L1 1.0000 4474.545 0.000 1.000 -8768.947 8770.947
ar.S.L7 -0.3465 0.243 -1.425 0.154 -0.823 0.130
ma.S.L7 -1.0001 8775.841 -0.000 1.000 -1.72e+04 1.72e+04
sigma2 1.8789 1.09e+04 0.000 1.000 -2.14e+04 2.14e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.87
Prob(Q): 0.88 Prob(JB): 0.65
Heteroskedasticity (H): 3.06 Skew: 0.61
Prob(H) (two-sided): 0.30 Kurtosis: 3.31
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 158.89063750581093, Current Price: 162.2
SELL EXECUTED at 162.2
SELL ORDER COMPLETED at 162.36
OPERATION PROFIT, GROSS 0.8900000000000148, NET 0.5661700000000147
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.383
Date: Wed, 09 Oct 2024 AIC 64.767
Time: 14:41:29 BIC 67.592
Sample: 0 HQIC 64.186
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3811 1.389 -0.274 0.784 -3.104 2.342
ma.L1 0.6831 1.229 0.556 0.578 -1.725 3.091
ar.S.L7 -0.5144 0.250 -2.059 0.039 -1.004 -0.025
ma.S.L7 -1.0001 9174.732 -0.000 1.000 -1.8e+04 1.8e+04
sigma2 2.3901 2.19e+04 0.000 1.000 -4.3e+04 4.3e+04
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.10
Prob(Q): 0.75 Prob(JB): 0.95
Heteroskedasticity (H): 0.95 Skew: 0.21
Prob(H) (two-sided): 0.96 Kurtosis: 2.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.75769487402806, Current Price: 162.35
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.258
Date: Wed, 09 Oct 2024 AIC 64.516
Time: 14:41:29 BIC 67.340
Sample: 0 HQIC 63.935
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3563 1.685 -0.211 0.833 -3.658 2.946
ma.L1 1.6430 3.601 0.456 0.648 -5.414 8.700
ar.S.L7 -0.5593 0.229 -2.446 0.014 -1.007 -0.111
ma.S.L7 -1.0000 1.98e+04 -5.04e-05 1.000 -3.89e+04 3.89e+04
sigma2 0.8672 1.72e+04 5.04e-05 1.000 -3.37e+04 3.37e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.08
Prob(Q): 0.96 Prob(JB): 0.96
Heteroskedasticity (H): 0.49 Skew: 0.19
Prob(H) (two-sided): 0.51 Kurtosis: 3.02
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 158.85065840501906, Current Price: 163.51
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.844
Date: Wed, 09 Oct 2024 AIC 65.687
Time: 14:41:29 BIC 68.512
Sample: 0 HQIC 65.106
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2433 4.238 0.057 0.954 -8.064 8.550
ma.L1 -0.0070 4.486 -0.002 0.999 -8.798 8.784
ar.S.L7 -0.8605 1.039 -0.829 0.407 -2.896 1.175
ma.S.L7 -0.3500 1.154 -0.303 0.762 -2.612 1.912
sigma2 4.0310 3.815 1.057 0.291 -3.445 11.507
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.42
Prob(Q): 0.79 Prob(JB): 0.81
Heteroskedasticity (H): 3.83 Skew: 0.42
Prob(H) (two-sided): 0.22 Kurtosis: 2.72
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.2240653998296, Current Price: 162.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.022
Date: Wed, 09 Oct 2024 AIC 66.043
Time: 14:41:29 BIC 68.868
Sample: 0 HQIC 65.462
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2664 3.362 0.079 0.937 -6.323 6.856
ma.L1 0.0123 3.488 0.004 0.997 -6.824 6.849
ar.S.L7 -0.6624 1.005 -0.659 0.510 -2.633 1.308
ma.S.L7 -0.3974 1.671 -0.238 0.812 -3.673 2.878
sigma2 4.0758 5.066 0.804 0.421 -5.854 14.006
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.34
Prob(Q): 0.80 Prob(JB): 0.84
Heteroskedasticity (H): 2.25 Skew: 0.37
Prob(H) (two-sided): 0.45 Kurtosis: 2.71
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.1087266246211, Current Price: 163.24
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.624
Date: Wed, 09 Oct 2024 AIC 65.249
Time: 14:41:29 BIC 68.074
Sample: 0 HQIC 64.668
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2392 4.176 0.057 0.954 -7.946 8.425
ma.L1 -0.1122 4.331 -0.026 0.979 -8.601 8.377
ar.S.L7 -0.9913 0.311 -3.185 0.001 -1.601 -0.381
ma.S.L7 1.0000 5.22e+04 1.92e-05 1.000 -1.02e+05 1.02e+05
sigma2 2.4718 1.29e+05 1.92e-05 1.000 -2.53e+05 2.53e+05
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.68
Prob(Q): 1.00 Prob(JB): 0.43
Heteroskedasticity (H): 2.90 Skew: 0.88
Prob(H) (two-sided): 0.33 Kurtosis: 3.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.42578222261633, Current Price: 163.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.563
Date: Wed, 09 Oct 2024 AIC 63.125
Time: 14:41:29 BIC 65.950
Sample: 0 HQIC 62.544
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1752 4.159 0.042 0.966 -7.976 8.326
ma.L1 -0.0375 4.192 -0.009 0.993 -8.254 8.179
ar.S.L7 -0.9600 0.276 -3.476 0.001 -1.501 -0.419
ma.S.L7 1.0000 1e+05 9.95e-06 1.000 -1.97e+05 1.97e+05
sigma2 2.0993 2.11e+05 9.95e-06 1.000 -4.13e+05 4.14e+05
===================================================================================
Ljung-Box (L1) (Q): 0.47 Jarque-Bera (JB): 4.10
Prob(Q): 0.50 Prob(JB): 0.13
Heteroskedasticity (H): 0.74 Skew: 1.34
Prob(H) (two-sided): 0.77 Kurtosis: 3.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.4848098912656, Current Price: 161.81
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.747
Date: Wed, 09 Oct 2024 AIC 63.493
Time: 14:41:29 BIC 66.318
Sample: 0 HQIC 62.912
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1626 8.638 0.019 0.985 -16.768 17.093
ma.L1 -0.0754 8.327 -0.009 0.993 -16.395 16.245
ar.S.L7 -0.8896 0.282 -3.153 0.002 -1.443 -0.337
ma.S.L7 1.0000 1.74e+05 5.76e-06 1.000 -3.4e+05 3.4e+05
sigma2 2.1596 3.75e+05 5.76e-06 1.000 -7.34e+05 7.34e+05
===================================================================================
Ljung-Box (L1) (Q): 0.70 Jarque-Bera (JB): 3.87
Prob(Q): 0.40 Prob(JB): 0.14
Heteroskedasticity (H): 0.10 Skew: 1.30
Prob(H) (two-sided): 0.05 Kurtosis: 3.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.44638868789497, Current Price: 162.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.363
Date: Wed, 09 Oct 2024 AIC 64.726
Time: 14:41:29 BIC 67.550
Sample: 0 HQIC 64.145
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1606 8.010 0.020 0.984 -15.540 15.861
ma.L1 -0.0834 7.842 -0.011 0.992 -15.453 15.286
ar.S.L7 -0.8399 0.242 -3.465 0.001 -1.315 -0.365
ma.S.L7 1.0000 8.41e+04 1.19e-05 1.000 -1.65e+05 1.65e+05
sigma2 2.3744 2e+05 1.19e-05 1.000 -3.91e+05 3.91e+05
===================================================================================
Ljung-Box (L1) (Q): 0.57 Jarque-Bera (JB): 2.13
Prob(Q): 0.45 Prob(JB): 0.34
Heteroskedasticity (H): 0.11 Skew: 0.98
Prob(H) (two-sided): 0.05 Kurtosis: 3.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.5198638290539, Current Price: 161.78
BUY EXECUTED at 161.78
BUY ORDER COMPLETED at 161.71
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.435
Date: Wed, 09 Oct 2024 AIC 62.870
Time: 14:41:29 BIC 65.695
Sample: 0 HQIC 62.290
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7603 0.464 -1.638 0.102 -1.670 0.150
ma.L1 1.0000 1.36e+04 7.35e-05 1.000 -2.66e+04 2.67e+04
ar.S.L7 -0.8039 0.266 -3.028 0.002 -1.324 -0.283
ma.S.L7 0.9091 8.681 0.105 0.917 -16.106 17.924
sigma2 1.8100 2.46e+04 7.36e-05 1.000 -4.82e+04 4.82e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.58
Prob(Q): 0.97 Prob(JB): 0.45
Heteroskedasticity (H): 0.20 Skew: 0.85
Prob(H) (two-sided): 0.15 Kurtosis: 3.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.29864268395502, Current Price: 162.24
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.290
Date: Wed, 09 Oct 2024 AIC 52.580
Time: 14:41:29 BIC 55.405
Sample: 0 HQIC 51.999
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0630 489.427 -0.000 1.000 -959.323 959.197
ma.L1 0.0625 489.377 0.000 1.000 -959.099 959.224
ar.S.L7 -0.5184 0.495 -1.048 0.295 -1.488 0.451
ma.S.L7 0.1080 0.666 0.162 0.871 -1.197 1.413
sigma2 1.5418 0.605 2.548 0.011 0.356 2.728
===================================================================================
Ljung-Box (L1) (Q): 2.06 Jarque-Bera (JB): 4.10
Prob(Q): 0.15 Prob(JB): 0.13
Heteroskedasticity (H): 0.31 Skew: 1.24
Prob(H) (two-sided): 0.28 Kurtosis: 4.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.39434128141625, Current Price: 160.31
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.360
Date: Wed, 09 Oct 2024 AIC 48.719
Time: 14:41:29 BIC 51.544
Sample: 0 HQIC 48.138
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3415 0.851 -0.401 0.688 -2.009 1.326
ma.L1 -0.0278 0.864 -0.032 0.974 -1.722 1.666
ar.S.L7 -0.0956 0.173 -0.551 0.581 -0.435 0.244
ma.S.L7 -1.0001 4397.225 -0.000 1.000 -8619.403 8617.403
sigma2 0.6935 3049.468 0.000 1.000 -5976.154 5977.542
===================================================================================
Ljung-Box (L1) (Q): 1.13 Jarque-Bera (JB): 0.24
Prob(Q): 0.29 Prob(JB): 0.89
Heteroskedasticity (H): 0.40 Skew: 0.09
Prob(H) (two-sided): 0.39 Kurtosis: 2.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.18089022382006, Current Price: 157.57
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -177.493
Date: Wed, 09 Oct 2024 AIC 364.986
Time: 14:41:29 BIC 367.810
Sample: 0 HQIC 364.405
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -100.3003 2.91e+05 -0.000 1.000 -5.71e+05 5.71e+05
ma.L1 -139.6710 8.89e+05 -0.000 1.000 -1.74e+06 1.74e+06
ar.S.L7 -147.3610 4.26e+05 -0.000 1.000 -8.35e+05 8.35e+05
ma.S.L7 -121.3929 3.57e+05 -0.000 1.000 -7.01e+05 7e+05
sigma2 393.5849 3.78e+06 0.000 1.000 -7.4e+06 7.4e+06
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.46
Prob(Q): 0.74 Prob(JB): 0.80
Heteroskedasticity (H): 1.55 Skew: 0.36
Prob(H) (two-sided): 0.68 Kurtosis: 3.57
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 2900.4434352138287, Current Price: 159.96
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.863
Date: Wed, 09 Oct 2024 AIC 61.726
Time: 14:41:30 BIC 64.551
Sample: 0 HQIC 61.145
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4253 2.200 -0.193 0.847 -4.738 3.887
ma.L1 0.1986 2.130 0.093 0.926 -3.976 4.373
ar.S.L7 -0.2657 0.249 -1.066 0.286 -0.754 0.223
ma.S.L7 0.3989 1.277 0.312 0.755 -2.104 2.902
sigma2 2.9244 2.233 1.310 0.190 -1.452 7.301
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.05
Prob(Q): 0.92 Prob(JB): 0.98
Heteroskedasticity (H): 1.41 Skew: 0.11
Prob(H) (two-sided): 0.75 Kurtosis: 2.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 157.98739741595017, Current Price: 161.98
SELL EXECUTED at 161.98
SELL ORDER COMPLETED at 161.52
OPERATION PROFIT, GROSS -0.18999999999999773, NET -0.5132299999999977
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.062
Date: Wed, 09 Oct 2024 AIC 62.123
Time: 14:41:30 BIC 64.948
Sample: 0 HQIC 61.543
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6605 0.556 -1.188 0.235 -1.750 0.429
ma.L1 1.0000 7.59e+04 1.32e-05 1.000 -1.49e+05 1.49e+05
ar.S.L7 -0.3823 0.321 -1.192 0.233 -1.011 0.246
ma.S.L7 -0.0462 0.905 -0.051 0.959 -1.820 1.727
sigma2 2.7703 2.1e+05 1.32e-05 1.000 -4.12e+05 4.12e+05
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.34
Prob(Q): 0.88 Prob(JB): 0.84
Heteroskedasticity (H): 2.30 Skew: -0.06
Prob(H) (two-sided): 0.44 Kurtosis: 2.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.59018929062924, Current Price: 161.92
BUY EXECUTED at 161.92
BUY ORDER COMPLETED at 162.79
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.252
Date: Wed, 09 Oct 2024 AIC 60.504
Time: 14:41:30 BIC 63.329
Sample: 0 HQIC 59.924
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6064 0.368 -1.647 0.100 -1.328 0.115
ma.L1 1.0000 2568.936 0.000 1.000 -5034.022 5036.022
ar.S.L7 -0.3105 0.273 -1.136 0.256 -0.846 0.225
ma.S.L7 -8.8583 66.298 -0.134 0.894 -138.799 121.083
sigma2 0.0310 79.486 0.000 1.000 -155.759 155.821
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 0.39
Prob(Q): 0.70 Prob(JB): 0.82
Heteroskedasticity (H): 1.91 Skew: 0.06
Prob(H) (two-sided): 0.55 Kurtosis: 2.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.39051710111048, Current Price: 163.22
SELL EXECUTED at 163.22
SELL ORDER COMPLETED at 162.82
OPERATION PROFIT, GROSS 0.030000000000001137, NET -0.2956099999999988
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.666
Date: Wed, 09 Oct 2024 AIC 59.333
Time: 14:41:30 BIC 62.157
Sample: 0 HQIC 58.752
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5360 0.452 -1.185 0.236 -1.422 0.350
ma.L1 1.0000 9857.947 0.000 1.000 -1.93e+04 1.93e+04
ar.S.L7 -0.3385 0.426 -0.794 0.427 -1.174 0.497
ma.S.L7 -0.1110 0.930 -0.119 0.905 -1.934 1.712
sigma2 2.2426 2.21e+04 0.000 1.000 -4.33e+04 4.33e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.30
Prob(Q): 0.86 Prob(JB): 0.86
Heteroskedasticity (H): 3.94 Skew: -0.06
Prob(H) (two-sided): 0.21 Kurtosis: 2.27
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.77783419881783, Current Price: 162.76
BUY EXECUTED at 162.76
BUY ORDER COMPLETED at 164.1679
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.187
Date: Wed, 09 Oct 2024 AIC 58.375
Time: 14:41:30 BIC 61.199
Sample: 0 HQIC 57.794
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5247 0.282 -1.864 0.062 -1.076 0.027
ma.L1 1.0000 3949.196 0.000 1.000 -7739.281 7741.281
ar.S.L7 -0.1402 0.327 -0.428 0.668 -0.781 0.501
ma.S.L7 -0.1589 0.782 -0.203 0.839 -1.691 1.373
sigma2 2.1406 8453.097 0.000 1.000 -1.66e+04 1.66e+04
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 0.35
Prob(Q): 0.69 Prob(JB): 0.84
Heteroskedasticity (H): 7.51 Skew: 0.39
Prob(H) (two-sided): 0.08 Kurtosis: 2.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.22694662185089, Current Price: 164.51
SELL EXECUTED at 164.51
SELL ORDER COMPLETED at 162.75
OPERATION PROFIT, GROSS -1.417900000000003, NET -1.744817900000003
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.777
Date: Wed, 09 Oct 2024 AIC 61.553
Time: 14:41:30 BIC 64.378
Sample: 0 HQIC 60.973
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3844 1.029 -0.373 0.709 -2.402 1.633
ma.L1 0.6807 1.191 0.572 0.568 -1.654 3.015
ar.S.L7 -0.5183 0.600 -0.864 0.388 -1.695 0.658
ma.S.L7 -1.0001 1.47e+04 -6.82e-05 1.000 -2.87e+04 2.87e+04
sigma2 1.8659 2.74e+04 6.82e-05 1.000 -5.36e+04 5.36e+04
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 0.81
Prob(Q): 0.70 Prob(JB): 0.67
Heteroskedasticity (H): 4.05 Skew: -0.59
Prob(H) (two-sided): 0.20 Kurtosis: 2.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.3821634705954, Current Price: 163.27
BUY EXECUTED at 163.27
BUY ORDER COMPLETED at 162.73
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.909
Date: Wed, 09 Oct 2024 AIC 61.818
Time: 14:41:30 BIC 64.642
Sample: 0 HQIC 61.237
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7157 1.062 0.674 0.500 -1.365 2.796
ma.L1 -0.9724 6.916 -0.141 0.888 -14.528 12.583
ar.S.L7 -0.0020 0.007 -0.276 0.783 -0.016 0.012
ma.S.L7 -0.9703 29.661 -0.033 0.974 -59.104 57.163
sigma2 1.9789 63.839 0.031 0.975 -123.143 127.101
===================================================================================
Ljung-Box (L1) (Q): 0.24 Jarque-Bera (JB): 0.59
Prob(Q): 0.62 Prob(JB): 0.74
Heteroskedasticity (H): 3.95 Skew: -0.51
Prob(H) (two-sided): 0.21 Kurtosis: 2.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.77098598616828, Current Price: 162.28
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.248
Date: Wed, 09 Oct 2024 AIC 60.496
Time: 14:41:30 BIC 63.321
Sample: 0 HQIC 59.915
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4375 0.606 0.722 0.470 -0.750 1.625
ma.L1 -1.0000 1.19e+04 -8.41e-05 1.000 -2.33e+04 2.33e+04
ar.S.L7 -0.3652 0.295 -1.237 0.216 -0.944 0.214
ma.S.L7 -1.0001 1.35e+04 -7.42e-05 1.000 -2.64e+04 2.64e+04
sigma2 1.4621 3.14e+04 4.66e-05 1.000 -6.15e+04 6.15e+04
===================================================================================
Ljung-Box (L1) (Q): 0.55 Jarque-Bera (JB): 1.11
Prob(Q): 0.46 Prob(JB): 0.57
Heteroskedasticity (H): 1.18 Skew: -0.70
Prob(H) (two-sided): 0.87 Kurtosis: 3.33
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.633624626019, Current Price: 163.43
SELL EXECUTED at 163.43
SELL ORDER COMPLETED at 162.77
OPERATION PROFIT, GROSS 0.040000000000020464, NET -0.28549999999997955
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.787
Date: Wed, 09 Oct 2024 AIC 61.575
Time: 14:41:30 BIC 64.399
Sample: 0 HQIC 60.994
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4410 0.954 0.462 0.644 -1.430 2.312
ma.L1 -0.8334 1.407 -0.592 0.554 -3.591 1.924
ar.S.L7 -0.2936 0.497 -0.591 0.555 -1.268 0.680
ma.S.L7 -1.0002 4687.635 -0.000 1.000 -9188.597 9186.596
sigma2 1.7812 8350.576 0.000 1.000 -1.64e+04 1.64e+04
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 0.63
Prob(Q): 0.69 Prob(JB): 0.73
Heteroskedasticity (H): 0.56 Skew: -0.54
Prob(H) (two-sided): 0.59 Kurtosis: 2.84
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.3723716488049, Current Price: 162.72
BUY EXECUTED at 162.72
BUY ORDER COMPLETED at 164.07
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.569
Date: Wed, 09 Oct 2024 AIC 61.138
Time: 14:41:30 BIC 63.963
Sample: 0 HQIC 60.558
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4209 0.573 0.734 0.463 -0.702 1.544
ma.L1 -1.0000 3061.180 -0.000 1.000 -6000.802 5998.802
ar.S.L7 -0.3779 0.320 -1.180 0.238 -1.006 0.250
ma.S.L7 -1.0001 1.43e+04 -7.01e-05 1.000 -2.8e+04 2.8e+04
sigma2 1.5416 2.33e+04 6.62e-05 1.000 -4.57e+04 4.57e+04
===================================================================================
Ljung-Box (L1) (Q): 0.29 Jarque-Bera (JB): 1.19
Prob(Q): 0.59 Prob(JB): 0.55
Heteroskedasticity (H): 0.18 Skew: -0.74
Prob(H) (two-sided): 0.13 Kurtosis: 3.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.4524949045367, Current Price: 165.35
SELL EXECUTED at 165.35
SELL ORDER COMPLETED at 166.24
OPERATION PROFIT, GROSS 2.170000000000016, NET 1.839690000000016
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.909
Date: Wed, 09 Oct 2024 AIC 63.817
Time: 14:41:30 BIC 66.642
Sample: 0 HQIC 63.237
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3943 1.080 0.365 0.715 -1.722 2.511
ma.L1 -0.7144 0.790 -0.904 0.366 -2.263 0.834
ar.S.L7 -0.2301 0.467 -0.493 0.622 -1.145 0.685
ma.S.L7 -0.7214 2.521 -0.286 0.775 -5.663 4.220
sigma2 2.8145 5.105 0.551 0.581 -7.190 12.819
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.62
Prob(Q): 0.99 Prob(JB): 0.73
Heteroskedasticity (H): 0.42 Skew: -0.47
Prob(H) (two-sided): 0.42 Kurtosis: 2.49
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 165.07337110479185, Current Price: 166.35
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.605
Date: Wed, 09 Oct 2024 AIC 63.210
Time: 14:41:30 BIC 66.035
Sample: 0 HQIC 62.629
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4043 0.726 0.557 0.577 -1.018 1.827
ma.L1 -0.6496 0.746 -0.871 0.384 -2.112 0.813
ar.S.L7 -0.3282 0.537 -0.611 0.541 -1.381 0.725
ma.S.L7 -1.0019 475.589 -0.002 0.998 -933.139 931.135
sigma2 2.0946 997.300 0.002 0.998 -1952.578 1956.767
===================================================================================
Ljung-Box (L1) (Q): 1.29 Jarque-Bera (JB): 0.90
Prob(Q): 0.26 Prob(JB): 0.64
Heteroskedasticity (H): 0.60 Skew: -0.62
Prob(H) (two-sided): 0.63 Kurtosis: 2.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.97314647474025, Current Price: 165.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.684
Date: Wed, 09 Oct 2024 AIC 57.369
Time: 14:41:30 BIC 60.193
Sample: 0 HQIC 56.788
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2616 0.816 0.321 0.748 -1.337 1.860
ma.L1 -0.6502 0.698 -0.932 0.351 -2.018 0.717
ar.S.L7 -0.6270 0.634 -0.989 0.323 -1.870 0.616
ma.S.L7 -0.0931 0.636 -0.146 0.884 -1.340 1.153
sigma2 2.2232 1.276 1.742 0.081 -0.278 4.724
===================================================================================
Ljung-Box (L1) (Q): 2.20 Jarque-Bera (JB): 0.80
Prob(Q): 0.14 Prob(JB): 0.67
Heteroskedasticity (H): 1.30 Skew: -0.13
Prob(H) (two-sided): 0.81 Kurtosis: 1.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.09969523161445, Current Price: 166.48
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.559
Date: Wed, 09 Oct 2024 AIC 61.118
Time: 14:41:30 BIC 63.943
Sample: 0 HQIC 60.538
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2693 13.457 0.020 0.984 -26.106 26.645
ma.L1 -0.2903 13.514 -0.021 0.983 -26.777 26.196
ar.S.L7 -0.1983 0.749 -0.265 0.791 -1.666 1.270
ma.S.L7 -1.0002 4428.081 -0.000 1.000 -8679.880 8677.879
sigma2 1.7991 7967.654 0.000 1.000 -1.56e+04 1.56e+04
===================================================================================
Ljung-Box (L1) (Q): 3.79 Jarque-Bera (JB): 1.02
Prob(Q): 0.05 Prob(JB): 0.60
Heteroskedasticity (H): 0.98 Skew: 0.07
Prob(H) (two-sided): 0.99 Kurtosis: 1.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.16002629457589, Current Price: 168.13
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.025
Date: Wed, 09 Oct 2024 AIC 58.050
Time: 14:41:30 BIC 60.875
Sample: 0 HQIC 57.470
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3737 1.598 -0.234 0.815 -3.506 2.758
ma.L1 0.1162 1.545 0.075 0.940 -2.912 3.144
ar.S.L7 -0.5350 0.608 -0.879 0.379 -1.727 0.657
ma.S.L7 -0.1291 1.308 -0.099 0.921 -2.693 2.435
sigma2 2.3467 1.648 1.424 0.155 -0.884 5.578
===================================================================================
Ljung-Box (L1) (Q): 0.98 Jarque-Bera (JB): 0.46
Prob(Q): 0.32 Prob(JB): 0.80
Heteroskedasticity (H): 1.07 Skew: -0.20
Prob(H) (two-sided): 0.95 Kurtosis: 2.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.51077043116868, Current Price: 167.04
BUY EXECUTED at 167.04
BUY ORDER COMPLETED at 167.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.084
Date: Wed, 09 Oct 2024 AIC 60.169
Time: 14:41:30 BIC 62.994
Sample: 0 HQIC 59.588
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0252 0.838 0.030 0.976 -1.617 1.668
ma.L1 -0.5058 0.753 -0.672 0.502 -1.982 0.971
ar.S.L7 -0.4961 0.207 -2.395 0.017 -0.902 -0.090
ma.S.L7 1.0001 2.07e+04 4.82e-05 1.000 -4.06e+04 4.06e+04
sigma2 1.6726 3.47e+04 4.82e-05 1.000 -6.8e+04 6.8e+04
===================================================================================
Ljung-Box (L1) (Q): 0.24 Jarque-Bera (JB): 1.48
Prob(Q): 0.62 Prob(JB): 0.48
Heteroskedasticity (H): 1.44 Skew: 0.12
Prob(H) (two-sided): 0.73 Kurtosis: 1.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.71363439290576, Current Price: 166.4
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.909
Date: Wed, 09 Oct 2024 AIC 59.818
Time: 14:41:30 BIC 62.643
Sample: 0 HQIC 59.238
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2944 1.947 0.151 0.880 -3.522 4.110
ma.L1 -0.6233 1.434 -0.435 0.664 -3.435 2.188
ar.S.L7 -0.4228 0.335 -1.263 0.207 -1.079 0.233
ma.S.L7 0.0737 0.849 0.087 0.931 -1.590 1.737
sigma2 2.6931 1.926 1.398 0.162 -1.082 6.468
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 1.02
Prob(Q): 0.71 Prob(JB): 0.60
Heteroskedasticity (H): 1.05 Skew: 0.15
Prob(H) (two-sided): 0.96 Kurtosis: 1.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.81400344460056, Current Price: 166.84
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.781
Date: Wed, 09 Oct 2024 AIC 57.562
Time: 14:41:30 BIC 60.387
Sample: 0 HQIC 56.982
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5793 0.479 1.209 0.227 -0.360 1.518
ma.L1 -1.0000 7280.201 -0.000 1.000 -1.43e+04 1.43e+04
ar.S.L7 -0.4159 0.445 -0.934 0.350 -1.288 0.457
ma.S.L7 -1.0006 2115.867 -0.000 1.000 -4148.025 4146.023
sigma2 1.0945 8491.617 0.000 1.000 -1.66e+04 1.66e+04
===================================================================================
Ljung-Box (L1) (Q): 0.28 Jarque-Bera (JB): 0.67
Prob(Q): 0.60 Prob(JB): 0.71
Heteroskedasticity (H): 0.57 Skew: 0.24
Prob(H) (two-sided): 0.60 Kurtosis: 1.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.6829521165328, Current Price: 166.42
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.319
Date: Wed, 09 Oct 2024 AIC 52.638
Time: 14:41:30 BIC 55.463
Sample: 0 HQIC 52.057
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3636 0.546 -0.665 0.506 -1.435 0.707
ma.L1 0.7518 0.448 1.677 0.094 -0.127 1.631
ar.S.L7 -0.3661 0.270 -1.356 0.175 -0.895 0.163
ma.S.L7 -1.0000 1.48e+04 -6.74e-05 1.000 -2.91e+04 2.91e+04
sigma2 0.9471 1.41e+04 6.74e-05 1.000 -2.76e+04 2.76e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.52
Prob(Q): 0.88 Prob(JB): 0.77
Heteroskedasticity (H): 1.70 Skew: 0.30
Prob(H) (two-sided): 0.62 Kurtosis: 2.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.44166159433203, Current Price: 166.91
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.855
Date: Wed, 09 Oct 2024 AIC 53.709
Time: 14:41:30 BIC 56.534
Sample: 0 HQIC 53.129
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3458 0.970 -0.356 0.722 -2.248 1.556
ma.L1 0.7222 0.433 1.668 0.095 -0.127 1.571
ar.S.L7 -0.4216 0.613 -0.688 0.492 -1.623 0.780
ma.S.L7 -1.0002 5647.296 -0.000 1.000 -1.11e+04 1.11e+04
sigma2 1.0265 5797.137 0.000 1.000 -1.14e+04 1.14e+04
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 0.37
Prob(Q): 0.64 Prob(JB): 0.83
Heteroskedasticity (H): 0.11 Skew: 0.14
Prob(H) (two-sided): 0.05 Kurtosis: 2.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 165.15700706633837, Current Price: 166.22
SELL EXECUTED at 166.22
SELL ORDER COMPLETED at 165.86
OPERATION PROFIT, GROSS -1.509999999999991, NET -1.8432299999999908
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.405
Date: Wed, 09 Oct 2024 AIC 50.809
Time: 14:41:30 BIC 53.634
Sample: 0 HQIC 50.228
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5444 0.743 -0.732 0.464 -2.001 0.912
ma.L1 0.7782 0.788 0.987 0.324 -0.767 2.324
ar.S.L7 -0.4345 0.664 -0.654 0.513 -1.736 0.867
ma.S.L7 -1.0003 3481.342 -0.000 1.000 -6824.305 6822.304
sigma2 0.7760 2702.119 0.000 1.000 -5295.280 5296.832
===================================================================================
Ljung-Box (L1) (Q): 0.28 Jarque-Bera (JB): 0.22
Prob(Q): 0.60 Prob(JB): 0.90
Heteroskedasticity (H): 0.40 Skew: -0.29
Prob(H) (two-sided): 0.40 Kurtosis: 3.27
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.72294524391035, Current Price: 165.66
BUY EXECUTED at 165.66
BUY ORDER COMPLETED at 167.61
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.849
Date: Wed, 09 Oct 2024 AIC 51.697
Time: 14:41:30 BIC 54.522
Sample: 0 HQIC 51.117
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3845 0.466 -0.825 0.409 -1.298 0.529
ma.L1 0.6541 0.632 1.036 0.300 -0.584 1.892
ar.S.L7 -0.3760 0.329 -1.143 0.253 -1.020 0.268
ma.S.L7 -1.0001 4812.039 -0.000 1.000 -9432.423 9430.423
sigma2 0.8745 4208.443 0.000 1.000 -8247.523 8249.272
===================================================================================
Ljung-Box (L1) (Q): 0.56 Jarque-Bera (JB): 0.36
Prob(Q): 0.45 Prob(JB): 0.84
Heteroskedasticity (H): 0.37 Skew: 0.40
Prob(H) (two-sided): 0.36 Kurtosis: 2.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.62232644848896, Current Price: 167.81
SELL EXECUTED at 167.81
SELL ORDER COMPLETED at 167.69
OPERATION PROFIT, GROSS 0.07999999999998408, NET -0.25530000000001596
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.203
Date: Wed, 09 Oct 2024 AIC 52.407
Time: 14:41:30 BIC 55.231
Sample: 0 HQIC 51.826
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3014 13.058 0.023 0.982 -25.292 25.895
ma.L1 -0.3289 12.844 -0.026 0.980 -25.502 24.844
ar.S.L7 -0.4723 0.299 -1.581 0.114 -1.058 0.113
ma.S.L7 -1.0000 1.52e+04 -6.59e-05 1.000 -2.98e+04 2.98e+04
sigma2 0.9204 1.4e+04 6.59e-05 1.000 -2.74e+04 2.74e+04
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 0.08
Prob(Q): 0.66 Prob(JB): 0.96
Heteroskedasticity (H): 0.15 Skew: -0.16
Prob(H) (two-sided): 0.10 Kurtosis: 2.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.5933544314963, Current Price: 166.58
BUY EXECUTED at 166.58
BUY ORDER COMPLETED at 166.63
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.282
Date: Wed, 09 Oct 2024 AIC 50.565
Time: 14:41:30 BIC 53.389
Sample: 0 HQIC 49.984
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1458 16.016 0.009 0.993 -31.245 31.536
ma.L1 -0.1658 15.839 -0.010 0.992 -31.210 30.878
ar.S.L7 -0.4752 0.348 -1.364 0.173 -1.158 0.208
ma.S.L7 -1.0001 4768.831 -0.000 1.000 -9347.738 9345.737
sigma2 0.7987 3808.815 0.000 1.000 -7464.342 7465.939
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.01
Prob(Q): 0.81 Prob(JB): 1.00
Heteroskedasticity (H): 0.42 Skew: 0.02
Prob(H) (two-sided): 0.42 Kurtosis: 2.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.37486213639124, Current Price: 167.27
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.960
Date: Wed, 09 Oct 2024 AIC 49.920
Time: 14:41:31 BIC 52.745
Sample: 0 HQIC 49.339
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0407 3.943 0.010 0.992 -7.688 7.769
ma.L1 -0.1312 3.727 -0.035 0.972 -7.436 7.174
ar.S.L7 -0.4375 0.326 -1.341 0.180 -1.077 0.202
ma.S.L7 -1.0000 1.81e+04 -5.53e-05 1.000 -3.54e+04 3.54e+04
sigma2 0.7601 1.37e+04 5.53e-05 1.000 -2.69e+04 2.69e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.24
Prob(Q): 0.97 Prob(JB): 0.89
Heteroskedasticity (H): 0.26 Skew: 0.33
Prob(H) (two-sided): 0.22 Kurtosis: 2.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.74177646386028, Current Price: 170.06
SELL EXECUTED at 170.06
SELL ORDER COMPLETED at 171.53
OPERATION PROFIT, GROSS 4.900000000000006, NET 4.5618400000000054
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.639
Date: Wed, 09 Oct 2024 AIC 55.279
Time: 14:41:31 BIC 58.103
Sample: 0 HQIC 54.698
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5356 0.499 -1.074 0.283 -1.513 0.442
ma.L1 0.5597 0.775 0.722 0.470 -0.960 2.079
ar.S.L7 -0.4831 0.385 -1.255 0.210 -1.238 0.272
ma.S.L7 -1.0001 7369.146 -0.000 1.000 -1.44e+04 1.44e+04
sigma2 1.1085 8168.999 0.000 1.000 -1.6e+04 1.6e+04
===================================================================================
Ljung-Box (L1) (Q): 0.29 Jarque-Bera (JB): 0.35
Prob(Q): 0.59 Prob(JB): 0.84
Heteroskedasticity (H): 0.79 Skew: 0.05
Prob(H) (two-sided): 0.82 Kurtosis: 2.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.13255427314581, Current Price: 171.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.322
Date: Wed, 09 Oct 2024 AIC 52.645
Time: 14:41:31 BIC 55.469
Sample: 0 HQIC 52.064
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3517 1.323 -0.266 0.790 -2.944 2.241
ma.L1 0.6065 1.113 0.545 0.586 -1.574 2.787
ar.S.L7 -0.5209 0.586 -0.889 0.374 -1.670 0.628
ma.S.L7 -1.0004 3504.374 -0.000 1.000 -6869.447 6867.447
sigma2 0.9410 3297.705 0.000 1.000 -6462.441 6464.323
===================================================================================
Ljung-Box (L1) (Q): 0.84 Jarque-Bera (JB): 0.31
Prob(Q): 0.36 Prob(JB): 0.86
Heteroskedasticity (H): 1.15 Skew: 0.18
Prob(H) (two-sided): 0.90 Kurtosis: 2.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.90923417060907, Current Price: 172.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.324
Date: Wed, 09 Oct 2024 AIC 52.648
Time: 14:41:31 BIC 55.473
Sample: 0 HQIC 52.068
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2924 0.757 -0.386 0.699 -1.775 1.190
ma.L1 0.6107 0.687 0.889 0.374 -0.735 1.957
ar.S.L7 -0.8461 0.380 -2.227 0.026 -1.591 -0.102
ma.S.L7 -0.0992 0.541 -0.183 0.855 -1.159 0.961
sigma2 1.5516 1.107 1.401 0.161 -0.619 3.722
===================================================================================
Ljung-Box (L1) (Q): 0.51 Jarque-Bera (JB): 0.27
Prob(Q): 0.47 Prob(JB): 0.87
Heteroskedasticity (H): 0.99 Skew: 0.07
Prob(H) (two-sided): 0.99 Kurtosis: 2.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.42820824761486, Current Price: 172.14
BUY EXECUTED at 172.14
BUY ORDER COMPLETED at 171.4321
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.634
Date: Wed, 09 Oct 2024 AIC 47.267
Time: 14:41:31 BIC 50.092
Sample: 0 HQIC 46.687
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6344 0.316 -2.006 0.045 -1.254 -0.015
ma.L1 1.0000 4.7e+04 2.13e-05 1.000 -9.22e+04 9.22e+04
ar.S.L7 -0.7460 0.404 -1.846 0.065 -1.538 0.046
ma.S.L7 -0.1838 0.628 -0.293 0.770 -1.414 1.047
sigma2 0.8815 4.15e+04 2.13e-05 1.000 -8.12e+04 8.12e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.73
Prob(Q): 0.93 Prob(JB): 0.42
Heteroskedasticity (H): 4.06 Skew: 0.83
Prob(H) (two-sided): 0.20 Kurtosis: 2.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.3042692104152, Current Price: 170.43
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.840
Date: Wed, 09 Oct 2024 AIC 45.679
Time: 14:41:31 BIC 48.504
Sample: 0 HQIC 45.099
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5559 0.326 -1.707 0.088 -1.194 0.082
ma.L1 1.0000 1.52e+04 6.57e-05 1.000 -2.98e+04 2.98e+04
ar.S.L7 -0.8095 0.314 -2.577 0.010 -1.425 -0.194
ma.S.L7 -0.3656 0.732 -0.499 0.617 -1.800 1.069
sigma2 0.7536 1.15e+04 6.57e-05 1.000 -2.25e+04 2.25e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.60
Prob(Q): 0.89 Prob(JB): 0.74
Heteroskedasticity (H): 4.79 Skew: 0.46
Prob(H) (two-sided): 0.16 Kurtosis: 2.51
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.21174153637722, Current Price: 171.13
SELL EXECUTED at 171.13
SELL ORDER COMPLETED at 172.05
OPERATION PROFIT, GROSS 0.6179000000000201, NET 0.2744179000000201
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.014
Date: Wed, 09 Oct 2024 AIC 48.028
Time: 14:41:31 BIC 50.853
Sample: 0 HQIC 47.447
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3770 0.262 1.440 0.150 -0.136 0.890
ma.L1 -1.0000 4997.503 -0.000 1.000 -9795.927 9793.927
ar.S.L7 -1.0001 0.612 -1.634 0.102 -2.200 0.200
ma.S.L7 -0.3963 0.829 -0.478 0.632 -2.020 1.228
sigma2 0.8686 4341.226 0.000 1.000 -8507.778 8509.515
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 0.52
Prob(Q): 0.67 Prob(JB): 0.77
Heteroskedasticity (H): 1.32 Skew: -0.43
Prob(H) (two-sided): 0.79 Kurtosis: 2.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.92874869163495, Current Price: 172.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.883
Date: Wed, 09 Oct 2024 AIC 47.766
Time: 14:41:31 BIC 50.590
Sample: 0 HQIC 47.185
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2290 0.824 0.278 0.781 -1.386 1.844
ma.L1 -1.0000 4401.426 -0.000 1.000 -8627.637 8625.637
ar.S.L7 -1.0649 0.340 -3.133 0.002 -1.731 -0.399
ma.S.L7 -0.8226 3.420 -0.241 0.810 -7.526 5.881
sigma2 0.6492 2855.769 0.000 1.000 -5596.555 5597.854
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.38
Prob(Q): 0.89 Prob(JB): 0.50
Heteroskedasticity (H): 0.67 Skew: -0.80
Prob(H) (two-sided): 0.71 Kurtosis: 2.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.62529089587548, Current Price: 174.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.497
Date: Wed, 09 Oct 2024 AIC 50.994
Time: 14:41:31 BIC 53.819
Sample: 0 HQIC 50.414
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4108 0.505 -0.814 0.416 -1.400 0.579
ma.L1 1.0000 2.11e+04 4.74e-05 1.000 -4.13e+04 4.13e+04
ar.S.L7 -0.8702 0.475 -1.834 0.067 -1.800 0.060
ma.S.L7 -0.0980 0.508 -0.193 0.847 -1.094 0.898
sigma2 1.2003 2.53e+04 4.74e-05 1.000 -4.96e+04 4.96e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.51
Prob(Q): 0.89 Prob(JB): 0.78
Heteroskedasticity (H): 1.85 Skew: 0.06
Prob(H) (two-sided): 0.57 Kurtosis: 2.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 176.3246220199947, Current Price: 175.04
BUY EXECUTED at 175.04
BUY ORDER COMPLETED at 175.14
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.840
Date: Wed, 09 Oct 2024 AIC 51.680
Time: 14:41:31 BIC 54.505
Sample: 0 HQIC 51.099
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3515 0.710 -0.495 0.621 -1.744 1.041
ma.L1 1.0000 1.25e+04 7.97e-05 1.000 -2.46e+04 2.46e+04
ar.S.L7 -0.9332 0.517 -1.806 0.071 -1.946 0.080
ma.S.L7 -0.1905 0.641 -0.297 0.766 -1.447 1.066
sigma2 1.2964 1.63e+04 7.97e-05 1.000 -3.19e+04 3.19e+04
===================================================================================
Ljung-Box (L1) (Q): 0.78 Jarque-Bera (JB): 0.49
Prob(Q): 0.38 Prob(JB): 0.78
Heteroskedasticity (H): 2.24 Skew: 0.18
Prob(H) (two-sided): 0.45 Kurtosis: 2.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.20300806390662, Current Price: 175.16
SELL EXECUTED at 175.16
SELL ORDER COMPLETED at 175.32
OPERATION PROFIT, GROSS 0.18000000000000682, NET -0.17045999999999317
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.460
Date: Wed, 09 Oct 2024 AIC 52.919
Time: 14:41:31 BIC 55.744
Sample: 0 HQIC 52.339
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4263 1.123 -0.380 0.704 -2.628 1.775
ma.L1 0.6597 1.165 0.566 0.571 -1.623 2.942
ar.S.L7 -0.7622 0.519 -1.468 0.142 -1.780 0.256
ma.S.L7 -0.0891 0.756 -0.118 0.906 -1.572 1.394
sigma2 1.5697 1.288 1.219 0.223 -0.955 4.094
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 1.26
Prob(Q): 0.66 Prob(JB): 0.53
Heteroskedasticity (H): 0.58 Skew: 0.00
Prob(H) (two-sided): 0.61 Kurtosis: 1.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 175.20516873787517, Current Price: 175.96
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.293
Date: Wed, 09 Oct 2024 AIC 50.586
Time: 14:41:31 BIC 53.411
Sample: 0 HQIC 50.005
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3455 0.736 -0.470 0.639 -1.787 1.097
ma.L1 0.5579 0.732 0.763 0.446 -0.876 1.992
ar.S.L7 -0.4204 0.696 -0.604 0.546 -1.785 0.944
ma.S.L7 -1.0001 8707.393 -0.000 1.000 -1.71e+04 1.71e+04
sigma2 0.8022 6985.292 0.000 1.000 -1.37e+04 1.37e+04
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.73
Prob(Q): 0.79 Prob(JB): 0.69
Heteroskedasticity (H): 0.69 Skew: 0.29
Prob(H) (two-sided): 0.72 Kurtosis: 1.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 176.76254321189455, Current Price: 176.04
BUY EXECUTED at 176.04
BUY ORDER COMPLETED at 176.15
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.447
Date: Wed, 09 Oct 2024 AIC 50.894
Time: 14:41:31 BIC 53.718
Sample: 0 HQIC 50.313
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3202 1.417 -0.226 0.821 -3.098 2.457
ma.L1 0.5241 1.329 0.394 0.693 -2.081 3.130
ar.S.L7 -0.4268 0.817 -0.523 0.601 -2.027 1.174
ma.S.L7 -0.5877 2.737 -0.215 0.830 -5.951 4.776
sigma2 1.1599 1.653 0.702 0.483 -2.079 4.399
===================================================================================
Ljung-Box (L1) (Q): 1.26 Jarque-Bera (JB): 0.40
Prob(Q): 0.26 Prob(JB): 0.82
Heteroskedasticity (H): 0.26 Skew: 0.15
Prob(H) (two-sided): 0.23 Kurtosis: 2.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 174.97002173628823, Current Price: 176.35
SELL EXECUTED at 176.35
SELL ORDER COMPLETED at 176.15
OPERATION PROFIT, GROSS 0.0, NET -0.3523
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.617
Date: Wed, 09 Oct 2024 AIC 51.234
Time: 14:41:31 BIC 54.058
Sample: 0 HQIC 50.653
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3592 0.533 -0.674 0.500 -1.404 0.685
ma.L1 0.8644 0.582 1.486 0.137 -0.276 2.004
ar.S.L7 -0.7028 0.297 -2.367 0.018 -1.285 -0.121
ma.S.L7 0.6699 2.210 0.303 0.762 -3.661 5.001
sigma2 1.0653 1.733 0.615 0.539 -2.330 4.461
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.27
Prob(Q): 0.74 Prob(JB): 0.87
Heteroskedasticity (H): 0.32 Skew: -0.01
Prob(H) (two-sided): 0.30 Kurtosis: 2.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.35607262302528, Current Price: 177.95
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.089
Date: Wed, 09 Oct 2024 AIC 46.178
Time: 14:41:31 BIC 49.003
Sample: 0 HQIC 45.597
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3288 0.431 -0.763 0.445 -1.173 0.516
ma.L1 0.6466 0.461 1.404 0.160 -0.256 1.549
ar.S.L7 -0.6213 0.233 -2.668 0.008 -1.078 -0.165
ma.S.L7 0.3502 0.624 0.561 0.575 -0.872 1.573
sigma2 0.8951 0.832 1.076 0.282 -0.736 2.526
===================================================================================
Ljung-Box (L1) (Q): 0.40 Jarque-Bera (JB): 0.14
Prob(Q): 0.53 Prob(JB): 0.93
Heteroskedasticity (H): 0.33 Skew: -0.18
Prob(H) (two-sided): 0.31 Kurtosis: 2.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 180.54432007731583, Current Price: 177.64
BUY EXECUTED at 177.64
BUY ORDER COMPLETED at 177.39
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.541
Date: Wed, 09 Oct 2024 AIC 49.081
Time: 14:41:31 BIC 51.906
Sample: 0 HQIC 48.500
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4638 0.097 4.783 0.000 0.274 0.654
ma.L1 -1.0002 474.447 -0.002 0.998 -930.900 928.900
ar.S.L7 -0.3254 0.291 -1.119 0.263 -0.895 0.245
ma.S.L7 -1.0010 1192.304 -0.001 0.999 -2337.874 2335.872
sigma2 0.5832 819.931 0.001 0.999 -1606.452 1607.618
===================================================================================
Ljung-Box (L1) (Q): 0.72 Jarque-Bera (JB): 3.55
Prob(Q): 0.40 Prob(JB): 0.17
Heteroskedasticity (H): 0.79 Skew: -1.26
Prob(H) (two-sided): 0.83 Kurtosis: 3.48
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.01214832659076, Current Price: 177.71
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.897
Date: Wed, 09 Oct 2024 AIC 49.793
Time: 14:41:31 BIC 52.618
Sample: 0 HQIC 49.213
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3252 0.435 0.748 0.454 -0.527 1.177
ma.L1 -1.0000 3285.608 -0.000 1.000 -6440.674 6438.674
ar.S.L7 -0.2749 0.330 -0.833 0.405 -0.922 0.372
ma.S.L7 -0.2044 0.754 -0.271 0.786 -1.683 1.274
sigma2 1.0800 3548.924 0.000 1.000 -6954.684 6956.844
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 2.24
Prob(Q): 0.85 Prob(JB): 0.33
Heteroskedasticity (H): 1.02 Skew: -1.00
Prob(H) (two-sided): 0.99 Kurtosis: 2.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.88223396773594, Current Price: 178.38
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.109
Date: Wed, 09 Oct 2024 AIC 50.218
Time: 14:41:31 BIC 53.043
Sample: 0 HQIC 49.638
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3635 0.485 0.749 0.454 -0.587 1.314
ma.L1 -1.0000 3578.493 -0.000 1.000 -7014.717 7012.717
ar.S.L7 -0.3126 0.327 -0.956 0.339 -0.953 0.328
ma.S.L7 -0.1246 0.682 -0.183 0.855 -1.461 1.211
sigma2 1.1388 4075.419 0.000 1.000 -7986.536 7988.814
===================================================================================
Ljung-Box (L1) (Q): 0.49 Jarque-Bera (JB): 1.74
Prob(Q): 0.49 Prob(JB): 0.42
Heteroskedasticity (H): 0.80 Skew: -0.87
Prob(H) (two-sided): 0.83 Kurtosis: 2.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.46338624225103, Current Price: 177.9
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.975
Date: Wed, 09 Oct 2024 AIC 45.950
Time: 14:41:31 BIC 48.775
Sample: 0 HQIC 45.370
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3670 0.563 0.652 0.515 -0.737 1.471
ma.L1 -0.7387 0.611 -1.209 0.227 -1.937 0.459
ar.S.L7 -0.2245 0.416 -0.539 0.590 -1.041 0.592
ma.S.L7 -0.2346 0.733 -0.320 0.749 -1.672 1.202
sigma2 0.9031 0.589 1.533 0.125 -0.252 2.058
===================================================================================
Ljung-Box (L1) (Q): 1.67 Jarque-Bera (JB): 1.43
Prob(Q): 0.20 Prob(JB): 0.49
Heteroskedasticity (H): 4.20 Skew: -0.71
Prob(H) (two-sided): 0.19 Kurtosis: 2.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.13193758302262, Current Price: 178.77
SELL EXECUTED at 178.77
SELL ORDER COMPLETED at 175.83
OPERATION PROFIT, GROSS -1.5599999999999739, NET -1.9132199999999737
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.731
Date: Wed, 09 Oct 2024 AIC 45.462
Time: 14:41:31 BIC 48.286
Sample: 0 HQIC 44.881
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3646 1.193 -0.306 0.760 -2.703 1.974
ma.L1 0.5678 0.973 0.584 0.560 -1.339 2.475
ar.S.L7 -0.1617 0.499 -0.324 0.746 -1.139 0.815
ma.S.L7 -0.2771 0.810 -0.342 0.732 -1.865 1.311
sigma2 0.8695 0.298 2.916 0.004 0.285 1.454
===================================================================================
Ljung-Box (L1) (Q): 0.57 Jarque-Bera (JB): 4.28
Prob(Q): 0.45 Prob(JB): 0.12
Heteroskedasticity (H): 2.44 Skew: -1.21
Prob(H) (two-sided): 0.41 Kurtosis: 4.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.3865232813431, Current Price: 175.27
BUY EXECUTED at 175.27
BUY ORDER COMPLETED at 176.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.559
Date: Wed, 09 Oct 2024 AIC 55.118
Time: 14:41:31 BIC 57.943
Sample: 0 HQIC 54.538
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1011 0.801 0.126 0.900 -1.470 1.672
ma.L1 -2.0261 2.797 -0.724 0.469 -7.508 3.455
ar.S.L7 -0.3959 0.561 -0.705 0.481 -1.496 0.704
ma.S.L7 -1.0006 2206.279 -0.000 1.000 -4325.227 4323.226
sigma2 0.2758 608.651 0.000 1.000 -1192.658 1193.209
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.21
Prob(Q): 0.94 Prob(JB): 0.55
Heteroskedasticity (H): 6.21 Skew: -0.70
Prob(H) (two-sided): 0.10 Kurtosis: 2.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.3204917786421, Current Price: 177.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.714
Date: Wed, 09 Oct 2024 AIC 55.429
Time: 14:41:31 BIC 58.253
Sample: 0 HQIC 54.848
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0149 1.015 -0.015 0.988 -2.005 1.975
ma.L1 -2.5090 7.470 -0.336 0.737 -17.150 12.132
ar.S.L7 -0.5859 0.896 -0.654 0.513 -2.343 1.171
ma.S.L7 -1.5018 5.643 -0.266 0.790 -12.562 9.559
sigma2 0.1096 0.799 0.137 0.891 -1.456 1.675
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 1.37
Prob(Q): 0.71 Prob(JB): 0.50
Heteroskedasticity (H): 10.04 Skew: -0.79
Prob(H) (two-sided): 0.05 Kurtosis: 2.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.6624131319268, Current Price: 177.87
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.710
Date: Wed, 09 Oct 2024 AIC 55.420
Time: 14:41:31 BIC 58.244
Sample: 0 HQIC 54.839
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3960 4.252 -0.093 0.926 -8.729 7.937
ma.L1 0.1554 4.632 0.034 0.973 -8.923 9.234
ar.S.L7 -0.2922 0.606 -0.482 0.630 -1.480 0.896
ma.S.L7 -0.1297 1.603 -0.081 0.935 -3.271 3.011
sigma2 1.9146 1.271 1.507 0.132 -0.576 4.405
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 2.41
Prob(Q): 0.72 Prob(JB): 0.30
Heteroskedasticity (H): 7.73 Skew: -1.05
Prob(H) (two-sided): 0.07 Kurtosis: 3.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.14699578158064, Current Price: 177.32
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.777
Date: Wed, 09 Oct 2024 AIC 55.554
Time: 14:41:31 BIC 58.379
Sample: 0 HQIC 54.974
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3275 3.954 -0.083 0.934 -8.077 7.422
ma.L1 0.0676 4.188 0.016 0.987 -8.141 8.276
ar.S.L7 -0.2185 0.415 -0.527 0.599 -1.032 0.595
ma.S.L7 -0.1221 1.131 -0.108 0.914 -2.340 2.095
sigma2 1.9357 1.499 1.291 0.197 -1.002 4.874
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 1.94
Prob(Q): 0.77 Prob(JB): 0.38
Heteroskedasticity (H): 6.06 Skew: -0.95
Prob(H) (two-sided): 0.11 Kurtosis: 3.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.0154662910883, Current Price: 176.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.774
Date: Wed, 09 Oct 2024 AIC 55.549
Time: 14:41:31 BIC 58.373
Sample: 0 HQIC 54.968
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3948 3.509 -0.113 0.910 -7.272 6.483
ma.L1 0.1586 3.656 0.043 0.965 -7.008 7.325
ar.S.L7 -0.2575 0.433 -0.594 0.553 -1.107 0.592
ma.S.L7 -0.2229 1.236 -0.180 0.857 -2.646 2.200
sigma2 1.9078 1.433 1.331 0.183 -0.901 4.717
===================================================================================
Ljung-Box (L1) (Q): 0.84 Jarque-Bera (JB): 1.48
Prob(Q): 0.36 Prob(JB): 0.48
Heteroskedasticity (H): 0.30 Skew: -0.82
Prob(H) (two-sided): 0.27 Kurtosis: 3.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.18053067273084, Current Price: 177.74
SELL EXECUTED at 177.74
SELL ORDER COMPLETED at 176.33
OPERATION PROFIT, GROSS -0.3199999999999932, NET -0.6729799999999933
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.382
Date: Wed, 09 Oct 2024 AIC 54.764
Time: 14:41:31 BIC 57.588
Sample: 0 HQIC 54.183
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3664 3.360 -0.109 0.913 -6.951 6.218
ma.L1 0.0576 3.555 0.016 0.987 -6.911 7.026
ar.S.L7 -0.0383 0.832 -0.046 0.963 -1.669 1.593
ma.S.L7 -0.3089 1.166 -0.265 0.791 -2.594 1.976
sigma2 1.7612 1.571 1.121 0.262 -1.319 4.841
===================================================================================
Ljung-Box (L1) (Q): 1.46 Jarque-Bera (JB): 1.94
Prob(Q): 0.23 Prob(JB): 0.38
Heteroskedasticity (H): 0.36 Skew: -0.93
Prob(H) (two-sided): 0.35 Kurtosis: 3.35
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.890196489644, Current Price: 175.74
BUY EXECUTED at 175.74
BUY ORDER COMPLETED at 173.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.213
Date: Wed, 09 Oct 2024 AIC 56.427
Time: 14:41:31 BIC 59.251
Sample: 0 HQIC 55.846
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6984 0.995 -0.702 0.483 -2.648 1.251
ma.L1 0.4629 1.240 0.373 0.709 -1.967 2.893
ar.S.L7 -0.1356 0.459 -0.296 0.768 -1.035 0.764
ma.S.L7 -1.1915 13.715 -0.087 0.931 -28.073 25.690
sigma2 0.9985 14.471 0.069 0.945 -27.364 29.360
===================================================================================
Ljung-Box (L1) (Q): 2.94 Jarque-Bera (JB): 0.53
Prob(Q): 0.09 Prob(JB): 0.77
Heteroskedasticity (H): 1.37 Skew: -0.35
Prob(H) (two-sided): 0.77 Kurtosis: 2.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 175.58512942140322, Current Price: 174.71
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.214
Date: Wed, 09 Oct 2024 AIC 56.428
Time: 14:41:31 BIC 59.253
Sample: 0 HQIC 55.848
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6367 0.976 -0.652 0.514 -2.550 1.276
ma.L1 0.4719 1.304 0.362 0.717 -2.084 3.028
ar.S.L7 -0.1591 0.510 -0.312 0.755 -1.159 0.841
ma.S.L7 -1.0007 2394.484 -0.000 1.000 -4694.102 4692.101
sigma2 1.2045 2884.968 0.000 1.000 -5653.229 5655.638
===================================================================================
Ljung-Box (L1) (Q): 2.73 Jarque-Bera (JB): 0.54
Prob(Q): 0.10 Prob(JB): 0.76
Heteroskedasticity (H): 0.86 Skew: -0.45
Prob(H) (two-sided): 0.89 Kurtosis: 2.58
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 176.50215858108737, Current Price: 174.05
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.293
Date: Wed, 09 Oct 2024 AIC 56.586
Time: 14:41:32 BIC 59.411
Sample: 0 HQIC 56.006
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2642 2.180 -0.121 0.904 -4.536 4.008
ma.L1 -11.7140 282.913 -0.041 0.967 -566.214 542.786
ar.S.L7 -0.0391 0.771 -0.051 0.960 -1.551 1.473
ma.S.L7 -0.5254 2.414 -0.218 0.828 -5.257 4.206
sigma2 0.0135 0.670 0.020 0.984 -1.300 1.327
===================================================================================
Ljung-Box (L1) (Q): 3.93 Jarque-Bera (JB): 1.17
Prob(Q): 0.05 Prob(JB): 0.56
Heteroskedasticity (H): 4.49 Skew: -0.70
Prob(H) (two-sided): 0.17 Kurtosis: 2.57
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 175.554751060728, Current Price: 171.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.964
Date: Wed, 09 Oct 2024 AIC 61.928
Time: 14:41:32 BIC 64.752
Sample: 0 HQIC 61.347
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4227 2.680 -0.158 0.875 -5.675 4.829
ma.L1 0.2328 2.743 0.085 0.932 -5.144 5.610
ar.S.L7 -0.7104 0.818 -0.869 0.385 -2.313 0.893
ma.S.L7 0.0938 0.635 0.148 0.883 -1.150 1.338
sigma2 3.1700 1.696 1.869 0.062 -0.154 6.493
===================================================================================
Ljung-Box (L1) (Q): 0.98 Jarque-Bera (JB): 0.24
Prob(Q): 0.32 Prob(JB): 0.89
Heteroskedasticity (H): 1.29 Skew: -0.23
Prob(H) (two-sided): 0.81 Kurtosis: 2.51
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.37183801132642, Current Price: 165.85
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.831
Date: Wed, 09 Oct 2024 AIC 59.663
Time: 14:41:32 BIC 62.487
Sample: 0 HQIC 59.082
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.3107 0.198 6.614 0.000 0.922 1.699
ma.L1 -1.0000 8349.807 -0.000 1.000 -1.64e+04 1.64e+04
ar.S.L7 -0.4831 0.535 -0.902 0.367 -1.532 0.566
ma.S.L7 -1.0001 1.26e+04 -7.91e-05 1.000 -2.48e+04 2.48e+04
sigma2 1.2933 1.61e+04 8.05e-05 1.000 -3.15e+04 3.15e+04
===================================================================================
Ljung-Box (L1) (Q): 2.49 Jarque-Bera (JB): 1.99
Prob(Q): 0.11 Prob(JB): 0.37
Heteroskedasticity (H): 0.20 Skew: -0.93
Prob(H) (two-sided): 0.14 Kurtosis: 3.49
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.31353710296565, Current Price: 164.93
SELL EXECUTED at 164.93
SELL ORDER COMPLETED at 166.52
OPERATION PROFIT, GROSS -6.639999999999986, NET -6.979679999999986
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.573
Date: Wed, 09 Oct 2024 AIC 63.147
Time: 14:41:32 BIC 65.971
Sample: 0 HQIC 62.566
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.1351 0.383 2.961 0.003 0.384 1.886
ma.L1 -1.0000 2.9e+04 -3.45e-05 1.000 -5.69e+04 5.69e+04
ar.S.L7 -0.5221 0.877 -0.596 0.551 -2.240 1.196
ma.S.L7 -0.5407 1.309 -0.413 0.680 -3.107 2.026
sigma2 2.4925 7.23e+04 3.45e-05 1.000 -1.42e+05 1.42e+05
===================================================================================
Ljung-Box (L1) (Q): 2.09 Jarque-Bera (JB): 0.97
Prob(Q): 0.15 Prob(JB): 0.62
Heteroskedasticity (H): 0.91 Skew: -0.63
Prob(H) (two-sided): 0.93 Kurtosis: 2.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.45802222111243, Current Price: 166.95
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.540
Date: Wed, 09 Oct 2024 AIC 67.080
Time: 14:41:32 BIC 69.904
Sample: 0 HQIC 66.499
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4219 0.714 0.591 0.555 -0.977 1.821
ma.L1 -0.0493 0.823 -0.060 0.952 -1.663 1.565
ar.S.L7 -0.3245 1.007 -0.322 0.747 -2.298 1.649
ma.S.L7 -1.0003 4235.517 -0.000 1.000 -8302.462 8300.461
sigma2 2.8454 1.21e+04 0.000 1.000 -2.36e+04 2.36e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.43
Prob(Q): 0.92 Prob(JB): 0.81
Heteroskedasticity (H): 1.64 Skew: -0.16
Prob(H) (two-sided): 0.64 Kurtosis: 2.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.8370987902481, Current Price: 166.25
BUY EXECUTED at 166.25
BUY ORDER COMPLETED at 166.97
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.850
Date: Wed, 09 Oct 2024 AIC 61.700
Time: 14:41:32 BIC 64.525
Sample: 0 HQIC 61.120
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5539 0.345 -1.605 0.109 -1.230 0.123
ma.L1 1.0000 3.08e+04 3.25e-05 1.000 -6.03e+04 6.03e+04
ar.S.L7 -0.8779 0.457 -1.920 0.055 -1.774 0.018
ma.S.L7 0.9999 2.16e+04 4.63e-05 1.000 -4.23e+04 4.23e+04
sigma2 1.5068 6.09e+04 2.48e-05 1.000 -1.19e+05 1.19e+05
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 3.02
Prob(Q): 0.70 Prob(JB): 0.22
Heteroskedasticity (H): 21.81 Skew: -0.96
Prob(H) (two-sided): 0.01 Kurtosis: 4.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.71439547631047, Current Price: 166.14
SELL EXECUTED at 166.14
SELL ORDER COMPLETED at 167.0
OPERATION PROFIT, GROSS 0.030000000000001137, NET -0.30396999999999885
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.890
Date: Wed, 09 Oct 2024 AIC 63.779
Time: 14:41:32 BIC 66.604
Sample: 0 HQIC 63.198
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4627 0.333 1.390 0.164 -0.190 1.115
ma.L1 -0.0559 0.559 -0.100 0.920 -1.152 1.040
ar.S.L7 -0.5778 0.387 -1.492 0.136 -1.337 0.181
ma.S.L7 0.2715 0.883 0.307 0.759 -1.460 2.003
sigma2 3.5489 2.074 1.711 0.087 -0.516 7.614
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.77
Prob(Q): 0.73 Prob(JB): 0.68
Heteroskedasticity (H): 8.16 Skew: -0.21
Prob(H) (two-sided): 0.07 Kurtosis: 1.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.1020969007134, Current Price: 166.04
BUY EXECUTED at 166.04
BUY ORDER COMPLETED at 167.45
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.922
Date: Wed, 09 Oct 2024 AIC 61.845
Time: 14:41:32 BIC 64.669
Sample: 0 HQIC 61.264
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5843 0.383 1.528 0.127 -0.165 1.334
ma.L1 -0.0949 0.599 -0.158 0.874 -1.270 1.080
ar.S.L7 -0.5155 0.279 -1.848 0.065 -1.062 0.031
ma.S.L7 0.9999 1.29e+04 7.73e-05 1.000 -2.54e+04 2.54e+04
sigma2 1.8450 2.39e+04 7.73e-05 1.000 -4.68e+04 4.68e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.93
Prob(Q): 0.90 Prob(JB): 0.63
Heteroskedasticity (H): 1.07 Skew: -0.21
Prob(H) (two-sided): 0.95 Kurtosis: 1.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.558963588158, Current Price: 166.59
SELL EXECUTED at 166.59
SELL ORDER COMPLETED at 166.68
OPERATION PROFIT, GROSS -0.7699999999999818, NET -1.1041299999999818
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.055
Date: Wed, 09 Oct 2024 AIC 64.110
Time: 14:41:32 BIC 66.935
Sample: 0 HQIC 63.530
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6442 0.389 1.655 0.098 -0.119 1.407
ma.L1 -0.1989 0.696 -0.286 0.775 -1.563 1.165
ar.S.L7 -0.5800 0.399 -1.452 0.146 -1.363 0.203
ma.S.L7 0.8599 10.310 0.083 0.934 -19.347 21.067
sigma2 2.5128 23.712 0.106 0.916 -43.963 48.988
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.92
Prob(Q): 0.93 Prob(JB): 0.63
Heteroskedasticity (H): 1.47 Skew: -0.19
Prob(H) (two-sided): 0.72 Kurtosis: 1.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.65155634886472, Current Price: 166.58
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.096
Date: Wed, 09 Oct 2024 AIC 66.192
Time: 14:41:32 BIC 69.016
Sample: 0 HQIC 65.611
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6505 0.625 1.041 0.298 -0.575 1.876
ma.L1 -0.3400 1.115 -0.305 0.760 -2.525 1.845
ar.S.L7 -0.6209 0.541 -1.147 0.251 -1.682 0.440
ma.S.L7 -0.0143 0.809 -0.018 0.986 -1.600 1.571
sigma2 4.4080 4.956 0.889 0.374 -5.305 14.121
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.84
Prob(Q): 0.85 Prob(JB): 0.66
Heteroskedasticity (H): 1.27 Skew: -0.14
Prob(H) (two-sided): 0.83 Kurtosis: 1.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.8526127107235, Current Price: 164.83
BUY EXECUTED at 164.83
BUY ORDER COMPLETED at 164.57
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.415
Date: Wed, 09 Oct 2024 AIC 66.830
Time: 14:41:32 BIC 69.655
Sample: 0 HQIC 66.249
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6454 0.920 0.702 0.483 -1.157 2.448
ma.L1 -0.4238 1.506 -0.281 0.778 -3.376 2.529
ar.S.L7 -0.6170 0.652 -0.946 0.344 -1.895 0.661
ma.S.L7 -0.1220 0.986 -0.124 0.902 -2.055 1.811
sigma2 4.5910 5.279 0.870 0.384 -5.756 14.938
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.63
Prob(Q): 0.90 Prob(JB): 0.73
Heteroskedasticity (H): 0.61 Skew: 0.13
Prob(H) (two-sided): 0.64 Kurtosis: 1.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 165.7073151908643, Current Price: 165.63
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.686
Date: Wed, 09 Oct 2024 AIC 65.372
Time: 14:41:32 BIC 68.197
Sample: 0 HQIC 64.792
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4449 1.125 0.395 0.692 -1.760 2.650
ma.L1 -0.2487 1.449 -0.172 0.864 -3.090 2.592
ar.S.L7 -0.4305 0.607 -0.709 0.478 -1.620 0.759
ma.S.L7 -0.4275 1.329 -0.322 0.748 -3.033 2.178
sigma2 3.8176 4.539 0.841 0.400 -5.078 12.713
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.77
Prob(Q): 0.82 Prob(JB): 0.68
Heteroskedasticity (H): 0.20 Skew: -0.16
Prob(H) (two-sided): 0.15 Kurtosis: 1.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.71286598031648, Current Price: 166.2
SELL EXECUTED at 166.2
SELL ORDER COMPLETED at 167.35
OPERATION PROFIT, GROSS 2.780000000000001, NET 2.448080000000001
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.143
Date: Wed, 09 Oct 2024 AIC 64.286
Time: 14:41:32 BIC 67.111
Sample: 0 HQIC 63.705
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3820 1.378 0.277 0.782 -2.319 3.083
ma.L1 -0.1593 1.316 -0.121 0.904 -2.739 2.421
ar.S.L7 -0.2695 0.512 -0.526 0.599 -1.274 0.735
ma.S.L7 -1.0000 7.64e+04 -1.31e-05 1.000 -1.5e+05 1.5e+05
sigma2 2.2960 1.75e+05 1.31e-05 1.000 -3.44e+05 3.44e+05
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.94
Prob(Q): 0.92 Prob(JB): 0.63
Heteroskedasticity (H): 0.28 Skew: -0.14
Prob(H) (two-sided): 0.25 Kurtosis: 1.71
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.53237686533438, Current Price: 167.29
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.139
Date: Wed, 09 Oct 2024 AIC 60.278
Time: 14:41:32 BIC 63.103
Sample: 0 HQIC 59.697
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0747 0.369 -0.202 0.840 -0.799 0.649
ma.L1 1.0000 2.24e+04 4.47e-05 1.000 -4.39e+04 4.39e+04
ar.S.L7 -0.2452 0.210 -1.169 0.242 -0.656 0.166
ma.S.L7 -0.3919 0.559 -0.701 0.484 -1.488 0.705
sigma2 2.3933 5.36e+04 4.47e-05 1.000 -1.05e+05 1.05e+05
===================================================================================
Ljung-Box (L1) (Q): 0.32 Jarque-Bera (JB): 1.04
Prob(Q): 0.57 Prob(JB): 0.60
Heteroskedasticity (H): 0.31 Skew: -0.69
Prob(H) (two-sided): 0.28 Kurtosis: 2.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.18417575133944, Current Price: 168.12
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.541
Date: Wed, 09 Oct 2024 AIC 53.081
Time: 14:41:32 BIC 55.906
Sample: 0 HQIC 52.501
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0278 0.278 0.100 0.920 -0.518 0.573
ma.L1 1.0000 4130.748 0.000 1.000 -8095.117 8097.117
ar.S.L7 -0.1661 0.076 -2.197 0.028 -0.314 -0.018
ma.S.L7 -1.0001 9622.740 -0.000 1.000 -1.89e+04 1.89e+04
sigma2 0.9063 1.08e+04 8.41e-05 1.000 -2.11e+04 2.11e+04
===================================================================================
Ljung-Box (L1) (Q): 1.85 Jarque-Bera (JB): 0.59
Prob(Q): 0.17 Prob(JB): 0.74
Heteroskedasticity (H): 0.31 Skew: -0.51
Prob(H) (two-sided): 0.28 Kurtosis: 2.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.9349059617478, Current Price: 168.76
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.998
Date: Wed, 09 Oct 2024 AIC 49.997
Time: 14:41:32 BIC 52.821
Sample: 0 HQIC 49.416
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2532 0.462 -0.548 0.584 -1.159 0.653
ma.L1 1.0000 2718.340 0.000 1.000 -5326.848 5328.848
ar.S.L7 -0.1506 0.123 -1.226 0.220 -0.391 0.090
ma.S.L7 -1.1923 2.334 -0.511 0.610 -5.767 3.383
sigma2 0.5934 1613.150 0.000 1.000 -3161.123 3162.309
===================================================================================
Ljung-Box (L1) (Q): 1.54 Jarque-Bera (JB): 1.48
Prob(Q): 0.21 Prob(JB): 0.48
Heteroskedasticity (H): 3.72 Skew: -0.82
Prob(H) (two-sided): 0.23 Kurtosis: 3.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.70439674613863, Current Price: 168.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.863
Date: Wed, 09 Oct 2024 AIC 49.726
Time: 14:41:32 BIC 52.550
Sample: 0 HQIC 49.145
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0233 0.492 -0.047 0.962 -0.988 0.942
ma.L1 1.0000 5594.416 0.000 1.000 -1.1e+04 1.1e+04
ar.S.L7 -0.1673 0.083 -2.013 0.044 -0.330 -0.004
ma.S.L7 -0.6918 0.974 -0.710 0.478 -2.601 1.218
sigma2 0.9165 5128.080 0.000 1.000 -1e+04 1.01e+04
===================================================================================
Ljung-Box (L1) (Q): 1.68 Jarque-Bera (JB): 0.39
Prob(Q): 0.19 Prob(JB): 0.82
Heteroskedasticity (H): 4.61 Skew: -0.41
Prob(H) (two-sided): 0.17 Kurtosis: 3.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.24856280785573, Current Price: 169.21
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.863
Date: Wed, 09 Oct 2024 AIC 53.725
Time: 14:41:32 BIC 56.550
Sample: 0 HQIC 53.145
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.0755 0.106 10.128 0.000 0.867 1.284
ma.L1 -1.0000 3997.000 -0.000 1.000 -7834.977 7832.977
ar.S.L7 -0.4882 0.162 -3.021 0.003 -0.805 -0.171
ma.S.L7 0.3097 0.466 0.664 0.507 -0.604 1.224
sigma2 1.4200 5675.996 0.000 1.000 -1.11e+04 1.11e+04
===================================================================================
Ljung-Box (L1) (Q): 0.78 Jarque-Bera (JB): 0.93
Prob(Q): 0.38 Prob(JB): 0.63
Heteroskedasticity (H): 0.15 Skew: -0.50
Prob(H) (two-sided): 0.09 Kurtosis: 2.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.88475800589342, Current Price: 169.0
BUY EXECUTED at 169.0
BUY ORDER COMPLETED at 169.51
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.144
Date: Wed, 09 Oct 2024 AIC 58.288
Time: 14:41:32 BIC 61.112
Sample: 0 HQIC 57.707
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1572 0.673 -0.234 0.815 -1.476 1.161
ma.L1 1.0000 2.17e+05 4.61e-06 1.000 -4.25e+05 4.25e+05
ar.S.L7 -0.2722 0.172 -1.584 0.113 -0.609 0.065
ma.S.L7 -0.1949 0.576 -0.338 0.735 -1.324 0.934
sigma2 2.1327 4.63e+05 4.61e-06 1.000 -9.07e+05 9.07e+05
===================================================================================
Ljung-Box (L1) (Q): 1.15 Jarque-Bera (JB): 0.44
Prob(Q): 0.28 Prob(JB): 0.80
Heteroskedasticity (H): 0.57 Skew: -0.45
Prob(H) (two-sided): 0.60 Kurtosis: 3.02
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.99630401441237, Current Price: 169.22
SELL EXECUTED at 169.22
SELL ORDER COMPLETED at 170.91
OPERATION PROFIT, GROSS 1.4000000000000057, NET 1.0595800000000057
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.980
Date: Wed, 09 Oct 2024 AIC 55.960
Time: 14:41:32 BIC 58.785
Sample: 0 HQIC 55.380
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4856 0.169 -2.876 0.004 -0.816 -0.155
ma.L1 0.8400 0.640 1.312 0.190 -0.415 2.095
ar.S.L7 -0.4947 0.202 -2.452 0.014 -0.890 -0.099
ma.S.L7 0.7468 1.996 0.374 0.708 -3.165 4.659
sigma2 1.3919 1.960 0.710 0.478 -2.450 5.234
===================================================================================
Ljung-Box (L1) (Q): 0.89 Jarque-Bera (JB): 1.09
Prob(Q): 0.35 Prob(JB): 0.58
Heteroskedasticity (H): 1.12 Skew: -0.67
Prob(H) (two-sided): 0.92 Kurtosis: 2.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.81698364422948, Current Price: 171.04
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.282
Date: Wed, 09 Oct 2024 AIC 54.565
Time: 14:41:32 BIC 57.389
Sample: 0 HQIC 53.984
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3167 0.846 -0.374 0.708 -1.975 1.341
ma.L1 1.0000 1.92e+05 5.2e-06 1.000 -3.77e+05 3.77e+05
ar.S.L7 -0.5681 0.183 -3.103 0.002 -0.927 -0.209
ma.S.L7 0.4457 0.784 0.568 0.570 -1.091 1.982
sigma2 1.4290 2.75e+05 5.2e-06 1.000 -5.38e+05 5.38e+05
===================================================================================
Ljung-Box (L1) (Q): 0.47 Jarque-Bera (JB): 2.92
Prob(Q): 0.49 Prob(JB): 0.23
Heteroskedasticity (H): 1.11 Skew: -1.13
Prob(H) (two-sided): 0.92 Kurtosis: 3.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.63413158325005, Current Price: 171.07
BUY EXECUTED at 171.07
BUY ORDER COMPLETED at 170.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.131
Date: Wed, 09 Oct 2024 AIC 54.263
Time: 14:41:32 BIC 57.087
Sample: 0 HQIC 53.682
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2797 0.591 -0.473 0.636 -1.438 0.878
ma.L1 0.8302 0.792 1.048 0.295 -0.723 2.383
ar.S.L7 -0.4964 0.215 -2.309 0.021 -0.918 -0.075
ma.S.L7 0.3327 0.612 0.543 0.587 -0.867 1.533
sigma2 1.6265 1.378 1.180 0.238 -1.075 4.328
===================================================================================
Ljung-Box (L1) (Q): 1.30 Jarque-Bera (JB): 2.42
Prob(Q): 0.25 Prob(JB): 0.30
Heteroskedasticity (H): 0.76 Skew: -1.06
Prob(H) (two-sided): 0.80 Kurtosis: 2.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.95223965207785, Current Price: 169.41
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.787
Date: Wed, 09 Oct 2024 AIC 51.574
Time: 14:41:32 BIC 54.398
Sample: 0 HQIC 50.993
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5442 0.285 1.909 0.056 -0.014 1.103
ma.L1 -1.3272 0.967 -1.373 0.170 -3.222 0.567
ar.S.L7 0.0837 0.362 0.231 0.817 -0.625 0.793
ma.S.L7 -3.2166 6.022 -0.534 0.593 -15.020 8.587
sigma2 0.0598 0.273 0.219 0.827 -0.475 0.595
===================================================================================
Ljung-Box (L1) (Q): 0.30 Jarque-Bera (JB): 0.30
Prob(Q): 0.58 Prob(JB): 0.86
Heteroskedasticity (H): 1.77 Skew: -0.35
Prob(H) (two-sided): 0.60 Kurtosis: 2.72
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.5169483714558, Current Price: 169.61
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.840
Date: Wed, 09 Oct 2024 AIC 49.680
Time: 14:41:32 BIC 52.504
Sample: 0 HQIC 49.099
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3520 0.595 -0.591 0.554 -1.519 0.815
ma.L1 0.6302 0.591 1.066 0.286 -0.529 1.789
ar.S.L7 -0.0106 2.300 -0.005 0.996 -4.519 4.498
ma.S.L7 -0.1113 2.206 -0.050 0.960 -4.435 4.213
sigma2 1.2308 1.048 1.174 0.240 -0.824 3.285
===================================================================================
Ljung-Box (L1) (Q): 0.39 Jarque-Bera (JB): 0.92
Prob(Q): 0.53 Prob(JB): 0.63
Heteroskedasticity (H): 2.22 Skew: -0.65
Prob(H) (two-sided): 0.46 Kurtosis: 2.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.31830501779964, Current Price: 169.39
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.106
Date: Wed, 09 Oct 2024 AIC 50.213
Time: 14:41:32 BIC 53.037
Sample: 0 HQIC 49.632
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6517 1.449 -0.450 0.653 -3.492 2.189
ma.L1 0.7156 1.508 0.474 0.635 -2.241 3.672
ar.S.L7 -0.0153 0.496 -0.031 0.975 -0.987 0.957
ma.S.L7 -0.2646 0.898 -0.295 0.768 -2.025 1.496
sigma2 1.2482 0.746 1.672 0.095 -0.215 2.711
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.68
Prob(Q): 0.76 Prob(JB): 0.71
Heteroskedasticity (H): 1.54 Skew: -0.56
Prob(H) (two-sided): 0.69 Kurtosis: 2.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.44619779058567, Current Price: 168.76
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.593
Date: Wed, 09 Oct 2024 AIC 49.186
Time: 14:41:32 BIC 52.010
Sample: 0 HQIC 48.605
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4373 1.705 -0.257 0.798 -3.779 2.904
ma.L1 0.6149 1.606 0.383 0.702 -2.532 3.762
ar.S.L7 -0.0591 1.044 -0.057 0.955 -2.105 1.987
ma.S.L7 -0.0724 1.392 -0.052 0.959 -2.800 2.656
sigma2 1.1908 1.040 1.146 0.252 -0.847 3.228
===================================================================================
Ljung-Box (L1) (Q): 0.42 Jarque-Bera (JB): 0.13
Prob(Q): 0.52 Prob(JB): 0.94
Heteroskedasticity (H): 3.09 Skew: -0.22
Prob(H) (two-sided): 0.30 Kurtosis: 2.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.0628242217274, Current Price: 169.09
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.969
Date: Wed, 09 Oct 2024 AIC 47.938
Time: 14:41:32 BIC 50.763
Sample: 0 HQIC 47.358
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5111 3.580 -0.143 0.886 -7.527 6.505
ma.L1 0.6194 2.766 0.224 0.823 -4.802 6.041
ar.S.L7 -0.0323 1.891 -0.017 0.986 -3.739 3.674
ma.S.L7 -0.2509 3.461 -0.073 0.942 -7.034 6.532
sigma2 1.0567 0.606 1.743 0.081 -0.132 2.245
===================================================================================
Ljung-Box (L1) (Q): 0.72 Jarque-Bera (JB): 0.09
Prob(Q): 0.40 Prob(JB): 0.96
Heteroskedasticity (H): 0.13 Skew: -0.08
Prob(H) (two-sided): 0.07 Kurtosis: 3.38
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.63421681277399, Current Price: 168.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.668
Date: Wed, 09 Oct 2024 AIC 49.335
Time: 14:41:33 BIC 52.160
Sample: 0 HQIC 48.755
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7712 0.328 -2.353 0.019 -1.414 -0.129
ma.L1 1.0000 1.29e+04 7.75e-05 1.000 -2.53e+04 2.53e+04
ar.S.L7 -0.0880 0.305 -0.289 0.773 -0.685 0.509
ma.S.L7 -1.0006 1108.941 -0.001 0.999 -2174.485 2172.484
sigma2 0.6423 8536.663 7.52e-05 1.000 -1.67e+04 1.67e+04
===================================================================================
Ljung-Box (L1) (Q): 0.45 Jarque-Bera (JB): 0.18
Prob(Q): 0.50 Prob(JB): 0.91
Heteroskedasticity (H): 0.71 Skew: -0.24
Prob(H) (two-sided): 0.75 Kurtosis: 2.68
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.51087423909624, Current Price: 168.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.093
Date: Wed, 09 Oct 2024 AIC 50.186
Time: 14:41:33 BIC 53.011
Sample: 0 HQIC 49.606
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7699 0.556 -1.385 0.166 -1.859 0.320
ma.L1 1.0000 4231.035 0.000 1.000 -8291.676 8293.676
ar.S.L7 -0.1325 0.326 -0.406 0.685 -0.772 0.507
ma.S.L7 -1.0008 1408.612 -0.001 0.999 -2761.829 2759.828
sigma2 0.6853 3246.226 0.000 1.000 -6361.801 6363.171
===================================================================================
Ljung-Box (L1) (Q): 0.73 Jarque-Bera (JB): 0.03
Prob(Q): 0.39 Prob(JB): 0.99
Heteroskedasticity (H): 0.73 Skew: -0.02
Prob(H) (two-sided): 0.77 Kurtosis: 2.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.29983963313637, Current Price: 168.44
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.332
Date: Wed, 09 Oct 2024 AIC 48.664
Time: 14:41:33 BIC 51.489
Sample: 0 HQIC 48.084
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5569 0.368 -1.515 0.130 -1.277 0.163
ma.L1 1.0000 9507.258 0.000 1.000 -1.86e+04 1.86e+04
ar.S.L7 -0.4725 0.451 -1.048 0.295 -1.356 0.411
ma.S.L7 -0.1503 0.420 -0.358 0.721 -0.974 0.674
sigma2 0.9832 9347.676 0.000 1.000 -1.83e+04 1.83e+04
===================================================================================
Ljung-Box (L1) (Q): 1.71 Jarque-Bera (JB): 0.60
Prob(Q): 0.19 Prob(JB): 0.74
Heteroskedasticity (H): 0.67 Skew: -0.22
Prob(H) (two-sided): 0.71 Kurtosis: 2.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.3442074343009, Current Price: 169.29
SELL EXECUTED at 169.29
SELL ORDER COMPLETED at 170.7
OPERATION PROFIT, GROSS 0.04999999999998295, NET -0.29135000000001704
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.093
Date: Wed, 09 Oct 2024 AIC 46.186
Time: 14:41:33 BIC 49.011
Sample: 0 HQIC 45.606
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6999 0.478 -1.464 0.143 -1.637 0.237
ma.L1 1.0000 8812.348 0.000 1.000 -1.73e+04 1.73e+04
ar.S.L7 -0.0153 0.114 -0.134 0.893 -0.239 0.208
ma.S.L7 -1.4959 2.865 -0.522 0.602 -7.111 4.119
sigma2 0.3112 2741.781 0.000 1.000 -5373.481 5374.103
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.44
Prob(Q): 0.96 Prob(JB): 0.80
Heteroskedasticity (H): 2.95 Skew: -0.20
Prob(H) (two-sided): 0.32 Kurtosis: 2.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.1736410718254, Current Price: 171.17
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.875
Date: Wed, 09 Oct 2024 AIC 45.750
Time: 14:41:33 BIC 48.575
Sample: 0 HQIC 45.170
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4985 0.114 -4.368 0.000 -0.722 -0.275
ma.L1 1.0000 1.03e+04 9.68e-05 1.000 -2.02e+04 2.02e+04
ar.S.L7 -0.2895 0.356 -0.813 0.416 -0.987 0.408
ma.S.L7 -0.8500 4.860 -0.175 0.861 -10.375 8.674
sigma2 0.5539 5721.548 9.68e-05 1.000 -1.12e+04 1.12e+04
===================================================================================
Ljung-Box (L1) (Q): 0.23 Jarque-Bera (JB): 0.37
Prob(Q): 0.63 Prob(JB): 0.83
Heteroskedasticity (H): 0.89 Skew: 0.04
Prob(H) (two-sided): 0.91 Kurtosis: 2.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.61751051693287, Current Price: 169.82
BUY EXECUTED at 169.82
BUY ORDER COMPLETED at 169.3
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.016
Date: Wed, 09 Oct 2024 AIC 48.032
Time: 14:41:33 BIC 50.857
Sample: 0 HQIC 47.451
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3354 0.438 -0.765 0.444 -1.195 0.524
ma.L1 1.0000 2.04e+04 4.91e-05 1.000 -3.99e+04 3.99e+04
ar.S.L7 -0.6593 0.523 -1.261 0.207 -1.684 0.365
ma.S.L7 0.1059 0.540 0.196 0.845 -0.952 1.164
sigma2 0.9646 1.96e+04 4.91e-05 1.000 -3.85e+04 3.85e+04
===================================================================================
Ljung-Box (L1) (Q): 0.71 Jarque-Bera (JB): 1.09
Prob(Q): 0.40 Prob(JB): 0.58
Heteroskedasticity (H): 0.58 Skew: -0.60
Prob(H) (two-sided): 0.61 Kurtosis: 2.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.23165353658274, Current Price: 169.61
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.133
Date: Wed, 09 Oct 2024 AIC 46.266
Time: 14:41:33 BIC 49.091
Sample: 0 HQIC 45.685
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3820 0.400 -0.955 0.339 -1.166 0.402
ma.L1 1.0000 6081.277 0.000 1.000 -1.19e+04 1.19e+04
ar.S.L7 -0.3532 0.393 -0.900 0.368 -1.123 0.416
ma.S.L7 -0.9999 7546.672 -0.000 1.000 -1.48e+04 1.48e+04
sigma2 0.5474 4863.971 0.000 1.000 -9532.660 9533.755
===================================================================================
Ljung-Box (L1) (Q): 0.90 Jarque-Bera (JB): 0.62
Prob(Q): 0.34 Prob(JB): 0.73
Heteroskedasticity (H): 1.73 Skew: -0.08
Prob(H) (two-sided): 0.61 Kurtosis: 1.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.622623804527, Current Price: 169.49
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.515
Date: Wed, 09 Oct 2024 AIC 49.029
Time: 14:41:33 BIC 51.854
Sample: 0 HQIC 48.449
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3735 0.928 -0.402 0.687 -2.192 1.445
ma.L1 1.3982 2.612 0.535 0.592 -3.721 6.517
ar.S.L7 -0.3261 0.642 -0.508 0.612 -1.585 0.933
ma.S.L7 -0.2341 1.040 -0.225 0.822 -2.272 1.803
sigma2 0.5918 2.288 0.259 0.796 -3.892 5.075
===================================================================================
Ljung-Box (L1) (Q): 0.81 Jarque-Bera (JB): 0.45
Prob(Q): 0.37 Prob(JB): 0.80
Heteroskedasticity (H): 1.40 Skew: -0.08
Prob(H) (two-sided): 0.75 Kurtosis: 2.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.91511328807678, Current Price: 169.53
SELL EXECUTED at 169.53
SELL ORDER COMPLETED at 169.37
OPERATION PROFIT, GROSS 0.06999999999999318, NET -0.26867000000000685
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.274
Date: Wed, 09 Oct 2024 AIC 42.548
Time: 14:41:33 BIC 45.373
Sample: 0 HQIC 41.967
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4646 0.571 -0.814 0.416 -1.584 0.654
ma.L1 1.6154 2.067 0.782 0.434 -2.435 5.666
ar.S.L7 -0.7536 0.312 -2.417 0.016 -1.365 -0.142
ma.S.L7 1.0001 9101.231 0.000 1.000 -1.78e+04 1.78e+04
sigma2 0.1578 1436.061 0.000 1.000 -2814.470 2814.786
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.80
Prob(Q): 0.88 Prob(JB): 0.67
Heteroskedasticity (H): 0.44 Skew: -0.52
Prob(H) (two-sided): 0.44 Kurtosis: 2.38
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.15804103667253, Current Price: 168.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.253
Date: Wed, 09 Oct 2024 AIC 42.506
Time: 14:41:33 BIC 45.331
Sample: 0 HQIC 41.926
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0967 0.701 0.138 0.890 -1.278 1.471
ma.L1 0.2278 0.785 0.290 0.772 -1.311 1.767
ar.S.L7 -0.8281 0.212 -3.901 0.000 -1.244 -0.412
ma.S.L7 1.0000 3.34e+04 2.99e-05 1.000 -6.55e+04 6.55e+04
sigma2 0.4298 1.44e+04 2.99e-05 1.000 -2.82e+04 2.82e+04
===================================================================================
Ljung-Box (L1) (Q): 0.84 Jarque-Bera (JB): 0.61
Prob(Q): 0.36 Prob(JB): 0.74
Heteroskedasticity (H): 0.17 Skew: -0.33
Prob(H) (two-sided): 0.12 Kurtosis: 2.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.62980148302995, Current Price: 164.64
BUY EXECUTED at 164.64
BUY ORDER COMPLETED at 163.01
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.500
Date: Wed, 09 Oct 2024 AIC 59.001
Time: 14:41:33 BIC 61.826
Sample: 0 HQIC 58.420
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3175 9.789 0.032 0.974 -18.869 19.504
ma.L1 -0.4250 9.660 -0.044 0.965 -19.358 18.508
ar.S.L7 -0.7895 0.831 -0.951 0.342 -2.417 0.838
ma.S.L7 0.1372 1.303 0.105 0.916 -2.416 2.690
sigma2 2.5198 1.504 1.676 0.094 -0.427 5.467
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 5.54
Prob(Q): 0.89 Prob(JB): 0.06
Heteroskedasticity (H): 3.83 Skew: -1.28
Prob(H) (two-sided): 0.22 Kurtosis: 4.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 165.53016370924087, Current Price: 161.72
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.040
Date: Wed, 09 Oct 2024 AIC 58.080
Time: 14:41:33 BIC 60.905
Sample: 0 HQIC 57.499
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2905 0.809 -0.359 0.719 -1.876 1.295
ma.L1 1.0000 3.08e+04 3.25e-05 1.000 -6.03e+04 6.03e+04
ar.S.L7 -0.7936 0.723 -1.098 0.272 -2.211 0.623
ma.S.L7 0.1474 0.762 0.193 0.847 -1.346 1.641
sigma2 2.0646 6.35e+04 3.25e-05 1.000 -1.25e+05 1.25e+05
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 2.27
Prob(Q): 0.65 Prob(JB): 0.32
Heteroskedasticity (H): 3.52 Skew: -0.99
Prob(H) (two-sided): 0.25 Kurtosis: 3.51
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.8693873253806, Current Price: 161.77
SELL EXECUTED at 161.77
SELL ORDER COMPLETED at 163.15
OPERATION PROFIT, GROSS 0.14000000000001478, NET -0.18615999999998523
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.699
Date: Wed, 09 Oct 2024 AIC 57.398
Time: 14:41:33 BIC 60.223
Sample: 0 HQIC 56.818
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3456 0.677 -0.510 0.610 -1.673 0.982
ma.L1 1.0000 1.59e+04 6.29e-05 1.000 -3.12e+04 3.12e+04
ar.S.L7 -0.9308 0.877 -1.062 0.288 -2.649 0.788
ma.S.L7 -0.2408 1.038 -0.232 0.817 -2.275 1.794
sigma2 2.0013 3.18e+04 6.29e-05 1.000 -6.24e+04 6.24e+04
===================================================================================
Ljung-Box (L1) (Q): 0.66 Jarque-Bera (JB): 0.65
Prob(Q): 0.42 Prob(JB): 0.72
Heteroskedasticity (H): 2.75 Skew: -0.51
Prob(H) (two-sided): 0.35 Kurtosis: 2.57
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.3271444524088, Current Price: 164.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.681
Date: Wed, 09 Oct 2024 AIC 57.361
Time: 14:41:33 BIC 60.186
Sample: 0 HQIC 56.780
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3234 0.740 -0.437 0.662 -1.774 1.128
ma.L1 1.0000 5110.502 0.000 1.000 -1e+04 1e+04
ar.S.L7 -0.8316 1.314 -0.633 0.527 -3.407 1.743
ma.S.L7 -0.2545 1.715 -0.148 0.882 -3.616 3.107
sigma2 1.9944 1.02e+04 0.000 1.000 -2e+04 2e+04
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 1.09
Prob(Q): 0.72 Prob(JB): 0.58
Heteroskedasticity (H): 8.89 Skew: -0.67
Prob(H) (two-sided): 0.06 Kurtosis: 2.51
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.84406774346255, Current Price: 164.04
BUY EXECUTED at 164.04
BUY ORDER COMPLETED at 165.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.752
Date: Wed, 09 Oct 2024 AIC 57.505
Time: 14:41:33 BIC 60.330
Sample: 0 HQIC 56.924
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3263 0.668 -0.489 0.625 -1.635 0.983
ma.L1 1.0000 8549.731 0.000 1.000 -1.68e+04 1.68e+04
ar.S.L7 -0.8298 1.049 -0.791 0.429 -2.886 1.226
ma.S.L7 -0.1457 1.174 -0.124 0.901 -2.446 2.154
sigma2 2.0341 1.74e+04 0.000 1.000 -3.41e+04 3.41e+04
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 1.17
Prob(Q): 0.76 Prob(JB): 0.56
Heteroskedasticity (H): 1.15 Skew: -0.71
Prob(H) (two-sided): 0.89 Kurtosis: 2.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.13692177446413, Current Price: 166.39
SELL EXECUTED at 166.39
SELL ORDER COMPLETED at 166.73
OPERATION PROFIT, GROSS 1.7099999999999795, NET 1.3782499999999795
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.506
Date: Wed, 09 Oct 2024 AIC 61.012
Time: 14:41:33 BIC 63.836
Sample: 0 HQIC 60.431
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2329 6.569 -0.035 0.972 -13.108 12.642
ma.L1 0.1325 6.711 0.020 0.984 -13.020 13.285
ar.S.L7 -1.4124 0.430 -3.288 0.001 -2.254 -0.571
ma.S.L7 -1.0000 2.92e+04 -3.43e-05 1.000 -5.72e+04 5.72e+04
sigma2 1.7842 5.2e+04 3.43e-05 1.000 -1.02e+05 1.02e+05
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.37
Prob(Q): 0.94 Prob(JB): 0.83
Heteroskedasticity (H): 2.68 Skew: -0.22
Prob(H) (two-sided): 0.36 Kurtosis: 2.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.06321442053857, Current Price: 167.22
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.682
Date: Wed, 09 Oct 2024 AIC 61.364
Time: 14:41:33 BIC 64.188
Sample: 0 HQIC 60.783
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2185 1.861 -0.117 0.907 -3.867 3.430
ma.L1 0.4991 2.669 0.187 0.852 -4.732 5.730
ar.S.L7 -0.9409 1.023 -0.919 0.358 -2.947 1.065
ma.S.L7 -0.3519 2.822 -0.125 0.901 -5.883 5.179
sigma2 2.8886 2.970 0.972 0.331 -2.933 8.711
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 1.04
Prob(Q): 0.87 Prob(JB): 0.60
Heteroskedasticity (H): 1.99 Skew: -0.60
Prob(H) (two-sided): 0.52 Kurtosis: 3.68
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.0279052305534, Current Price: 166.97
BUY EXECUTED at 166.97
BUY ORDER COMPLETED at 167.24
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.179
Date: Wed, 09 Oct 2024 AIC 60.359
Time: 14:41:33 BIC 63.184
Sample: 0 HQIC 59.778
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1150 0.845 -0.136 0.892 -1.771 1.541
ma.L1 0.6422 0.911 0.705 0.481 -1.143 2.427
ar.S.L7 -0.4576 1.014 -0.451 0.652 -2.446 1.530
ma.S.L7 -0.4425 2.104 -0.210 0.833 -4.566 3.681
sigma2 2.5818 2.062 1.252 0.211 -1.460 6.623
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.64
Prob(Q): 0.96 Prob(JB): 0.73
Heteroskedasticity (H): 2.84 Skew: -0.38
Prob(H) (two-sided): 0.34 Kurtosis: 3.78
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.82652007317617, Current Price: 167.1
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.169
Date: Wed, 09 Oct 2024 AIC 58.338
Time: 14:41:33 BIC 61.163
Sample: 0 HQIC 57.758
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0365 0.726 0.050 0.960 -1.386 1.458
ma.L1 0.5991 0.704 0.851 0.395 -0.780 1.978
ar.S.L7 -0.3043 0.528 -0.576 0.564 -1.339 0.731
ma.S.L7 -1.0001 5541.877 -0.000 1.000 -1.09e+04 1.09e+04
sigma2 1.4523 8049.045 0.000 1.000 -1.58e+04 1.58e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.19
Prob(Q): 0.95 Prob(JB): 0.91
Heteroskedasticity (H): 9.56 Skew: -0.14
Prob(H) (two-sided): 0.05 Kurtosis: 3.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 165.7042190009811, Current Price: 166.61
SELL EXECUTED at 166.61
SELL ORDER COMPLETED at 166.8
OPERATION PROFIT, GROSS -0.4399999999999977, NET -0.7740399999999977
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.088
Date: Wed, 09 Oct 2024 AIC 60.177
Time: 14:41:33 BIC 63.001
Sample: 0 HQIC 59.596
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0131 0.937 0.014 0.989 -1.823 1.850
ma.L1 0.5864 1.054 0.556 0.578 -1.480 2.653
ar.S.L7 -0.2965 0.867 -0.342 0.732 -1.995 1.402
ma.S.L7 -1.0003 3248.154 -0.000 1.000 -6367.266 6365.265
sigma2 1.6727 5433.465 0.000 1.000 -1.06e+04 1.07e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.89
Prob(Q): 0.87 Prob(JB): 0.64
Heteroskedasticity (H): 0.15 Skew: -0.51
Prob(H) (two-sided): 0.09 Kurtosis: 3.78
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.26781255149473, Current Price: 166.7
BUY EXECUTED at 166.7
BUY ORDER COMPLETED at 168.82
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.216
Date: Wed, 09 Oct 2024 AIC 60.432
Time: 14:41:33 BIC 63.257
Sample: 0 HQIC 59.852
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0360 0.950 -0.038 0.970 -1.899 1.827
ma.L1 0.4656 1.074 0.434 0.665 -1.638 2.570
ar.S.L7 -0.8234 0.999 -0.824 0.410 -2.782 1.135
ma.S.L7 0.1110 1.410 0.079 0.937 -2.652 2.874
sigma2 2.8178 1.215 2.320 0.020 0.437 5.199
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 5.89
Prob(Q): 0.94 Prob(JB): 0.05
Heteroskedasticity (H): 0.10 Skew: -1.26
Prob(H) (two-sided): 0.05 Kurtosis: 5.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.34632392434702, Current Price: 168.73
SELL EXECUTED at 168.73
SELL ORDER COMPLETED at 169.04
OPERATION PROFIT, GROSS 0.21999999999999886, NET -0.11786000000000113
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.137
Date: Wed, 09 Oct 2024 AIC 62.274
Time: 14:41:33 BIC 65.099
Sample: 0 HQIC 61.694
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0071 0.868 0.008 0.993 -1.695 1.709
ma.L1 0.4931 0.822 0.600 0.548 -1.117 2.104
ar.S.L7 -0.6030 0.757 -0.796 0.426 -2.087 0.881
ma.S.L7 -3.1733 13.482 -0.235 0.814 -29.597 23.250
sigma2 0.3043 2.381 0.128 0.898 -4.362 4.970
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.77
Prob(Q): 0.99 Prob(JB): 0.41
Heteroskedasticity (H): 0.33 Skew: -0.76
Prob(H) (two-sided): 0.30 Kurtosis: 3.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.06709362839126, Current Price: 168.65
BUY EXECUTED at 168.65
BUY ORDER COMPLETED at 167.88
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.098
Date: Wed, 09 Oct 2024 AIC 62.197
Time: 14:41:33 BIC 65.021
Sample: 0 HQIC 61.616
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0064 9.848 -0.001 0.999 -19.308 19.295
ma.L1 0.0723 9.846 0.007 0.994 -19.225 19.370
ar.S.L7 -1.1295 0.502 -2.250 0.024 -2.113 -0.146
ma.S.L7 0.5736 1.275 0.450 0.653 -1.924 3.072
sigma2 2.7838 3.420 0.814 0.416 -3.919 9.487
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 0.57
Prob(Q): 0.67 Prob(JB): 0.75
Heteroskedasticity (H): 0.29 Skew: -0.51
Prob(H) (two-sided): 0.26 Kurtosis: 2.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.63267902728325, Current Price: 167.48
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.513
Date: Wed, 09 Oct 2024 AIC 53.026
Time: 14:41:33 BIC 55.850
Sample: 0 HQIC 52.445
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0380 1.315 0.029 0.977 -2.540 2.616
ma.L1 0.2284 1.318 0.173 0.862 -2.354 2.811
ar.S.L7 -1.1004 0.413 -2.662 0.008 -1.911 -0.290
ma.S.L7 0.4932 1.552 0.318 0.751 -2.549 3.536
sigma2 1.4364 1.841 0.780 0.435 -2.172 5.045
===================================================================================
Ljung-Box (L1) (Q): 3.01 Jarque-Bera (JB): 0.78
Prob(Q): 0.08 Prob(JB): 0.68
Heteroskedasticity (H): 1.49 Skew: 0.21
Prob(H) (two-sided): 0.71 Kurtosis: 1.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.90705263495022, Current Price: 167.67
SELL EXECUTED at 167.67
SELL ORDER COMPLETED at 167.58
OPERATION PROFIT, GROSS -0.29999999999998295, NET -0.6354599999999829
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.891
Date: Wed, 09 Oct 2024 AIC 53.781
Time: 14:41:33 BIC 56.606
Sample: 0 HQIC 53.201
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3383 3.382 -0.100 0.920 -6.968 6.291
ma.L1 0.4215 3.375 0.125 0.901 -6.194 7.037
ar.S.L7 -0.3031 0.495 -0.612 0.541 -1.274 0.668
ma.S.L7 -1.0000 1.24e+04 -8.05e-05 1.000 -2.43e+04 2.43e+04
sigma2 1.0245 1.27e+04 8.05e-05 1.000 -2.49e+04 2.49e+04
===================================================================================
Ljung-Box (L1) (Q): 0.67 Jarque-Bera (JB): 1.14
Prob(Q): 0.41 Prob(JB): 0.56
Heteroskedasticity (H): 0.98 Skew: 0.17
Prob(H) (two-sided): 0.99 Kurtosis: 1.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.34862186562503, Current Price: 170.19
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.216
Date: Wed, 09 Oct 2024 AIC 58.431
Time: 14:41:33 BIC 61.256
Sample: 0 HQIC 57.850
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1246 0.681 0.183 0.855 -1.210 1.459
ma.L1 0.3964 0.611 0.648 0.517 -0.802 1.595
ar.S.L7 -0.3722 0.638 -0.583 0.560 -1.623 0.879
ma.S.L7 -1.0001 1.07e+04 -9.31e-05 1.000 -2.11e+04 2.11e+04
sigma2 1.4631 1.57e+04 9.31e-05 1.000 -3.08e+04 3.08e+04
===================================================================================
Ljung-Box (L1) (Q): 2.22 Jarque-Bera (JB): 0.93
Prob(Q): 0.14 Prob(JB): 0.63
Heteroskedasticity (H): 2.24 Skew: 0.04
Prob(H) (two-sided): 0.45 Kurtosis: 1.69
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.62461822866118, Current Price: 169.35
BUY EXECUTED at 169.35
BUY ORDER COMPLETED at 169.23
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.385
Date: Wed, 09 Oct 2024 AIC 60.771
Time: 14:41:34 BIC 63.595
Sample: 0 HQIC 60.190
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1308 2.179 -0.060 0.952 -4.402 4.141
ma.L1 0.3877 2.428 0.160 0.873 -4.372 5.147
ar.S.L7 -0.4672 0.564 -0.828 0.407 -1.573 0.638
ma.S.L7 -0.1518 0.779 -0.195 0.845 -1.678 1.374
sigma2 2.8816 2.299 1.253 0.210 -1.625 7.388
===================================================================================
Ljung-Box (L1) (Q): 0.93 Jarque-Bera (JB): 1.01
Prob(Q): 0.33 Prob(JB): 0.60
Heteroskedasticity (H): 2.12 Skew: 0.21
Prob(H) (two-sided): 0.49 Kurtosis: 1.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.1101311977171, Current Price: 169.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.409
Date: Wed, 09 Oct 2024 AIC 60.817
Time: 14:41:34 BIC 63.642
Sample: 0 HQIC 60.236
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0956 1.767 -0.054 0.957 -3.559 3.368
ma.L1 0.3912 2.001 0.195 0.845 -3.531 4.314
ar.S.L7 -0.4657 0.566 -0.823 0.410 -1.575 0.643
ma.S.L7 -0.1975 0.777 -0.254 0.799 -1.720 1.325
sigma2 2.8734 2.115 1.359 0.174 -1.271 7.018
===================================================================================
Ljung-Box (L1) (Q): 0.29 Jarque-Bera (JB): 1.10
Prob(Q): 0.59 Prob(JB): 0.58
Heteroskedasticity (H): 2.08 Skew: 0.23
Prob(H) (two-sided): 0.50 Kurtosis: 1.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.31274245685896, Current Price: 169.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.383
Date: Wed, 09 Oct 2024 AIC 58.767
Time: 14:41:34 BIC 61.591
Sample: 0 HQIC 58.186
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1562 1.650 -0.095 0.925 -3.390 3.077
ma.L1 0.4433 1.996 0.222 0.824 -3.470 4.356
ar.S.L7 -0.5067 0.506 -1.002 0.316 -1.498 0.484
ma.S.L7 -0.0908 0.695 -0.131 0.896 -1.454 1.272
sigma2 2.4843 1.697 1.464 0.143 -0.841 5.810
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 1.12
Prob(Q): 0.66 Prob(JB): 0.57
Heteroskedasticity (H): 6.12 Skew: 0.54
Prob(H) (two-sided): 0.11 Kurtosis: 2.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.72149526367642, Current Price: 169.25
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.621
Date: Wed, 09 Oct 2024 AIC 59.243
Time: 14:41:34 BIC 62.067
Sample: 0 HQIC 58.662
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1686 1.749 -0.096 0.923 -3.597 3.260
ma.L1 0.4158 2.031 0.205 0.838 -3.565 4.396
ar.S.L7 -0.4411 0.336 -1.314 0.189 -1.099 0.217
ma.S.L7 0.1146 0.604 0.190 0.849 -1.068 1.298
sigma2 2.5720 1.958 1.314 0.189 -1.266 6.409
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.98
Prob(Q): 0.77 Prob(JB): 0.61
Heteroskedasticity (H): 1.05 Skew: 0.42
Prob(H) (two-sided): 0.96 Kurtosis: 1.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.63319820969116, Current Price: 171.06
SELL EXECUTED at 171.06
SELL ORDER COMPLETED at 169.56
OPERATION PROFIT, GROSS 0.3300000000000125, NET -0.00878999999998753
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.913
Date: Wed, 09 Oct 2024 AIC 59.826
Time: 14:41:34 BIC 62.651
Sample: 0 HQIC 59.245
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4040 0.833 -0.485 0.628 -2.036 1.228
ma.L1 0.5991 0.825 0.726 0.468 -1.018 2.216
ar.S.L7 -0.3734 0.405 -0.922 0.356 -1.167 0.420
ma.S.L7 0.1028 0.765 0.134 0.893 -1.397 1.603
sigma2 2.6902 1.661 1.620 0.105 -0.566 5.946
===================================================================================
Ljung-Box (L1) (Q): 0.40 Jarque-Bera (JB): 1.12
Prob(Q): 0.53 Prob(JB): 0.57
Heteroskedasticity (H): 1.21 Skew: 0.39
Prob(H) (two-sided): 0.86 Kurtosis: 1.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.72146721561242, Current Price: 167.71
BUY EXECUTED at 167.71
BUY ORDER COMPLETED at 168.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.371
Date: Wed, 09 Oct 2024 AIC 52.741
Time: 14:41:34 BIC 55.566
Sample: 0 HQIC 52.160
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1043 0.418 -0.250 0.803 -0.923 0.714
ma.L1 -1.0000 1.03e+04 -9.73e-05 1.000 -2.01e+04 2.01e+04
ar.S.L7 -0.1412 0.128 -1.101 0.271 -0.393 0.110
ma.S.L7 1.0000 4.08e+04 2.45e-05 1.000 -7.99e+04 7.99e+04
sigma2 0.8802 3.24e+04 2.72e-05 1.000 -6.35e+04 6.35e+04
===================================================================================
Ljung-Box (L1) (Q): 0.93 Jarque-Bera (JB): 1.12
Prob(Q): 0.34 Prob(JB): 0.57
Heteroskedasticity (H): 1.23 Skew: 0.10
Prob(H) (two-sided): 0.85 Kurtosis: 1.58
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 172.57288376101448, Current Price: 167.29
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.197
Date: Wed, 09 Oct 2024 AIC 62.393
Time: 14:41:34 BIC 65.218
Sample: 0 HQIC 61.813
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5419 0.742 -0.730 0.465 -1.996 0.913
ma.L1 0.3253 0.984 0.331 0.741 -1.603 2.254
ar.S.L7 -0.3797 0.327 -1.162 0.245 -1.020 0.261
ma.S.L7 -1.0001 9133.346 -0.000 1.000 -1.79e+04 1.79e+04
sigma2 1.9053 1.74e+04 0.000 1.000 -3.41e+04 3.41e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.51
Prob(Q): 0.94 Prob(JB): 0.47
Heteroskedasticity (H): 1.29 Skew: 0.83
Prob(H) (two-sided): 0.81 Kurtosis: 2.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.3854463194414, Current Price: 168.03
SELL EXECUTED at 168.03
SELL ORDER COMPLETED at 167.81
OPERATION PROFIT, GROSS -0.21000000000000796, NET -0.545830000000008
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.444
Date: Wed, 09 Oct 2024 AIC 58.888
Time: 14:41:34 BIC 61.713
Sample: 0 HQIC 58.307
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7194 0.273 -2.638 0.008 -1.254 -0.185
ma.L1 1.0000 8.34e+04 1.2e-05 1.000 -1.63e+05 1.63e+05
ar.S.L7 -0.2319 0.321 -0.721 0.471 -0.862 0.398
ma.S.L7 -1.0000 3.16e+04 -3.17e-05 1.000 -6.19e+04 6.19e+04
sigma2 1.3395 1.22e+05 1.1e-05 1.000 -2.39e+05 2.39e+05
===================================================================================
Ljung-Box (L1) (Q): 1.21 Jarque-Bera (JB): 0.40
Prob(Q): 0.27 Prob(JB): 0.82
Heteroskedasticity (H): 1.56 Skew: 0.05
Prob(H) (two-sided): 0.68 Kurtosis: 2.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.25751518136727, Current Price: 167.18
BUY EXECUTED at 167.18
BUY ORDER COMPLETED at 167.45
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.635
Date: Wed, 09 Oct 2024 AIC 57.271
Time: 14:41:34 BIC 60.096
Sample: 0 HQIC 56.690
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5923 0.186 -3.184 0.001 -0.957 -0.228
ma.L1 1.0000 4.08e+05 2.45e-06 1.000 -8e+05 8e+05
ar.S.L7 -0.2248 0.275 -0.817 0.414 -0.764 0.315
ma.S.L7 -1.0001 1.8e+04 -5.56e-05 1.000 -3.53e+04 3.53e+04
sigma2 1.1841 4.98e+05 2.38e-06 1.000 -9.76e+05 9.76e+05
===================================================================================
Ljung-Box (L1) (Q): 0.89 Jarque-Bera (JB): 0.20
Prob(Q): 0.35 Prob(JB): 0.91
Heteroskedasticity (H): 1.12 Skew: -0.17
Prob(H) (two-sided): 0.91 Kurtosis: 2.51
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.44352393718103, Current Price: 167.74
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.282
Date: Wed, 09 Oct 2024 AIC 56.564
Time: 14:41:34 BIC 59.389
Sample: 0 HQIC 55.984
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5365 0.176 -3.047 0.002 -0.882 -0.191
ma.L1 1.0000 2.61e+05 3.83e-06 1.000 -5.12e+05 5.12e+05
ar.S.L7 -0.1563 0.365 -0.428 0.669 -0.872 0.559
ma.S.L7 -1.0001 2.92e+04 -3.43e-05 1.000 -5.72e+04 5.72e+04
sigma2 1.1658 3.33e+05 3.5e-06 1.000 -6.53e+05 6.53e+05
===================================================================================
Ljung-Box (L1) (Q): 1.70 Jarque-Bera (JB): 0.38
Prob(Q): 0.19 Prob(JB): 0.83
Heteroskedasticity (H): 0.15 Skew: -0.40
Prob(H) (two-sided): 0.10 Kurtosis: 2.74
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.1413758803387, Current Price: 168.82
SELL EXECUTED at 168.82
SELL ORDER COMPLETED at 168.1332
OPERATION PROFIT, GROSS 0.6831999999999994, NET 0.3476167999999994
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.901
Date: Wed, 09 Oct 2024 AIC 55.801
Time: 14:41:34 BIC 58.626
Sample: 0 HQIC 55.221
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5800 0.372 -1.559 0.119 -1.309 0.149
ma.L1 1.0000 2.91e+04 3.43e-05 1.000 -5.71e+04 5.71e+04
ar.S.L7 -0.1337 0.347 -0.386 0.700 -0.813 0.546
ma.S.L7 -1.0000 2.18e+04 -4.58e-05 1.000 -4.28e+04 4.28e+04
sigma2 1.0661 3.58e+04 2.98e-05 1.000 -7.02e+04 7.02e+04
===================================================================================
Ljung-Box (L1) (Q): 0.75 Jarque-Bera (JB): 1.18
Prob(Q): 0.39 Prob(JB): 0.56
Heteroskedasticity (H): 0.38 Skew: -0.73
Prob(H) (two-sided): 0.37 Kurtosis: 3.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.5462209501361, Current Price: 167.83
BUY EXECUTED at 167.83
BUY ORDER COMPLETED at 164.38
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.061
Date: Wed, 09 Oct 2024 AIC 56.123
Time: 14:41:34 BIC 58.947
Sample: 0 HQIC 55.542
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3846 0.461 -0.834 0.404 -1.288 0.519
ma.L1 0.7383 0.502 1.470 0.141 -0.246 1.722
ar.S.L7 -0.3770 0.344 -1.097 0.273 -1.051 0.297
ma.S.L7 -1.0001 1.55e+04 -6.44e-05 1.000 -3.04e+04 3.04e+04
sigma2 1.2422 1.93e+04 6.44e-05 1.000 -3.78e+04 3.78e+04
===================================================================================
Ljung-Box (L1) (Q): 3.87 Jarque-Bera (JB): 0.06
Prob(Q): 0.05 Prob(JB): 0.97
Heteroskedasticity (H): 0.43 Skew: -0.00
Prob(H) (two-sided): 0.44 Kurtosis: 2.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.967387538598, Current Price: 164.03
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.524
Date: Wed, 09 Oct 2024 AIC 57.047
Time: 14:41:34 BIC 59.872
Sample: 0 HQIC 56.467
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1113 1.718 0.065 0.948 -3.255 3.478
ma.L1 -0.3295 1.721 -0.191 0.848 -3.703 3.045
ar.S.L7 -0.4450 0.564 -0.789 0.430 -1.550 0.660
ma.S.L7 -0.3679 0.824 -0.447 0.655 -1.982 1.246
sigma2 2.0616 1.217 1.695 0.090 -0.323 4.446
===================================================================================
Ljung-Box (L1) (Q): 1.30 Jarque-Bera (JB): 0.25
Prob(Q): 0.25 Prob(JB): 0.88
Heteroskedasticity (H): 2.63 Skew: -0.07
Prob(H) (two-sided): 0.37 Kurtosis: 2.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 165.85462390653018, Current Price: 163.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.068
Date: Wed, 09 Oct 2024 AIC 56.136
Time: 14:41:34 BIC 58.961
Sample: 0 HQIC 55.555
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4164 0.777 -0.536 0.592 -1.940 1.107
ma.L1 1.0000 3015.617 0.000 1.000 -5909.501 5911.501
ar.S.L7 -0.1140 0.332 -0.344 0.731 -0.765 0.536
ma.S.L7 -1.0001 7246.509 -0.000 1.000 -1.42e+04 1.42e+04
sigma2 1.1768 1.05e+04 0.000 1.000 -2.05e+04 2.05e+04
===================================================================================
Ljung-Box (L1) (Q): 2.39 Jarque-Bera (JB): 0.89
Prob(Q): 0.12 Prob(JB): 0.64
Heteroskedasticity (H): 1.05 Skew: -0.47
Prob(H) (two-sided): 0.97 Kurtosis: 2.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.14451037339992, Current Price: 164.94
SELL EXECUTED at 164.94
SELL ORDER COMPLETED at 165.81
OPERATION PROFIT, GROSS 1.4300000000000068, NET 1.0998100000000068
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.876
Date: Wed, 09 Oct 2024 AIC 57.753
Time: 14:41:34 BIC 60.577
Sample: 0 HQIC 57.172
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1313 1.409 -0.093 0.926 -2.893 2.630
ma.L1 -0.1056 1.507 -0.070 0.944 -3.058 2.847
ar.S.L7 -0.6003 0.231 -2.601 0.009 -1.053 -0.148
ma.S.L7 1.0000 1.41e+04 7.09e-05 1.000 -2.76e+04 2.76e+04
sigma2 1.3886 1.96e+04 7.09e-05 1.000 -3.84e+04 3.84e+04
===================================================================================
Ljung-Box (L1) (Q): 0.71 Jarque-Bera (JB): 0.86
Prob(Q): 0.40 Prob(JB): 0.65
Heteroskedasticity (H): 0.41 Skew: 0.50
Prob(H) (two-sided): 0.41 Kurtosis: 2.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.41826715365877, Current Price: 166.04
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.146
Date: Wed, 09 Oct 2024 AIC 58.291
Time: 14:41:34 BIC 61.116
Sample: 0 HQIC 57.710
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0393 1.634 0.024 0.981 -3.163 3.242
ma.L1 -0.2691 1.743 -0.154 0.877 -3.686 3.148
ar.S.L7 -0.6241 0.229 -2.730 0.006 -1.072 -0.176
ma.S.L7 1.0000 1.72e+04 5.83e-05 1.000 -3.36e+04 3.36e+04
sigma2 1.4473 2.48e+04 5.83e-05 1.000 -4.87e+04 4.87e+04
===================================================================================
Ljung-Box (L1) (Q): 0.24 Jarque-Bera (JB): 0.82
Prob(Q): 0.63 Prob(JB): 0.66
Heteroskedasticity (H): 0.44 Skew: 0.28
Prob(H) (two-sided): 0.45 Kurtosis: 1.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 165.66733911271783, Current Price: 165.42
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.646
Date: Wed, 09 Oct 2024 AIC 57.292
Time: 14:41:34 BIC 60.117
Sample: 0 HQIC 56.712
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0344 1.206 0.029 0.977 -2.329 2.398
ma.L1 -0.2853 1.329 -0.215 0.830 -2.889 2.319
ar.S.L7 -0.6561 0.231 -2.846 0.004 -1.108 -0.204
ma.S.L7 1.0001 6671.375 0.000 1.000 -1.31e+04 1.31e+04
sigma2 1.3403 8942.323 0.000 1.000 -1.75e+04 1.75e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.66
Prob(Q): 0.90 Prob(JB): 0.72
Heteroskedasticity (H): 0.50 Skew: 0.25
Prob(H) (two-sided): 0.52 Kurtosis: 2.02
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.0249027857891, Current Price: 163.51
BUY EXECUTED at 163.51
BUY ORDER COMPLETED at 163.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.240
Date: Wed, 09 Oct 2024 AIC 58.481
Time: 14:41:34 BIC 61.305
Sample: 0 HQIC 57.900
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8355 0.275 3.036 0.002 0.296 1.375
ma.L1 -1.0000 4.48e+04 -2.23e-05 1.000 -8.77e+04 8.77e+04
ar.S.L7 -0.6578 0.433 -1.520 0.129 -1.506 0.191
ma.S.L7 0.1616 0.806 0.200 0.841 -1.419 1.742
sigma2 2.0918 9.36e+04 2.23e-05 1.000 -1.84e+05 1.84e+05
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 0.88
Prob(Q): 0.71 Prob(JB): 0.64
Heteroskedasticity (H): 0.79 Skew: 0.21
Prob(H) (two-sided): 0.83 Kurtosis: 1.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.40188062314039, Current Price: 163.3
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.653
Date: Wed, 09 Oct 2024 AIC 47.305
Time: 14:41:34 BIC 50.130
Sample: 0 HQIC 46.725
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1187 0.441 -0.269 0.788 -0.982 0.745
ma.L1 0.8124 0.734 1.107 0.268 -0.626 2.250
ar.S.L7 -0.7449 0.210 -3.553 0.000 -1.156 -0.334
ma.S.L7 1.0000 3.62e+04 2.76e-05 1.000 -7.09e+04 7.09e+04
sigma2 0.5968 2.16e+04 2.76e-05 1.000 -4.23e+04 4.23e+04
===================================================================================
Ljung-Box (L1) (Q): 0.26 Jarque-Bera (JB): 0.39
Prob(Q): 0.61 Prob(JB): 0.82
Heteroskedasticity (H): 1.70 Skew: 0.15
Prob(H) (two-sided): 0.62 Kurtosis: 2.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.31459034175577, Current Price: 163.64
SELL EXECUTED at 163.64
SELL ORDER COMPLETED at 162.73
OPERATION PROFIT, GROSS -0.27000000000001023, NET -0.5957300000000102
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.475
Date: Wed, 09 Oct 2024 AIC 56.950
Time: 14:41:34 BIC 59.774
Sample: 0 HQIC 56.369
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3898 1.256 0.310 0.756 -2.071 2.851
ma.L1 -1.5246 2.631 -0.579 0.562 -6.682 3.633
ar.S.L7 0.0010 0.005 0.193 0.847 -0.009 0.011
ma.S.L7 -1.0000 1.07e+04 -9.35e-05 1.000 -2.1e+04 2.1e+04
sigma2 0.6425 6871.445 9.35e-05 1.000 -1.35e+04 1.35e+04
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 0.68
Prob(Q): 0.67 Prob(JB): 0.71
Heteroskedasticity (H): 3.67 Skew: 0.22
Prob(H) (two-sided): 0.24 Kurtosis: 1.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.7079207502191, Current Price: 162.05
BUY EXECUTED at 162.05
BUY ORDER COMPLETED at 162.35
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.500
Date: Wed, 09 Oct 2024 AIC 59.000
Time: 14:41:34 BIC 61.824
Sample: 0 HQIC 58.419
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5607 0.576 -0.974 0.330 -1.689 0.568
ma.L1 0.4013 0.841 0.477 0.633 -1.248 2.050
ar.S.L7 -0.4265 0.357 -1.195 0.232 -1.126 0.273
ma.S.L7 -1.0004 4820.281 -0.000 1.000 -9448.577 9446.576
sigma2 1.4638 7055.654 0.000 1.000 -1.38e+04 1.38e+04
===================================================================================
Ljung-Box (L1) (Q): 0.23 Jarque-Bera (JB): 1.80
Prob(Q): 0.63 Prob(JB): 0.41
Heteroskedasticity (H): 4.17 Skew: 0.87
Prob(H) (two-sided): 0.20 Kurtosis: 2.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.80706455404402, Current Price: 161.32
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.425
Date: Wed, 09 Oct 2024 AIC 54.850
Time: 14:41:34 BIC 57.675
Sample: 0 HQIC 54.270
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1819 0.928 0.196 0.845 -1.637 2.000
ma.L1 -1.0000 1.02e+04 -9.77e-05 1.000 -2.01e+04 2.01e+04
ar.S.L7 -0.0029 0.004 -0.793 0.428 -0.010 0.004
ma.S.L7 -1.0001 1.74e+04 -5.75e-05 1.000 -3.41e+04 3.41e+04
sigma2 1.0039 2.46e+04 4.08e-05 1.000 -4.83e+04 4.83e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.93
Prob(Q): 0.92 Prob(JB): 0.63
Heteroskedasticity (H): 2.01 Skew: 0.56
Prob(H) (two-sided): 0.51 Kurtosis: 2.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.20717867489458, Current Price: 164.22
SELL EXECUTED at 164.22
SELL ORDER COMPLETED at 164.27
OPERATION PROFIT, GROSS 1.920000000000016, NET 1.5933800000000158
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.494
Date: Wed, 09 Oct 2024 AIC 56.987
Time: 14:41:34 BIC 59.812
Sample: 0 HQIC 56.407
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0888 0.813 0.109 0.913 -1.505 1.683
ma.L1 -1.0000 1.09e+04 -9.15e-05 1.000 -2.14e+04 2.14e+04
ar.S.L7 0.0026 0.005 0.572 0.567 -0.006 0.012
ma.S.L7 -0.6075 0.715 -0.849 0.396 -2.010 0.795
sigma2 1.6403 1.79e+04 9.15e-05 1.000 -3.51e+04 3.51e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.04
Prob(Q): 0.97 Prob(JB): 0.60
Heteroskedasticity (H): 1.21 Skew: 0.27
Prob(H) (two-sided): 0.86 Kurtosis: 1.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.92921866482297, Current Price: 164.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.026
Date: Wed, 09 Oct 2024 AIC 58.052
Time: 14:41:34 BIC 60.877
Sample: 0 HQIC 57.471
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1913 0.619 0.309 0.757 -1.022 1.405
ma.L1 -1.0000 8840.070 -0.000 1.000 -1.73e+04 1.73e+04
ar.S.L7 -0.0847 0.363 -0.233 0.816 -0.797 0.627
ma.S.L7 -0.2503 0.626 -0.400 0.689 -1.476 0.976
sigma2 1.9994 1.77e+04 0.000 1.000 -3.46e+04 3.46e+04
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 1.03
Prob(Q): 0.64 Prob(JB): 0.60
Heteroskedasticity (H): 1.14 Skew: 0.36
Prob(H) (two-sided): 0.90 Kurtosis: 1.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.29840567797825, Current Price: 165.36
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.584
Date: Wed, 09 Oct 2024 AIC 59.168
Time: 14:41:34 BIC 61.992
Sample: 0 HQIC 58.587
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4197 0.648 0.648 0.517 -0.851 1.690
ma.L1 -1.0000 4301.281 -0.000 1.000 -8431.356 8429.356
ar.S.L7 -0.2892 0.409 -0.707 0.480 -1.091 0.513
ma.S.L7 -0.5572 1.347 -0.414 0.679 -3.198 2.083
sigma2 1.9148 8235.783 0.000 1.000 -1.61e+04 1.61e+04
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 1.40
Prob(Q): 0.80 Prob(JB): 0.50
Heteroskedasticity (H): 2.13 Skew: 0.36
Prob(H) (two-sided): 0.48 Kurtosis: 1.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.24795077290773, Current Price: 164.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.874
Date: Wed, 09 Oct 2024 AIC 57.747
Time: 14:41:34 BIC 60.572
Sample: 0 HQIC 57.166
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4113 0.508 0.810 0.418 -0.583 1.406
ma.L1 -1.0000 1.51e+04 -6.61e-05 1.000 -2.97e+04 2.97e+04
ar.S.L7 -0.4669 0.834 -0.560 0.575 -2.101 1.167
ma.S.L7 -1.7502 4.342 -0.403 0.687 -10.260 6.759
sigma2 0.5499 8321.278 6.61e-05 1.000 -1.63e+04 1.63e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.00
Prob(Q): 0.92 Prob(JB): 0.61
Heteroskedasticity (H): 2.17 Skew: 0.25
Prob(H) (two-sided): 0.47 Kurtosis: 1.74
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.8682994774173, Current Price: 165.03
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.395
Date: Wed, 09 Oct 2024 AIC 60.790
Time: 14:41:34 BIC 63.615
Sample: 0 HQIC 60.209
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2051 1.549 0.132 0.895 -2.831 3.241
ma.L1 -0.5634 1.241 -0.454 0.650 -2.995 1.868
ar.S.L7 -0.4225 0.576 -0.734 0.463 -1.550 0.706
ma.S.L7 -0.0909 0.737 -0.123 0.902 -1.536 1.354
sigma2 2.8988 1.810 1.602 0.109 -0.649 6.446
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.59
Prob(Q): 0.97 Prob(JB): 0.74
Heteroskedasticity (H): 1.34 Skew: -0.16
Prob(H) (two-sided): 0.79 Kurtosis: 2.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.16044358562874, Current Price: 164.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.822
Date: Wed, 09 Oct 2024 AIC 59.645
Time: 14:41:34 BIC 62.469
Sample: 0 HQIC 59.064
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2766 2.420 0.114 0.909 -4.467 5.021
ma.L1 -0.4713 2.179 -0.216 0.829 -4.741 3.799
ar.S.L7 -0.6482 0.271 -2.388 0.017 -1.180 -0.116
ma.S.L7 1.0001 9015.887 0.000 1.000 -1.77e+04 1.77e+04
sigma2 1.6067 1.45e+04 0.000 1.000 -2.84e+04 2.84e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.58
Prob(Q): 0.92 Prob(JB): 0.75
Heteroskedasticity (H): 1.05 Skew: -0.29
Prob(H) (two-sided): 0.97 Kurtosis: 2.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.94443205295374, Current Price: 164.23
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.884
Date: Wed, 09 Oct 2024 AIC 59.769
Time: 14:41:34 BIC 62.594
Sample: 0 HQIC 59.188
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2191 1.575 0.139 0.889 -2.868 3.306
ma.L1 -0.4592 1.467 -0.313 0.754 -3.334 2.416
ar.S.L7 -0.5794 0.395 -1.466 0.143 -1.354 0.195
ma.S.L7 0.3461 0.827 0.419 0.676 -1.274 1.967
sigma2 2.5600 2.523 1.015 0.310 -2.385 7.505
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.38
Prob(Q): 0.97 Prob(JB): 0.83
Heteroskedasticity (H): 0.23 Skew: -0.08
Prob(H) (two-sided): 0.19 Kurtosis: 2.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.7348223811611, Current Price: 163.92
BUY EXECUTED at 163.92
BUY ORDER COMPLETED at 164.5701
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.939
Date: Wed, 09 Oct 2024 AIC 61.877
Time: 14:41:34 BIC 64.702
Sample: 0 HQIC 61.297
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3477 2.077 0.167 0.867 -3.722 4.418
ma.L1 -0.6134 1.778 -0.345 0.730 -4.099 2.872
ar.S.L7 -0.5079 0.591 -0.859 0.390 -1.666 0.651
ma.S.L7 0.0702 1.067 0.066 0.948 -2.021 2.161
sigma2 3.1586 3.424 0.922 0.356 -3.553 9.870
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.69
Prob(Q): 0.82 Prob(JB): 0.71
Heteroskedasticity (H): 0.60 Skew: -0.02
Prob(H) (two-sided): 0.63 Kurtosis: 1.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.3074874223662, Current Price: 164.66
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.174
Date: Wed, 09 Oct 2024 AIC 58.347
Time: 14:41:35 BIC 61.172
Sample: 0 HQIC 57.767
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3658 3.226 0.113 0.910 -5.957 6.688
ma.L1 -0.6452 2.569 -0.251 0.802 -5.680 4.390
ar.S.L7 -0.0446 1.014 -0.044 0.965 -2.031 1.942
ma.S.L7 -1.0001 8985.892 -0.000 1.000 -1.76e+04 1.76e+04
sigma2 1.4455 1.3e+04 0.000 1.000 -2.55e+04 2.55e+04
===================================================================================
Ljung-Box (L1) (Q): 0.39 Jarque-Bera (JB): 0.16
Prob(Q): 0.53 Prob(JB): 0.92
Heteroskedasticity (H): 0.35 Skew: 0.19
Prob(H) (two-sided): 0.33 Kurtosis: 2.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.64244241680123, Current Price: 167.59
SELL EXECUTED at 167.59
SELL ORDER COMPLETED at 168.19
OPERATION PROFIT, GROSS 3.6199000000000012, NET 3.2871399000000014
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.960
Date: Wed, 09 Oct 2024 AIC 61.919
Time: 14:41:35 BIC 64.744
Sample: 0 HQIC 61.339
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0641 1.314 0.049 0.961 -2.511 2.639
ma.L1 -0.4691 0.953 -0.492 0.623 -2.337 1.399
ar.S.L7 -0.0002 0.044 -0.003 0.997 -0.086 0.086
ma.S.L7 -0.4266 0.409 -1.044 0.297 -1.228 0.375
sigma2 3.1272 2.074 1.508 0.132 -0.938 7.192
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.44
Prob(Q): 0.91 Prob(JB): 0.80
Heteroskedasticity (H): 0.66 Skew: -0.29
Prob(H) (two-sided): 0.70 Kurtosis: 2.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 165.9879530116301, Current Price: 168.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.151
Date: Wed, 09 Oct 2024 AIC 58.303
Time: 14:41:35 BIC 61.127
Sample: 0 HQIC 57.722
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3241 1.339 0.242 0.809 -2.300 2.949
ma.L1 -0.5113 1.123 -0.455 0.649 -2.712 1.690
ar.S.L7 -0.2084 0.514 -0.406 0.685 -1.215 0.798
ma.S.L7 0.1311 0.670 0.196 0.845 -1.182 1.444
sigma2 2.3890 1.467 1.629 0.103 -0.485 5.263
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 1.45
Prob(Q): 0.81 Prob(JB): 0.48
Heteroskedasticity (H): 2.04 Skew: -0.82
Prob(H) (two-sided): 0.51 Kurtosis: 3.05
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.07263123462306, Current Price: 165.33
BUY EXECUTED at 165.33
BUY ORDER COMPLETED at 165.42
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -127.477
Date: Wed, 09 Oct 2024 AIC 264.954
Time: 14:41:35 BIC 267.779
Sample: 0 HQIC 264.374
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 28.8461 495.596 0.058 0.954 -942.504 1000.197
ma.L1 39.4489 1025.734 0.038 0.969 -1970.952 2049.850
ar.S.L7 80.2813 1368.133 0.059 0.953 -2601.211 2761.774
ma.S.L7 -1.5736 4.943 -0.318 0.750 -11.261 8.114
sigma2 4617.8032 2.35e+05 0.020 0.984 -4.55e+05 4.65e+05
===================================================================================
Ljung-Box (L1) (Q): 0.33 Jarque-Bera (JB): 0.32
Prob(Q): 0.56 Prob(JB): 0.85
Heteroskedasticity (H): 2.22 Skew: 0.32
Prob(H) (two-sided): 0.46 Kurtosis: 2.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: -5332.007878614597, Current Price: 164.92
SELL EXECUTED at 164.92
SELL ORDER COMPLETED at 166.5
OPERATION PROFIT, GROSS 1.0800000000000125, NET 0.7480800000000125
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.464
Date: Wed, 09 Oct 2024 AIC 58.929
Time: 14:41:35 BIC 61.753
Sample: 0 HQIC 58.348
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4221 1.235 0.342 0.733 -1.999 2.843
ma.L1 -0.7517 0.975 -0.771 0.441 -2.663 1.159
ar.S.L7 -0.0947 0.487 -0.195 0.846 -1.049 0.859
ma.S.L7 -0.0940 0.667 -0.141 0.888 -1.401 1.213
sigma2 2.5003 2.209 1.132 0.258 -1.829 6.830
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.57
Prob(Q): 0.97 Prob(JB): 0.46
Heteroskedasticity (H): 1.41 Skew: -0.85
Prob(H) (two-sided): 0.75 Kurtosis: 3.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.9288098943404, Current Price: 165.45
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.221
Date: Wed, 09 Oct 2024 AIC 58.441
Time: 14:41:35 BIC 61.266
Sample: 0 HQIC 57.861
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4278 3.397 0.126 0.900 -6.231 7.087
ma.L1 -0.5903 3.222 -0.183 0.855 -6.906 5.725
ar.S.L7 -0.2613 0.320 -0.817 0.414 -0.888 0.366
ma.S.L7 -0.1715 0.637 -0.269 0.788 -1.421 1.078
sigma2 2.4020 2.084 1.152 0.249 -1.683 6.487
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.82
Prob(Q): 0.99 Prob(JB): 0.66
Heteroskedasticity (H): 1.24 Skew: -0.61
Prob(H) (two-sided): 0.84 Kurtosis: 3.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.27774182389422, Current Price: 166.9
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.876
Date: Wed, 09 Oct 2024 AIC 55.752
Time: 14:41:35 BIC 58.577
Sample: 0 HQIC 55.172
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5918 0.280 2.114 0.035 0.043 1.141
ma.L1 -1.0000 1.25e+04 -8.02e-05 1.000 -2.44e+04 2.44e+04
ar.S.L7 -0.2775 0.333 -0.834 0.405 -0.930 0.375
ma.S.L7 -0.1514 0.708 -0.214 0.831 -1.540 1.237
sigma2 1.6505 2.06e+04 8.02e-05 1.000 -4.03e+04 4.03e+04
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.82
Prob(Q): 0.80 Prob(JB): 0.66
Heteroskedasticity (H): 2.59 Skew: -0.61
Prob(H) (two-sided): 0.38 Kurtosis: 3.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.05935855506084, Current Price: 166.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.955
Date: Wed, 09 Oct 2024 AIC 53.909
Time: 14:41:35 BIC 56.734
Sample: 0 HQIC 53.329
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1575 0.745 0.211 0.833 -1.303 1.618
ma.L1 -1.0000 4712.544 -0.000 1.000 -9237.416 9235.416
ar.S.L7 0.0555 0.287 0.193 0.847 -0.507 0.618
ma.S.L7 1.0000 2.74e+04 3.65e-05 1.000 -5.37e+04 5.37e+04
sigma2 0.9721 2.81e+04 3.45e-05 1.000 -5.52e+04 5.52e+04
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.77
Prob(Q): 0.81 Prob(JB): 0.68
Heteroskedasticity (H): 0.97 Skew: -0.21
Prob(H) (two-sided): 0.97 Kurtosis: 1.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.45151452181233, Current Price: 167.77
BUY EXECUTED at 167.77
BUY ORDER COMPLETED at 168.66
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.822
Date: Wed, 09 Oct 2024 AIC 53.643
Time: 14:41:35 BIC 56.468
Sample: 0 HQIC 53.063
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0031 0.413 0.008 0.994 -0.806 0.813
ma.L1 -1.0000 1.04e+04 -9.63e-05 1.000 -2.04e+04 2.04e+04
ar.S.L7 0.0290 0.184 0.158 0.875 -0.332 0.390
ma.S.L7 -0.1413 0.404 -0.350 0.727 -0.933 0.650
sigma2 1.4481 1.5e+04 9.63e-05 1.000 -2.95e+04 2.95e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.03
Prob(Q): 0.95 Prob(JB): 0.60
Heteroskedasticity (H): 0.54 Skew: -0.10
Prob(H) (two-sided): 0.57 Kurtosis: 1.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.17164492605278, Current Price: 168.93
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.972
Date: Wed, 09 Oct 2024 AIC 49.943
Time: 14:41:35 BIC 52.768
Sample: 0 HQIC 49.363
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0257 0.481 -0.053 0.957 -0.968 0.916
ma.L1 -1.0000 1.35e+04 -7.41e-05 1.000 -2.64e+04 2.64e+04
ar.S.L7 -0.0851 0.142 -0.601 0.548 -0.363 0.192
ma.S.L7 -0.8841 4.568 -0.194 0.847 -9.838 8.070
sigma2 0.7203 9720.137 7.41e-05 1.000 -1.91e+04 1.91e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.74
Prob(Q): 0.84 Prob(JB): 0.69
Heteroskedasticity (H): 0.27 Skew: -0.21
Prob(H) (two-sided): 0.23 Kurtosis: 1.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.6367738413087, Current Price: 167.68
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.806
Date: Wed, 09 Oct 2024 AIC 49.613
Time: 14:41:35 BIC 52.438
Sample: 0 HQIC 49.032
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0228 0.452 -0.050 0.960 -0.909 0.863
ma.L1 -1.0000 7573.646 -0.000 1.000 -1.48e+04 1.48e+04
ar.S.L7 -0.0964 0.153 -0.628 0.530 -0.397 0.204
ma.S.L7 -0.8809 4.131 -0.213 0.831 -8.977 7.216
sigma2 0.7040 5332.504 0.000 1.000 -1.05e+04 1.05e+04
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 0.47
Prob(Q): 0.71 Prob(JB): 0.79
Heteroskedasticity (H): 0.22 Skew: -0.10
Prob(H) (two-sided): 0.17 Kurtosis: 2.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.65395424658158, Current Price: 168.12
SELL EXECUTED at 168.12
SELL ORDER COMPLETED at 168.98
OPERATION PROFIT, GROSS 0.3199999999999932, NET -0.017640000000006817
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.347
Date: Wed, 09 Oct 2024 AIC 50.695
Time: 14:41:35 BIC 53.519
Sample: 0 HQIC 50.114
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0267 0.438 -0.061 0.951 -0.885 0.832
ma.L1 -1.0000 1.12e+04 -8.94e-05 1.000 -2.19e+04 2.19e+04
ar.S.L7 0.0053 0.025 0.209 0.834 -0.044 0.055
ma.S.L7 -1.0001 7762.925 -0.000 1.000 -1.52e+04 1.52e+04
sigma2 0.6988 7139.573 9.79e-05 1.000 -1.4e+04 1.4e+04
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.61
Prob(Q): 0.80 Prob(JB): 0.74
Heteroskedasticity (H): 0.38 Skew: -0.17
Prob(H) (two-sided): 0.37 Kurtosis: 2.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.8095164200609, Current Price: 168.08
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.315
Date: Wed, 09 Oct 2024 AIC 46.630
Time: 14:41:35 BIC 49.455
Sample: 0 HQIC 46.050
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2583 0.596 0.434 0.665 -0.910 1.426
ma.L1 -1.0000 1.04e+04 -9.58e-05 1.000 -2.05e+04 2.05e+04
ar.S.L7 0.0513 0.207 0.247 0.805 -0.355 0.458
ma.S.L7 -1.0002 5786.315 -0.000 1.000 -1.13e+04 1.13e+04
sigma2 0.5029 4486.610 0.000 1.000 -8793.090 8794.096
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.90
Prob(Q): 0.83 Prob(JB): 0.64
Heteroskedasticity (H): 0.40 Skew: -0.52
Prob(H) (two-sided): 0.40 Kurtosis: 2.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.7909574510714, Current Price: 166.65
BUY EXECUTED at 166.65
BUY ORDER COMPLETED at 167.38
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.107
Date: Wed, 09 Oct 2024 AIC 50.214
Time: 14:41:35 BIC 53.039
Sample: 0 HQIC 49.633
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0244 0.406 0.060 0.952 -0.771 0.819
ma.L1 -1.0000 9041.429 -0.000 1.000 -1.77e+04 1.77e+04
ar.S.L7 0.0391 0.190 0.206 0.837 -0.333 0.411
ma.S.L7 -0.6167 1.095 -0.563 0.573 -2.762 1.528
sigma2 0.9150 8272.660 0.000 1.000 -1.62e+04 1.62e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.84
Prob(Q): 0.93 Prob(JB): 0.66
Heteroskedasticity (H): 1.06 Skew: -0.40
Prob(H) (two-sided): 0.96 Kurtosis: 2.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.37874441115684, Current Price: 167.52
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.085
Date: Wed, 09 Oct 2024 AIC 46.169
Time: 14:41:35 BIC 48.994
Sample: 0 HQIC 45.589
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4218 0.046 9.234 0.000 0.332 0.511
ma.L1 -1.0000 4267.103 -0.000 1.000 -8364.367 8362.367
ar.S.L7 -0.8932 0.303 -2.952 0.003 -1.486 -0.300
ma.S.L7 0.4035 0.389 1.038 0.299 -0.358 1.165
sigma2 0.7687 3280.447 0.000 1.000 -6428.789 6430.326
===================================================================================
Ljung-Box (L1) (Q): 2.25 Jarque-Bera (JB): 0.83
Prob(Q): 0.13 Prob(JB): 0.66
Heteroskedasticity (H): 0.23 Skew: -0.57
Prob(H) (two-sided): 0.19 Kurtosis: 2.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.88597804427903, Current Price: 167.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.502
Date: Wed, 09 Oct 2024 AIC 49.004
Time: 14:41:35 BIC 51.829
Sample: 0 HQIC 48.424
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0501 0.575 0.087 0.931 -1.078 1.178
ma.L1 -1.0000 1560.403 -0.001 0.999 -3059.334 3057.334
ar.S.L7 -0.7345 0.371 -1.977 0.048 -1.462 -0.006
ma.S.L7 0.4301 0.619 0.695 0.487 -0.783 1.643
sigma2 0.9927 1548.865 0.001 0.999 -3034.726 3036.712
===================================================================================
Ljung-Box (L1) (Q): 0.52 Jarque-Bera (JB): 1.65
Prob(Q): 0.47 Prob(JB): 0.44
Heteroskedasticity (H): 3.48 Skew: -0.87
Prob(H) (two-sided): 0.25 Kurtosis: 3.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.61579597813144, Current Price: 165.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.305
Date: Wed, 09 Oct 2024 AIC 52.610
Time: 14:41:35 BIC 55.435
Sample: 0 HQIC 52.029
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3586 14.415 0.025 0.980 -27.895 28.612
ma.L1 -0.3265 14.573 -0.022 0.982 -28.888 28.235
ar.S.L7 -0.5269 0.426 -1.237 0.216 -1.362 0.308
ma.S.L7 0.0650 0.737 0.088 0.930 -1.380 1.510
sigma2 1.5499 0.985 1.573 0.116 -0.381 3.481
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 1.08
Prob(Q): 0.65 Prob(JB): 0.58
Heteroskedasticity (H): 6.75 Skew: -0.43
Prob(H) (two-sided): 0.09 Kurtosis: 1.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.6740743742931, Current Price: 167.65
SELL EXECUTED at 167.65
SELL ORDER COMPLETED at 168.42
OPERATION PROFIT, GROSS 1.039999999999992, NET 0.704199999999992
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.513
Date: Wed, 09 Oct 2024 AIC 57.025
Time: 14:41:35 BIC 59.850
Sample: 0 HQIC 56.444
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3582 2.686 0.133 0.894 -4.906 5.623
ma.L1 -0.7305 2.227 -0.328 0.743 -5.095 3.634
ar.S.L7 -0.3214 0.744 -0.432 0.666 -1.780 1.137
ma.S.L7 -0.8199 4.640 -0.177 0.860 -9.913 8.274
sigma2 1.5347 6.856 0.224 0.823 -11.903 14.972
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.77
Prob(Q): 0.81 Prob(JB): 0.68
Heteroskedasticity (H): 10.61 Skew: -0.42
Prob(H) (two-sided): 0.04 Kurtosis: 2.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.80444033766378, Current Price: 169.84
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.099
Date: Wed, 09 Oct 2024 AIC 58.198
Time: 14:41:35 BIC 61.022
Sample: 0 HQIC 57.617
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4267 0.509 0.839 0.401 -0.570 1.423
ma.L1 -1.0000 4394.093 -0.000 1.000 -8613.263 8611.263
ar.S.L7 -0.3065 0.592 -0.518 0.605 -1.467 0.854
ma.S.L7 0.1591 1.326 0.120 0.905 -2.440 2.758
sigma2 2.1534 9462.675 0.000 1.000 -1.85e+04 1.85e+04
===================================================================================
Ljung-Box (L1) (Q): 0.35 Jarque-Bera (JB): 2.11
Prob(Q): 0.55 Prob(JB): 0.35
Heteroskedasticity (H): 8.01 Skew: -0.98
Prob(H) (two-sided): 0.07 Kurtosis: 2.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.3501648729509, Current Price: 170.45
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.103
Date: Wed, 09 Oct 2024 AIC 58.207
Time: 14:41:35 BIC 61.031
Sample: 0 HQIC 57.626
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4482 0.567 0.791 0.429 -0.662 1.559
ma.L1 -1.0000 5.84e+04 -1.71e-05 1.000 -1.15e+05 1.15e+05
ar.S.L7 -0.1434 0.764 -0.188 0.851 -1.641 1.355
ma.S.L7 0.1699 1.328 0.128 0.898 -2.432 2.772
sigma2 2.1656 1.27e+05 1.71e-05 1.000 -2.48e+05 2.48e+05
===================================================================================
Ljung-Box (L1) (Q): 0.47 Jarque-Bera (JB): 1.87
Prob(Q): 0.49 Prob(JB): 0.39
Heteroskedasticity (H): 5.63 Skew: -0.91
Prob(H) (two-sided): 0.12 Kurtosis: 2.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.29980677173359, Current Price: 171.29
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.155
Date: Wed, 09 Oct 2024 AIC 56.309
Time: 14:41:35 BIC 59.134
Sample: 0 HQIC 55.728
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2905 0.740 -0.392 0.695 -1.741 1.160
ma.L1 1.0000 1.4e+04 7.14e-05 1.000 -2.75e+04 2.75e+04
ar.S.L7 -0.2938 0.216 -1.363 0.173 -0.716 0.129
ma.S.L7 -0.4848 1.761 -0.275 0.783 -3.937 2.967
sigma2 1.7287 2.42e+04 7.14e-05 1.000 -4.75e+04 4.75e+04
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 0.34
Prob(Q): 0.71 Prob(JB): 0.84
Heteroskedasticity (H): 3.10 Skew: -0.24
Prob(H) (two-sided): 0.30 Kurtosis: 3.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.75854991086428, Current Price: 173.15
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.632
Date: Wed, 09 Oct 2024 AIC 57.264
Time: 14:41:35 BIC 60.089
Sample: 0 HQIC 56.684
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3307 0.830 -0.398 0.690 -1.957 1.296
ma.L1 1.0000 1.55e+04 6.47e-05 1.000 -3.03e+04 3.03e+04
ar.S.L7 -0.2615 0.300 -0.873 0.383 -0.849 0.326
ma.S.L7 -0.3069 1.375 -0.223 0.823 -3.001 2.388
sigma2 1.9640 3.04e+04 6.47e-05 1.000 -5.95e+04 5.95e+04
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.62
Prob(Q): 0.78 Prob(JB): 0.73
Heteroskedasticity (H): 0.53 Skew: -0.50
Prob(H) (two-sided): 0.55 Kurtosis: 3.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 174.54930717082968, Current Price: 174.12
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.239
Date: Wed, 09 Oct 2024 AIC 56.478
Time: 14:41:35 BIC 59.302
Sample: 0 HQIC 55.897
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3223 0.822 -0.392 0.695 -1.933 1.289
ma.L1 1.0000 3.11e+04 3.21e-05 1.000 -6.1e+04 6.1e+04
ar.S.L7 -0.2532 0.316 -0.801 0.423 -0.873 0.367
ma.S.L7 -0.2196 1.074 -0.204 0.838 -2.325 1.886
sigma2 1.8701 5.82e+04 3.21e-05 1.000 -1.14e+05 1.14e+05
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 0.30
Prob(Q): 0.71 Prob(JB): 0.86
Heteroskedasticity (H): 0.45 Skew: -0.31
Prob(H) (two-sided): 0.46 Kurtosis: 3.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.54531120048395, Current Price: 174.45
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.383
Date: Wed, 09 Oct 2024 AIC 56.766
Time: 14:41:35 BIC 59.591
Sample: 0 HQIC 56.186
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3531 0.774 -0.456 0.648 -1.871 1.165
ma.L1 1.0000 1.83e+04 5.47e-05 1.000 -3.58e+04 3.58e+04
ar.S.L7 -0.3231 0.357 -0.904 0.366 -1.024 0.378
ma.S.L7 -0.2007 1.315 -0.153 0.879 -2.777 2.376
sigma2 1.9196 3.51e+04 5.47e-05 1.000 -6.88e+04 6.88e+04
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 0.38
Prob(Q): 0.67 Prob(JB): 0.83
Heteroskedasticity (H): 0.47 Skew: -0.38
Prob(H) (two-sided): 0.49 Kurtosis: 3.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 175.21927534455742, Current Price: 174.18
BUY EXECUTED at 174.18
BUY ORDER COMPLETED at 173.97
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.578
Date: Wed, 09 Oct 2024 AIC 57.156
Time: 14:41:35 BIC 59.980
Sample: 0 HQIC 56.575
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3895 0.693 -0.562 0.574 -1.748 0.969
ma.L1 1.0000 8794.301 0.000 1.000 -1.72e+04 1.72e+04
ar.S.L7 -0.3377 0.449 -0.751 0.452 -1.219 0.543
ma.S.L7 -0.3208 0.903 -0.355 0.722 -2.090 1.449
sigma2 1.9471 1.71e+04 0.000 1.000 -3.36e+04 3.36e+04
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 0.02
Prob(Q): 0.62 Prob(JB): 0.99
Heteroskedasticity (H): 0.27 Skew: -0.09
Prob(H) (two-sided): 0.23 Kurtosis: 3.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 174.43023331656576, Current Price: 172.92
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.784
Date: Wed, 09 Oct 2024 AIC 55.569
Time: 14:41:35 BIC 58.394
Sample: 0 HQIC 54.988
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3717 0.604 -0.616 0.538 -1.555 0.812
ma.L1 1.0000 1.58e+04 6.34e-05 1.000 -3.09e+04 3.09e+04
ar.S.L7 -0.1131 0.389 -0.290 0.771 -0.876 0.650
ma.S.L7 -1.0000 3.32e+04 -3.01e-05 1.000 -6.51e+04 6.51e+04
sigma2 1.1211 5.04e+04 2.22e-05 1.000 -9.89e+04 9.89e+04
===================================================================================
Ljung-Box (L1) (Q): 0.36 Jarque-Bera (JB): 0.26
Prob(Q): 0.55 Prob(JB): 0.88
Heteroskedasticity (H): 0.24 Skew: -0.05
Prob(H) (two-sided): 0.19 Kurtosis: 2.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 172.74372890404047, Current Price: 174.5
SELL EXECUTED at 174.5
SELL ORDER COMPLETED at 173.96
OPERATION PROFIT, GROSS -0.009999999999990905, NET -0.3579299999999909
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.660
Date: Wed, 09 Oct 2024 AIC 55.320
Time: 14:41:36 BIC 58.144
Sample: 0 HQIC 54.739
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4690 0.487 -0.963 0.336 -1.424 0.486
ma.L1 1.0000 1.07e+04 9.38e-05 1.000 -2.09e+04 2.09e+04
ar.S.L7 -0.0560 0.472 -0.119 0.906 -0.981 0.869
ma.S.L7 -1.0000 1.36e+05 -7.34e-06 1.000 -2.67e+05 2.67e+05
sigma2 1.1057 1.55e+05 7.11e-06 1.000 -3.05e+05 3.05e+05
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 0.63
Prob(Q): 0.65 Prob(JB): 0.73
Heteroskedasticity (H): 0.57 Skew: -0.32
Prob(H) (two-sided): 0.60 Kurtosis: 2.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 175.7474322442248, Current Price: 173.94
BUY EXECUTED at 173.94
BUY ORDER COMPLETED at 173.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.002
Date: Wed, 09 Oct 2024 AIC 56.005
Time: 14:41:36 BIC 58.829
Sample: 0 HQIC 55.424
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5342 0.819 -0.652 0.514 -2.139 1.071
ma.L1 1.0000 2.48e+04 4.04e-05 1.000 -4.86e+04 4.86e+04
ar.S.L7 -0.0173 0.325 -0.053 0.957 -0.654 0.620
ma.S.L7 -1.0000 2.56e+04 -3.91e-05 1.000 -5.02e+04 5.02e+04
sigma2 1.1764 5.16e+04 2.28e-05 1.000 -1.01e+05 1.01e+05
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.73
Prob(Q): 0.75 Prob(JB): 0.69
Heteroskedasticity (H): 0.88 Skew: -0.02
Prob(H) (two-sided): 0.91 Kurtosis: 1.84
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.63276358514736, Current Price: 172.61
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.526
Date: Wed, 09 Oct 2024 AIC 57.053
Time: 14:41:36 BIC 59.877
Sample: 0 HQIC 56.472
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4447 0.302 -1.472 0.141 -1.037 0.147
ma.L1 1.0000 1.15e+04 8.69e-05 1.000 -2.26e+04 2.26e+04
ar.S.L7 -0.2005 0.588 -0.341 0.733 -1.352 0.951
ma.S.L7 -1.0001 1.18e+04 -8.47e-05 1.000 -2.31e+04 2.31e+04
sigma2 1.2612 1.86e+04 6.79e-05 1.000 -3.64e+04 3.64e+04
===================================================================================
Ljung-Box (L1) (Q): 2.08 Jarque-Bera (JB): 0.69
Prob(Q): 0.15 Prob(JB): 0.71
Heteroskedasticity (H): 0.79 Skew: 0.39
Prob(H) (two-sided): 0.82 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.44120801804934, Current Price: 168.74
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.767
Date: Wed, 09 Oct 2024 AIC 63.534
Time: 14:41:36 BIC 66.359
Sample: 0 HQIC 62.953
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2341 1.219 -0.192 0.848 -2.623 2.155
ma.L1 0.5837 1.302 0.448 0.654 -1.967 3.135
ar.S.L7 -0.5386 0.765 -0.704 0.481 -2.038 0.961
ma.S.L7 -0.1919 1.636 -0.117 0.907 -3.399 3.016
sigma2 3.5420 1.485 2.385 0.017 0.631 6.453
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 0.04
Prob(Q): 0.66 Prob(JB): 0.98
Heteroskedasticity (H): 1.21 Skew: 0.13
Prob(H) (two-sided): 0.86 Kurtosis: 3.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.01685163960838, Current Price: 167.28
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.413
Date: Wed, 09 Oct 2024 AIC 56.827
Time: 14:41:36 BIC 59.652
Sample: 0 HQIC 56.246
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0844 1.260 0.067 0.947 -2.386 2.555
ma.L1 0.3393 1.191 0.285 0.776 -1.995 2.673
ar.S.L7 -0.6277 0.523 -1.200 0.230 -1.652 0.397
ma.S.L7 -0.1204 1.145 -0.105 0.916 -2.365 2.124
sigma2 2.1348 1.184 1.803 0.071 -0.186 4.455
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 0.38
Prob(Q): 0.71 Prob(JB): 0.83
Heteroskedasticity (H): 6.41 Skew: -0.35
Prob(H) (two-sided): 0.10 Kurtosis: 2.55
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.48226629228517, Current Price: 167.12
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.087
Date: Wed, 09 Oct 2024 AIC 56.173
Time: 14:41:36 BIC 58.998
Sample: 0 HQIC 55.592
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4405 0.161 2.741 0.006 0.125 0.755
ma.L1 -0.2339 0.433 -0.540 0.589 -1.083 0.615
ar.S.L7 -0.6991 0.655 -1.067 0.286 -1.983 0.585
ma.S.L7 -1.0004 3139.763 -0.000 1.000 -6154.824 6152.823
sigma2 1.2075 3791.656 0.000 1.000 -7430.301 7432.716
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.35
Prob(Q): 0.93 Prob(JB): 0.51
Heteroskedasticity (H): 6.56 Skew: -0.78
Prob(H) (two-sided): 0.10 Kurtosis: 3.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.06834120951487, Current Price: 166.85
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.207
Date: Wed, 09 Oct 2024 AIC 56.415
Time: 14:41:36 BIC 59.239
Sample: 0 HQIC 55.834
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2556 0.751 0.340 0.734 -1.217 1.728
ma.L1 0.2114 0.718 0.295 0.768 -1.195 1.618
ar.S.L7 -0.5664 0.522 -1.085 0.278 -1.590 0.457
ma.S.L7 -0.5845 1.671 -0.350 0.727 -3.860 2.691
sigma2 1.7728 2.246 0.789 0.430 -2.629 6.174
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.20
Prob(Q): 0.86 Prob(JB): 0.90
Heteroskedasticity (H): 7.25 Skew: -0.06
Prob(H) (two-sided): 0.08 Kurtosis: 2.40
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.37462770484436, Current Price: 166.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.900
Date: Wed, 09 Oct 2024 AIC 57.801
Time: 14:41:36 BIC 60.625
Sample: 0 HQIC 57.220
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2500 0.711 0.352 0.725 -1.144 1.644
ma.L1 0.2445 0.717 0.341 0.733 -1.160 1.650
ar.S.L7 -0.5087 0.499 -1.020 0.308 -1.486 0.469
ma.S.L7 -0.3680 1.307 -0.282 0.778 -2.929 2.193
sigma2 2.1844 1.589 1.375 0.169 -0.930 5.299
===================================================================================
Ljung-Box (L1) (Q): 0.57 Jarque-Bera (JB): 0.24
Prob(Q): 0.45 Prob(JB): 0.88
Heteroskedasticity (H): 1.90 Skew: 0.27
Prob(H) (two-sided): 0.55 Kurtosis: 2.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.52136684047034, Current Price: 165.5
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.770
Date: Wed, 09 Oct 2024 AIC 57.541
Time: 14:41:36 BIC 60.366
Sample: 0 HQIC 56.960
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3740 1.061 0.353 0.724 -1.705 2.453
ma.L1 0.0649 1.125 0.058 0.954 -2.140 2.270
ar.S.L7 -0.5873 0.630 -0.932 0.351 -1.822 0.648
ma.S.L7 -0.2252 0.866 -0.260 0.795 -1.923 1.472
sigma2 2.2229 1.239 1.794 0.073 -0.206 4.652
===================================================================================
Ljung-Box (L1) (Q): 0.81 Jarque-Bera (JB): 0.37
Prob(Q): 0.37 Prob(JB): 0.83
Heteroskedasticity (H): 0.62 Skew: 0.40
Prob(H) (two-sided): 0.66 Kurtosis: 3.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 165.97584955349618, Current Price: 166.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.775
Date: Wed, 09 Oct 2024 AIC 57.551
Time: 14:41:36 BIC 60.375
Sample: 0 HQIC 56.970
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3193 0.930 0.343 0.731 -1.503 2.142
ma.L1 0.1229 0.992 0.124 0.901 -1.822 2.068
ar.S.L7 -0.5803 0.569 -1.020 0.308 -1.695 0.535
ma.S.L7 -0.2546 0.917 -0.278 0.781 -2.052 1.543
sigma2 2.2117 1.198 1.846 0.065 -0.137 4.560
===================================================================================
Ljung-Box (L1) (Q): 1.07 Jarque-Bera (JB): 0.32
Prob(Q): 0.30 Prob(JB): 0.85
Heteroskedasticity (H): 0.22 Skew: 0.38
Prob(H) (two-sided): 0.17 Kurtosis: 3.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 165.97772044913526, Current Price: 165.24
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.902
Date: Wed, 09 Oct 2024 AIC 57.804
Time: 14:41:36 BIC 60.629
Sample: 0 HQIC 57.224
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3355 0.750 0.448 0.654 -1.134 1.805
ma.L1 0.1354 0.795 0.170 0.865 -1.422 1.693
ar.S.L7 -0.5788 0.584 -0.991 0.322 -1.724 0.566
ma.S.L7 -0.1333 1.138 -0.117 0.907 -2.364 2.097
sigma2 2.2990 1.324 1.737 0.082 -0.296 4.894
===================================================================================
Ljung-Box (L1) (Q): 0.98 Jarque-Bera (JB): 0.54
Prob(Q): 0.32 Prob(JB): 0.76
Heteroskedasticity (H): 0.12 Skew: 0.50
Prob(H) (two-sided): 0.07 Kurtosis: 3.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.73851947512682, Current Price: 166.63
SELL EXECUTED at 166.63
SELL ORDER COMPLETED at 166.14
OPERATION PROFIT, GROSS -7.550000000000011, NET -7.8898300000000114
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.449
Date: Wed, 09 Oct 2024 AIC 58.898
Time: 14:41:36 BIC 61.723
Sample: 0 HQIC 58.317
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3814 1.182 0.323 0.747 -1.936 2.698
ma.L1 -0.0265 1.275 -0.021 0.983 -2.525 2.472
ar.S.L7 -0.7994 0.372 -2.150 0.032 -1.528 -0.071
ma.S.L7 0.4056 1.182 0.343 0.732 -1.912 2.723
sigma2 2.3452 2.290 1.024 0.306 -2.143 6.833
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.80
Prob(Q): 0.77 Prob(JB): 0.67
Heteroskedasticity (H): 0.32 Skew: 0.09
Prob(H) (two-sided): 0.30 Kurtosis: 1.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.24588289158524, Current Price: 166.22
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.402
Date: Wed, 09 Oct 2024 AIC 56.804
Time: 14:41:36 BIC 59.629
Sample: 0 HQIC 56.223
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6230 0.936 0.665 0.506 -1.212 2.458
ma.L1 -0.2658 1.033 -0.257 0.797 -2.291 1.760
ar.S.L7 -0.8884 0.447 -1.989 0.047 -1.764 -0.013
ma.S.L7 0.5070 1.361 0.373 0.710 -2.161 3.175
sigma2 1.8757 2.172 0.863 0.388 -2.382 6.133
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 0.67
Prob(Q): 0.71 Prob(JB): 0.71
Heteroskedasticity (H): 0.18 Skew: -0.27
Prob(H) (two-sided): 0.13 Kurtosis: 2.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.92094589872193, Current Price: 166.81
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.123
Date: Wed, 09 Oct 2024 AIC 54.246
Time: 14:41:36 BIC 57.071
Sample: 0 HQIC 53.666
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8135 0.333 2.445 0.014 0.161 1.466
ma.L1 -0.6086 0.601 -1.012 0.311 -1.787 0.570
ar.S.L7 -0.3711 0.908 -0.409 0.683 -2.150 1.408
ma.S.L7 -1.0002 8235.152 -0.000 1.000 -1.61e+04 1.61e+04
sigma2 1.0164 8370.642 0.000 1.000 -1.64e+04 1.64e+04
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 1.19
Prob(Q): 0.65 Prob(JB): 0.55
Heteroskedasticity (H): 0.48 Skew: -0.65
Prob(H) (two-sided): 0.50 Kurtosis: 3.72
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.3665457587659, Current Price: 166.9
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.070
Date: Wed, 09 Oct 2024 AIC 56.140
Time: 14:41:36 BIC 58.965
Sample: 0 HQIC 55.560
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5082 0.640 0.794 0.427 -0.747 1.763
ma.L1 0.0596 0.865 0.069 0.945 -1.635 1.755
ar.S.L7 -0.4717 0.446 -1.057 0.290 -1.346 0.403
ma.S.L7 0.0230 0.670 0.034 0.973 -1.290 1.336
sigma2 2.0357 1.631 1.248 0.212 -1.161 5.232
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 0.72
Prob(Q): 0.72 Prob(JB): 0.70
Heteroskedasticity (H): 0.53 Skew: -0.17
Prob(H) (two-sided): 0.56 Kurtosis: 1.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 165.68515946152314, Current Price: 165.88
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.291
Date: Wed, 09 Oct 2024 AIC 50.582
Time: 14:41:36 BIC 53.406
Sample: 0 HQIC 50.001
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7974 0.178 4.486 0.000 0.449 1.146
ma.L1 -1.0000 2638.317 -0.000 1.000 -5172.007 5170.007
ar.S.L7 -0.6158 0.495 -1.243 0.214 -1.587 0.355
ma.S.L7 -0.2261 0.955 -0.237 0.813 -2.098 1.645
sigma2 1.0918 2880.699 0.000 1.000 -5644.975 5647.158
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.74
Prob(Q): 0.75 Prob(JB): 0.69
Heteroskedasticity (H): 0.39 Skew: -0.18
Prob(H) (two-sided): 0.38 Kurtosis: 4.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 165.07562827761393, Current Price: 166.58
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.076
Date: Wed, 09 Oct 2024 AIC 44.152
Time: 14:41:36 BIC 46.977
Sample: 0 HQIC 43.572
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3505 1.271 0.276 0.783 -2.140 2.841
ma.L1 -0.2036 1.463 -0.139 0.889 -3.071 2.663
ar.S.L7 -0.3553 0.298 -1.192 0.233 -0.940 0.229
ma.S.L7 -0.2736 0.714 -0.383 0.701 -1.672 1.125
sigma2 0.7870 0.388 2.027 0.043 0.026 1.548
===================================================================================
Ljung-Box (L1) (Q): 0.35 Jarque-Bera (JB): 0.96
Prob(Q): 0.56 Prob(JB): 0.62
Heteroskedasticity (H): 1.31 Skew: 0.65
Prob(H) (two-sided): 0.80 Kurtosis: 2.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.678551574538, Current Price: 167.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.585
Date: Wed, 09 Oct 2024 AIC 49.171
Time: 14:41:36 BIC 51.995
Sample: 0 HQIC 48.590
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0933 4.225 0.022 0.982 -8.188 8.374
ma.L1 0.0197 3.825 0.005 0.996 -7.478 7.517
ar.S.L7 -0.2305 0.284 -0.812 0.417 -0.787 0.326
ma.S.L7 -1.0002 2696.442 -0.000 1.000 -5285.929 5283.928
sigma2 0.7175 1934.499 0.000 1.000 -3790.832 3792.267
===================================================================================
Ljung-Box (L1) (Q): 0.76 Jarque-Bera (JB): 1.04
Prob(Q): 0.38 Prob(JB): 0.59
Heteroskedasticity (H): 2.17 Skew: 0.24
Prob(H) (two-sided): 0.47 Kurtosis: 1.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.76624993049361, Current Price: 165.44
BUY EXECUTED at 165.44
BUY ORDER COMPLETED at 165.27
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.557
Date: Wed, 09 Oct 2024 AIC 53.114
Time: 14:41:36 BIC 55.938
Sample: 0 HQIC 52.533
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1279 9.105 0.014 0.989 -17.718 17.974
ma.L1 -0.0660 9.362 -0.007 0.994 -18.415 18.283
ar.S.L7 -0.4525 0.368 -1.230 0.219 -1.173 0.268
ma.S.L7 -0.1843 0.914 -0.202 0.840 -1.975 1.606
sigma2 1.5922 1.162 1.370 0.171 -0.685 3.870
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.87
Prob(Q): 0.80 Prob(JB): 0.65
Heteroskedasticity (H): 3.12 Skew: 0.49
Prob(H) (two-sided): 0.30 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 165.13843490887035, Current Price: 166.15
SELL EXECUTED at 166.15
SELL ORDER COMPLETED at 167.01
OPERATION PROFIT, GROSS 1.7399999999999807, NET 1.4077199999999808
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.675
Date: Wed, 09 Oct 2024 AIC 53.350
Time: 14:41:36 BIC 56.175
Sample: 0 HQIC 52.770
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5611 0.847 0.663 0.508 -1.099 2.221
ma.L1 -0.5691 1.092 -0.521 0.602 -2.710 1.572
ar.S.L7 -0.5083 0.296 -1.718 0.086 -1.088 0.072
ma.S.L7 -0.0341 1.210 -0.028 0.977 -2.405 2.337
sigma2 1.6274 1.046 1.556 0.120 -0.422 3.677
===================================================================================
Ljung-Box (L1) (Q): 0.68 Jarque-Bera (JB): 0.58
Prob(Q): 0.41 Prob(JB): 0.75
Heteroskedasticity (H): 4.81 Skew: 0.37
Prob(H) (two-sided): 0.16 Kurtosis: 2.27
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.24528018795084, Current Price: 168.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.222
Date: Wed, 09 Oct 2024 AIC 54.444
Time: 14:41:36 BIC 57.268
Sample: 0 HQIC 53.863
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1221 4.775 -0.026 0.980 -9.481 9.237
ma.L1 0.0455 4.608 0.010 0.992 -8.986 9.077
ar.S.L7 -0.4346 0.184 -2.364 0.018 -0.795 -0.074
ma.S.L7 0.2093 0.902 0.232 0.817 -1.559 1.978
sigma2 1.7565 0.944 1.860 0.063 -0.094 3.607
===================================================================================
Ljung-Box (L1) (Q): 1.73 Jarque-Bera (JB): 0.47
Prob(Q): 0.19 Prob(JB): 0.79
Heteroskedasticity (H): 1.92 Skew: -0.44
Prob(H) (two-sided): 0.54 Kurtosis: 2.68
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.96049728688456, Current Price: 167.8
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.546
Date: Wed, 09 Oct 2024 AIC 53.092
Time: 14:41:36 BIC 55.916
Sample: 0 HQIC 52.511
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1332 1.789 -0.074 0.941 -3.640 3.373
ma.L1 -0.0808 1.880 -0.043 0.966 -3.766 3.604
ar.S.L7 -0.4632 0.127 -3.636 0.000 -0.713 -0.214
ma.S.L7 0.3568 1.335 0.267 0.789 -2.260 2.973
sigma2 1.5264 0.831 1.838 0.066 -0.101 3.154
===================================================================================
Ljung-Box (L1) (Q): 2.73 Jarque-Bera (JB): 0.27
Prob(Q): 0.10 Prob(JB): 0.88
Heteroskedasticity (H): 1.21 Skew: -0.23
Prob(H) (two-sided): 0.86 Kurtosis: 3.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.84444306379646, Current Price: 167.09
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.738
Date: Wed, 09 Oct 2024 AIC 51.477
Time: 14:41:36 BIC 54.301
Sample: 0 HQIC 50.896
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1429 1.730 -0.083 0.934 -3.534 3.248
ma.L1 -0.0826 1.691 -0.049 0.961 -3.396 3.231
ar.S.L7 1.222e-06 0.131 9.29e-06 1.000 -0.258 0.258
ma.S.L7 -1.0913 4.295 -0.254 0.799 -9.509 7.327
sigma2 0.9194 4.312 0.213 0.831 -7.532 9.371
===================================================================================
Ljung-Box (L1) (Q): 1.58 Jarque-Bera (JB): 0.45
Prob(Q): 0.21 Prob(JB): 0.80
Heteroskedasticity (H): 1.16 Skew: 0.33
Prob(H) (two-sided): 0.89 Kurtosis: 2.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.58894408983346, Current Price: 167.02
BUY EXECUTED at 167.02
BUY ORDER COMPLETED at 167.58
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.131
Date: Wed, 09 Oct 2024 AIC 48.262
Time: 14:41:36 BIC 51.087
Sample: 0 HQIC 47.682
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6800 0.157 4.333 0.000 0.372 0.988
ma.L1 -1.0019 68.720 -0.015 0.988 -135.691 133.687
ar.S.L7 -0.1225 0.328 -0.374 0.708 -0.765 0.520
ma.S.L7 -2.9976 11.214 -0.267 0.789 -24.978 18.982
sigma2 0.0965 6.792 0.014 0.989 -13.215 13.408
===================================================================================
Ljung-Box (L1) (Q): 3.74 Jarque-Bera (JB): 0.11
Prob(Q): 0.05 Prob(JB): 0.94
Heteroskedasticity (H): 1.13 Skew: -0.17
Prob(H) (two-sided): 0.91 Kurtosis: 2.69
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.71589838979793, Current Price: 168.59
SELL EXECUTED at 168.59
SELL ORDER COMPLETED at 168.69
OPERATION PROFIT, GROSS 1.1099999999999852, NET 0.7737299999999852
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.488
Date: Wed, 09 Oct 2024 AIC 42.977
Time: 14:41:36 BIC 45.801
Sample: 0 HQIC 42.396
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5684 0.482 -1.179 0.239 -1.514 0.377
ma.L1 0.1938 0.418 0.464 0.643 -0.625 1.012
ar.S.L7 0.3879 0.228 1.702 0.089 -0.059 0.835
ma.S.L7 -1.0002 2482.814 -0.000 1.000 -4867.227 4865.226
sigma2 0.4236 1051.656 0.000 1.000 -2060.784 2061.631
===================================================================================
Ljung-Box (L1) (Q): 0.36 Jarque-Bera (JB): 0.10
Prob(Q): 0.55 Prob(JB): 0.95
Heteroskedasticity (H): 0.86 Skew: 0.22
Prob(H) (two-sided): 0.88 Kurtosis: 3.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.15840258715863, Current Price: 168.97
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.227
Date: Wed, 09 Oct 2024 AIC 48.454
Time: 14:41:36 BIC 51.279
Sample: 0 HQIC 47.873
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8063 0.358 -2.252 0.024 -1.508 -0.104
ma.L1 1.0000 1.13e+04 8.84e-05 1.000 -2.22e+04 2.22e+04
ar.S.L7 -0.0100 0.040 -0.249 0.804 -0.089 0.069
ma.S.L7 -1.0091 93.639 -0.011 0.991 -184.538 182.520
sigma2 0.6089 6934.719 8.78e-05 1.000 -1.36e+04 1.36e+04
===================================================================================
Ljung-Box (L1) (Q): 2.50 Jarque-Bera (JB): 0.83
Prob(Q): 0.11 Prob(JB): 0.66
Heteroskedasticity (H): 5.18 Skew: -0.59
Prob(H) (two-sided): 0.14 Kurtosis: 3.40
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.63183955789, Current Price: 169.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.655
Date: Wed, 09 Oct 2024 AIC 49.309
Time: 14:41:36 BIC 52.134
Sample: 0 HQIC 48.729
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0172 1.714 0.010 0.992 -3.342 3.376
ma.L1 -0.3102 1.647 -0.188 0.851 -3.538 2.917
ar.S.L7 -0.3613 0.203 -1.783 0.075 -0.758 0.036
ma.S.L7 0.5336 1.085 0.492 0.623 -1.593 2.660
sigma2 1.0569 0.740 1.428 0.153 -0.394 2.508
===================================================================================
Ljung-Box (L1) (Q): 1.34 Jarque-Bera (JB): 0.33
Prob(Q): 0.25 Prob(JB): 0.85
Heteroskedasticity (H): 0.70 Skew: 0.33
Prob(H) (two-sided): 0.74 Kurtosis: 2.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.46044878732482, Current Price: 168.64
BUY EXECUTED at 168.64
BUY ORDER COMPLETED at 167.36
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.854
Date: Wed, 09 Oct 2024 AIC 49.708
Time: 14:41:36 BIC 52.533
Sample: 0 HQIC 49.127
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2073 0.755 0.275 0.784 -1.272 1.686
ma.L1 -1.0000 9094.949 -0.000 1.000 -1.78e+04 1.78e+04
ar.S.L7 0.1450 0.123 1.181 0.237 -0.096 0.385
ma.S.L7 -1.0001 7676.124 -0.000 1.000 -1.5e+04 1.5e+04
sigma2 0.6363 7113.783 8.94e-05 1.000 -1.39e+04 1.39e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 2.37
Prob(Q): 0.96 Prob(JB): 0.31
Heteroskedasticity (H): 0.87 Skew: -1.04
Prob(H) (two-sided): 0.89 Kurtosis: 3.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.92207083817743, Current Price: 168.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.554
Date: Wed, 09 Oct 2024 AIC 49.108
Time: 14:41:36 BIC 51.933
Sample: 0 HQIC 48.527
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2049 0.900 0.228 0.820 -1.559 1.969
ma.L1 -1.0000 6026.366 -0.000 1.000 -1.18e+04 1.18e+04
ar.S.L7 0.1011 0.127 0.795 0.427 -0.148 0.350
ma.S.L7 -1.0001 1.34e+04 -7.49e-05 1.000 -2.62e+04 2.62e+04
sigma2 0.6076 7974.359 7.62e-05 1.000 -1.56e+04 1.56e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.98
Prob(Q): 0.97 Prob(JB): 0.61
Heteroskedasticity (H): 0.96 Skew: -0.66
Prob(H) (two-sided): 0.97 Kurtosis: 2.71
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.04699294120007, Current Price: 169.8
SELL EXECUTED at 169.8
SELL ORDER COMPLETED at 170.53
OPERATION PROFIT, GROSS 3.1699999999999875, NET 2.8321099999999877
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.714
Date: Wed, 09 Oct 2024 AIC 51.428
Time: 14:41:37 BIC 54.253
Sample: 0 HQIC 50.848
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0626 0.710 0.088 0.930 -1.329 1.454
ma.L1 -1.0000 3638.022 -0.000 1.000 -7131.391 7129.391
ar.S.L7 0.1191 0.135 0.883 0.377 -0.145 0.384
ma.S.L7 -1.0002 4606.918 -0.000 1.000 -9030.394 9028.393
sigma2 0.7229 3255.639 0.000 1.000 -6380.213 6381.659
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.75
Prob(Q): 0.89 Prob(JB): 0.69
Heteroskedasticity (H): 1.01 Skew: -0.50
Prob(H) (two-sided): 0.99 Kurtosis: 2.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.049229655566, Current Price: 170.96
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.669
Date: Wed, 09 Oct 2024 AIC 51.337
Time: 14:41:37 BIC 54.162
Sample: 0 HQIC 50.757
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4341 1.868 -0.232 0.816 -4.096 3.227
ma.L1 0.3135 1.992 0.157 0.875 -3.590 4.217
ar.S.L7 -0.8243 0.837 -0.985 0.325 -2.465 0.816
ma.S.L7 0.1738 0.396 0.439 0.661 -0.603 0.950
sigma2 1.3849 0.756 1.832 0.067 -0.097 2.866
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.11
Prob(Q): 0.89 Prob(JB): 0.95
Heteroskedasticity (H): 1.62 Skew: 0.04
Prob(H) (two-sided): 0.65 Kurtosis: 2.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.83826826059868, Current Price: 168.33
BUY EXECUTED at 168.33
BUY ORDER COMPLETED at 168.9
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.889
Date: Wed, 09 Oct 2024 AIC 51.779
Time: 14:41:37 BIC 54.604
Sample: 0 HQIC 51.198
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5681 0.410 1.385 0.166 -0.236 1.372
ma.L1 -1.0000 5492.530 -0.000 1.000 -1.08e+04 1.08e+04
ar.S.L7 -5.365e-05 0.048 -0.001 0.999 -0.093 0.093
ma.S.L7 -1.0001 4034.972 -0.000 1.000 -7909.401 7907.400
sigma2 0.9120 7874.533 0.000 1.000 -1.54e+04 1.54e+04
===================================================================================
Ljung-Box (L1) (Q): 0.31 Jarque-Bera (JB): 0.54
Prob(Q): 0.58 Prob(JB): 0.76
Heteroskedasticity (H): 6.15 Skew: -0.46
Prob(H) (two-sided): 0.11 Kurtosis: 2.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.81376546560358, Current Price: 169.57
SELL EXECUTED at 169.57
SELL ORDER COMPLETED at 170.62
OPERATION PROFIT, GROSS 1.7199999999999989, NET 1.3804799999999988
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.821
Date: Wed, 09 Oct 2024 AIC 51.642
Time: 14:41:37 BIC 54.467
Sample: 0 HQIC 51.062
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2106 0.951 0.222 0.825 -1.653 2.074
ma.L1 -1.0001 1915.016 -0.001 1.000 -3754.362 3752.362
ar.S.L7 -0.0015 0.007 -0.215 0.830 -0.015 0.012
ma.S.L7 -1.0001 7700.101 -0.000 1.000 -1.51e+04 1.51e+04
sigma2 0.8213 6259.807 0.000 1.000 -1.23e+04 1.23e+04
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 1.00
Prob(Q): 0.69 Prob(JB): 0.61
Heteroskedasticity (H): 5.16 Skew: -0.64
Prob(H) (two-sided): 0.14 Kurtosis: 2.57
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.8828869573304, Current Price: 169.06
BUY EXECUTED at 169.06
BUY ORDER COMPLETED at 167.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.403
Date: Wed, 09 Oct 2024 AIC 50.806
Time: 14:41:37 BIC 53.630
Sample: 0 HQIC 50.225
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1134 1.419 -0.080 0.936 -2.894 2.667
ma.L1 -0.4122 1.341 -0.308 0.758 -3.040 2.215
ar.S.L7 -0.6679 0.637 -1.049 0.294 -1.915 0.580
ma.S.L7 -1.0001 1.31e+04 -7.65e-05 1.000 -2.56e+04 2.56e+04
sigma2 0.8134 1.06e+04 7.65e-05 1.000 -2.08e+04 2.08e+04
===================================================================================
Ljung-Box (L1) (Q): 1.47 Jarque-Bera (JB): 0.38
Prob(Q): 0.23 Prob(JB): 0.83
Heteroskedasticity (H): 1.59 Skew: -0.41
Prob(H) (two-sided): 0.66 Kurtosis: 2.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.74277884191002, Current Price: 166.99
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.020
Date: Wed, 09 Oct 2024 AIC 58.041
Time: 14:41:37 BIC 60.866
Sample: 0 HQIC 57.460
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3503 0.739 0.474 0.635 -1.097 1.798
ma.L1 -1.0000 4054.432 -0.000 1.000 -7947.540 7945.540
ar.S.L7 -0.3441 0.651 -0.529 0.597 -1.619 0.931
ma.S.L7 -0.1797 0.935 -0.192 0.848 -2.012 1.652
sigma2 2.0510 8315.628 0.000 1.000 -1.63e+04 1.63e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.17
Prob(Q): 0.95 Prob(JB): 0.56
Heteroskedasticity (H): 3.04 Skew: -0.66
Prob(H) (two-sided): 0.31 Kurtosis: 2.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.67154631006437, Current Price: 167.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.046
Date: Wed, 09 Oct 2024 AIC 58.091
Time: 14:41:37 BIC 60.916
Sample: 0 HQIC 57.511
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3774 1.068 0.353 0.724 -1.717 2.471
ma.L1 -1.0000 4990.851 -0.000 1.000 -9782.887 9780.887
ar.S.L7 -0.3940 0.623 -0.632 0.527 -1.615 0.827
ma.S.L7 0.0871 0.720 0.121 0.904 -1.323 1.497
sigma2 2.1341 1.07e+04 0.000 1.000 -2.09e+04 2.09e+04
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.89
Prob(Q): 0.75 Prob(JB): 0.64
Heteroskedasticity (H): 2.21 Skew: -0.34
Prob(H) (two-sided): 0.46 Kurtosis: 1.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.5695265499224, Current Price: 168.26
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.162
Date: Wed, 09 Oct 2024 AIC 58.325
Time: 14:41:37 BIC 61.150
Sample: 0 HQIC 57.744
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3534 1.669 0.212 0.832 -2.917 3.624
ma.L1 -0.8030 1.783 -0.450 0.652 -4.297 2.691
ar.S.L7 -0.4053 0.708 -0.572 0.567 -1.794 0.983
ma.S.L7 -0.0328 0.775 -0.042 0.966 -1.552 1.487
sigma2 2.3724 2.342 1.013 0.311 -2.218 6.963
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.99
Prob(Q): 0.85 Prob(JB): 0.61
Heteroskedasticity (H): 1.57 Skew: -0.46
Prob(H) (two-sided): 0.67 Kurtosis: 2.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.44535964489535, Current Price: 170.29
SELL EXECUTED at 170.29
SELL ORDER COMPLETED at 170.19
OPERATION PROFIT, GROSS 3.030000000000001, NET 2.6926500000000013
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.793
Date: Wed, 09 Oct 2024 AIC 57.586
Time: 14:41:37 BIC 60.411
Sample: 0 HQIC 57.006
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3696 0.746 0.495 0.620 -1.093 1.832
ma.L1 -0.8868 0.904 -0.981 0.327 -2.659 0.885
ar.S.L7 -0.4752 0.619 -0.768 0.443 -1.689 0.738
ma.S.L7 -0.0061 0.760 -0.008 0.994 -1.495 1.483
sigma2 2.1995 1.305 1.685 0.092 -0.359 4.758
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.84
Prob(Q): 0.90 Prob(JB): 0.66
Heteroskedasticity (H): 3.01 Skew: -0.45
Prob(H) (two-sided): 0.31 Kurtosis: 2.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.6407969628487, Current Price: 170.74
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.741
Date: Wed, 09 Oct 2024 AIC 57.482
Time: 14:41:37 BIC 60.307
Sample: 0 HQIC 56.901
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3540 0.530 0.668 0.504 -0.684 1.392
ma.L1 -1.0000 4058.427 -0.000 1.000 -7955.370 7953.370
ar.S.L7 -0.4888 0.826 -0.591 0.554 -2.109 1.131
ma.S.L7 -0.1102 1.015 -0.109 0.914 -2.100 1.880
sigma2 1.9982 8110.474 0.000 1.000 -1.59e+04 1.59e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.82
Prob(Q): 0.99 Prob(JB): 0.66
Heteroskedasticity (H): 0.50 Skew: -0.51
Prob(H) (two-sided): 0.52 Kurtosis: 2.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.95039762209979, Current Price: 170.16
BUY EXECUTED at 170.16
BUY ORDER COMPLETED at 170.22
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.072
Date: Wed, 09 Oct 2024 AIC 58.144
Time: 14:41:37 BIC 60.969
Sample: 0 HQIC 57.563
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2657 0.521 0.510 0.610 -0.756 1.287
ma.L1 -0.8049 0.442 -1.822 0.068 -1.671 0.061
ar.S.L7 -0.5926 0.552 -1.073 0.283 -1.675 0.490
ma.S.L7 0.2377 1.019 0.233 0.816 -1.760 2.235
sigma2 2.3017 1.738 1.324 0.185 -1.104 5.708
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.63
Prob(Q): 0.94 Prob(JB): 0.73
Heteroskedasticity (H): 0.65 Skew: -0.14
Prob(H) (two-sided): 0.69 Kurtosis: 1.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.15538230129832, Current Price: 169.67
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.457
Date: Wed, 09 Oct 2024 AIC 56.913
Time: 14:41:37 BIC 59.738
Sample: 0 HQIC 56.332
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2874 0.479 0.600 0.549 -0.652 1.226
ma.L1 -0.8057 0.399 -2.021 0.043 -1.587 -0.024
ar.S.L7 -0.5588 0.493 -1.133 0.257 -1.525 0.408
ma.S.L7 0.3077 0.980 0.314 0.754 -1.614 2.229
sigma2 2.0653 1.466 1.409 0.159 -0.807 4.938
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.46
Prob(Q): 0.84 Prob(JB): 0.79
Heteroskedasticity (H): 0.41 Skew: -0.20
Prob(H) (two-sided): 0.41 Kurtosis: 2.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.87056665381084, Current Price: 169.39
SELL EXECUTED at 169.39
SELL ORDER COMPLETED at 170.3919
OPERATION PROFIT, GROSS 0.17189999999999372, NET -0.16871190000000624
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.432
Date: Wed, 09 Oct 2024 AIC 56.863
Time: 14:41:37 BIC 59.688
Sample: 0 HQIC 56.283
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4287 0.577 0.742 0.458 -0.703 1.560
ma.L1 -1.0000 9133.537 -0.000 1.000 -1.79e+04 1.79e+04
ar.S.L7 -0.2104 1.501 -0.140 0.889 -3.153 2.732
ma.S.L7 -0.4352 2.688 -0.162 0.871 -5.704 4.834
sigma2 1.7084 1.56e+04 0.000 1.000 -3.06e+04 3.06e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.35
Prob(Q): 0.99 Prob(JB): 0.51
Heteroskedasticity (H): 0.12 Skew: -0.78
Prob(H) (two-sided): 0.07 Kurtosis: 2.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.60510452900328, Current Price: 172.08
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.786
Date: Wed, 09 Oct 2024 AIC 57.573
Time: 14:41:37 BIC 60.398
Sample: 0 HQIC 56.992
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4034 0.392 1.030 0.303 -0.364 1.171
ma.L1 -1.0000 1.41e+04 -7.1e-05 1.000 -2.76e+04 2.76e+04
ar.S.L7 -0.3310 0.400 -0.828 0.408 -1.115 0.453
ma.S.L7 -0.4224 1.164 -0.363 0.717 -2.703 1.858
sigma2 1.8208 2.57e+04 7.1e-05 1.000 -5.03e+04 5.03e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.20
Prob(Q): 0.85 Prob(JB): 0.90
Heteroskedasticity (H): 0.71 Skew: -0.22
Prob(H) (two-sided): 0.75 Kurtosis: 2.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.28840616350487, Current Price: 171.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.804
Date: Wed, 09 Oct 2024 AIC 55.608
Time: 14:41:37 BIC 58.432
Sample: 0 HQIC 55.027
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3642 0.803 0.453 0.650 -1.211 1.939
ma.L1 -1.0000 7064.416 -0.000 1.000 -1.38e+04 1.38e+04
ar.S.L7 -0.2422 0.528 -0.459 0.646 -1.276 0.792
ma.S.L7 -1.0001 8644.630 -0.000 1.000 -1.69e+04 1.69e+04
sigma2 1.0095 1.35e+04 7.47e-05 1.000 -2.65e+04 2.65e+04
===================================================================================
Ljung-Box (L1) (Q): 0.94 Jarque-Bera (JB): 0.05
Prob(Q): 0.33 Prob(JB): 0.97
Heteroskedasticity (H): 0.48 Skew: -0.07
Prob(H) (two-sided): 0.50 Kurtosis: 2.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.7266744329434, Current Price: 171.09
BUY EXECUTED at 171.09
BUY ORDER COMPLETED at 171.78
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.846
Date: Wed, 09 Oct 2024 AIC 51.693
Time: 14:41:37 BIC 54.518
Sample: 0 HQIC 51.112
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4567 0.272 1.677 0.094 -0.077 0.990
ma.L1 -1.0001 1537.251 -0.001 0.999 -3013.956 3011.956
ar.S.L7 -0.1820 0.330 -0.551 0.581 -0.829 0.465
ma.S.L7 -1.0001 1.2e+04 -8.31e-05 1.000 -2.36e+04 2.36e+04
sigma2 0.7432 8282.839 8.97e-05 1.000 -1.62e+04 1.62e+04
===================================================================================
Ljung-Box (L1) (Q): 0.62 Jarque-Bera (JB): 1.06
Prob(Q): 0.43 Prob(JB): 0.59
Heteroskedasticity (H): 1.39 Skew: 0.66
Prob(H) (two-sided): 0.76 Kurtosis: 3.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.87944620446947, Current Price: 172.03
SELL EXECUTED at 172.03
SELL ORDER COMPLETED at 171.95
OPERATION PROFIT, GROSS 0.1699999999999875, NET -0.17373000000001249
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.214
Date: Wed, 09 Oct 2024 AIC 52.429
Time: 14:41:37 BIC 55.254
Sample: 0 HQIC 51.848
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4499 0.112 4.027 0.000 0.231 0.669
ma.L1 -0.8040 0.505 -1.591 0.112 -1.794 0.186
ar.S.L7 -0.1889 0.394 -0.480 0.632 -0.961 0.583
ma.S.L7 -1.0001 7842.293 -0.000 1.000 -1.54e+04 1.54e+04
sigma2 0.8868 6955.112 0.000 1.000 -1.36e+04 1.36e+04
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.57
Prob(Q): 0.82 Prob(JB): 0.75
Heteroskedasticity (H): 2.19 Skew: 0.51
Prob(H) (two-sided): 0.47 Kurtosis: 2.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 172.15893621852047, Current Price: 172.58
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.170
Date: Wed, 09 Oct 2024 AIC 54.340
Time: 14:41:37 BIC 57.165
Sample: 0 HQIC 53.759
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3095 1.134 0.273 0.785 -1.914 2.533
ma.L1 -0.7775 0.745 -1.044 0.296 -2.237 0.682
ar.S.L7 -0.3799 0.235 -1.615 0.106 -0.841 0.081
ma.S.L7 -0.3919 1.261 -0.311 0.756 -2.863 2.079
sigma2 1.6257 0.981 1.658 0.097 -0.296 3.548
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.06
Prob(Q): 0.96 Prob(JB): 0.97
Heteroskedasticity (H): 0.84 Skew: -0.04
Prob(H) (two-sided): 0.87 Kurtosis: 2.69
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.84543254113, Current Price: 169.79
BUY EXECUTED at 169.79
BUY ORDER COMPLETED at 168.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -75190.001
Date: Wed, 09 Oct 2024 AIC 150390.001
Time: 14:41:37 BIC 150392.826
Sample: 0 HQIC 150389.421
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1369 0.000 932.468 0.000 0.137 0.137
ma.L1 -0.3996 0.000 -2889.687 0.000 -0.400 -0.399
ar.S.L7 -115.0002 0.211 -545.421 0.000 -115.413 -114.587
ma.S.L7 9.126e-05 2.54e-05 3.593 0.000 4.15e-05 0.000
sigma2 3.1038 0.012 269.286 0.000 3.081 3.126
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 0.06
Prob(Q): 0.65 Prob(JB): 0.97
Heteroskedasticity (H): 0.60 Skew: -0.09
Prob(H) (two-sided): 0.63 Kurtosis: 3.27
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: -30.76929851527146, Current Price: 167.6
SELL EXECUTED at 167.6
SELL ORDER COMPLETED at 166.56
OPERATION PROFIT, GROSS -1.460000000000008, NET -1.7945800000000078
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.044
Date: Wed, 09 Oct 2024 AIC 54.087
Time: 14:41:37 BIC 56.912
Sample: 0 HQIC 53.506
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3028 0.712 0.425 0.670 -1.092 1.697
ma.L1 -1.0000 4704.774 -0.000 1.000 -9222.187 9220.187
ar.S.L7 -0.7161 0.388 -1.846 0.065 -1.477 0.044
ma.S.L7 -0.1065 0.669 -0.159 0.874 -1.418 1.205
sigma2 1.5339 7217.396 0.000 1.000 -1.41e+04 1.41e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.67
Prob(Q): 0.90 Prob(JB): 0.72
Heteroskedasticity (H): 2.32 Skew: 0.30
Prob(H) (two-sided): 0.44 Kurtosis: 2.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.57401451682992, Current Price: 167.1
BUY EXECUTED at 167.1
BUY ORDER COMPLETED at 167.79
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.181
Date: Wed, 09 Oct 2024 AIC 54.363
Time: 14:41:37 BIC 57.188
Sample: 0 HQIC 53.782
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3354 0.596 -0.562 0.574 -1.504 0.834
ma.L1 1.0000 2.18e+04 4.6e-05 1.000 -4.26e+04 4.26e+04
ar.S.L7 -0.6153 0.321 -1.915 0.056 -1.245 0.015
ma.S.L7 -0.4375 0.801 -0.546 0.585 -2.007 1.132
sigma2 1.5161 3.3e+04 4.6e-05 1.000 -6.46e+04 6.46e+04
===================================================================================
Ljung-Box (L1) (Q): 0.37 Jarque-Bera (JB): 0.75
Prob(Q): 0.54 Prob(JB): 0.69
Heteroskedasticity (H): 1.77 Skew: 0.18
Prob(H) (two-sided): 0.60 Kurtosis: 1.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.0634112737342, Current Price: 168.09
SELL EXECUTED at 168.09
SELL ORDER COMPLETED at 168.57
OPERATION PROFIT, GROSS 0.7800000000000011, NET 0.44364000000000114
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.923
Date: Wed, 09 Oct 2024 AIC 53.846
Time: 14:41:37 BIC 56.671
Sample: 0 HQIC 53.266
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2820 0.935 0.302 0.763 -1.550 2.114
ma.L1 -1.0000 1.93e+04 -5.18e-05 1.000 -3.79e+04 3.79e+04
ar.S.L7 -1.0232 0.437 -2.340 0.019 -1.880 -0.166
ma.S.L7 -0.4758 1.046 -0.455 0.649 -2.525 1.574
sigma2 1.3301 2.57e+04 5.18e-05 1.000 -5.04e+04 5.04e+04
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 2.94
Prob(Q): 0.70 Prob(JB): 0.23
Heteroskedasticity (H): 5.29 Skew: 1.13
Prob(H) (two-sided): 0.14 Kurtosis: 3.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.45981344075668, Current Price: 168.23
BUY EXECUTED at 168.23
BUY ORDER COMPLETED at 168.34
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.404
Date: Wed, 09 Oct 2024 AIC 56.809
Time: 14:41:37 BIC 59.634
Sample: 0 HQIC 56.228
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2961 1.789 0.166 0.868 -3.209 3.802
ma.L1 -0.4892 1.484 -0.330 0.742 -3.399 2.420
ar.S.L7 -0.4685 0.788 -0.595 0.552 -2.012 1.075
ma.S.L7 -0.4598 1.821 -0.253 0.801 -4.029 3.109
sigma2 1.9512 2.188 0.892 0.373 -2.337 6.240
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 1.16
Prob(Q): 0.83 Prob(JB): 0.56
Heteroskedasticity (H): 0.85 Skew: 0.67
Prob(H) (two-sided): 0.88 Kurtosis: 2.42
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.19360478743613, Current Price: 168.84
SELL EXECUTED at 168.84
SELL ORDER COMPLETED at 168.31
OPERATION PROFIT, GROSS -0.030000000000001137, NET -0.36665000000000114
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.252
Date: Wed, 09 Oct 2024 AIC 56.503
Time: 14:41:37 BIC 59.328
Sample: 0 HQIC 55.923
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4490 0.245 -1.834 0.067 -0.929 0.031
ma.L1 0.6607 0.446 1.480 0.139 -0.214 1.536
ar.S.L7 -0.2926 1.159 -0.252 0.801 -2.564 1.979
ma.S.L7 -0.3492 1.531 -0.228 0.820 -3.350 2.652
sigma2 1.9774 2.029 0.975 0.330 -1.999 5.954
===================================================================================
Ljung-Box (L1) (Q): 0.41 Jarque-Bera (JB): 1.14
Prob(Q): 0.52 Prob(JB): 0.57
Heteroskedasticity (H): 1.05 Skew: 0.11
Prob(H) (two-sided): 0.96 Kurtosis: 1.57
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.38165435585847, Current Price: 168.6
BUY EXECUTED at 168.6
BUY ORDER COMPLETED at 168.04
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.558
Date: Wed, 09 Oct 2024 AIC 55.117
Time: 14:41:37 BIC 57.942
Sample: 0 HQIC 54.536
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1999 2.051 -0.097 0.922 -4.220 3.820
ma.L1 0.3490 1.896 0.184 0.854 -3.367 4.065
ar.S.L7 -0.1836 0.467 -0.393 0.694 -1.100 0.732
ma.S.L7 -1.0002 7230.234 -0.000 1.000 -1.42e+04 1.42e+04
sigma2 1.1338 8198.536 0.000 1.000 -1.61e+04 1.61e+04
===================================================================================
Ljung-Box (L1) (Q): 0.32 Jarque-Bera (JB): 0.98
Prob(Q): 0.57 Prob(JB): 0.61
Heteroskedasticity (H): 0.34 Skew: 0.06
Prob(H) (two-sided): 0.33 Kurtosis: 1.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.68755256187973, Current Price: 168.86
SELL EXECUTED at 168.86
SELL ORDER COMPLETED at 169.45
OPERATION PROFIT, GROSS 1.4099999999999966, NET 1.0725099999999967
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.419
Date: Wed, 09 Oct 2024 AIC 54.837
Time: 14:41:37 BIC 57.662
Sample: 0 HQIC 54.256
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3676 2.777 0.132 0.895 -5.075 5.810
ma.L1 -0.4525 2.752 -0.164 0.869 -5.847 4.942
ar.S.L7 -0.3152 0.419 -0.752 0.452 -1.137 0.506
ma.S.L7 -1.0000 1.4e+04 -7.16e-05 1.000 -2.74e+04 2.74e+04
sigma2 1.1086 1.55e+04 7.16e-05 1.000 -3.04e+04 3.04e+04
===================================================================================
Ljung-Box (L1) (Q): 0.45 Jarque-Bera (JB): 0.54
Prob(Q): 0.50 Prob(JB): 0.77
Heteroskedasticity (H): 0.25 Skew: -0.01
Prob(H) (two-sided): 0.21 Kurtosis: 2.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.6565729545708, Current Price: 170.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.696
Date: Wed, 09 Oct 2024 AIC 55.392
Time: 14:41:37 BIC 58.216
Sample: 0 HQIC 54.811
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5136 0.886 -0.580 0.562 -2.250 1.223
ma.L1 0.5885 0.900 0.654 0.513 -1.175 2.352
ar.S.L7 -0.4168 0.414 -1.008 0.314 -1.228 0.394
ma.S.L7 -1.0001 8629.366 -0.000 1.000 -1.69e+04 1.69e+04
sigma2 1.1246 9704.965 0.000 1.000 -1.9e+04 1.9e+04
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.87
Prob(Q): 0.80 Prob(JB): 0.65
Heteroskedasticity (H): 0.92 Skew: 0.19
Prob(H) (two-sided): 0.94 Kurtosis: 1.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.75133531066092, Current Price: 170.63
BUY EXECUTED at 170.63
BUY ORDER COMPLETED at 170.68
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.575
Date: Wed, 09 Oct 2024 AIC 55.149
Time: 14:41:37 BIC 57.974
Sample: 0 HQIC 54.569
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3395 2.251 -0.151 0.880 -4.751 4.072
ma.L1 0.4719 1.919 0.246 0.806 -3.290 4.234
ar.S.L7 -0.3736 0.626 -0.597 0.551 -1.601 0.854
ma.S.L7 -1.0002 5067.511 -0.000 1.000 -9933.139 9931.139
sigma2 1.1392 5773.209 0.000 1.000 -1.13e+04 1.13e+04
===================================================================================
Ljung-Box (L1) (Q): 0.75 Jarque-Bera (JB): 1.14
Prob(Q): 0.39 Prob(JB): 0.56
Heteroskedasticity (H): 0.75 Skew: 0.19
Prob(H) (two-sided): 0.79 Kurtosis: 1.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.5553022559783, Current Price: 171.21
SELL EXECUTED at 171.21
SELL ORDER COMPLETED at 170.5201
OPERATION PROFIT, GROSS -0.15989999999999327, NET -0.5011000999999933
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.217
Date: Wed, 09 Oct 2024 AIC 54.435
Time: 14:41:37 BIC 57.260
Sample: 0 HQIC 53.854
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0878 1.296 -0.068 0.946 -2.627 2.451
ma.L1 -0.2189 1.131 -0.193 0.847 -2.436 1.998
ar.S.L7 -0.5453 0.566 -0.963 0.335 -1.655 0.564
ma.S.L7 -1.0002 6751.046 -0.000 1.000 -1.32e+04 1.32e+04
sigma2 1.0756 7262.266 0.000 1.000 -1.42e+04 1.42e+04
===================================================================================
Ljung-Box (L1) (Q): 0.43 Jarque-Bera (JB): 0.58
Prob(Q): 0.51 Prob(JB): 0.75
Heteroskedasticity (H): 0.83 Skew: 0.08
Prob(H) (two-sided): 0.86 Kurtosis: 1.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 172.0591477771679, Current Price: 170.56
BUY EXECUTED at 170.56
BUY ORDER COMPLETED at 170.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.188
Date: Wed, 09 Oct 2024 AIC 50.376
Time: 14:41:38 BIC 53.201
Sample: 0 HQIC 49.796
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6888 0.518 1.330 0.183 -0.326 1.703
ma.L1 -1.0000 8349.355 -0.000 1.000 -1.64e+04 1.64e+04
ar.S.L7 -0.8484 0.204 -4.162 0.000 -1.248 -0.449
ma.S.L7 0.0894 0.499 0.179 0.858 -0.888 1.067
sigma2 1.1239 9384.750 0.000 1.000 -1.84e+04 1.84e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.37
Prob(Q): 0.93 Prob(JB): 0.83
Heteroskedasticity (H): 0.75 Skew: 0.23
Prob(H) (two-sided): 0.78 Kurtosis: 2.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.29235501851923, Current Price: 173.81
SELL EXECUTED at 173.81
SELL ORDER COMPLETED at 173.78
OPERATION PROFIT, GROSS 3.030000000000001, NET 2.6854700000000014
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.302
Date: Wed, 09 Oct 2024 AIC 54.604
Time: 14:41:38 BIC 57.429
Sample: 0 HQIC 54.024
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3205 1.080 -0.297 0.767 -2.437 1.796
ma.L1 0.1349 1.500 0.090 0.928 -2.805 3.074
ar.S.L7 -0.8984 0.410 -2.191 0.028 -1.702 -0.095
ma.S.L7 -0.0485 0.854 -0.057 0.955 -1.722 1.625
sigma2 1.8084 1.005 1.799 0.072 -0.162 3.779
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.35
Prob(Q): 0.96 Prob(JB): 0.84
Heteroskedasticity (H): 0.92 Skew: 0.08
Prob(H) (two-sided): 0.94 Kurtosis: 2.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.82255305565386, Current Price: 174.74
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.980
Date: Wed, 09 Oct 2024 AIC 49.959
Time: 14:41:38 BIC 52.784
Sample: 0 HQIC 49.379
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8658 0.479 -1.806 0.071 -1.806 0.074
ma.L1 0.5866 0.879 0.667 0.504 -1.136 2.309
ar.S.L7 -0.8819 0.270 -3.272 0.001 -1.410 -0.354
ma.S.L7 -1.0007 1675.579 -0.001 1.000 -3285.074 3283.073
sigma2 0.7352 1232.179 0.001 1.000 -2414.292 2415.762
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.24
Prob(Q): 0.86 Prob(JB): 0.89
Heteroskedasticity (H): 1.64 Skew: 0.14
Prob(H) (two-sided): 0.64 Kurtosis: 2.40
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 172.71721491396315, Current Price: 173.08
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.203
Date: Wed, 09 Oct 2024 AIC 48.405
Time: 14:41:38 BIC 51.230
Sample: 0 HQIC 47.825
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8467 0.268 -3.164 0.002 -1.371 -0.322
ma.L1 0.6199 0.526 1.179 0.238 -0.410 1.650
ar.S.L7 -0.7962 0.409 -1.947 0.052 -1.598 0.005
ma.S.L7 -0.5238 1.385 -0.378 0.705 -3.239 2.192
sigma2 0.9656 0.857 1.126 0.260 -0.714 2.646
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 0.31
Prob(Q): 0.70 Prob(JB): 0.86
Heteroskedasticity (H): 3.80 Skew: -0.03
Prob(H) (two-sided): 0.22 Kurtosis: 2.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.50925560020423, Current Price: 174.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.969
Date: Wed, 09 Oct 2024 AIC 51.939
Time: 14:41:38 BIC 54.763
Sample: 0 HQIC 51.358
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3139 7.068 -0.044 0.965 -14.166 13.538
ma.L1 0.3576 6.919 0.052 0.959 -13.203 13.918
ar.S.L7 -0.7166 0.244 -2.932 0.003 -1.196 -0.238
ma.S.L7 1.0000 0.218 4.589 0.000 0.573 1.427
sigma2 0.8875 0.246 3.615 0.000 0.406 1.369
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 0.72
Prob(Q): 0.68 Prob(JB): 0.70
Heteroskedasticity (H): 5.24 Skew: 0.46
Prob(H) (two-sided): 0.14 Kurtosis: 2.31
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 2.34e+19. Standard errors may be unstable.
Predicted Price: 174.47471957568982, Current Price: 177.25
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.969
Date: Wed, 09 Oct 2024 AIC 53.938
Time: 14:41:38 BIC 56.762
Sample: 0 HQIC 53.357
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3346 0.859 -0.389 0.697 -2.019 1.349
ma.L1 1.5104 1.729 0.874 0.382 -1.878 4.899
ar.S.L7 -0.5097 0.246 -2.072 0.038 -0.992 -0.028
ma.S.L7 1.0000 2.06e+04 4.84e-05 1.000 -4.05e+04 4.05e+04
sigma2 0.4507 9303.398 4.84e-05 1.000 -1.82e+04 1.82e+04
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.95
Prob(Q): 0.82 Prob(JB): 0.62
Heteroskedasticity (H): 1.15 Skew: 0.33
Prob(H) (two-sided): 0.90 Kurtosis: 1.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.36481666588514, Current Price: 177.12
BUY EXECUTED at 177.12
BUY ORDER COMPLETED at 177.67
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.867
Date: Wed, 09 Oct 2024 AIC 55.734
Time: 14:41:38 BIC 58.558
Sample: 0 HQIC 55.153
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2326 0.555 -0.419 0.675 -1.321 0.856
ma.L1 1.0000 2.25e+05 4.45e-06 1.000 -4.4e+05 4.4e+05
ar.S.L7 -0.0725 0.207 -0.351 0.726 -0.478 0.333
ma.S.L7 -0.1117 0.881 -0.127 0.899 -1.838 1.615
sigma2 1.7646 3.96e+05 4.45e-06 1.000 -7.77e+05 7.77e+05
===================================================================================
Ljung-Box (L1) (Q): 0.66 Jarque-Bera (JB): 1.11
Prob(Q): 0.42 Prob(JB): 0.58
Heteroskedasticity (H): 0.45 Skew: 0.65
Prob(H) (two-sided): 0.46 Kurtosis: 2.43
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 175.43952850301906, Current Price: 177.49
SELL EXECUTED at 177.49
SELL ORDER COMPLETED at 177.39
OPERATION PROFIT, GROSS -0.28000000000000114, NET -0.6350600000000011
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.322
Date: Wed, 09 Oct 2024 AIC 56.643
Time: 14:41:38 BIC 59.468
Sample: 0 HQIC 56.063
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3715 1.635 -0.227 0.820 -3.576 2.833
ma.L1 0.6215 1.630 0.381 0.703 -2.574 3.817
ar.S.L7 -0.4354 0.316 -1.376 0.169 -1.056 0.185
ma.S.L7 0.0875 1.072 0.082 0.935 -2.014 2.189
sigma2 2.1073 1.602 1.315 0.188 -1.032 5.247
===================================================================================
Ljung-Box (L1) (Q): 1.92 Jarque-Bera (JB): 1.21
Prob(Q): 0.17 Prob(JB): 0.55
Heteroskedasticity (H): 1.04 Skew: 0.10
Prob(H) (two-sided): 0.97 Kurtosis: 1.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 180.24486306219114, Current Price: 178.29
BUY EXECUTED at 178.29
BUY ORDER COMPLETED at 182.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.718
Date: Wed, 09 Oct 2024 AIC 57.436
Time: 14:41:38 BIC 60.261
Sample: 0 HQIC 56.856
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2861 1.400 -0.204 0.838 -3.029 2.457
ma.L1 0.5623 1.370 0.411 0.681 -2.122 3.247
ar.S.L7 -0.4648 0.434 -1.070 0.285 -1.316 0.386
ma.S.L7 -0.2689 1.123 -0.240 0.811 -2.469 1.931
sigma2 2.1846 1.204 1.815 0.070 -0.175 4.544
===================================================================================
Ljung-Box (L1) (Q): 0.94 Jarque-Bera (JB): 1.11
Prob(Q): 0.33 Prob(JB): 0.58
Heteroskedasticity (H): 0.61 Skew: 0.14
Prob(H) (two-sided): 0.64 Kurtosis: 1.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.12469163533572, Current Price: 177.14
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.397
Date: Wed, 09 Oct 2024 AIC 54.794
Time: 14:41:38 BIC 57.619
Sample: 0 HQIC 54.214
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1461 0.792 -0.185 0.854 -1.698 1.405
ma.L1 0.6547 0.944 0.693 0.488 -1.196 2.505
ar.S.L7 -0.2005 0.460 -0.435 0.663 -1.103 0.702
ma.S.L7 -1.0004 3320.436 -0.000 1.000 -6508.935 6506.935
sigma2 1.1076 3677.980 0.000 1.000 -7207.601 7209.816
===================================================================================
Ljung-Box (L1) (Q): 0.86 Jarque-Bera (JB): 0.90
Prob(Q): 0.35 Prob(JB): 0.64
Heteroskedasticity (H): 1.98 Skew: 0.39
Prob(H) (two-sided): 0.53 Kurtosis: 1.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 175.67386703533128, Current Price: 176.55
SELL EXECUTED at 176.55
SELL ORDER COMPLETED at 178.86
OPERATION PROFIT, GROSS -3.7299999999999898, NET -4.091449999999989
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.688
Date: Wed, 09 Oct 2024 AIC 53.376
Time: 14:41:38 BIC 56.201
Sample: 0 HQIC 52.796
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7691 0.530 -1.452 0.146 -1.807 0.269
ma.L1 1.0000 2332.464 0.000 1.000 -4570.546 4572.545
ar.S.L7 -0.3876 1.089 -0.356 0.722 -2.521 1.746
ma.S.L7 -0.1911 1.429 -0.134 0.894 -2.992 2.610
sigma2 1.4091 3286.499 0.000 1.000 -6440.010 6442.829
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.05
Prob(Q): 0.99 Prob(JB): 0.59
Heteroskedasticity (H): 0.58 Skew: 0.49
Prob(H) (two-sided): 0.61 Kurtosis: 2.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.54757920947205, Current Price: 178.38
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.949
Date: Wed, 09 Oct 2024 AIC 51.897
Time: 14:41:38 BIC 54.722
Sample: 0 HQIC 51.316
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6279 0.293 -2.141 0.032 -1.203 -0.053
ma.L1 1.0000 1.55e+04 6.45e-05 1.000 -3.04e+04 3.04e+04
ar.S.L7 -0.4763 0.589 -0.809 0.418 -1.630 0.677
ma.S.L7 0.0012 0.906 0.001 0.999 -1.774 1.777
sigma2 1.2587 1.95e+04 6.45e-05 1.000 -3.83e+04 3.83e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.63
Prob(Q): 0.98 Prob(JB): 0.73
Heteroskedasticity (H): 0.76 Skew: 0.26
Prob(H) (two-sided): 0.80 Kurtosis: 2.05
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 180.12692109067686, Current Price: 181.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.066
Date: Wed, 09 Oct 2024 AIC 54.132
Time: 14:41:38 BIC 56.957
Sample: 0 HQIC 53.552
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4221 0.679 -0.622 0.534 -1.752 0.908
ma.L1 0.7633 0.618 1.236 0.217 -0.447 1.974
ar.S.L7 -0.2896 0.465 -0.623 0.533 -1.201 0.622
ma.S.L7 -0.2855 0.635 -0.449 0.653 -1.531 0.960
sigma2 1.6854 1.208 1.395 0.163 -0.682 4.053
===================================================================================
Ljung-Box (L1) (Q): 0.79 Jarque-Bera (JB): 0.73
Prob(Q): 0.37 Prob(JB): 0.70
Heteroskedasticity (H): 0.56 Skew: 0.12
Prob(H) (two-sided): 0.59 Kurtosis: 1.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 182.4514859907213, Current Price: 179.73
BUY EXECUTED at 179.73
BUY ORDER COMPLETED at 179.96
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.167
Date: Wed, 09 Oct 2024 AIC 56.335
Time: 14:41:38 BIC 59.159
Sample: 0 HQIC 55.754
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6990 0.560 -1.249 0.212 -1.796 0.398
ma.L1 1.0000 6716.495 0.000 1.000 -1.32e+04 1.32e+04
ar.S.L7 0.0058 0.018 0.312 0.755 -0.030 0.042
ma.S.L7 -0.4293 0.852 -0.504 0.614 -2.099 1.240
sigma2 1.8240 1.23e+04 0.000 1.000 -2.4e+04 2.4e+04
===================================================================================
Ljung-Box (L1) (Q): 0.64 Jarque-Bera (JB): 0.67
Prob(Q): 0.42 Prob(JB): 0.72
Heteroskedasticity (H): 0.76 Skew: -0.16
Prob(H) (two-sided): 0.80 Kurtosis: 1.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.21719939908397, Current Price: 180.8
SELL EXECUTED at 180.8
SELL ORDER COMPLETED at 182.1137
OPERATION PROFIT, GROSS 2.1536999999999864, NET 1.7916262999999863
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.484
Date: Wed, 09 Oct 2024 AIC 50.969
Time: 14:41:38 BIC 53.794
Sample: 0 HQIC 50.388
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4238 0.481 0.880 0.379 -0.520 1.367
ma.L1 -1.0000 4387.835 -0.000 1.000 -8600.999 8598.999
ar.S.L7 0.0084 0.046 0.181 0.857 -0.083 0.099
ma.S.L7 -1.0003 2137.900 -0.000 1.000 -4191.208 4189.207
sigma2 0.7153 3646.048 0.000 1.000 -7145.407 7146.837
===================================================================================
Ljung-Box (L1) (Q): 0.56 Jarque-Bera (JB): 0.67
Prob(Q): 0.45 Prob(JB): 0.72
Heteroskedasticity (H): 0.89 Skew: -0.09
Prob(H) (two-sided): 0.91 Kurtosis: 1.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 182.34812978258017, Current Price: 183.68
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.006
Date: Wed, 09 Oct 2024 AIC 50.012
Time: 14:41:38 BIC 52.837
Sample: 0 HQIC 49.431
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2935 0.375 0.782 0.434 -0.442 1.029
ma.L1 -1.0000 1.35e+04 -7.39e-05 1.000 -2.65e+04 2.65e+04
ar.S.L7 -0.0180 0.134 -0.135 0.893 -0.281 0.245
ma.S.L7 -1.0007 1134.931 -0.001 0.999 -2225.424 2223.423
sigma2 0.6523 8549.880 7.63e-05 1.000 -1.68e+04 1.68e+04
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.56
Prob(Q): 0.76 Prob(JB): 0.76
Heteroskedasticity (H): 1.52 Skew: 0.01
Prob(H) (two-sided): 0.69 Kurtosis: 1.99
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 182.86747969899127, Current Price: 186.41
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.437
Date: Wed, 09 Oct 2024 AIC 58.874
Time: 14:41:38 BIC 61.699
Sample: 0 HQIC 58.294
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4031 2.367 -0.170 0.865 -5.042 4.236
ma.L1 0.3013 2.576 0.117 0.907 -4.747 5.349
ar.S.L7 -0.1243 0.470 -0.264 0.792 -1.046 0.798
ma.S.L7 -0.6520 2.269 -0.287 0.774 -5.099 3.795
sigma2 2.0489 3.375 0.607 0.544 -4.565 8.663
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.53
Prob(Q): 0.99 Prob(JB): 0.77
Heteroskedasticity (H): 2.89 Skew: -0.20
Prob(H) (two-sided): 0.33 Kurtosis: 2.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 185.33294658986472, Current Price: 191.51
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.033
Date: Wed, 09 Oct 2024 AIC 62.065
Time: 14:41:38 BIC 64.890
Sample: 0 HQIC 61.485
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.0537 0.553 1.907 0.057 -0.030 2.137
ma.L1 -0.1894 0.716 -0.265 0.791 -1.592 1.214
ar.S.L7 -0.3516 0.312 -1.127 0.260 -0.963 0.260
ma.S.L7 1.0000 1.43e+05 6.98e-06 1.000 -2.81e+05 2.81e+05
sigma2 1.8761 2.69e+05 6.98e-06 1.000 -5.27e+05 5.27e+05
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 1.38
Prob(Q): 0.62 Prob(JB): 0.50
Heteroskedasticity (H): 1.31 Skew: -0.49
Prob(H) (two-sided): 0.80 Kurtosis: 1.74
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 198.39181216609128, Current Price: 185.82
BUY EXECUTED at 185.82
BUY ORDER COMPLETED at 186.8799
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -41470.924
Date: Wed, 09 Oct 2024 AIC 82951.849
Time: 14:41:38 BIC 82954.673
Sample: 0 HQIC 82951.268
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6019 4.61e-05 1.3e+04 0.000 0.602 0.602
ma.L1 -0.7899 0.000 -6374.973 0.000 -0.790 -0.790
ar.S.L7 -150.4002 0.347 -433.677 0.000 -151.080 -149.720
ma.S.L7 -4.989e-05 9.62e-05 -0.519 0.604 -0.000 0.000
sigma2 7.3434 0.033 223.162 0.000 7.279 7.408
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.00
Prob(Q): 0.88 Prob(JB): 0.61
Heteroskedasticity (H): 1.16 Skew: 0.02
Prob(H) (two-sided): 0.89 Kurtosis: 1.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 91.20816947235829, Current Price: 186.4
SELL EXECUTED at 186.4
SELL ORDER COMPLETED at 183.7399
OPERATION PROFIT, GROSS -3.1399999999999864, NET -3.5106197999999864
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.680
Date: Wed, 09 Oct 2024 AIC 71.360
Time: 14:41:38 BIC 74.184
Sample: 0 HQIC 70.779
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5210 0.375 -1.390 0.165 -1.256 0.214
ma.L1 -0.5361 0.611 -0.878 0.380 -1.733 0.661
ar.S.L7 -1.7951 0.619 -2.902 0.004 -3.008 -0.583
ma.S.L7 -1.0001 1.07e+04 -9.33e-05 1.000 -2.1e+04 2.1e+04
sigma2 3.7594 4.03e+04 9.33e-05 1.000 -7.9e+04 7.9e+04
===================================================================================
Ljung-Box (L1) (Q): 0.43 Jarque-Bera (JB): 2.71
Prob(Q): 0.51 Prob(JB): 0.26
Heteroskedasticity (H): 7.42 Skew: 1.02
Prob(H) (two-sided): 0.08 Kurtosis: 3.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 189.97114237906717, Current Price: 185.09
BUY EXECUTED at 185.09
BUY ORDER COMPLETED at 183.03
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.283
Date: Wed, 09 Oct 2024 AIC 72.567
Time: 14:41:38 BIC 75.391
Sample: 0 HQIC 71.986
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3094 0.598 0.518 0.605 -0.862 1.481
ma.L1 -1.0000 9392.280 -0.000 1.000 -1.84e+04 1.84e+04
ar.S.L7 -0.9618 1.314 -0.732 0.464 -3.537 1.613
ma.S.L7 -0.2033 1.661 -0.122 0.903 -3.459 3.052
sigma2 6.2233 5.85e+04 0.000 1.000 -1.15e+05 1.15e+05
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 11.00
Prob(Q): 0.93 Prob(JB): 0.00
Heteroskedasticity (H): 27.87 Skew: 1.76
Prob(H) (two-sided): 0.01 Kurtosis: 5.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 186.68344012042806, Current Price: 182.3
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.785
Date: Wed, 09 Oct 2024 AIC 75.569
Time: 14:41:38 BIC 78.394
Sample: 0 HQIC 74.989
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3048 1.141 -0.267 0.789 -2.540 1.931
ma.L1 -0.0879 1.044 -0.084 0.933 -2.133 1.957
ar.S.L7 -1.3215 1.215 -1.087 0.277 -3.704 1.061
ma.S.L7 -1.0001 2.28e+04 -4.39e-05 1.000 -4.47e+04 4.46e+04
sigma2 5.4673 1.25e+05 4.39e-05 1.000 -2.44e+05 2.44e+05
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.73
Prob(Q): 0.93 Prob(JB): 0.42
Heteroskedasticity (H): 4.00 Skew: 0.85
Prob(H) (two-sided): 0.21 Kurtosis: 3.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 183.5741971264947, Current Price: 178.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -34.019
Date: Wed, 09 Oct 2024 AIC 78.038
Time: 14:41:38 BIC 80.863
Sample: 0 HQIC 77.457
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4018 2.076 -0.193 0.847 -4.472 3.668
ma.L1 7.7895 115.350 0.068 0.946 -218.293 233.871
ar.S.L7 -1.4480 0.872 -1.660 0.097 -3.157 0.261
ma.S.L7 -2.3391 14.237 -0.164 0.869 -30.244 25.566
sigma2 0.0302 1.170 0.026 0.979 -2.263 2.323
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 1.67
Prob(Q): 0.86 Prob(JB): 0.43
Heteroskedasticity (H): 2.09 Skew: 0.86
Prob(H) (two-sided): 0.49 Kurtosis: 3.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 176.64742054108999, Current Price: 180.01
SELL EXECUTED at 180.01
SELL ORDER COMPLETED at 181.16
OPERATION PROFIT, GROSS -1.8700000000000045, NET -2.2341900000000043
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -34.400
Date: Wed, 09 Oct 2024 AIC 78.800
Time: 14:41:38 BIC 81.625
Sample: 0 HQIC 78.220
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6715 2.260 -0.297 0.766 -5.101 3.758
ma.L1 1.5364 5.378 0.286 0.775 -9.005 12.078
ar.S.L7 -0.6985 1.260 -0.555 0.579 -3.167 1.770
ma.S.L7 -0.3176 3.157 -0.101 0.920 -6.505 5.870
sigma2 4.6355 31.563 0.147 0.883 -57.228 66.499
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.05
Prob(Q): 0.72 Prob(JB): 0.98
Heteroskedasticity (H): 3.97 Skew: -0.14
Prob(H) (two-sided): 0.21 Kurtosis: 2.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.1195608220434, Current Price: 180.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -34.466
Date: Wed, 09 Oct 2024 AIC 78.932
Time: 14:41:38 BIC 81.756
Sample: 0 HQIC 78.351
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4076 4.261 0.096 0.924 -7.943 8.759
ma.L1 -0.5145 4.155 -0.124 0.901 -8.658 7.629
ar.S.L7 -0.7430 1.153 -0.645 0.519 -3.002 1.516
ma.S.L7 -0.1480 1.806 -0.082 0.935 -3.688 3.392
sigma2 11.6530 6.647 1.753 0.080 -1.375 24.681
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.04
Prob(Q): 0.93 Prob(JB): 0.98
Heteroskedasticity (H): 3.65 Skew: 0.11
Prob(H) (two-sided): 0.24 Kurtosis: 2.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 181.89452010418535, Current Price: 179.3
BUY EXECUTED at 179.3
BUY ORDER COMPLETED at 179.33
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -34.154
Date: Wed, 09 Oct 2024 AIC 78.307
Time: 14:41:38 BIC 81.132
Sample: 0 HQIC 77.727
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5794 1.536 -0.377 0.706 -3.589 2.430
ma.L1 0.6813 1.809 0.377 0.706 -2.864 4.227
ar.S.L7 -0.3278 0.953 -0.344 0.731 -2.195 1.539
ma.S.L7 -0.5236 2.768 -0.189 0.850 -5.948 4.901
sigma2 9.5997 19.855 0.484 0.629 -29.314 48.514
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.12
Prob(Q): 0.89 Prob(JB): 0.94
Heteroskedasticity (H): 2.13 Skew: -0.24
Prob(H) (two-sided): 0.48 Kurtosis: 2.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 181.84761553850217, Current Price: 180.67
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -33.421
Date: Wed, 09 Oct 2024 AIC 76.841
Time: 14:41:38 BIC 79.666
Sample: 0 HQIC 76.261
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3649 1.008 -0.362 0.717 -2.341 1.611
ma.L1 0.5715 0.988 0.578 0.563 -1.365 2.508
ar.S.L7 -0.1942 0.798 -0.244 0.808 -1.758 1.369
ma.S.L7 -1.0001 2.6e+04 -3.85e-05 1.000 -5.1e+04 5.1e+04
sigma2 6.0362 1.57e+05 3.85e-05 1.000 -3.08e+05 3.08e+05
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.54
Prob(Q): 0.80 Prob(JB): 0.76
Heteroskedasticity (H): 0.16 Skew: -0.50
Prob(H) (two-sided): 0.11 Kurtosis: 2.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.51482011096758, Current Price: 179.36
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -33.455
Date: Wed, 09 Oct 2024 AIC 76.909
Time: 14:41:38 BIC 79.734
Sample: 0 HQIC 76.329
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3675 1.049 -0.350 0.726 -2.424 1.689
ma.L1 0.5729 1.085 0.528 0.598 -1.554 2.700
ar.S.L7 -0.1812 0.796 -0.228 0.820 -1.742 1.379
ma.S.L7 -1.0000 3.05e+04 -3.27e-05 1.000 -5.99e+04 5.99e+04
sigma2 6.0698 1.85e+05 3.27e-05 1.000 -3.63e+05 3.63e+05
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 0.41
Prob(Q): 0.72 Prob(JB): 0.82
Heteroskedasticity (H): 0.03 Skew: -0.43
Prob(H) (two-sided): 0.00 Kurtosis: 3.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.51233966308962, Current Price: 181.81
SELL EXECUTED at 181.81
SELL ORDER COMPLETED at 182.35
OPERATION PROFIT, GROSS 3.019999999999982, NET 2.658319999999982
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -34.236
Date: Wed, 09 Oct 2024 AIC 78.472
Time: 14:41:38 BIC 81.296
Sample: 0 HQIC 77.891
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4659 0.487 -0.957 0.339 -1.421 0.489
ma.L1 0.3704 0.601 0.616 0.538 -0.807 1.548
ar.S.L7 -1.1914 0.790 -1.508 0.132 -2.740 0.357
ma.S.L7 0.9505 27.594 0.034 0.973 -53.133 55.034
sigma2 7.0202 191.465 0.037 0.971 -368.244 382.284
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.32
Prob(Q): 0.81 Prob(JB): 0.85
Heteroskedasticity (H): 0.20 Skew: 0.36
Prob(H) (two-sided): 0.15 Kurtosis: 2.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 183.1855305797635, Current Price: 183.13
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -33.160
Date: Wed, 09 Oct 2024 AIC 76.321
Time: 14:41:38 BIC 79.146
Sample: 0 HQIC 75.740
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3068 1.998 0.154 0.878 -3.609 4.223
ma.L1 -0.4893 1.935 -0.253 0.800 -4.282 3.304
ar.S.L7 -1.1872 0.515 -2.304 0.021 -2.197 -0.177
ma.S.L7 1.0000 1.02e+05 9.78e-06 1.000 -2e+05 2e+05
sigma2 5.7962 5.93e+05 9.78e-06 1.000 -1.16e+06 1.16e+06
===================================================================================
Ljung-Box (L1) (Q): 0.36 Jarque-Bera (JB): 1.38
Prob(Q): 0.55 Prob(JB): 0.50
Heteroskedasticity (H): 0.12 Skew: 0.76
Prob(H) (two-sided): 0.06 Kurtosis: 3.49
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 187.5985145163898, Current Price: 182.38
BUY EXECUTED at 182.38
BUY ORDER COMPLETED at 180.38
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.145
Date: Wed, 09 Oct 2024 AIC 70.290
Time: 14:41:39 BIC 73.115
Sample: 0 HQIC 69.709
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6214 0.224 -2.769 0.006 -1.061 -0.182
ma.L1 1.0000 4.38e+04 2.28e-05 1.000 -8.59e+04 8.59e+04
ar.S.L7 -1.0659 0.350 -3.047 0.002 -1.752 -0.380
ma.S.L7 1.0000 3.92e+04 2.55e-05 1.000 -7.67e+04 7.67e+04
sigma2 2.9236 1.36e+04 0.000 1.000 -2.67e+04 2.67e+04
===================================================================================
Ljung-Box (L1) (Q): 1.12 Jarque-Bera (JB): 0.25
Prob(Q): 0.29 Prob(JB): 0.88
Heteroskedasticity (H): 0.43 Skew: -0.32
Prob(H) (two-sided): 0.44 Kurtosis: 3.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 8.89e+16. Standard errors may be unstable.
Predicted Price: 187.27338351321035, Current Price: 179.06
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.353
Date: Wed, 09 Oct 2024 AIC 68.706
Time: 14:41:39 BIC 71.531
Sample: 0 HQIC 68.126
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2833 1.009 0.281 0.779 -1.695 2.262
ma.L1 0.1498 0.942 0.159 0.874 -1.696 1.995
ar.S.L7 -0.2325 0.865 -0.269 0.788 -1.928 1.463
ma.S.L7 -1.0002 8468.621 -0.000 1.000 -1.66e+04 1.66e+04
sigma2 3.2248 2.73e+04 0.000 1.000 -5.35e+04 5.35e+04
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 0.50
Prob(Q): 0.61 Prob(JB): 0.78
Heteroskedasticity (H): 1.37 Skew: -0.25
Prob(H) (two-sided): 0.77 Kurtosis: 2.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 175.34939777115608, Current Price: 179.14
SELL EXECUTED at 179.14
SELL ORDER COMPLETED at 179.76
OPERATION PROFIT, GROSS -0.6200000000000045, NET -0.9801400000000046
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.072
Date: Wed, 09 Oct 2024 AIC 74.144
Time: 14:41:39 BIC 76.969
Sample: 0 HQIC 73.563
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5311 0.163 -3.260 0.001 -0.850 -0.212
ma.L1 1.0000 6443.379 0.000 1.000 -1.26e+04 1.26e+04
ar.S.L7 -0.3942 0.293 -1.344 0.179 -0.969 0.181
ma.S.L7 -0.1426 0.661 -0.216 0.829 -1.438 1.153
sigma2 7.1438 4.6e+04 0.000 1.000 -9.02e+04 9.02e+04
===================================================================================
Ljung-Box (L1) (Q): 0.28 Jarque-Bera (JB): 0.79
Prob(Q): 0.59 Prob(JB): 0.67
Heteroskedasticity (H): 1.77 Skew: 0.06
Prob(H) (two-sided): 0.59 Kurtosis: 1.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 182.65231652124578, Current Price: 180.58
BUY EXECUTED at 180.58
BUY ORDER COMPLETED at 180.91
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.251
Date: Wed, 09 Oct 2024 AIC 74.502
Time: 14:41:39 BIC 77.327
Sample: 0 HQIC 73.922
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4395 0.295 -1.492 0.136 -1.017 0.138
ma.L1 1.0000 2.14e+04 4.67e-05 1.000 -4.2e+04 4.2e+04
ar.S.L7 -0.3763 0.285 -1.321 0.187 -0.935 0.182
ma.S.L7 0.1446 0.678 0.213 0.831 -1.184 1.474
sigma2 7.3922 1.58e+05 4.67e-05 1.000 -3.1e+05 3.1e+05
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 1.54
Prob(Q): 0.64 Prob(JB): 0.46
Heteroskedasticity (H): 1.21 Skew: 0.19
Prob(H) (two-sided): 0.86 Kurtosis: 1.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.39687065008138, Current Price: 180.65
SELL EXECUTED at 180.65
SELL ORDER COMPLETED at 179.5501
OPERATION PROFIT, GROSS -1.3599000000000103, NET -1.7203601000000104
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood 0.000
Date: Wed, 09 Oct 2024 AIC 10.000
Time: 14:41:39 BIC 12.825
Sample: 0 HQIC 9.419
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5580 1.06e-08 -5.26e+07 0.000 -0.558 -0.558
ma.L1 0.7684 -0 -inf 0.000 0.768 0.768
ar.S.L7 4.813e+13 1.17e-55 4.13e+68 0.000 4.81e+13 4.81e+13
ma.S.L7 -4.512e+12 -0 inf 0.000 -4.51e+12 -4.51e+12
sigma2 13.8104 -0 -inf 0.000 13.810 13.810
===================================================================================
Ljung-Box (L1) (Q): nan Jarque-Bera (JB): nan
Prob(Q): nan Prob(JB): nan
Heteroskedasticity (H): nan Skew: nan
Prob(H) (two-sided): nan Kurtosis: nan
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number inf. Standard errors may be unstable.
Predicted Price: 1.5818881931228614e+47, Current Price: 179.5
BUY EXECUTED at 179.5
BUY ORDER COMPLETED at 180.2439
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/tsa/statespace/mlemodel.py:3016: RuntimeWarning: divide by zero encountered in divide
return self.params / self.bse
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/tsa/stattools.py:1431: RuntimeWarning: invalid value encountered in divide
test_statistic = numer_squared_sum / denom_squared_sum
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/tsa/stattools.py:702: RuntimeWarning: invalid value encountered in divide
acf = avf[: nlags + 1] / avf[0]
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.974
Date: Wed, 09 Oct 2024 AIC 69.947
Time: 14:41:39 BIC 72.772
Sample: 0 HQIC 69.366
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3356 8.745 -0.038 0.969 -17.475 16.804
ma.L1 0.2795 8.608 0.032 0.974 -16.592 17.151
ar.S.L7 -0.4496 0.598 -0.751 0.452 -1.622 0.723
ma.S.L7 -0.1895 0.948 -0.200 0.842 -2.047 1.668
sigma2 5.8082 3.255 1.785 0.074 -0.571 12.187
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 4.11
Prob(Q): 0.87 Prob(JB): 0.13
Heteroskedasticity (H): 4.71 Skew: -1.15
Prob(H) (two-sided): 0.16 Kurtosis: 4.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.58559369442972, Current Price: 180.37
SELL EXECUTED at 180.37
SELL ORDER COMPLETED at 180.91
OPERATION PROFIT, GROSS 0.6661000000000001, NET 0.3049461000000001
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.115
Date: Wed, 09 Oct 2024 AIC 70.229
Time: 14:41:39 BIC 73.054
Sample: 0 HQIC 69.649
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5695 0.765 -0.744 0.457 -2.069 0.930
ma.L1 0.5341 0.679 0.787 0.431 -0.796 1.865
ar.S.L7 -0.3834 0.219 -1.752 0.080 -0.812 0.045
ma.S.L7 0.1238 0.719 0.172 0.863 -1.285 1.532
sigma2 5.9145 4.166 1.420 0.156 -2.251 14.080
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 1.52
Prob(Q): 0.85 Prob(JB): 0.47
Heteroskedasticity (H): 5.70 Skew: -0.79
Prob(H) (two-sided): 0.12 Kurtosis: 3.58
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.9638951107466, Current Price: 179.24
BUY EXECUTED at 179.24
BUY ORDER COMPLETED at 179.78
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.569
Date: Wed, 09 Oct 2024 AIC 69.139
Time: 14:41:39 BIC 71.964
Sample: 0 HQIC 68.558
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3269 17.260 -0.019 0.985 -34.156 33.502
ma.L1 0.3534 17.455 0.020 0.984 -33.858 34.565
ar.S.L7 -0.3441 0.182 -1.886 0.059 -0.702 0.013
ma.S.L7 0.5468 1.597 0.342 0.732 -2.584 3.678
sigma2 4.8221 4.286 1.125 0.261 -3.578 13.223
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.96
Prob(Q): 0.90 Prob(JB): 0.62
Heteroskedasticity (H): 0.96 Skew: -0.64
Prob(H) (two-sided): 0.97 Kurtosis: 2.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 174.95124044735738, Current Price: 179.66
SELL EXECUTED at 179.66
SELL ORDER COMPLETED at 179.87
OPERATION PROFIT, GROSS 0.09000000000000341, NET -0.2696499999999966
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.494
Date: Wed, 09 Oct 2024 AIC 66.988
Time: 14:41:39 BIC 69.813
Sample: 0 HQIC 66.408
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3001 0.857 0.350 0.726 -1.379 1.979
ma.L1 -1.0000 2.27e+04 -4.41e-05 1.000 -4.44e+04 4.44e+04
ar.S.L7 -0.4575 0.155 -2.952 0.003 -0.761 -0.154
ma.S.L7 0.0909 0.430 0.212 0.832 -0.751 0.933
sigma2 4.2102 9.54e+04 4.41e-05 1.000 -1.87e+05 1.87e+05
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 3.02
Prob(Q): 0.82 Prob(JB): 0.22
Heteroskedasticity (H): 0.35 Skew: -0.93
Prob(H) (two-sided): 0.33 Kurtosis: 4.45
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.74828322530024, Current Price: 180.34
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.456
Date: Wed, 09 Oct 2024 AIC 70.911
Time: 14:41:39 BIC 73.736
Sample: 0 HQIC 70.331
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2868 10.171 -0.028 0.978 -20.223 19.649
ma.L1 0.3313 10.301 0.032 0.974 -19.859 20.521
ar.S.L7 -0.2837 0.208 -1.361 0.173 -0.692 0.125
ma.S.L7 -0.1704 0.574 -0.297 0.767 -1.295 0.954
sigma2 6.2721 4.696 1.336 0.182 -2.932 15.476
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 1.01
Prob(Q): 0.69 Prob(JB): 0.60
Heteroskedasticity (H): 0.32 Skew: -0.68
Prob(H) (two-sided): 0.29 Kurtosis: 2.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 181.74669415731094, Current Price: 181.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.608
Date: Wed, 09 Oct 2024 AIC 69.216
Time: 14:41:39 BIC 72.041
Sample: 0 HQIC 68.636
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2523 3.308 -0.076 0.939 -6.736 6.232
ma.L1 0.3603 3.272 0.110 0.912 -6.052 6.773
ar.S.L7 -0.1071 0.198 -0.539 0.590 -0.496 0.282
ma.S.L7 -1.0000 1.94e+04 -5.15e-05 1.000 -3.81e+04 3.81e+04
sigma2 3.3567 6.52e+04 5.15e-05 1.000 -1.28e+05 1.28e+05
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.49
Prob(Q): 0.81 Prob(JB): 0.78
Heteroskedasticity (H): 0.17 Skew: -0.34
Prob(H) (two-sided): 0.12 Kurtosis: 2.33
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 180.40730315924185, Current Price: 182.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.834
Date: Wed, 09 Oct 2024 AIC 65.668
Time: 14:41:39 BIC 68.492
Sample: 0 HQIC 65.087
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1766 2.143 -0.082 0.934 -4.377 4.023
ma.L1 0.3242 2.084 0.156 0.876 -3.760 4.409
ar.S.L7 0.0331 0.157 0.210 0.834 -0.275 0.342
ma.S.L7 -1.0002 3131.484 -0.000 1.000 -6138.595 6136.595
sigma2 2.5580 8010.874 0.000 1.000 -1.57e+04 1.57e+04
===================================================================================
Ljung-Box (L1) (Q): 2.27 Jarque-Bera (JB): 0.71
Prob(Q): 0.13 Prob(JB): 0.70
Heteroskedasticity (H): 0.30 Skew: -0.25
Prob(H) (two-sided): 0.27 Kurtosis: 1.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 182.09858045562947, Current Price: 183.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.271
Date: Wed, 09 Oct 2024 AIC 56.543
Time: 14:41:39 BIC 59.367
Sample: 0 HQIC 55.962
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4799 0.067 7.124 0.000 0.348 0.612
ma.L1 -1.0001 723.461 -0.001 0.999 -1418.958 1416.958
ar.S.L7 0.1436 0.132 1.085 0.278 -0.116 0.403
ma.S.L7 -1.0000 1.89e+04 -5.29e-05 1.000 -3.71e+04 3.71e+04
sigma2 1.0728 2.06e+04 5.21e-05 1.000 -4.03e+04 4.04e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.41
Prob(Q): 0.87 Prob(JB): 0.82
Heteroskedasticity (H): 1.98 Skew: -0.24
Prob(H) (two-sided): 0.52 Kurtosis: 2.28
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 182.38843073614976, Current Price: 184.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.162
Date: Wed, 09 Oct 2024 AIC 62.325
Time: 14:41:39 BIC 65.149
Sample: 0 HQIC 61.744
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4439 1.618 0.274 0.784 -2.727 3.615
ma.L1 -0.7101 1.362 -0.521 0.602 -3.379 1.959
ar.S.L7 -0.0163 0.258 -0.063 0.949 -0.521 0.489
ma.S.L7 -0.5678 0.723 -0.786 0.432 -1.984 0.849
sigma2 2.7928 2.323 1.202 0.229 -1.761 7.347
===================================================================================
Ljung-Box (L1) (Q): 0.34 Jarque-Bera (JB): 3.38
Prob(Q): 0.56 Prob(JB): 0.18
Heteroskedasticity (H): 0.47 Skew: -1.25
Prob(H) (two-sided): 0.48 Kurtosis: 3.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 183.5199173913928, Current Price: 184.04
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.788
Date: Wed, 09 Oct 2024 AIC 51.577
Time: 14:41:39 BIC 54.402
Sample: 0 HQIC 50.996
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1175 0.490 -0.240 0.811 -1.079 0.844
ma.L1 -0.2549 0.454 -0.562 0.574 -1.145 0.635
ar.S.L7 -0.3839 0.155 -2.476 0.013 -0.688 -0.080
ma.S.L7 -0.1139 0.228 -0.500 0.617 -0.560 0.332
sigma2 1.4265 1.104 1.292 0.196 -0.737 3.590
===================================================================================
Ljung-Box (L1) (Q): 1.04 Jarque-Bera (JB): 1.37
Prob(Q): 0.31 Prob(JB): 0.50
Heteroskedasticity (H): 1.00 Skew: -0.79
Prob(H) (two-sided): 1.00 Kurtosis: 2.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 182.74100967527704, Current Price: 184.61
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.385
Date: Wed, 09 Oct 2024 AIC 50.769
Time: 14:41:39 BIC 53.594
Sample: 0 HQIC 50.189
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3778 0.914 -0.414 0.679 -2.169 1.413
ma.L1 0.2605 1.075 0.242 0.809 -1.847 2.368
ar.S.L7 -0.2799 0.206 -1.361 0.173 -0.683 0.123
ma.S.L7 -0.4344 0.850 -0.511 0.609 -2.100 1.231
sigma2 1.2467 0.690 1.806 0.071 -0.106 2.600
===================================================================================
Ljung-Box (L1) (Q): 0.54 Jarque-Bera (JB): 1.06
Prob(Q): 0.46 Prob(JB): 0.59
Heteroskedasticity (H): 0.63 Skew: -0.66
Prob(H) (two-sided): 0.66 Kurtosis: 3.48
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 184.07812486919138, Current Price: 181.82
BUY EXECUTED at 181.82
BUY ORDER COMPLETED at 181.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.103
Date: Wed, 09 Oct 2024 AIC 56.207
Time: 14:41:39 BIC 59.032
Sample: 0 HQIC 55.626
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7127 0.220 3.233 0.001 0.281 1.145
ma.L1 -1.0000 1401.750 -0.001 0.999 -2748.379 2746.379
ar.S.L7 -0.5064 0.197 -2.566 0.010 -0.893 -0.120
ma.S.L7 -0.1448 0.735 -0.197 0.844 -1.585 1.296
sigma2 1.7172 2407.513 0.001 0.999 -4716.923 4720.357
===================================================================================
Ljung-Box (L1) (Q): 2.64 Jarque-Bera (JB): 0.64
Prob(Q): 0.10 Prob(JB): 0.73
Heteroskedasticity (H): 1.63 Skew: -0.39
Prob(H) (two-sided): 0.65 Kurtosis: 2.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 183.1966796069723, Current Price: 182.71
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.662
Date: Wed, 09 Oct 2024 AIC 55.324
Time: 14:41:39 BIC 58.149
Sample: 0 HQIC 54.744
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3911 1.822 -0.215 0.830 -3.962 3.180
ma.L1 0.0719 2.255 0.032 0.975 -4.348 4.492
ar.S.L7 -0.4595 0.166 -2.764 0.006 -0.785 -0.134
ma.S.L7 -0.1520 0.576 -0.264 0.792 -1.280 0.976
sigma2 1.8958 1.401 1.353 0.176 -0.850 4.641
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.86
Prob(Q): 0.78 Prob(JB): 0.65
Heteroskedasticity (H): 2.69 Skew: -0.49
Prob(H) (two-sided): 0.36 Kurtosis: 2.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 183.03526432658478, Current Price: 182.06
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.593
Date: Wed, 09 Oct 2024 AIC 55.187
Time: 14:41:39 BIC 58.012
Sample: 0 HQIC 54.606
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6938 0.870 0.798 0.425 -1.011 2.399
ma.L1 -1.0000 3.19e+04 -3.13e-05 1.000 -6.26e+04 6.26e+04
ar.S.L7 -0.4324 0.236 -1.835 0.066 -0.894 0.029
ma.S.L7 -0.3916 1.377 -0.284 0.776 -3.090 2.307
sigma2 1.4642 4.68e+04 3.13e-05 1.000 -9.17e+04 9.17e+04
===================================================================================
Ljung-Box (L1) (Q): 1.14 Jarque-Bera (JB): 0.32
Prob(Q): 0.29 Prob(JB): 0.85
Heteroskedasticity (H): 1.87 Skew: -0.26
Prob(H) (two-sided): 0.56 Kurtosis: 2.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 182.54924162427307, Current Price: 180.29
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.217
Date: Wed, 09 Oct 2024 AIC 56.435
Time: 14:41:39 BIC 59.260
Sample: 0 HQIC 55.854
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6362 0.597 1.066 0.286 -0.533 1.806
ma.L1 -1.0001 2742.573 -0.000 1.000 -5376.344 5374.344
ar.S.L7 -0.6412 0.281 -2.284 0.022 -1.191 -0.091
ma.S.L7 -0.3005 1.882 -0.160 0.873 -3.990 3.389
sigma2 1.6732 4590.542 0.000 1.000 -8995.624 8998.971
===================================================================================
Ljung-Box (L1) (Q): 0.23 Jarque-Bera (JB): 0.37
Prob(Q): 0.63 Prob(JB): 0.83
Heteroskedasticity (H): 1.46 Skew: 0.31
Prob(H) (two-sided): 0.72 Kurtosis: 2.45
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 181.74302714331785, Current Price: 177.05
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -1044654.659
Date: Wed, 09 Oct 2024 AIC 2089319.318
Time: 14:41:39 BIC 2089322.143
Sample: 0 HQIC 2089318.738
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4038 3.94e-07 1.03e+06 0.000 0.404 0.404
ma.L1 -0.2780 2.84e-06 -9.8e+04 0.000 -0.278 -0.278
ar.S.L7 -412.0000 0.000 -8.34e+05 0.000 -412.001 -411.999
ma.S.L7 -2.637e-05 3.1e-06 -8.510 0.000 -3.24e-05 -2.03e-05
sigma2 4.0798 1.52e-05 2.68e+05 0.000 4.080 4.080
===================================================================================
Ljung-Box (L1) (Q): 0.37 Jarque-Bera (JB): 0.60
Prob(Q): 0.54 Prob(JB): 0.74
Heteroskedasticity (H): 0.17 Skew: -0.49
Prob(H) (two-sided): 0.11 Kurtosis: 3.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 58.74564120937708, Current Price: 177.32
SELL EXECUTED at 177.32
SELL ORDER COMPLETED at 176.4561
OPERATION PROFIT, GROSS -5.133900000000011, NET -5.491946100000011
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.735
Date: Wed, 09 Oct 2024 AIC 61.470
Time: 14:41:39 BIC 64.294
Sample: 0 HQIC 60.889
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7039 2.051 0.343 0.731 -3.316 4.724
ma.L1 -0.5107 2.484 -0.206 0.837 -5.378 4.357
ar.S.L7 -0.2876 0.571 -0.504 0.615 -1.407 0.832
ma.S.L7 -0.0414 1.146 -0.036 0.971 -2.287 2.204
sigma2 3.0499 1.338 2.280 0.023 0.428 5.672
===================================================================================
Ljung-Box (L1) (Q): 0.58 Jarque-Bera (JB): 0.97
Prob(Q): 0.45 Prob(JB): 0.61
Heteroskedasticity (H): 6.37 Skew: -0.60
Prob(H) (two-sided): 0.10 Kurtosis: 2.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.4152414816993, Current Price: 175.98
BUY EXECUTED at 175.98
BUY ORDER COMPLETED at 175.92
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.032
Date: Wed, 09 Oct 2024 AIC 60.064
Time: 14:41:39 BIC 62.888
Sample: 0 HQIC 59.483
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0249 0.152 -6.754 0.000 -1.322 -0.727
ma.L1 1.0000 0.552 1.810 0.070 -0.083 2.083
ar.S.L7 -0.8162 0.311 -2.623 0.009 -1.426 -0.206
ma.S.L7 0.0125 0.713 0.018 0.986 -1.385 1.410
sigma2 2.3563 0.234 10.050 0.000 1.897 2.816
===================================================================================
Ljung-Box (L1) (Q): 0.29 Jarque-Bera (JB): 0.31
Prob(Q): 0.59 Prob(JB): 0.86
Heteroskedasticity (H): 4.45 Skew: -0.07
Prob(H) (two-sided): 0.18 Kurtosis: 2.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 6.43e+18. Standard errors may be unstable.
Predicted Price: 177.345528785373, Current Price: 176.93
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.801
Date: Wed, 09 Oct 2024 AIC 59.602
Time: 14:41:39 BIC 62.426
Sample: 0 HQIC 59.021
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0007 0.149 -6.723 0.000 -1.292 -0.709
ma.L1 1.0000 9.58e+04 1.04e-05 1.000 -1.88e+05 1.88e+05
ar.S.L7 -0.7401 0.322 -2.299 0.021 -1.371 -0.109
ma.S.L7 -0.1804 0.742 -0.243 0.808 -1.635 1.274
sigma2 2.2768 2.18e+05 1.04e-05 1.000 -4.27e+05 4.27e+05
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.38
Prob(Q): 0.85 Prob(JB): 0.83
Heteroskedasticity (H): 3.27 Skew: -0.32
Prob(H) (two-sided): 0.28 Kurtosis: 2.45
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.13937016944837, Current Price: 176.91
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.731
Date: Wed, 09 Oct 2024 AIC 59.462
Time: 14:41:39 BIC 62.287
Sample: 0 HQIC 58.881
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0061 0.172 -5.849 0.000 -1.343 -0.669
ma.L1 1.0000 3.35e+04 2.98e-05 1.000 -6.57e+04 6.57e+04
ar.S.L7 -0.7965 0.279 -2.850 0.004 -1.344 -0.249
ma.S.L7 -0.0376 0.989 -0.038 0.970 -1.976 1.901
sigma2 2.2577 7.57e+04 2.98e-05 1.000 -1.48e+05 1.48e+05
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.01
Prob(Q): 1.00 Prob(JB): 0.99
Heteroskedasticity (H): 0.05 Skew: 0.06
Prob(H) (two-sided): 0.02 Kurtosis: 2.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.65557197643048, Current Price: 173.63
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.683
Date: Wed, 09 Oct 2024 AIC 65.366
Time: 14:41:39 BIC 68.191
Sample: 0 HQIC 64.785
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3704 6.068 0.061 0.951 -11.523 12.264
ma.L1 -0.3061 6.282 -0.049 0.961 -12.619 12.007
ar.S.L7 -0.3743 0.807 -0.464 0.643 -1.955 1.206
ma.S.L7 -0.4795 1.715 -0.280 0.780 -3.842 2.883
sigma2 3.7383 3.100 1.206 0.228 -2.337 9.814
===================================================================================
Ljung-Box (L1) (Q): 0.92 Jarque-Bera (JB): 0.78
Prob(Q): 0.34 Prob(JB): 0.68
Heteroskedasticity (H): 1.47 Skew: -0.35
Prob(H) (two-sided): 0.72 Kurtosis: 2.02
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.60524692731872, Current Price: 174.09
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.767
Date: Wed, 09 Oct 2024 AIC 65.533
Time: 14:41:40 BIC 68.358
Sample: 0 HQIC 64.953
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9525 0.511 1.864 0.062 -0.049 1.954
ma.L1 -1.0000 8455.798 -0.000 1.000 -1.66e+04 1.66e+04
ar.S.L7 -0.4986 0.558 -0.894 0.371 -1.592 0.595
ma.S.L7 -0.5065 1.528 -0.332 0.740 -3.501 2.488
sigma2 3.0576 2.59e+04 0.000 1.000 -5.07e+04 5.07e+04
===================================================================================
Ljung-Box (L1) (Q): 1.63 Jarque-Bera (JB): 0.70
Prob(Q): 0.20 Prob(JB): 0.70
Heteroskedasticity (H): 1.08 Skew: -0.29
Prob(H) (two-sided): 0.94 Kurtosis: 2.02
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 174.07417177036356, Current Price: 175.8
SELL EXECUTED at 175.8
SELL ORDER COMPLETED at 177.56
OPERATION PROFIT, GROSS 1.6400000000000148, NET 1.2865200000000148
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.967
Date: Wed, 09 Oct 2024 AIC 65.935
Time: 14:41:40 BIC 68.760
Sample: 0 HQIC 65.354
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8947 0.285 -3.137 0.002 -1.454 -0.336
ma.L1 1.0000 1.31e+04 7.64e-05 1.000 -2.57e+04 2.57e+04
ar.S.L7 -0.7350 0.388 -1.894 0.058 -1.496 0.025
ma.S.L7 -0.1113 0.682 -0.163 0.870 -1.449 1.226
sigma2 3.7192 4.87e+04 7.64e-05 1.000 -9.54e+04 9.54e+04
===================================================================================
Ljung-Box (L1) (Q): 0.72 Jarque-Bera (JB): 0.25
Prob(Q): 0.40 Prob(JB): 0.88
Heteroskedasticity (H): 1.35 Skew: -0.10
Prob(H) (two-sided): 0.78 Kurtosis: 2.35
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 175.12166354813561, Current Price: 175.13
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.106
Date: Wed, 09 Oct 2024 AIC 62.211
Time: 14:41:40 BIC 65.036
Sample: 0 HQIC 61.631
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8289 0.187 -4.441 0.000 -1.195 -0.463
ma.L1 1.0000 1.19e+04 8.44e-05 1.000 -2.32e+04 2.32e+04
ar.S.L7 -0.9079 0.641 -1.416 0.157 -2.165 0.349
ma.S.L7 -0.1670 0.847 -0.197 0.844 -1.828 1.494
sigma2 2.7858 3.3e+04 8.44e-05 1.000 -6.47e+04 6.47e+04
===================================================================================
Ljung-Box (L1) (Q): 0.41 Jarque-Bera (JB): 0.64
Prob(Q): 0.52 Prob(JB): 0.72
Heteroskedasticity (H): 2.33 Skew: -0.51
Prob(H) (two-sided): 0.43 Kurtosis: 2.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 175.8132848788429, Current Price: 175.42
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.997
Date: Wed, 09 Oct 2024 AIC 59.994
Time: 14:41:40 BIC 62.819
Sample: 0 HQIC 59.413
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8865 0.421 2.107 0.035 0.062 1.711
ma.L1 -1.0000 1.61e+04 -6.2e-05 1.000 -3.16e+04 3.16e+04
ar.S.L7 -0.6467 0.695 -0.931 0.352 -2.008 0.715
ma.S.L7 -0.6266 1.746 -0.359 0.720 -4.050 2.796
sigma2 1.8460 2.98e+04 6.2e-05 1.000 -5.84e+04 5.84e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 2.29
Prob(Q): 0.88 Prob(JB): 0.32
Heteroskedasticity (H): 0.17 Skew: -1.03
Prob(H) (two-sided): 0.11 Kurtosis: 3.02
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.19812663833648, Current Price: 172.88
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.561
Date: Wed, 09 Oct 2024 AIC 57.122
Time: 14:41:40 BIC 59.946
Sample: 0 HQIC 56.541
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8028 0.223 3.603 0.000 0.366 1.240
ma.L1 -1.0000 2.37e+04 -4.23e-05 1.000 -4.64e+04 4.64e+04
ar.S.L7 -0.7294 0.469 -1.555 0.120 -1.649 0.190
ma.S.L7 -1.0002 5662.478 -0.000 1.000 -1.11e+04 1.11e+04
sigma2 1.0636 2.35e+04 4.52e-05 1.000 -4.61e+04 4.61e+04
===================================================================================
Ljung-Box (L1) (Q): 1.53 Jarque-Bera (JB): 2.23
Prob(Q): 0.22 Prob(JB): 0.33
Heteroskedasticity (H): 0.11 Skew: -1.01
Prob(H) (two-sided): 0.05 Kurtosis: 3.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.36142093031984, Current Price: 171.42
BUY EXECUTED at 171.42
BUY ORDER COMPLETED at 172.51
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.762
Date: Wed, 09 Oct 2024 AIC 59.523
Time: 14:41:40 BIC 62.348
Sample: 0 HQIC 58.943
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7647 0.383 1.996 0.046 0.014 1.516
ma.L1 -1.0000 2.29e+04 -4.36e-05 1.000 -4.5e+04 4.5e+04
ar.S.L7 -0.6675 0.443 -1.506 0.132 -1.536 0.201
ma.S.L7 -1.0001 1.93e+04 -5.19e-05 1.000 -3.77e+04 3.77e+04
sigma2 1.2797 2.61e+04 4.89e-05 1.000 -5.12e+04 5.13e+04
===================================================================================
Ljung-Box (L1) (Q): 1.00 Jarque-Bera (JB): 1.03
Prob(Q): 0.32 Prob(JB): 0.60
Heteroskedasticity (H): 0.33 Skew: -0.58
Prob(H) (two-sided): 0.31 Kurtosis: 2.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.97516621564796, Current Price: 172.82
SELL EXECUTED at 172.82
SELL ORDER COMPLETED at 172.072
OPERATION PROFIT, GROSS -0.4379999999999882, NET -0.7825819999999881
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.907
Date: Wed, 09 Oct 2024 AIC 59.814
Time: 14:41:40 BIC 62.639
Sample: 0 HQIC 59.233
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7102 0.197 -3.612 0.000 -1.096 -0.325
ma.L1 1.0000 7819.270 0.000 1.000 -1.53e+04 1.53e+04
ar.S.L7 -0.6575 0.435 -1.510 0.131 -1.511 0.196
ma.S.L7 -1.0000 2.23e+04 -4.49e-05 1.000 -4.37e+04 4.37e+04
sigma2 1.4371 3.38e+04 4.26e-05 1.000 -6.62e+04 6.62e+04
===================================================================================
Ljung-Box (L1) (Q): 1.64 Jarque-Bera (JB): 0.74
Prob(Q): 0.20 Prob(JB): 0.69
Heteroskedasticity (H): 0.54 Skew: -0.16
Prob(H) (two-sided): 0.57 Kurtosis: 1.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.24263047932655, Current Price: 170.17
BUY EXECUTED at 170.17
BUY ORDER COMPLETED at 168.312
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.529
Date: Wed, 09 Oct 2024 AIC 57.058
Time: 14:41:40 BIC 59.883
Sample: 0 HQIC 56.478
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1013 0.702 -0.144 0.885 -1.478 1.275
ma.L1 -0.3010 0.589 -0.511 0.609 -1.455 0.853
ar.S.L7 -0.4850 0.300 -1.617 0.106 -1.073 0.103
ma.S.L7 -0.9096 4.800 -0.189 0.850 -10.318 8.498
sigma2 1.4378 6.425 0.224 0.823 -11.155 14.031
===================================================================================
Ljung-Box (L1) (Q): 1.09 Jarque-Bera (JB): 0.70
Prob(Q): 0.30 Prob(JB): 0.70
Heteroskedasticity (H): 2.62 Skew: -0.20
Prob(H) (two-sided): 0.37 Kurtosis: 1.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.62537639231377, Current Price: 168.79
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.677
Date: Wed, 09 Oct 2024 AIC 57.354
Time: 14:41:40 BIC 60.179
Sample: 0 HQIC 56.774
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7430 0.329 -2.261 0.024 -1.387 -0.099
ma.L1 0.6691 0.616 1.086 0.277 -0.538 1.877
ar.S.L7 -0.7251 0.669 -1.084 0.279 -2.037 0.586
ma.S.L7 -1.0001 1.31e+04 -7.63e-05 1.000 -2.57e+04 2.57e+04
sigma2 1.2955 1.7e+04 7.63e-05 1.000 -3.33e+04 3.33e+04
===================================================================================
Ljung-Box (L1) (Q): 0.95 Jarque-Bera (JB): 4.25
Prob(Q): 0.33 Prob(JB): 0.12
Heteroskedasticity (H): 0.56 Skew: -1.28
Prob(H) (two-sided): 0.59 Kurtosis: 4.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.87365121996353, Current Price: 170.4
SELL EXECUTED at 170.4
SELL ORDER COMPLETED at 170.44
OPERATION PROFIT, GROSS 2.127999999999986, NET 1.789247999999986
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.327
Date: Wed, 09 Oct 2024 AIC 58.655
Time: 14:41:40 BIC 61.479
Sample: 0 HQIC 58.074
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6327 0.822 -0.769 0.442 -2.245 0.979
ma.L1 0.7015 0.913 0.768 0.442 -1.089 2.492
ar.S.L7 -0.7287 0.402 -1.814 0.070 -1.516 0.058
ma.S.L7 -1.0001 1.26e+04 -7.96e-05 1.000 -2.46e+04 2.46e+04
sigma2 1.4294 1.8e+04 7.96e-05 1.000 -3.52e+04 3.52e+04
===================================================================================
Ljung-Box (L1) (Q): 0.34 Jarque-Bera (JB): 1.21
Prob(Q): 0.56 Prob(JB): 0.55
Heteroskedasticity (H): 0.58 Skew: -0.73
Prob(H) (two-sided): 0.61 Kurtosis: 2.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.47577450427661, Current Price: 169.33
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.839
Date: Wed, 09 Oct 2024 AIC 55.678
Time: 14:41:40 BIC 58.503
Sample: 0 HQIC 55.098
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5202 0.727 0.716 0.474 -0.904 1.945
ma.L1 -1.0000 6207.161 -0.000 1.000 -1.22e+04 1.22e+04
ar.S.L7 -0.6505 0.426 -1.526 0.127 -1.486 0.185
ma.S.L7 -1.4792 4.350 -0.340 0.734 -10.006 7.047
sigma2 0.5808 3605.688 0.000 1.000 -7066.438 7067.600
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 1.14
Prob(Q): 0.84 Prob(JB): 0.57
Heteroskedasticity (H): 0.47 Skew: -0.69
Prob(H) (two-sided): 0.48 Kurtosis: 2.57
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.66515409305785, Current Price: 169.42
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.874
Date: Wed, 09 Oct 2024 AIC 55.747
Time: 14:41:40 BIC 58.572
Sample: 0 HQIC 55.166
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2300 0.753 0.306 0.760 -1.245 1.705
ma.L1 -1.0000 1.39e+04 -7.19e-05 1.000 -2.72e+04 2.72e+04
ar.S.L7 -0.4972 0.213 -2.331 0.020 -0.915 -0.079
ma.S.L7 -1.9890 3.959 -0.502 0.615 -9.749 5.771
sigma2 0.3824 5315.384 7.19e-05 1.000 -1.04e+04 1.04e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.19
Prob(Q): 0.88 Prob(JB): 0.55
Heteroskedasticity (H): 0.19 Skew: -0.64
Prob(H) (two-sided): 0.14 Kurtosis: 2.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.11892552646788, Current Price: 171.91
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.307
Date: Wed, 09 Oct 2024 AIC 50.614
Time: 14:41:40 BIC 53.438
Sample: 0 HQIC 50.033
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4384 0.061 7.188 0.000 0.319 0.558
ma.L1 -0.5941 0.295 -2.014 0.044 -1.172 -0.016
ar.S.L7 -0.9216 0.246 -3.741 0.000 -1.404 -0.439
ma.S.L7 -1.0008 843.556 -0.001 0.999 -1654.340 1652.339
sigma2 0.7700 649.606 0.001 0.999 -1272.435 1273.975
===================================================================================
Ljung-Box (L1) (Q): 0.26 Jarque-Bera (JB): 0.33
Prob(Q): 0.61 Prob(JB): 0.85
Heteroskedasticity (H): 4.58 Skew: -0.06
Prob(H) (two-sided): 0.17 Kurtosis: 2.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.30203279437413, Current Price: 172.03
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.540
Date: Wed, 09 Oct 2024 AIC 57.080
Time: 14:41:40 BIC 59.905
Sample: 0 HQIC 56.499
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2618 8.369 0.031 0.975 -16.142 16.666
ma.L1 -0.3159 8.275 -0.038 0.970 -16.535 15.903
ar.S.L7 -0.7850 0.347 -2.261 0.024 -1.465 -0.105
ma.S.L7 -0.7326 2.777 -0.264 0.792 -6.175 4.710
sigma2 1.6818 4.028 0.417 0.676 -6.213 9.577
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 0.23
Prob(Q): 0.66 Prob(JB): 0.89
Heteroskedasticity (H): 5.63 Skew: 0.10
Prob(H) (two-sided): 0.12 Kurtosis: 2.38
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 172.55290995437036, Current Price: 172.83
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.021
Date: Wed, 09 Oct 2024 AIC 58.042
Time: 14:41:40 BIC 60.867
Sample: 0 HQIC 57.462
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8893 1.539 0.578 0.563 -2.127 3.905
ma.L1 -0.7149 1.684 -0.425 0.671 -4.015 2.585
ar.S.L7 -0.8750 0.269 -3.251 0.001 -1.403 -0.347
ma.S.L7 0.1938 0.419 0.463 0.644 -0.627 1.015
sigma2 2.2693 1.475 1.538 0.124 -0.622 5.161
===================================================================================
Ljung-Box (L1) (Q): 1.02 Jarque-Bera (JB): 0.49
Prob(Q): 0.31 Prob(JB): 0.78
Heteroskedasticity (H): 2.41 Skew: 0.30
Prob(H) (two-sided): 0.42 Kurtosis: 2.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 175.12338933041883, Current Price: 174.13
BUY EXECUTED at 174.13
BUY ORDER COMPLETED at 172.79
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.101
Date: Wed, 09 Oct 2024 AIC 58.201
Time: 14:41:40 BIC 61.026
Sample: 0 HQIC 57.620
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3865 5.345 0.072 0.942 -10.090 10.863
ma.L1 -0.3135 5.422 -0.058 0.954 -10.940 10.313
ar.S.L7 -0.8253 0.335 -2.466 0.014 -1.481 -0.169
ma.S.L7 0.0246 0.413 0.060 0.952 -0.785 0.834
sigma2 2.3876 1.203 1.985 0.047 0.030 4.745
===================================================================================
Ljung-Box (L1) (Q): 0.53 Jarque-Bera (JB): 0.38
Prob(Q): 0.47 Prob(JB): 0.83
Heteroskedasticity (H): 1.14 Skew: 0.05
Prob(H) (two-sided): 0.90 Kurtosis: 2.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.9486593420834, Current Price: 173.08
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.188
Date: Wed, 09 Oct 2024 AIC 58.375
Time: 14:41:40 BIC 61.200
Sample: 0 HQIC 57.795
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4036 4.474 0.090 0.928 -8.366 9.173
ma.L1 -0.3389 4.443 -0.076 0.939 -9.047 8.370
ar.S.L7 -0.8203 0.356 -2.306 0.021 -1.518 -0.123
ma.S.L7 -0.1342 0.474 -0.283 0.777 -1.063 0.794
sigma2 2.4019 1.198 2.005 0.045 0.054 4.750
===================================================================================
Ljung-Box (L1) (Q): 0.42 Jarque-Bera (JB): 0.54
Prob(Q): 0.51 Prob(JB): 0.76
Heteroskedasticity (H): 0.60 Skew: 0.13
Prob(H) (two-sided): 0.63 Kurtosis: 2.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.1099701569848, Current Price: 172.76
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.208
Date: Wed, 09 Oct 2024 AIC 58.416
Time: 14:41:40 BIC 61.241
Sample: 0 HQIC 57.835
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2852 17.020 -0.017 0.987 -33.643 33.073
ma.L1 0.3137 16.696 0.019 0.985 -32.410 33.037
ar.S.L7 -0.7898 0.426 -1.856 0.063 -1.624 0.044
ma.S.L7 -0.1813 0.508 -0.357 0.721 -1.177 0.814
sigma2 2.3951 1.262 1.898 0.058 -0.078 4.868
===================================================================================
Ljung-Box (L1) (Q): 0.65 Jarque-Bera (JB): 0.45
Prob(Q): 0.42 Prob(JB): 0.80
Heteroskedasticity (H): 0.08 Skew: 0.06
Prob(H) (two-sided): 0.03 Kurtosis: 2.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.8094544265192, Current Price: 172.85
SELL EXECUTED at 172.85
SELL ORDER COMPLETED at 172.71
OPERATION PROFIT, GROSS -0.07999999999998408, NET -0.4254999999999841
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.874
Date: Wed, 09 Oct 2024 AIC 55.749
Time: 14:41:40 BIC 58.573
Sample: 0 HQIC 55.168
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7043 0.277 -2.542 0.011 -1.248 -0.161
ma.L1 1.0000 1.06e+05 9.43e-06 1.000 -2.08e+05 2.08e+05
ar.S.L7 -0.7739 0.191 -4.058 0.000 -1.148 -0.400
ma.S.L7 -0.2346 0.892 -0.263 0.792 -1.983 1.513
sigma2 1.6824 1.78e+05 9.43e-06 1.000 -3.5e+05 3.5e+05
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.14
Prob(Q): 0.94 Prob(JB): 0.57
Heteroskedasticity (H): 0.54 Skew: 0.19
Prob(H) (two-sided): 0.57 Kurtosis: 1.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 172.1059325019874, Current Price: 171.14
BUY EXECUTED at 171.14
BUY ORDER COMPLETED at 172.2099
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.528
Date: Wed, 09 Oct 2024 AIC 53.056
Time: 14:41:40 BIC 55.881
Sample: 0 HQIC 52.476
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5205 0.153 -3.404 0.001 -0.820 -0.221
ma.L1 1.0000 5215.118 0.000 1.000 -1.02e+04 1.02e+04
ar.S.L7 -0.7256 0.256 -2.833 0.005 -1.227 -0.224
ma.S.L7 -0.2960 0.692 -0.427 0.669 -1.653 1.061
sigma2 1.3577 7080.857 0.000 1.000 -1.39e+04 1.39e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.65
Prob(Q): 0.87 Prob(JB): 0.72
Heteroskedasticity (H): 1.80 Skew: 0.37
Prob(H) (two-sided): 0.58 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.53984780272495, Current Price: 172.23
SELL EXECUTED at 172.23
SELL ORDER COMPLETED at 173.66
OPERATION PROFIT, GROSS 1.450099999999992, NET 1.1042300999999919
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.459
Date: Wed, 09 Oct 2024 AIC 52.918
Time: 14:41:40 BIC 55.743
Sample: 0 HQIC 52.337
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4387 0.087 -5.043 0.000 -0.609 -0.268
ma.L1 0.7751 0.369 2.102 0.036 0.053 1.498
ar.S.L7 -0.7313 0.248 -2.952 0.003 -1.217 -0.246
ma.S.L7 -0.2227 0.439 -0.507 0.612 -1.083 0.638
sigma2 1.5115 0.882 1.713 0.087 -0.218 3.241
===================================================================================
Ljung-Box (L1) (Q): 0.38 Jarque-Bera (JB): 0.28
Prob(Q): 0.54 Prob(JB): 0.87
Heteroskedasticity (H): 2.74 Skew: 0.06
Prob(H) (two-sided): 0.35 Kurtosis: 2.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.0007046665131, Current Price: 174.35
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.657
Date: Wed, 09 Oct 2024 AIC 55.313
Time: 14:41:40 BIC 58.138
Sample: 0 HQIC 54.732
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2976 1.056 -0.282 0.778 -2.368 1.773
ma.L1 1.0000 3387.085 0.000 1.000 -6637.564 6639.564
ar.S.L7 -0.6023 0.352 -1.710 0.087 -1.293 0.088
ma.S.L7 -0.4921 0.814 -0.604 0.546 -2.088 1.104
sigma2 1.5973 5409.794 0.000 1.000 -1.06e+04 1.06e+04
===================================================================================
Ljung-Box (L1) (Q): 1.29 Jarque-Bera (JB): 0.69
Prob(Q): 0.26 Prob(JB): 0.71
Heteroskedasticity (H): 2.11 Skew: -0.36
Prob(H) (two-sided): 0.49 Kurtosis: 2.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 174.4531963471936, Current Price: 172.58
BUY EXECUTED at 172.58
BUY ORDER COMPLETED at 172.81
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.508
Date: Wed, 09 Oct 2024 AIC 57.017
Time: 14:41:40 BIC 59.842
Sample: 0 HQIC 56.436
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3479 0.442 -0.788 0.431 -1.214 0.518
ma.L1 1.0000 5404.134 0.000 1.000 -1.06e+04 1.06e+04
ar.S.L7 -0.6028 0.326 -1.848 0.065 -1.242 0.037
ma.S.L7 -0.3077 0.610 -0.505 0.614 -1.503 0.887
sigma2 1.9302 1.04e+04 0.000 1.000 -2.04e+04 2.04e+04
===================================================================================
Ljung-Box (L1) (Q): 1.17 Jarque-Bera (JB): 1.06
Prob(Q): 0.28 Prob(JB): 0.59
Heteroskedasticity (H): 2.31 Skew: -0.42
Prob(H) (two-sided): 0.44 Kurtosis: 1.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.9985720755753, Current Price: 171.82
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.421
Date: Wed, 09 Oct 2024 AIC 56.842
Time: 14:41:40 BIC 59.667
Sample: 0 HQIC 56.262
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3331 0.427 -0.780 0.435 -1.170 0.504
ma.L1 1.0000 4217.936 0.000 1.000 -8266.004 8268.003
ar.S.L7 -0.6038 0.281 -2.147 0.032 -1.155 -0.053
ma.S.L7 -0.2549 0.569 -0.448 0.654 -1.370 0.860
sigma2 1.9195 8096.356 0.000 1.000 -1.59e+04 1.59e+04
===================================================================================
Ljung-Box (L1) (Q): 0.70 Jarque-Bera (JB): 0.92
Prob(Q): 0.40 Prob(JB): 0.63
Heteroskedasticity (H): 1.50 Skew: -0.50
Prob(H) (two-sided): 0.70 Kurtosis: 2.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.47231700962, Current Price: 172.94
SELL EXECUTED at 172.94
SELL ORDER COMPLETED at 172.89
OPERATION PROFIT, GROSS 0.07999999999998408, NET -0.2657000000000159
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.244
Date: Wed, 09 Oct 2024 AIC 58.488
Time: 14:41:40 BIC 61.313
Sample: 0 HQIC 57.908
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3560 0.500 -0.712 0.476 -1.336 0.624
ma.L1 1.0000 9069.276 0.000 1.000 -1.78e+04 1.78e+04
ar.S.L7 -0.5724 0.272 -2.108 0.035 -1.105 -0.040
ma.S.L7 -0.1318 0.523 -0.252 0.801 -1.156 0.892
sigma2 2.1952 1.99e+04 0.000 1.000 -3.9e+04 3.9e+04
===================================================================================
Ljung-Box (L1) (Q): 1.18 Jarque-Bera (JB): 0.88
Prob(Q): 0.28 Prob(JB): 0.64
Heteroskedasticity (H): 0.93 Skew: -0.44
Prob(H) (two-sided): 0.94 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.55060865095257, Current Price: 172.78
BUY EXECUTED at 172.78
BUY ORDER COMPLETED at 172.45
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/tsa/stattools.py:1431: RuntimeWarning: invalid value encountered in divide
test_statistic = numer_squared_sum / denom_squared_sum
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/tsa/stattools.py:702: RuntimeWarning: invalid value encountered in divide
acf = avf[: nlags + 1] / avf[0]
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood 0.000
Date: Wed, 09 Oct 2024 AIC 10.000
Time: 14:41:40 BIC 12.825
Sample: 0 HQIC 9.419
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8817 1.38e-08 -6.41e+07 0.000 -0.882 -0.882
ma.L1 0.8561 3.53e-07 2.43e+06 0.000 0.856 0.856
ar.S.L7 -8.785e+12 7.74e-15 -1.13e+27 0.000 -8.79e+12 -8.79e+12
ma.S.L7 -3.089e+11 5.44e-20 -5.67e+30 0.000 -3.09e+11 -3.09e+11
sigma2 4.8223 0.238 20.272 0.000 4.356 5.289
===================================================================================
Ljung-Box (L1) (Q): nan Jarque-Bera (JB): nan
Prob(Q): nan Prob(JB): nan
Heteroskedasticity (H): nan Skew: nan
Prob(H) (two-sided): nan Kurtosis: nan
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 1.84e+53. Standard errors may be unstable.
Predicted Price: 3.265676757548661e+37, Current Price: 172.23
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.519
Date: Wed, 09 Oct 2024 AIC 55.038
Time: 14:41:40 BIC 57.863
Sample: 0 HQIC 54.458
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4292 0.112 -3.838 0.000 -0.648 -0.210
ma.L1 1.0000 1.8e+04 5.57e-05 1.000 -3.52e+04 3.52e+04
ar.S.L7 -0.5567 0.275 -2.025 0.043 -1.096 -0.018
ma.S.L7 0.0204 0.465 0.044 0.965 -0.890 0.931
sigma2 1.6390 2.94e+04 5.57e-05 1.000 -5.77e+04 5.77e+04
===================================================================================
Ljung-Box (L1) (Q): 1.67 Jarque-Bera (JB): 0.93
Prob(Q): 0.20 Prob(JB): 0.63
Heteroskedasticity (H): 0.58 Skew: -0.40
Prob(H) (two-sided): 0.62 Kurtosis: 1.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 172.6789846525633, Current Price: 174.54
SELL EXECUTED at 174.54
SELL ORDER COMPLETED at 171.18
OPERATION PROFIT, GROSS -1.2699999999999818, NET -1.613629999999982
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.128
Date: Wed, 09 Oct 2024 AIC 54.256
Time: 14:41:40 BIC 57.081
Sample: 0 HQIC 53.675
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4936 0.417 -1.184 0.236 -1.311 0.323
ma.L1 1.0000 7.49e+04 1.34e-05 1.000 -1.47e+05 1.47e+05
ar.S.L7 -0.5107 0.250 -2.045 0.041 -1.000 -0.021
ma.S.L7 0.5779 1.372 0.421 0.674 -2.111 3.266
sigma2 1.2338 9.24e+04 1.34e-05 1.000 -1.81e+05 1.81e+05
===================================================================================
Ljung-Box (L1) (Q): 2.81 Jarque-Bera (JB): 1.73
Prob(Q): 0.09 Prob(JB): 0.42
Heteroskedasticity (H): 1.44 Skew: -0.79
Prob(H) (two-sided): 0.73 Kurtosis: 2.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.36053050689745, Current Price: 169.93
BUY EXECUTED at 169.93
BUY ORDER COMPLETED at 169.61
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.532
Date: Wed, 09 Oct 2024 AIC 57.063
Time: 14:41:41 BIC 59.888
Sample: 0 HQIC 56.483
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5922 0.916 -0.647 0.518 -2.387 1.203
ma.L1 -1.0000 7871.485 -0.000 1.000 -1.54e+04 1.54e+04
ar.S.L7 -0.4598 0.092 -4.989 0.000 -0.640 -0.279
ma.S.L7 -3.2604 16.208 -0.201 0.841 -35.027 28.506
sigma2 0.1650 1299.568 0.000 1.000 -2546.942 2547.272
===================================================================================
Ljung-Box (L1) (Q): 0.43 Jarque-Bera (JB): 2.84
Prob(Q): 0.51 Prob(JB): 0.24
Heteroskedasticity (H): 9.39 Skew: -1.08
Prob(H) (two-sided): 0.05 Kurtosis: 3.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 176.33524635622447, Current Price: 168.57
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.616
Date: Wed, 09 Oct 2024 AIC 65.232
Time: 14:41:41 BIC 68.056
Sample: 0 HQIC 64.651
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2125 3.846 0.055 0.956 -7.326 7.751
ma.L1 -0.5830 3.833 -0.152 0.879 -8.096 6.931
ar.S.L7 -0.4828 0.336 -1.438 0.150 -1.141 0.175
ma.S.L7 -1.2972 8.980 -0.144 0.885 -18.898 16.303
sigma2 1.8074 15.652 0.115 0.908 -28.870 32.485
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.63
Prob(Q): 0.96 Prob(JB): 0.73
Heteroskedasticity (H): 8.67 Skew: -0.43
Prob(H) (two-sided): 0.06 Kurtosis: 2.33
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.22320037373387, Current Price: 170.77
SELL EXECUTED at 170.77
SELL ORDER COMPLETED at 170.56
OPERATION PROFIT, GROSS 0.9499999999999886, NET 0.6098299999999885
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.827
Date: Wed, 09 Oct 2024 AIC 67.654
Time: 14:41:41 BIC 70.479
Sample: 0 HQIC 67.073
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7019 1.082 -0.649 0.516 -2.822 1.419
ma.L1 0.8866 0.882 1.005 0.315 -0.842 2.615
ar.S.L7 -0.5969 0.545 -1.095 0.273 -1.665 0.471
ma.S.L7 -1.0001 1.07e+04 -9.38e-05 1.000 -2.09e+04 2.09e+04
sigma2 2.8011 2.99e+04 9.38e-05 1.000 -5.86e+04 5.86e+04
===================================================================================
Ljung-Box (L1) (Q): 2.17 Jarque-Bera (JB): 0.81
Prob(Q): 0.14 Prob(JB): 0.67
Heteroskedasticity (H): 2.57 Skew: -0.60
Prob(H) (two-sided): 0.38 Kurtosis: 2.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.54109234896205, Current Price: 172.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.282
Date: Wed, 09 Oct 2024 AIC 68.565
Time: 14:41:41 BIC 71.389
Sample: 0 HQIC 67.984
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4514 1.066 -0.424 0.672 -2.540 1.637
ma.L1 1.5662 2.353 0.666 0.506 -3.045 6.177
ar.S.L7 -0.5111 0.608 -0.841 0.400 -1.702 0.680
ma.S.L7 -0.3904 1.339 -0.292 0.771 -3.014 2.234
sigma2 2.0197 7.638 0.264 0.791 -12.950 16.990
===================================================================================
Ljung-Box (L1) (Q): 0.62 Jarque-Bera (JB): 1.54
Prob(Q): 0.43 Prob(JB): 0.46
Heteroskedasticity (H): 2.58 Skew: -0.84
Prob(H) (two-sided): 0.38 Kurtosis: 3.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 172.88128607110815, Current Price: 171.27
BUY EXECUTED at 171.27
BUY ORDER COMPLETED at 171.06
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.513
Date: Wed, 09 Oct 2024 AIC 65.025
Time: 14:41:41 BIC 67.850
Sample: 0 HQIC 64.445
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3251 1.240 0.262 0.793 -2.104 2.754
ma.L1 -1.2387 1.313 -0.944 0.345 -3.811 1.334
ar.S.L7 -0.2956 0.366 -0.808 0.419 -1.013 0.422
ma.S.L7 -4.7494 42.451 -0.112 0.911 -87.951 78.453
sigma2 0.1111 2.005 0.055 0.956 -3.819 4.042
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 2.71
Prob(Q): 0.97 Prob(JB): 0.26
Heteroskedasticity (H): 1.99 Skew: -1.08
Prob(H) (two-sided): 0.52 Kurtosis: 3.55
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.83773335377649, Current Price: 170.63
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.432
Date: Wed, 09 Oct 2024 AIC 64.863
Time: 14:41:41 BIC 67.688
Sample: 0 HQIC 64.283
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2785 1.280 0.218 0.828 -2.229 2.786
ma.L1 -0.8112 0.854 -0.950 0.342 -2.485 0.862
ar.S.L7 -0.2365 0.453 -0.522 0.602 -1.124 0.651
ma.S.L7 -0.1792 1.953 -0.092 0.927 -4.008 3.649
sigma2 3.8415 3.275 1.173 0.241 -2.577 10.260
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 3.17
Prob(Q): 0.94 Prob(JB): 0.21
Heteroskedasticity (H): 0.30 Skew: -1.17
Prob(H) (two-sided): 0.27 Kurtosis: 3.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 172.587729134316, Current Price: 171.31
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.123
Date: Wed, 09 Oct 2024 AIC 62.247
Time: 14:41:41 BIC 65.072
Sample: 0 HQIC 61.666
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3525 0.937 0.376 0.707 -1.483 2.188
ma.L1 -1.0001 1562.989 -0.001 0.999 -3064.403 3062.403
ar.S.L7 -0.4767 0.795 -0.600 0.549 -2.035 1.081
ma.S.L7 -1.0004 3103.112 -0.000 1.000 -6082.989 6080.988
sigma2 1.6799 7011.155 0.000 1.000 -1.37e+04 1.37e+04
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 1.82
Prob(Q): 0.79 Prob(JB): 0.40
Heteroskedasticity (H): 1.59 Skew: -0.91
Prob(H) (two-sided): 0.66 Kurtosis: 3.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.0835629451697, Current Price: 170.26
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.445
Date: Wed, 09 Oct 2024 AIC 62.890
Time: 14:41:41 BIC 65.715
Sample: 0 HQIC 62.310
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4269 0.929 0.460 0.646 -1.394 2.247
ma.L1 -1.0001 2278.850 -0.000 1.000 -4467.465 4465.465
ar.S.L7 -0.2157 1.076 -0.200 0.841 -2.325 1.894
ma.S.L7 -0.3635 1.698 -0.214 0.831 -3.692 2.965
sigma2 2.8151 6415.440 0.000 1.000 -1.26e+04 1.26e+04
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 4.43
Prob(Q): 0.81 Prob(JB): 0.11
Heteroskedasticity (H): 1.64 Skew: -1.31
Prob(H) (two-sided): 0.64 Kurtosis: 4.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.70562807262178, Current Price: 170.09
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.502
Date: Wed, 09 Oct 2024 AIC 61.005
Time: 14:41:41 BIC 63.829
Sample: 0 HQIC 60.424
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2040 0.449 0.455 0.649 -0.676 1.084
ma.L1 -0.9998 844.708 -0.001 0.999 -1656.597 1654.598
ar.S.L7 0.0033 0.018 0.184 0.854 -0.032 0.038
ma.S.L7 -1.0004 1606.076 -0.001 1.000 -3148.851 3146.850
sigma2 1.6373 2573.821 0.001 0.999 -5042.960 5046.235
===================================================================================
Ljung-Box (L1) (Q): 0.27 Jarque-Bera (JB): 4.02
Prob(Q): 0.60 Prob(JB): 0.13
Heteroskedasticity (H): 0.09 Skew: -1.28
Prob(H) (two-sided): 0.04 Kurtosis: 3.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.28473968870443, Current Price: 169.9
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.077
Date: Wed, 09 Oct 2024 AIC 62.155
Time: 14:41:41 BIC 64.980
Sample: 0 HQIC 61.574
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2746 0.547 0.502 0.615 -0.797 1.346
ma.L1 -1.0000 1.99e+04 -5.04e-05 1.000 -3.89e+04 3.89e+04
ar.S.L7 -0.1019 0.446 -0.229 0.819 -0.976 0.772
ma.S.L7 -1.0005 1558.451 -0.001 0.999 -3055.509 3053.508
sigma2 1.6622 3.38e+04 4.92e-05 1.000 -6.62e+04 6.62e+04
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 4.44
Prob(Q): 0.70 Prob(JB): 0.11
Heteroskedasticity (H): 0.05 Skew: -1.30
Prob(H) (two-sided): 0.01 Kurtosis: 4.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.6166430738792, Current Price: 169.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.557
Date: Wed, 09 Oct 2024 AIC 61.114
Time: 14:41:41 BIC 63.939
Sample: 0 HQIC 60.533
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2179 0.953 0.229 0.819 -1.651 2.086
ma.L1 -1.0000 1.98e+04 -5.04e-05 1.000 -3.89e+04 3.89e+04
ar.S.L7 -0.0032 0.016 -0.196 0.845 -0.035 0.029
ma.S.L7 -1.0000 2.14e+04 -4.67e-05 1.000 -4.2e+04 4.2e+04
sigma2 1.6498 3.55e+04 4.64e-05 1.000 -6.96e+04 6.96e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 2.69
Prob(Q): 0.85 Prob(JB): 0.26
Heteroskedasticity (H): 0.07 Skew: -1.05
Prob(H) (two-sided): 0.03 Kurtosis: 3.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.89846784580766, Current Price: 169.49
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.612
Date: Wed, 09 Oct 2024 AIC 61.225
Time: 14:41:41 BIC 64.050
Sample: 0 HQIC 60.644
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2673 1.769 0.151 0.880 -3.199 3.734
ma.L1 -1.0000 9247.105 -0.000 1.000 -1.81e+04 1.81e+04
ar.S.L7 -0.0026 0.030 -0.084 0.933 -0.062 0.057
ma.S.L7 -0.9999 1.88e+04 -5.33e-05 1.000 -3.68e+04 3.68e+04
sigma2 1.6930 2.59e+04 6.53e-05 1.000 -5.08e+04 5.08e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 3.22
Prob(Q): 0.89 Prob(JB): 0.20
Heteroskedasticity (H): 0.08 Skew: -1.12
Prob(H) (two-sided): 0.03 Kurtosis: 3.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.3312370634006, Current Price: 168.46
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.509
Date: Wed, 09 Oct 2024 AIC 61.019
Time: 14:41:41 BIC 63.844
Sample: 0 HQIC 60.438
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2646 0.848 0.312 0.755 -1.398 1.927
ma.L1 -1.0000 6304.513 -0.000 1.000 -1.24e+04 1.24e+04
ar.S.L7 -0.0777 0.666 -0.117 0.907 -1.383 1.227
ma.S.L7 -1.0001 1.88e+04 -5.32e-05 1.000 -3.69e+04 3.69e+04
sigma2 1.5219 2.72e+04 5.6e-05 1.000 -5.33e+04 5.33e+04
===================================================================================
Ljung-Box (L1) (Q): 0.99 Jarque-Bera (JB): 7.28
Prob(Q): 0.32 Prob(JB): 0.03
Heteroskedasticity (H): 0.12 Skew: -1.53
Prob(H) (two-sided): 0.06 Kurtosis: 5.02
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.29156997378502, Current Price: 168.32
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.933
Date: Wed, 09 Oct 2024 AIC 47.865
Time: 14:41:41 BIC 50.690
Sample: 0 HQIC 47.285
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4971 0.123 4.045 0.000 0.256 0.738
ma.L1 -1.0000 9873.607 -0.000 1.000 -1.94e+04 1.94e+04
ar.S.L7 -0.1511 0.308 -0.490 0.624 -0.756 0.453
ma.S.L7 -1.0001 1.53e+04 -6.52e-05 1.000 -3.01e+04 3.01e+04
sigma2 0.5338 1.05e+04 5.1e-05 1.000 -2.05e+04 2.05e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.52
Prob(Q): 0.90 Prob(JB): 0.77
Heteroskedasticity (H): 0.85 Skew: 0.38
Prob(H) (two-sided): 0.88 Kurtosis: 2.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.73714401543378, Current Price: 164.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.535
Date: Wed, 09 Oct 2024 AIC 51.069
Time: 14:41:41 BIC 53.894
Sample: 0 HQIC 50.489
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2586 0.444 0.582 0.561 -0.612 1.129
ma.L1 -0.6646 0.357 -1.860 0.063 -1.365 0.036
ar.S.L7 -0.4889 0.224 -2.183 0.029 -0.928 -0.050
ma.S.L7 -0.1416 0.298 -0.475 0.635 -0.726 0.443
sigma2 1.3617 0.801 1.699 0.089 -0.209 2.932
===================================================================================
Ljung-Box (L1) (Q): 1.43 Jarque-Bera (JB): 0.55
Prob(Q): 0.23 Prob(JB): 0.76
Heteroskedasticity (H): 1.33 Skew: 0.25
Prob(H) (two-sided): 0.79 Kurtosis: 2.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.77202698971834, Current Price: 162.14
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.912
Date: Wed, 09 Oct 2024 AIC 43.824
Time: 14:41:41 BIC 46.649
Sample: 0 HQIC 43.244
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3229 0.687 -0.470 0.638 -1.669 1.023
ma.L1 1.0000 4827.165 0.000 1.000 -9460.070 9462.070
ar.S.L7 -0.6012 0.243 -2.479 0.013 -1.077 -0.126
ma.S.L7 -2.1636 5.020 -0.431 0.666 -12.002 7.675
sigma2 0.1444 697.127 0.000 1.000 -1366.199 1366.488
===================================================================================
Ljung-Box (L1) (Q): 2.04 Jarque-Bera (JB): 1.33
Prob(Q): 0.15 Prob(JB): 0.51
Heteroskedasticity (H): 1.85 Skew: 0.05
Prob(H) (two-sided): 0.57 Kurtosis: 1.43
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.2452169993654, Current Price: 162.23
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.592
Date: Wed, 09 Oct 2024 AIC 47.184
Time: 14:41:41 BIC 50.009
Sample: 0 HQIC 46.603
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2686 23.351 0.012 0.991 -45.498 46.036
ma.L1 -0.2536 23.784 -0.011 0.991 -46.869 46.361
ar.S.L7 -0.4953 0.326 -1.518 0.129 -1.135 0.144
ma.S.L7 -1.0002 4059.820 -0.000 1.000 -7958.102 7956.102
sigma2 0.6158 2500.537 0.000 1.000 -4900.346 4901.578
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.14
Prob(Q): 0.80 Prob(JB): 0.93
Heteroskedasticity (H): 2.54 Skew: -0.03
Prob(H) (two-sided): 0.39 Kurtosis: 2.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.72583151221082, Current Price: 162.3
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.727
Date: Wed, 09 Oct 2024 AIC 47.454
Time: 14:41:41 BIC 50.278
Sample: 0 HQIC 46.873
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3539 0.772 0.459 0.647 -1.159 1.866
ma.L1 -0.0831 0.799 -0.104 0.917 -1.649 1.483
ar.S.L7 -0.5182 0.230 -2.258 0.024 -0.968 -0.068
ma.S.L7 -0.4239 0.619 -0.685 0.494 -1.637 0.789
sigma2 0.9690 0.654 1.482 0.138 -0.313 2.251
===================================================================================
Ljung-Box (L1) (Q): 0.30 Jarque-Bera (JB): 0.62
Prob(Q): 0.58 Prob(JB): 0.73
Heteroskedasticity (H): 0.79 Skew: 0.37
Prob(H) (two-sided): 0.82 Kurtosis: 2.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.0637793386388, Current Price: 161.43
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.893
Date: Wed, 09 Oct 2024 AIC 45.786
Time: 14:41:41 BIC 48.610
Sample: 0 HQIC 45.205
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.0162 0.291 3.490 0.000 0.445 1.587
ma.L1 -1.0000 6824.348 -0.000 1.000 -1.34e+04 1.34e+04
ar.S.L7 -0.5716 0.252 -2.270 0.023 -1.065 -0.078
ma.S.L7 -0.1700 0.528 -0.322 0.747 -1.205 0.865
sigma2 0.7659 5227.259 0.000 1.000 -1.02e+04 1.02e+04
===================================================================================
Ljung-Box (L1) (Q): 0.24 Jarque-Bera (JB): 0.46
Prob(Q): 0.63 Prob(JB): 0.79
Heteroskedasticity (H): 0.54 Skew: 0.42
Prob(H) (two-sided): 0.57 Kurtosis: 2.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.89690530981437, Current Price: 160.83
SELL EXECUTED at 160.83
SELL ORDER COMPLETED at 160.1
OPERATION PROFIT, GROSS -10.960000000000008, NET -11.291160000000009
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.288
Date: Wed, 09 Oct 2024 AIC 46.577
Time: 14:41:41 BIC 49.402
Sample: 0 HQIC 45.996
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8123 0.815 0.997 0.319 -0.785 2.410
ma.L1 -0.5911 1.099 -0.538 0.591 -2.745 1.562
ar.S.L7 -0.5543 0.225 -2.468 0.014 -0.995 -0.114
ma.S.L7 0.0953 0.437 0.218 0.827 -0.760 0.951
sigma2 0.9626 0.517 1.863 0.063 -0.050 1.975
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 0.42
Prob(Q): 0.65 Prob(JB): 0.81
Heteroskedasticity (H): 0.10 Skew: 0.03
Prob(H) (two-sided): 0.05 Kurtosis: 2.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.85771257056996, Current Price: 161.6
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.928
Date: Wed, 09 Oct 2024 AIC 43.856
Time: 14:41:41 BIC 46.680
Sample: 0 HQIC 43.275
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1821 0.520 -0.350 0.726 -1.202 0.838
ma.L1 1.0000 9384.409 0.000 1.000 -1.84e+04 1.84e+04
ar.S.L7 -0.3883 0.160 -2.430 0.015 -0.701 -0.075
ma.S.L7 0.0115 0.532 0.022 0.983 -1.031 1.054
sigma2 0.7012 6580.768 0.000 1.000 -1.29e+04 1.29e+04
===================================================================================
Ljung-Box (L1) (Q): 1.15 Jarque-Bera (JB): 0.87
Prob(Q): 0.28 Prob(JB): 0.65
Heteroskedasticity (H): 0.23 Skew: 0.30
Prob(H) (two-sided): 0.18 Kurtosis: 1.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.52238699874715, Current Price: 159.33
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.218
Date: Wed, 09 Oct 2024 AIC 42.437
Time: 14:41:41 BIC 45.262
Sample: 0 HQIC 41.856
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2787 0.453 -0.615 0.539 -1.167 0.610
ma.L1 1.0000 2848.624 0.000 1.000 -5582.200 5584.200
ar.S.L7 -0.3246 0.297 -1.094 0.274 -0.906 0.257
ma.S.L7 -2.0661 3.875 -0.533 0.594 -9.661 5.529
sigma2 0.1392 396.886 0.000 1.000 -777.742 778.021
===================================================================================
Ljung-Box (L1) (Q): 0.59 Jarque-Bera (JB): 1.22
Prob(Q): 0.44 Prob(JB): 0.54
Heteroskedasticity (H): 0.14 Skew: 0.70
Prob(H) (two-sided): 0.09 Kurtosis: 2.45
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 157.87478287990976, Current Price: 159.01
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.258
Date: Wed, 09 Oct 2024 AIC 40.516
Time: 14:41:41 BIC 43.341
Sample: 0 HQIC 39.936
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0168 0.464 0.036 0.971 -0.892 0.925
ma.L1 0.6401 0.489 1.308 0.191 -0.319 1.599
ar.S.L7 -0.2880 0.209 -1.378 0.168 -0.698 0.122
ma.S.L7 -0.8976 5.497 -0.163 0.870 -11.671 9.876
sigma2 0.4074 2.233 0.182 0.855 -3.968 4.783
===================================================================================
Ljung-Box (L1) (Q): 1.00 Jarque-Bera (JB): 1.32
Prob(Q): 0.32 Prob(JB): 0.52
Heteroskedasticity (H): 0.27 Skew: 0.68
Prob(H) (two-sided): 0.24 Kurtosis: 2.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.2920813705773, Current Price: 159.16
BUY EXECUTED at 159.16
BUY ORDER COMPLETED at 159.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.941
Date: Wed, 09 Oct 2024 AIC 39.881
Time: 14:41:41 BIC 42.706
Sample: 0 HQIC 39.301
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6651 0.626 1.062 0.288 -0.563 1.893
ma.L1 -0.4168 1.212 -0.344 0.731 -2.791 1.958
ar.S.L7 -0.5040 0.260 -1.935 0.053 -1.014 0.006
ma.S.L7 -0.4035 0.747 -0.540 0.589 -1.868 1.061
sigma2 0.5361 0.297 1.807 0.071 -0.045 1.118
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.04
Prob(Q): 0.85 Prob(JB): 0.98
Heteroskedasticity (H): 0.08 Skew: -0.03
Prob(H) (two-sided): 0.03 Kurtosis: 2.74
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.47239125463264, Current Price: 159.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.285
Date: Wed, 09 Oct 2024 AIC 34.570
Time: 14:41:42 BIC 37.394
Sample: 0 HQIC 33.989
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8079 0.274 2.947 0.003 0.271 1.345
ma.L1 -0.3849 0.452 -0.851 0.395 -1.272 0.502
ar.S.L7 -0.4327 0.225 -1.927 0.054 -0.873 0.007
ma.S.L7 -0.2731 0.382 -0.715 0.475 -1.022 0.475
sigma2 0.3732 0.252 1.482 0.138 -0.120 0.867
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 0.82
Prob(Q): 0.62 Prob(JB): 0.66
Heteroskedasticity (H): 0.22 Skew: -0.60
Prob(H) (two-sided): 0.18 Kurtosis: 2.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.0704277142568, Current Price: 158.04
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -12.203
Date: Wed, 09 Oct 2024 AIC 34.406
Time: 14:41:42 BIC 37.231
Sample: 0 HQIC 33.825
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7457 0.345 2.160 0.031 0.069 1.422
ma.L1 -0.1282 0.545 -0.235 0.814 -1.196 0.940
ar.S.L7 -0.4137 0.342 -1.209 0.227 -1.085 0.257
ma.S.L7 -1.0001 9122.884 -0.000 1.000 -1.79e+04 1.79e+04
sigma2 0.2234 2038.392 0.000 1.000 -3994.951 3995.398
===================================================================================
Ljung-Box (L1) (Q): 1.11 Jarque-Bera (JB): 1.14
Prob(Q): 0.29 Prob(JB): 0.56
Heteroskedasticity (H): 0.63 Skew: -0.58
Prob(H) (two-sided): 0.66 Kurtosis: 2.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 156.7409542485769, Current Price: 160.27
SELL EXECUTED at 160.27
SELL ORDER COMPLETED at 160.55
OPERATION PROFIT, GROSS 1.0800000000000125, NET 0.7599800000000125
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.364
Date: Wed, 09 Oct 2024 AIC 48.729
Time: 14:41:42 BIC 51.553
Sample: 0 HQIC 48.148
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7652 0.467 1.639 0.101 -0.150 1.680
ma.L1 -0.6422 1.111 -0.578 0.563 -2.819 1.534
ar.S.L7 -0.4898 0.646 -0.758 0.448 -1.756 0.776
ma.S.L7 -0.0245 0.988 -0.025 0.980 -1.961 1.913
sigma2 1.1348 0.481 2.359 0.018 0.192 2.078
===================================================================================
Ljung-Box (L1) (Q): 0.59 Jarque-Bera (JB): 5.38
Prob(Q): 0.44 Prob(JB): 0.07
Heteroskedasticity (H): 5.92 Skew: 1.20
Prob(H) (two-sided): 0.11 Kurtosis: 5.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.9265990344963, Current Price: 160.67
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.333
Date: Wed, 09 Oct 2024 AIC 48.665
Time: 14:41:42 BIC 51.490
Sample: 0 HQIC 48.085
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0428 0.348 -2.996 0.003 -1.725 -0.361
ma.L1 1.0000 9.04e+04 1.11e-05 1.000 -1.77e+05 1.77e+05
ar.S.L7 -0.4510 0.188 -2.400 0.016 -0.819 -0.083
ma.S.L7 -0.2039 0.980 -0.208 0.835 -2.125 1.717
sigma2 0.9794 8.85e+04 1.11e-05 1.000 -1.74e+05 1.74e+05
===================================================================================
Ljung-Box (L1) (Q): 0.52 Jarque-Bera (JB): 1.96
Prob(Q): 0.47 Prob(JB): 0.37
Heteroskedasticity (H): 1.87 Skew: 0.79
Prob(H) (two-sided): 0.56 Kurtosis: 4.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 158.46539450121563, Current Price: 160.23
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.484
Date: Wed, 09 Oct 2024 AIC 46.968
Time: 14:41:42 BIC 49.792
Sample: 0 HQIC 46.387
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.2324 0.332 -3.713 0.000 -1.883 -0.582
ma.L1 1.0000 8283.370 0.000 1.000 -1.62e+04 1.62e+04
ar.S.L7 -0.2682 0.320 -0.839 0.402 -0.895 0.358
ma.S.L7 -0.3265 0.687 -0.476 0.634 -1.672 1.019
sigma2 0.8411 6967.091 0.000 1.000 -1.37e+04 1.37e+04
===================================================================================
Ljung-Box (L1) (Q): 1.00 Jarque-Bera (JB): 1.01
Prob(Q): 0.32 Prob(JB): 0.60
Heteroskedasticity (H): 8.91 Skew: 0.68
Prob(H) (two-sided): 0.06 Kurtosis: 2.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 156.98184205265642, Current Price: 160.04
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.359
Date: Wed, 09 Oct 2024 AIC 50.718
Time: 14:41:42 BIC 53.543
Sample: 0 HQIC 50.137
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5766 1.658 0.348 0.728 -2.672 3.826
ma.L1 -0.4681 1.736 -0.270 0.787 -3.870 2.934
ar.S.L7 -0.3081 0.520 -0.592 0.554 -1.328 0.711
ma.S.L7 0.2836 3.742 0.076 0.940 -7.050 7.617
sigma2 1.2827 1.458 0.880 0.379 -1.575 4.140
===================================================================================
Ljung-Box (L1) (Q): 6.16 Jarque-Bera (JB): 1.78
Prob(Q): 0.01 Prob(JB): 0.41
Heteroskedasticity (H): 17.62 Skew: 0.90
Prob(H) (two-sided): 0.02 Kurtosis: 3.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.3382928723313, Current Price: 161.67
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.087
Date: Wed, 09 Oct 2024 AIC 50.175
Time: 14:41:42 BIC 53.000
Sample: 0 HQIC 49.594
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0473 0.828 -1.264 0.206 -2.671 0.577
ma.L1 0.8303 3.921 0.212 0.832 -6.855 8.516
ar.S.L7 0.0150 1.088 0.014 0.989 -2.117 2.147
ma.S.L7 1.1372 11.968 0.095 0.924 -22.320 24.594
sigma2 0.6067 7.634 0.079 0.937 -14.356 15.569
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 2.49
Prob(Q): 0.95 Prob(JB): 0.29
Heteroskedasticity (H): 0.06 Skew: 1.07
Prob(H) (two-sided): 0.02 Kurtosis: 2.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.75963260319722, Current Price: 163.64
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.579
Date: Wed, 09 Oct 2024 AIC 49.158
Time: 14:41:42 BIC 51.982
Sample: 0 HQIC 48.577
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.1153 0.275 4.060 0.000 0.577 1.654
ma.L1 -1.0005 200.894 -0.005 0.996 -394.745 392.744
ar.S.L7 -0.3082 0.507 -0.608 0.543 -1.302 0.686
ma.S.L7 4.5330 34.805 0.130 0.896 -63.683 72.749
sigma2 0.0492 10.281 0.005 0.996 -20.101 20.199
===================================================================================
Ljung-Box (L1) (Q): 7.32 Jarque-Bera (JB): 0.29
Prob(Q): 0.01 Prob(JB): 0.87
Heteroskedasticity (H): 1.00 Skew: 0.36
Prob(H) (two-sided): 1.00 Kurtosis: 2.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.71282456908736, Current Price: 164.1
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.191
Date: Wed, 09 Oct 2024 AIC 48.383
Time: 14:41:42 BIC 51.208
Sample: 0 HQIC 47.802
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.1195 0.292 3.836 0.000 0.548 1.691
ma.L1 -1.0000 8673.959 -0.000 1.000 -1.7e+04 1.7e+04
ar.S.L7 -0.3637 0.577 -0.631 0.528 -1.494 0.767
ma.S.L7 0.1050 1.964 0.053 0.957 -3.745 3.955
sigma2 0.9640 8361.692 0.000 1.000 -1.64e+04 1.64e+04
===================================================================================
Ljung-Box (L1) (Q): 7.40 Jarque-Bera (JB): 1.02
Prob(Q): 0.01 Prob(JB): 0.60
Heteroskedasticity (H): 0.17 Skew: 0.66
Prob(H) (two-sided): 0.12 Kurtosis: 3.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.55658979644878, Current Price: 165.03
BUY EXECUTED at 165.03
BUY ORDER COMPLETED at 165.66
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.568
Date: Wed, 09 Oct 2024 AIC 47.136
Time: 14:41:42 BIC 49.960
Sample: 0 HQIC 46.555
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9949 0.194 5.118 0.000 0.614 1.376
ma.L1 -1.0000 1.32e+04 -7.59e-05 1.000 -2.58e+04 2.58e+04
ar.S.L7 -0.2825 0.456 -0.619 0.536 -1.177 0.612
ma.S.L7 -1.0001 8218.824 -0.000 1.000 -1.61e+04 1.61e+04
sigma2 0.4933 6972.193 7.08e-05 1.000 -1.37e+04 1.37e+04
===================================================================================
Ljung-Box (L1) (Q): 5.99 Jarque-Bera (JB): 0.86
Prob(Q): 0.01 Prob(JB): 0.65
Heteroskedasticity (H): 0.39 Skew: 0.63
Prob(H) (two-sided): 0.38 Kurtosis: 3.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.2350479739303, Current Price: 164.05
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.707
Date: Wed, 09 Oct 2024 AIC 53.415
Time: 14:41:42 BIC 56.240
Sample: 0 HQIC 52.834
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9072 0.386 2.353 0.019 0.152 1.663
ma.L1 -1.0000 1.12e+04 -8.92e-05 1.000 -2.2e+04 2.2e+04
ar.S.L7 -0.1685 0.831 -0.203 0.839 -1.797 1.460
ma.S.L7 -0.2967 1.031 -0.288 0.774 -2.318 1.725
sigma2 1.3277 1.49e+04 8.92e-05 1.000 -2.92e+04 2.92e+04
===================================================================================
Ljung-Box (L1) (Q): 0.50 Jarque-Bera (JB): 0.43
Prob(Q): 0.48 Prob(JB): 0.81
Heteroskedasticity (H): 2.24 Skew: -0.11
Prob(H) (two-sided): 0.45 Kurtosis: 2.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.1948701405699, Current Price: 164.45
SELL EXECUTED at 164.45
SELL ORDER COMPLETED at 165.53
OPERATION PROFIT, GROSS -0.12999999999999545, NET -0.46118999999999544
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.264
Date: Wed, 09 Oct 2024 AIC 52.529
Time: 14:41:42 BIC 55.353
Sample: 0 HQIC 51.948
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8396 0.153 5.488 0.000 0.540 1.140
ma.L1 -1.0000 4432.128 -0.000 1.000 -8687.812 8685.812
ar.S.L7 -0.0277 0.307 -0.090 0.928 -0.629 0.573
ma.S.L7 -0.6505 1.587 -0.410 0.682 -3.761 2.460
sigma2 1.0205 4522.562 0.000 1.000 -8863.038 8865.079
===================================================================================
Ljung-Box (L1) (Q): 1.02 Jarque-Bera (JB): 0.59
Prob(Q): 0.31 Prob(JB): 0.74
Heteroskedasticity (H): 1.10 Skew: -0.17
Prob(H) (two-sided): 0.93 Kurtosis: 2.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.36953512453482, Current Price: 167.17
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.302
Date: Wed, 09 Oct 2024 AIC 58.604
Time: 14:41:42 BIC 61.428
Sample: 0 HQIC 58.023
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0695 9.081 0.008 0.994 -17.730 17.869
ma.L1 -0.0273 9.236 -0.003 0.998 -18.130 18.075
ar.S.L7 0.3022 0.939 0.322 0.748 -1.538 2.143
ma.S.L7 -0.2329 1.324 -0.176 0.860 -2.827 2.362
sigma2 2.4085 1.658 1.452 0.146 -0.841 5.658
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 0.71
Prob(Q): 0.62 Prob(JB): 0.70
Heteroskedasticity (H): 1.71 Skew: -0.07
Prob(H) (two-sided): 0.62 Kurtosis: 1.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.03160619772345, Current Price: 165.29
BUY EXECUTED at 165.29
BUY ORDER COMPLETED at 166.03
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.882
Date: Wed, 09 Oct 2024 AIC 59.765
Time: 14:41:42 BIC 62.589
Sample: 0 HQIC 59.184
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0397 0.090 -11.540 0.000 -1.216 -0.863
ma.L1 1.0000 5905.702 0.000 1.000 -1.16e+04 1.16e+04
ar.S.L7 0.4907 0.465 1.055 0.291 -0.421 1.402
ma.S.L7 -1.0018 988.820 -0.001 0.999 -1939.053 1937.050
sigma2 1.4298 8297.395 0.000 1.000 -1.63e+04 1.63e+04
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 1.13
Prob(Q): 0.80 Prob(JB): 0.57
Heteroskedasticity (H): 4.79 Skew: -0.69
Prob(H) (two-sided): 0.16 Kurtosis: 2.55
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.1502365983944, Current Price: 166.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.086
Date: Wed, 09 Oct 2024 AIC 60.172
Time: 14:41:42 BIC 62.997
Sample: 0 HQIC 59.592
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9805 0.123 -7.995 0.000 -1.221 -0.740
ma.L1 1.0000 4198.574 0.000 1.000 -8228.055 8230.055
ar.S.L7 0.3068 0.546 0.561 0.574 -0.764 1.378
ma.S.L7 -1.0004 3287.772 -0.000 1.000 -6444.914 6442.914
sigma2 1.4774 9488.217 0.000 1.000 -1.86e+04 1.86e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.19
Prob(Q): 0.94 Prob(JB): 0.55
Heteroskedasticity (H): 4.67 Skew: -0.73
Prob(H) (two-sided): 0.16 Kurtosis: 2.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 165.8826863389673, Current Price: 167.2
SELL EXECUTED at 167.2
SELL ORDER COMPLETED at 167.3925
OPERATION PROFIT, GROSS 1.3625000000000114, NET 1.0290775000000112
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.615
Date: Wed, 09 Oct 2024 AIC 59.229
Time: 14:41:42 BIC 62.054
Sample: 0 HQIC 58.649
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9004 0.331 -2.721 0.007 -1.549 -0.252
ma.L1 0.9999 1034.813 0.001 0.999 -2027.196 2029.196
ar.S.L7 -0.0060 0.035 -0.172 0.864 -0.074 0.062
ma.S.L7 -0.1349 0.712 -0.190 0.850 -1.530 1.261
sigma2 2.2844 2363.379 0.001 0.999 -4629.852 4634.421
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.58
Prob(Q): 0.90 Prob(JB): 0.45
Heteroskedasticity (H): 5.78 Skew: -0.85
Prob(H) (two-sided): 0.12 Kurtosis: 3.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.32091168554467, Current Price: 166.78
BUY EXECUTED at 166.78
BUY ORDER COMPLETED at 167.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.530
Date: Wed, 09 Oct 2024 AIC 59.060
Time: 14:41:42 BIC 61.885
Sample: 0 HQIC 58.480
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6896 0.498 1.386 0.166 -0.286 1.665
ma.L1 -1.0000 2.37e+04 -4.22e-05 1.000 -4.65e+04 4.65e+04
ar.S.L7 0.0482 0.348 0.139 0.890 -0.633 0.730
ma.S.L7 -0.2161 1.028 -0.210 0.834 -2.232 1.800
sigma2 2.1138 5.01e+04 4.22e-05 1.000 -9.82e+04 9.82e+04
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.36
Prob(Q): 0.75 Prob(JB): 0.84
Heteroskedasticity (H): 2.57 Skew: -0.10
Prob(H) (two-sided): 0.38 Kurtosis: 2.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.609974574962, Current Price: 166.34
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.261
Date: Wed, 09 Oct 2024 AIC 56.523
Time: 14:41:42 BIC 59.348
Sample: 0 HQIC 55.942
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7899 0.207 3.808 0.000 0.383 1.197
ma.L1 -1.0000 7066.373 -0.000 1.000 -1.39e+04 1.38e+04
ar.S.L7 -0.5543 0.408 -1.357 0.175 -1.355 0.246
ma.S.L7 0.5129 1.627 0.315 0.753 -2.677 3.703
sigma2 1.6371 1.16e+04 0.000 1.000 -2.27e+04 2.27e+04
===================================================================================
Ljung-Box (L1) (Q): 0.58 Jarque-Bera (JB): 0.13
Prob(Q): 0.45 Prob(JB): 0.94
Heteroskedasticity (H): 1.62 Skew: -0.25
Prob(H) (two-sided): 0.65 Kurtosis: 3.05
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.09139737550595, Current Price: 167.87
SELL EXECUTED at 167.87
SELL ORDER COMPLETED at 165.99
OPERATION PROFIT, GROSS -1.1699999999999875, NET -1.5031499999999876
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.846
Date: Wed, 09 Oct 2024 AIC 59.693
Time: 14:41:42 BIC 62.518
Sample: 0 HQIC 59.112
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0861 6.590 0.013 0.990 -12.830 13.002
ma.L1 -0.1544 6.263 -0.025 0.980 -12.431 12.122
ar.S.L7 -0.4525 0.656 -0.690 0.490 -1.739 0.834
ma.S.L7 0.3096 0.981 0.315 0.752 -1.614 2.233
sigma2 2.5726 1.926 1.336 0.182 -1.202 6.347
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.88
Prob(Q): 0.89 Prob(JB): 0.64
Heteroskedasticity (H): 0.62 Skew: -0.59
Prob(H) (two-sided): 0.66 Kurtosis: 2.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.00051329055322, Current Price: 165.71
BUY EXECUTED at 165.71
BUY ORDER COMPLETED at 165.31
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.154
Date: Wed, 09 Oct 2024 AIC 60.308
Time: 14:41:42 BIC 63.133
Sample: 0 HQIC 59.727
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0114 1.615 -0.007 0.994 -3.177 3.154
ma.L1 -0.4545 1.294 -0.351 0.725 -2.992 2.083
ar.S.L7 -0.1686 0.555 -0.304 0.761 -1.255 0.918
ma.S.L7 -1.0000 2.3e+04 -4.35e-05 1.000 -4.5e+04 4.5e+04
sigma2 1.6894 3.88e+04 4.35e-05 1.000 -7.61e+04 7.61e+04
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.86
Prob(Q): 0.81 Prob(JB): 0.65
Heteroskedasticity (H): 0.64 Skew: 0.33
Prob(H) (two-sided): 0.67 Kurtosis: 1.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.9422206816351, Current Price: 165.42
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.681
Date: Wed, 09 Oct 2024 AIC 59.361
Time: 14:41:42 BIC 62.186
Sample: 0 HQIC 58.780
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1193 1.189 0.100 0.920 -2.211 2.450
ma.L1 -0.5403 1.049 -0.515 0.607 -2.597 1.517
ar.S.L7 -0.2429 0.404 -0.602 0.547 -1.034 0.548
ma.S.L7 -0.7837 3.207 -0.244 0.807 -7.068 5.501
sigma2 1.9179 6.480 0.296 0.767 -10.783 14.619
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 0.97
Prob(Q): 0.69 Prob(JB): 0.61
Heteroskedasticity (H): 1.60 Skew: 0.14
Prob(H) (two-sided): 0.66 Kurtosis: 1.69
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.3452479857917, Current Price: 164.35
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.069
Date: Wed, 09 Oct 2024 AIC 62.139
Time: 14:41:43 BIC 64.963
Sample: 0 HQIC 61.558
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0210 1.306 0.016 0.987 -2.539 2.581
ma.L1 -0.3655 1.019 -0.359 0.720 -2.363 1.632
ar.S.L7 -0.2660 0.779 -0.341 0.733 -1.793 1.261
ma.S.L7 -2.5698 6.852 -0.375 0.708 -16.000 10.860
sigma2 0.4583 2.180 0.210 0.834 -3.815 4.731
===================================================================================
Ljung-Box (L1) (Q): 0.29 Jarque-Bera (JB): 0.63
Prob(Q): 0.59 Prob(JB): 0.73
Heteroskedasticity (H): 1.70 Skew: 0.42
Prob(H) (two-sided): 0.62 Kurtosis: 2.33
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 165.42144255049243, Current Price: 163.92
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.472
Date: Wed, 09 Oct 2024 AIC 62.944
Time: 14:41:43 BIC 65.769
Sample: 0 HQIC 62.363
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0779 2.220 0.035 0.972 -4.274 4.430
ma.L1 -0.3002 2.050 -0.146 0.884 -4.318 3.717
ar.S.L7 -0.3381 0.743 -0.455 0.649 -1.794 1.117
ma.S.L7 -0.4537 1.066 -0.426 0.670 -2.543 1.636
sigma2 3.1379 2.513 1.249 0.212 -1.787 8.063
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 1.00
Prob(Q): 0.70 Prob(JB): 0.61
Heteroskedasticity (H): 1.10 Skew: 0.58
Prob(H) (two-sided): 0.93 Kurtosis: 2.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 165.07420969642345, Current Price: 162.72
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.714
Date: Wed, 09 Oct 2024 AIC 63.428
Time: 14:41:43 BIC 66.253
Sample: 0 HQIC 62.848
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1362 1.619 -0.084 0.933 -3.309 3.036
ma.L1 -0.0632 1.527 -0.041 0.967 -3.057 2.931
ar.S.L7 -0.3201 0.952 -0.336 0.737 -2.187 1.546
ma.S.L7 -0.2070 1.044 -0.198 0.843 -2.254 1.840
sigma2 3.5075 2.722 1.289 0.198 -1.827 8.842
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 0.94
Prob(Q): 0.70 Prob(JB): 0.62
Heteroskedasticity (H): 0.76 Skew: 0.61
Prob(H) (two-sided): 0.79 Kurtosis: 2.49
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.4778456858385, Current Price: 161.64
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.455
Date: Wed, 09 Oct 2024 AIC 62.911
Time: 14:41:43 BIC 65.736
Sample: 0 HQIC 62.330
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1507 2.818 -0.053 0.957 -5.673 5.372
ma.L1 0.0449 2.694 0.017 0.987 -5.236 5.326
ar.S.L7 -0.3063 1.012 -0.303 0.762 -2.289 1.676
ma.S.L7 -0.4010 1.640 -0.245 0.807 -3.615 2.813
sigma2 3.1984 3.362 0.951 0.341 -3.392 9.789
===================================================================================
Ljung-Box (L1) (Q): 1.74 Jarque-Bera (JB): 1.30
Prob(Q): 0.19 Prob(JB): 0.52
Heteroskedasticity (H): 0.79 Skew: 0.77
Prob(H) (two-sided): 0.82 Kurtosis: 2.84
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.1485211003006, Current Price: 162.77
SELL EXECUTED at 162.77
SELL ORDER COMPLETED at 162.44
OPERATION PROFIT, GROSS -2.8700000000000045, NET -3.1977500000000045
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.833
Date: Wed, 09 Oct 2024 AIC 59.665
Time: 14:41:43 BIC 62.490
Sample: 0 HQIC 59.085
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2784 1.746 -0.159 0.873 -3.701 3.144
ma.L1 0.0479 1.516 0.032 0.975 -2.923 3.019
ar.S.L7 -0.3999 0.725 -0.552 0.581 -1.821 1.021
ma.S.L7 -0.1484 0.713 -0.208 0.835 -1.545 1.248
sigma2 2.6482 2.958 0.895 0.371 -3.150 8.446
===================================================================================
Ljung-Box (L1) (Q): 0.51 Jarque-Bera (JB): 0.59
Prob(Q): 0.47 Prob(JB): 0.75
Heteroskedasticity (H): 0.65 Skew: 0.45
Prob(H) (two-sided): 0.68 Kurtosis: 2.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.97507646381825, Current Price: 163.25
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.505
Date: Wed, 09 Oct 2024 AIC 53.010
Time: 14:41:43 BIC 55.834
Sample: 0 HQIC 52.429
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9040 0.520 1.739 0.082 -0.115 1.923
ma.L1 -1.0000 7.9e+04 -1.27e-05 1.000 -1.55e+05 1.55e+05
ar.S.L7 -0.1959 0.466 -0.420 0.674 -1.109 0.718
ma.S.L7 -1.0000 9.69e+04 -1.03e-05 1.000 -1.9e+05 1.9e+05
sigma2 0.7755 1.21e+05 6.39e-06 1.000 -2.38e+05 2.38e+05
===================================================================================
Ljung-Box (L1) (Q): 0.80 Jarque-Bera (JB): 1.22
Prob(Q): 0.37 Prob(JB): 0.54
Heteroskedasticity (H): 1.46 Skew: -0.65
Prob(H) (two-sided): 0.72 Kurtosis: 2.27
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.32692133864774, Current Price: 163.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.358
Date: Wed, 09 Oct 2024 AIC 58.717
Time: 14:41:43 BIC 61.541
Sample: 0 HQIC 58.136
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3558 4.242 0.084 0.933 -7.959 8.671
ma.L1 -0.3103 4.327 -0.072 0.943 -8.791 8.171
ar.S.L7 -0.5293 0.265 -1.995 0.046 -1.049 -0.009
ma.S.L7 0.1450 0.718 0.202 0.840 -1.262 1.552
sigma2 2.4646 1.249 1.973 0.049 0.016 4.913
===================================================================================
Ljung-Box (L1) (Q): 1.15 Jarque-Bera (JB): 0.83
Prob(Q): 0.28 Prob(JB): 0.66
Heteroskedasticity (H): 0.36 Skew: -0.48
Prob(H) (two-sided): 0.35 Kurtosis: 2.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.65925222642088, Current Price: 161.76
BUY EXECUTED at 161.76
BUY ORDER COMPLETED at 161.88
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.624
Date: Wed, 09 Oct 2024 AIC 59.247
Time: 14:41:43 BIC 62.072
Sample: 0 HQIC 58.667
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3452 4.406 -0.078 0.938 -8.981 8.290
ma.L1 0.2838 4.793 0.059 0.953 -9.111 9.678
ar.S.L7 -0.5107 0.308 -1.657 0.098 -1.115 0.093
ma.S.L7 0.3519 0.776 0.453 0.650 -1.170 1.874
sigma2 2.4547 1.540 1.594 0.111 -0.563 5.472
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.32
Prob(Q): 0.95 Prob(JB): 0.85
Heteroskedasticity (H): 0.37 Skew: 0.02
Prob(H) (two-sided): 0.36 Kurtosis: 2.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.47387623080186, Current Price: 161.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.491
Date: Wed, 09 Oct 2024 AIC 56.982
Time: 14:41:43 BIC 59.807
Sample: 0 HQIC 56.401
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4472 0.308 -1.454 0.146 -1.050 0.156
ma.L1 0.3996 0.554 0.722 0.470 -0.686 1.485
ar.S.L7 -0.6222 0.262 -2.377 0.017 -1.135 -0.109
ma.S.L7 0.9298 12.470 0.075 0.941 -23.512 25.371
sigma2 1.3709 16.400 0.084 0.933 -30.773 33.515
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.27
Prob(Q): 1.00 Prob(JB): 0.87
Heteroskedasticity (H): 0.73 Skew: 0.12
Prob(H) (two-sided): 0.77 Kurtosis: 2.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.57096668040285, Current Price: 160.51
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.949
Date: Wed, 09 Oct 2024 AIC 55.898
Time: 14:41:43 BIC 58.723
Sample: 0 HQIC 55.318
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2803 10.547 -0.027 0.979 -20.951 20.391
ma.L1 0.2632 10.513 0.025 0.980 -20.342 20.868
ar.S.L7 -0.6403 0.237 -2.702 0.007 -1.105 -0.176
ma.S.L7 1.0000 2.47e+04 4.05e-05 1.000 -4.84e+04 4.84e+04
sigma2 1.2041 2.97e+04 4.05e-05 1.000 -5.83e+04 5.83e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.10
Prob(Q): 0.89 Prob(JB): 0.95
Heteroskedasticity (H): 0.39 Skew: 0.03
Prob(H) (two-sided): 0.39 Kurtosis: 2.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.76632953028368, Current Price: 159.27
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.564
Date: Wed, 09 Oct 2024 AIC 55.127
Time: 14:41:43 BIC 57.952
Sample: 0 HQIC 54.546
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7062 0.306 -2.308 0.021 -1.306 -0.107
ma.L1 0.7598 0.937 0.811 0.417 -1.076 2.596
ar.S.L7 -0.5277 0.203 -2.599 0.009 -0.926 -0.130
ma.S.L7 0.4320 0.745 0.580 0.562 -1.028 1.893
sigma2 1.6491 1.589 1.038 0.299 -1.466 4.764
===================================================================================
Ljung-Box (L1) (Q): 0.56 Jarque-Bera (JB): 0.30
Prob(Q): 0.45 Prob(JB): 0.86
Heteroskedasticity (H): 0.20 Skew: 0.26
Prob(H) (two-sided): 0.15 Kurtosis: 2.48
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.71926611045774, Current Price: 157.87
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.060
Date: Wed, 09 Oct 2024 AIC 52.120
Time: 14:41:43 BIC 54.944
Sample: 0 HQIC 51.539
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6703 0.145 -4.638 0.000 -0.954 -0.387
ma.L1 0.7630 0.695 1.098 0.272 -0.598 2.124
ar.S.L7 -0.1011 0.711 -0.142 0.887 -1.495 1.292
ma.S.L7 -0.1154 1.372 -0.084 0.933 -2.805 2.574
sigma2 1.4412 0.690 2.089 0.037 0.089 2.793
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.02
Prob(Q): 0.76 Prob(JB): 0.99
Heteroskedasticity (H): 1.54 Skew: 0.02
Prob(H) (two-sided): 0.69 Kurtosis: 2.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 157.58910270458588, Current Price: 159.26
SELL EXECUTED at 159.26
SELL ORDER COMPLETED at 159.17
OPERATION PROFIT, GROSS -2.710000000000008, NET -3.031050000000008
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.228
Date: Wed, 09 Oct 2024 AIC 52.456
Time: 14:41:43 BIC 55.280
Sample: 0 HQIC 51.875
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3227 0.781 -0.413 0.680 -1.854 1.208
ma.L1 0.0863 1.242 0.070 0.945 -2.347 2.520
ar.S.L7 0.2541 0.558 0.456 0.649 -0.839 1.347
ma.S.L7 -1.0002 4012.556 -0.000 1.000 -7865.465 7863.465
sigma2 0.9246 3710.598 0.000 1.000 -7271.713 7273.563
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.08
Prob(Q): 0.74 Prob(JB): 0.96
Heteroskedasticity (H): 1.46 Skew: 0.19
Prob(H) (two-sided): 0.73 Kurtosis: 2.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 158.60730225856082, Current Price: 158.33
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.492
Date: Wed, 09 Oct 2024 AIC 48.984
Time: 14:41:43 BIC 51.809
Sample: 0 HQIC 48.403
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4082 1.382 0.295 0.768 -2.300 3.116
ma.L1 -0.1699 1.913 -0.089 0.929 -3.918 3.579
ar.S.L7 -0.0814 0.294 -0.277 0.782 -0.657 0.494
ma.S.L7 1.0001 1.98e+04 5.05e-05 1.000 -3.88e+04 3.88e+04
sigma2 0.7072 1.4e+04 5.05e-05 1.000 -2.74e+04 2.74e+04
===================================================================================
Ljung-Box (L1) (Q): 0.56 Jarque-Bera (JB): 0.46
Prob(Q): 0.45 Prob(JB): 0.79
Heteroskedasticity (H): 18.19 Skew: -0.27
Prob(H) (two-sided): 0.02 Kurtosis: 3.74
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 156.12324634526172, Current Price: 159.94
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.529
Date: Wed, 09 Oct 2024 AIC 51.058
Time: 14:41:43 BIC 53.883
Sample: 0 HQIC 50.478
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.3011 0.261 -4.983 0.000 -1.813 -0.789
ma.L1 0.7592 0.807 0.941 0.347 -0.822 2.340
ar.S.L7 -0.3720 0.381 -0.976 0.329 -1.119 0.375
ma.S.L7 1.0003 3279.715 0.000 1.000 -6427.124 6429.124
sigma2 0.7737 2537.904 0.000 1.000 -4973.426 4974.974
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.83
Prob(Q): 0.79 Prob(JB): 0.66
Heteroskedasticity (H): 2.45 Skew: -0.59
Prob(H) (two-sided): 0.41 Kurtosis: 3.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 156.28852853368082, Current Price: 158.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.579
Date: Wed, 09 Oct 2024 AIC 51.159
Time: 14:41:43 BIC 53.984
Sample: 0 HQIC 50.578
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.1331 0.328 -3.459 0.001 -1.775 -0.491
ma.L1 1.0000 1.05e+04 9.55e-05 1.000 -2.05e+04 2.05e+04
ar.S.L7 -0.4029 0.318 -1.266 0.205 -1.026 0.221
ma.S.L7 -0.2449 0.652 -0.376 0.707 -1.522 1.032
sigma2 1.1801 1.24e+04 9.55e-05 1.000 -2.42e+04 2.42e+04
===================================================================================
Ljung-Box (L1) (Q): 0.62 Jarque-Bera (JB): 0.91
Prob(Q): 0.43 Prob(JB): 0.64
Heteroskedasticity (H): 1.47 Skew: -0.36
Prob(H) (two-sided): 0.72 Kurtosis: 1.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 159.8578896275829, Current Price: 159.82
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.802
Date: Wed, 09 Oct 2024 AIC 51.604
Time: 14:41:43 BIC 54.429
Sample: 0 HQIC 51.023
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.1403 0.459 -2.487 0.013 -2.039 -0.242
ma.L1 1.0000 4.17e+04 2.4e-05 1.000 -8.17e+04 8.17e+04
ar.S.L7 -0.3925 0.405 -0.968 0.333 -1.187 0.402
ma.S.L7 -0.2676 0.750 -0.357 0.721 -1.738 1.202
sigma2 1.2167 5.07e+04 2.4e-05 1.000 -9.94e+04 9.94e+04
===================================================================================
Ljung-Box (L1) (Q): 0.24 Jarque-Bera (JB): 0.86
Prob(Q): 0.62 Prob(JB): 0.65
Heteroskedasticity (H): 0.56 Skew: -0.50
Prob(H) (two-sided): 0.59 Kurtosis: 2.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 156.52306875256934, Current Price: 160.63
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.309
Date: Wed, 09 Oct 2024 AIC 56.618
Time: 14:41:43 BIC 59.443
Sample: 0 HQIC 56.038
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0182 0.216 -4.716 0.000 -1.441 -0.595
ma.L1 1.0000 5005.201 0.000 1.000 -9809.013 9811.013
ar.S.L7 -0.6523 0.709 -0.920 0.357 -2.041 0.737
ma.S.L7 -1.0004 4456.906 -0.000 1.000 -8736.375 8734.374
sigma2 1.1240 9196.520 0.000 1.000 -1.8e+04 1.8e+04
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 0.37
Prob(Q): 0.64 Prob(JB): 0.83
Heteroskedasticity (H): 2.12 Skew: -0.07
Prob(H) (two-sided): 0.48 Kurtosis: 2.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.44810117635143, Current Price: 158.54
BUY EXECUTED at 158.54
BUY ORDER COMPLETED at 158.68
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.999
Date: Wed, 09 Oct 2024 AIC 57.997
Time: 14:41:43 BIC 60.822
Sample: 0 HQIC 57.416
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6699 0.660 -1.015 0.310 -1.963 0.623
ma.L1 0.3904 0.995 0.392 0.695 -1.560 2.341
ar.S.L7 0.0018 0.035 0.050 0.960 -0.067 0.071
ma.S.L7 -0.1675 0.852 -0.197 0.844 -1.838 1.503
sigma2 2.3391 1.400 1.670 0.095 -0.406 5.084
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 0.17
Prob(Q): 0.66 Prob(JB): 0.92
Heteroskedasticity (H): 3.06 Skew: 0.16
Prob(H) (two-sided): 0.30 Kurtosis: 2.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.11559067438588, Current Price: 157.93
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.390
Date: Wed, 09 Oct 2024 AIC 58.779
Time: 14:41:43 BIC 61.604
Sample: 0 HQIC 58.199
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6493 0.669 -0.970 0.332 -1.961 0.662
ma.L1 0.3834 1.040 0.369 0.712 -1.655 2.421
ar.S.L7 -0.1022 0.831 -0.123 0.902 -1.731 1.527
ma.S.L7 -0.3481 1.383 -0.252 0.801 -3.059 2.363
sigma2 2.3461 1.676 1.400 0.162 -0.938 5.631
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.44
Prob(Q): 0.83 Prob(JB): 0.80
Heteroskedasticity (H): 9.67 Skew: 0.23
Prob(H) (two-sided): 0.05 Kurtosis: 2.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 157.58405042926321, Current Price: 154.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.030
Date: Wed, 09 Oct 2024 AIC 60.061
Time: 14:41:43 BIC 62.885
Sample: 0 HQIC 59.480
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9006 0.438 -2.055 0.040 -1.759 -0.042
ma.L1 1.0000 3.21e+05 3.12e-06 1.000 -6.28e+05 6.28e+05
ar.S.L7 0.1098 1.661 0.066 0.947 -3.145 3.365
ma.S.L7 0.2519 2.338 0.108 0.914 -4.330 4.834
sigma2 2.2462 7.2e+05 3.12e-06 1.000 -1.41e+06 1.41e+06
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.99
Prob(Q): 0.81 Prob(JB): 0.61
Heteroskedasticity (H): 3.26 Skew: 0.62
Prob(H) (two-sided): 0.28 Kurtosis: 2.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 157.43827124138778, Current Price: 155.84
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.076
Date: Wed, 09 Oct 2024 AIC 60.153
Time: 14:41:43 BIC 62.977
Sample: 0 HQIC 59.572
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8862 0.491 -1.807 0.071 -1.848 0.075
ma.L1 1.0000 5.5e+04 1.82e-05 1.000 -1.08e+05 1.08e+05
ar.S.L7 -0.0613 1.487 -0.041 0.967 -2.976 2.853
ma.S.L7 0.0671 1.734 0.039 0.969 -3.332 3.467
sigma2 2.3567 1.3e+05 1.82e-05 1.000 -2.54e+05 2.54e+05
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.98
Prob(Q): 0.80 Prob(JB): 0.61
Heteroskedasticity (H): 1.82 Skew: 0.56
Prob(H) (two-sided): 0.58 Kurtosis: 2.27
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.16759214788817, Current Price: 155.96
SELL EXECUTED at 155.96
SELL ORDER COMPLETED at 155.03
OPERATION PROFIT, GROSS -3.6500000000000057, NET -3.9637100000000056
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.158
Date: Wed, 09 Oct 2024 AIC 60.317
Time: 14:41:44 BIC 63.141
Sample: 0 HQIC 59.736
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8935 0.489 -1.827 0.068 -1.852 0.065
ma.L1 1.0000 2.21e+04 4.53e-05 1.000 -4.32e+04 4.32e+04
ar.S.L7 -0.0283 1.337 -0.021 0.983 -2.649 2.592
ma.S.L7 -0.0399 1.500 -0.027 0.979 -2.980 2.900
sigma2 2.4157 5.33e+04 4.53e-05 1.000 -1.04e+05 1.04e+05
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.79
Prob(Q): 0.88 Prob(JB): 0.67
Heteroskedasticity (H): 1.51 Skew: 0.43
Prob(H) (two-sided): 0.70 Kurtosis: 2.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 156.4287521947789, Current Price: 155.07
BUY EXECUTED at 155.07
BUY ORDER COMPLETED at 155.97
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.133
Date: Wed, 09 Oct 2024 AIC 60.266
Time: 14:41:44 BIC 63.091
Sample: 0 HQIC 59.685
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8589 0.398 -2.157 0.031 -1.640 -0.078
ma.L1 1.0000 1.4e+04 7.16e-05 1.000 -2.74e+04 2.74e+04
ar.S.L7 -0.0856 1.225 -0.070 0.944 -2.487 2.316
ma.S.L7 -0.2380 1.475 -0.161 0.872 -3.130 2.654
sigma2 2.3780 3.32e+04 7.16e-05 1.000 -6.51e+04 6.51e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.78
Prob(Q): 0.96 Prob(JB): 0.68
Heteroskedasticity (H): 0.55 Skew: 0.30
Prob(H) (two-sided): 0.58 Kurtosis: 1.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.35039268635973, Current Price: 155.79
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.959
Date: Wed, 09 Oct 2024 AIC 55.918
Time: 14:41:44 BIC 58.742
Sample: 0 HQIC 55.337
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7788 0.222 -3.504 0.000 -1.214 -0.343
ma.L1 1.0000 2.4e+04 4.17e-05 1.000 -4.7e+04 4.7e+04
ar.S.L7 -0.0775 0.383 -0.202 0.840 -0.828 0.673
ma.S.L7 -1.0002 3931.533 -0.000 1.000 -7706.663 7704.662
sigma2 1.0604 2.4e+04 4.41e-05 1.000 -4.71e+04 4.71e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.34
Prob(Q): 0.96 Prob(JB): 0.84
Heteroskedasticity (H): 0.31 Skew: 0.04
Prob(H) (two-sided): 0.28 Kurtosis: 2.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 154.73845381133555, Current Price: 155.7
SELL EXECUTED at 155.7
SELL ORDER COMPLETED at 153.9
OPERATION PROFIT, GROSS -2.069999999999993, NET -2.3798699999999933
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.047
Date: Wed, 09 Oct 2024 AIC 56.093
Time: 14:41:44 BIC 58.918
Sample: 0 HQIC 55.513
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6770 0.169 -4.007 0.000 -1.008 -0.346
ma.L1 1.0000 1.42e+04 7.04e-05 1.000 -2.78e+04 2.78e+04
ar.S.L7 -0.1673 0.285 -0.586 0.558 -0.727 0.392
ma.S.L7 -0.4721 0.851 -0.554 0.579 -2.141 1.197
sigma2 1.6064 2.28e+04 7.04e-05 1.000 -4.47e+04 4.47e+04
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.83
Prob(Q): 0.73 Prob(JB): 0.66
Heteroskedasticity (H): 0.32 Skew: -0.23
Prob(H) (two-sided): 0.29 Kurtosis: 1.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 156.50627388582038, Current Price: 153.01
BUY EXECUTED at 153.01
BUY ORDER COMPLETED at 153.22
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.911
Date: Wed, 09 Oct 2024 AIC 59.822
Time: 14:41:44 BIC 62.647
Sample: 0 HQIC 59.241
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6596 0.289 -2.282 0.022 -1.226 -0.093
ma.L1 1.0000 4.37e+04 2.29e-05 1.000 -8.56e+04 8.56e+04
ar.S.L7 -0.1201 0.374 -0.321 0.748 -0.854 0.614
ma.S.L7 -0.0360 0.613 -0.059 0.953 -1.237 1.166
sigma2 2.3036 1.01e+05 2.29e-05 1.000 -1.97e+05 1.97e+05
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.91
Prob(Q): 0.85 Prob(JB): 0.64
Heteroskedasticity (H): 0.82 Skew: 0.02
Prob(H) (two-sided): 0.85 Kurtosis: 1.71
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 149.56918903609164, Current Price: 151.23
SELL EXECUTED at 151.23
SELL ORDER COMPLETED at 152.25
OPERATION PROFIT, GROSS -0.9699999999999989, NET -1.275469999999999
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.559
Date: Wed, 09 Oct 2024 AIC 57.119
Time: 14:41:44 BIC 59.944
Sample: 0 HQIC 56.538
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6400 0.260 -2.465 0.014 -1.149 -0.131
ma.L1 1.0000 0.573 1.746 0.081 -0.122 2.122
ar.S.L7 -0.0581 0.225 -0.258 0.797 -0.500 0.384
ma.S.L7 -0.2973 0.551 -0.539 0.590 -1.378 0.783
sigma2 1.8584 0.308 6.030 0.000 1.254 2.462
===================================================================================
Ljung-Box (L1) (Q): 0.33 Jarque-Bera (JB): 0.97
Prob(Q): 0.57 Prob(JB): 0.62
Heteroskedasticity (H): 1.67 Skew: -0.34
Prob(H) (two-sided): 0.63 Kurtosis: 1.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 1.28e+16. Standard errors may be unstable.
Predicted Price: 153.06647334136744, Current Price: 151.54
BUY EXECUTED at 151.54
BUY ORDER COMPLETED at 153.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.632
Date: Wed, 09 Oct 2024 AIC 57.263
Time: 14:41:44 BIC 60.088
Sample: 0 HQIC 56.683
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7192 0.663 -1.085 0.278 -2.018 0.580
ma.L1 1.0000 1.5e+04 6.67e-05 1.000 -2.94e+04 2.94e+04
ar.S.L7 -0.0100 0.070 -0.143 0.887 -0.147 0.127
ma.S.L7 -0.3726 0.590 -0.631 0.528 -1.529 0.784
sigma2 1.9476 2.92e+04 6.67e-05 1.000 -5.72e+04 5.72e+04
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 0.87
Prob(Q): 0.69 Prob(JB): 0.65
Heteroskedasticity (H): 1.05 Skew: -0.26
Prob(H) (two-sided): 0.96 Kurtosis: 1.84
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 150.61066415841003, Current Price: 154.69
SELL EXECUTED at 154.69
SELL ORDER COMPLETED at 154.14
OPERATION PROFIT, GROSS 0.9399999999999977, NET 0.6326599999999978
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.592
Date: Wed, 09 Oct 2024 AIC 59.183
Time: 14:41:44 BIC 62.008
Sample: 0 HQIC 58.602
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7131 0.851 -0.838 0.402 -2.381 0.955
ma.L1 0.9999 508.477 0.002 0.998 -995.597 997.597
ar.S.L7 2.8e-06 0.140 2e-05 1.000 -0.275 0.275
ma.S.L7 -0.5916 0.913 -0.648 0.517 -2.381 1.198
sigma2 2.3335 1185.859 0.002 0.998 -2321.908 2326.575
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.76
Prob(Q): 0.73 Prob(JB): 0.68
Heteroskedasticity (H): 2.79 Skew: 0.44
Prob(H) (two-sided): 0.35 Kurtosis: 3.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.22074766917663, Current Price: 154.66
BUY EXECUTED at 154.66
BUY ORDER COMPLETED at 154.94
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.420
Date: Wed, 09 Oct 2024 AIC 58.839
Time: 14:41:44 BIC 61.664
Sample: 0 HQIC 58.259
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4838 2.561 -0.189 0.850 -5.504 4.536
ma.L1 0.3910 2.637 0.148 0.882 -4.778 5.560
ar.S.L7 -0.0014 0.020 -0.068 0.946 -0.040 0.037
ma.S.L7 -0.1042 0.502 -0.207 0.836 -1.088 0.880
sigma2 2.5046 1.871 1.338 0.181 -1.163 6.173
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.65
Prob(Q): 0.88 Prob(JB): 0.72
Heteroskedasticity (H): 1.04 Skew: 0.37
Prob(H) (two-sided): 0.97 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.435981088882, Current Price: 154.67
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.190
Date: Wed, 09 Oct 2024 AIC 58.381
Time: 14:41:44 BIC 61.206
Sample: 0 HQIC 57.800
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6031 0.263 -2.296 0.022 -1.118 -0.088
ma.L1 0.5308 0.428 1.239 0.215 -0.309 1.370
ar.S.L7 -0.1561 0.658 -0.237 0.812 -1.446 1.134
ma.S.L7 1.7778 6.508 0.273 0.785 -10.978 14.534
sigma2 0.6486 4.012 0.162 0.872 -7.215 8.512
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.90
Prob(Q): 0.97 Prob(JB): 0.64
Heteroskedasticity (H): 1.06 Skew: 0.24
Prob(H) (two-sided): 0.96 Kurtosis: 1.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.2899881631753, Current Price: 158.43
SELL EXECUTED at 158.43
SELL ORDER COMPLETED at 159.18
OPERATION PROFIT, GROSS 4.240000000000009, NET 3.925880000000009
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.172
Date: Wed, 09 Oct 2024 AIC 60.344
Time: 14:41:44 BIC 63.169
Sample: 0 HQIC 59.764
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4244 2.270 -0.187 0.852 -4.873 4.024
ma.L1 0.3072 2.436 0.126 0.900 -4.468 5.082
ar.S.L7 0.0252 0.538 0.047 0.963 -1.029 1.079
ma.S.L7 1.0001 4670.115 0.000 1.000 -9152.257 9154.257
sigma2 1.6947 7914.875 0.000 1.000 -1.55e+04 1.55e+04
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 1.27
Prob(Q): 0.64 Prob(JB): 0.53
Heteroskedasticity (H): 2.10 Skew: -0.02
Prob(H) (two-sided): 0.49 Kurtosis: 1.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 154.71791702156872, Current Price: 160.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.990
Date: Wed, 09 Oct 2024 AIC 65.980
Time: 14:41:44 BIC 68.805
Sample: 0 HQIC 65.399
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.1126 0.437 2.548 0.011 0.257 1.968
ma.L1 -1.3180 1.141 -1.156 0.248 -3.553 0.917
ar.S.L7 0.0024 0.007 0.335 0.737 -0.012 0.017
ma.S.L7 0.6635 1.166 0.569 0.569 -1.622 2.949
sigma2 2.1668 3.446 0.629 0.529 -4.586 8.920
===================================================================================
Ljung-Box (L1) (Q): 2.49 Jarque-Bera (JB): 0.71
Prob(Q): 0.11 Prob(JB): 0.70
Heteroskedasticity (H): 1.81 Skew: -0.02
Prob(H) (two-sided): 0.58 Kurtosis: 1.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.36625753300913, Current Price: 159.81
BUY EXECUTED at 159.81
BUY ORDER COMPLETED at 159.41
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.880
Date: Wed, 09 Oct 2024 AIC 65.759
Time: 14:41:44 BIC 68.584
Sample: 0 HQIC 65.179
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9827 3.222 0.305 0.760 -5.332 7.298
ma.L1 -1.2667 7.394 -0.171 0.864 -15.759 13.226
ar.S.L7 6.372e-05 0.064 0.001 0.999 -0.126 0.126
ma.S.L7 -0.4726 1.179 -0.401 0.689 -2.783 1.838
sigma2 2.5692 29.349 0.088 0.930 -54.954 60.093
===================================================================================
Ljung-Box (L1) (Q): 0.36 Jarque-Bera (JB): 0.13
Prob(Q): 0.55 Prob(JB): 0.94
Heteroskedasticity (H): 5.06 Skew: 0.18
Prob(H) (two-sided): 0.15 Kurtosis: 2.68
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.71215058468476, Current Price: 159.63
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.491
Date: Wed, 09 Oct 2024 AIC 66.983
Time: 14:41:44 BIC 69.808
Sample: 0 HQIC 66.402
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5179 1.461 -0.354 0.723 -3.382 2.346
ma.L1 0.7040 1.083 0.650 0.516 -1.419 2.827
ar.S.L7 -0.0378 0.599 -0.063 0.950 -1.212 1.136
ma.S.L7 0.0389 1.224 0.032 0.975 -2.359 2.437
sigma2 4.6780 2.575 1.817 0.069 -0.368 9.724
===================================================================================
Ljung-Box (L1) (Q): 0.23 Jarque-Bera (JB): 0.76
Prob(Q): 0.63 Prob(JB): 0.68
Heteroskedasticity (H): 2.81 Skew: 0.37
Prob(H) (two-sided): 0.34 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.83426830364132, Current Price: 157.88
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.322
Date: Wed, 09 Oct 2024 AIC 68.643
Time: 14:41:44 BIC 71.468
Sample: 0 HQIC 68.062
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4222 1.122 -0.376 0.707 -2.621 1.777
ma.L1 0.6637 0.751 0.883 0.377 -0.809 2.136
ar.S.L7 -0.1638 0.943 -0.174 0.862 -2.011 1.684
ma.S.L7 -1.0002 3471.365 -0.000 1.000 -6804.750 6802.750
sigma2 3.2220 1.12e+04 0.000 1.000 -2.19e+04 2.19e+04
===================================================================================
Ljung-Box (L1) (Q): 0.28 Jarque-Bera (JB): 0.82
Prob(Q): 0.60 Prob(JB): 0.66
Heteroskedasticity (H): 1.31 Skew: 0.49
Prob(H) (two-sided): 0.80 Kurtosis: 2.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 157.51724571539395, Current Price: 155.48
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.015
Date: Wed, 09 Oct 2024 AIC 68.031
Time: 14:41:44 BIC 70.856
Sample: 0 HQIC 67.450
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6685 1.219 -0.549 0.583 -3.057 1.720
ma.L1 0.8795 0.884 0.995 0.320 -0.853 2.612
ar.S.L7 -4.672e-05 0.077 -0.001 1.000 -0.151 0.151
ma.S.L7 -0.9996 1859.528 -0.001 1.000 -3645.608 3643.609
sigma2 3.6395 6764.923 0.001 1.000 -1.33e+04 1.33e+04
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.84
Prob(Q): 0.75 Prob(JB): 0.66
Heteroskedasticity (H): 0.92 Skew: 0.35
Prob(H) (two-sided): 0.94 Kurtosis: 1.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.3852420281169, Current Price: 155.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.043
Date: Wed, 09 Oct 2024 AIC 68.087
Time: 14:41:44 BIC 70.912
Sample: 0 HQIC 67.506
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3547 2.112 0.168 0.867 -3.784 4.493
ma.L1 -0.0470 2.262 -0.021 0.983 -4.481 4.387
ar.S.L7 -0.1840 0.572 -0.322 0.748 -1.305 0.937
ma.S.L7 -1.0003 3117.589 -0.000 1.000 -6111.363 6109.362
sigma2 3.0741 9586.014 0.000 1.000 -1.88e+04 1.88e+04
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 1.94
Prob(Q): 0.79 Prob(JB): 0.38
Heteroskedasticity (H): 0.52 Skew: 0.93
Prob(H) (two-sided): 0.54 Kurtosis: 3.31
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 154.4869274513675, Current Price: 155.99
SELL EXECUTED at 155.99
SELL ORDER COMPLETED at 153.48
OPERATION PROFIT, GROSS -5.930000000000007, NET -6.242890000000007
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.175
Date: Wed, 09 Oct 2024 AIC 64.351
Time: 14:41:44 BIC 67.176
Sample: 0 HQIC 63.770
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6243 0.393 1.588 0.112 -0.146 1.395
ma.L1 -0.1295 0.535 -0.242 0.809 -1.179 0.920
ar.S.L7 -0.1936 0.537 -0.361 0.718 -1.245 0.858
ma.S.L7 -1.0000 2.71e+04 -3.69e-05 1.000 -5.31e+04 5.31e+04
sigma2 2.1914 5.94e+04 3.69e-05 1.000 -1.16e+05 1.16e+05
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.43
Prob(Q): 0.93 Prob(JB): 0.49
Heteroskedasticity (H): 0.47 Skew: 0.81
Prob(H) (two-sided): 0.48 Kurtosis: 2.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.78038543853262, Current Price: 154.91
BUY EXECUTED at 154.91
BUY ORDER COMPLETED at 154.02
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.505
Date: Wed, 09 Oct 2024 AIC 61.010
Time: 14:41:44 BIC 63.835
Sample: 0 HQIC 60.430
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1408 0.778 -0.181 0.856 -1.666 1.384
ma.L1 0.7028 0.368 1.907 0.056 -0.019 1.425
ar.S.L7 -0.2444 0.449 -0.545 0.586 -1.123 0.635
ma.S.L7 -1.0000 3.65e+04 -2.74e-05 1.000 -7.15e+04 7.15e+04
sigma2 1.7884 6.53e+04 2.74e-05 1.000 -1.28e+05 1.28e+05
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 1.20
Prob(Q): 0.76 Prob(JB): 0.55
Heteroskedasticity (H): 0.06 Skew: 0.71
Prob(H) (two-sided): 0.02 Kurtosis: 2.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 152.78402000835644, Current Price: 152.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.512
Date: Wed, 09 Oct 2024 AIC 61.024
Time: 14:41:44 BIC 63.849
Sample: 0 HQIC 60.444
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1786 0.539 -0.331 0.740 -1.236 0.878
ma.L1 1.0000 8121.636 0.000 1.000 -1.59e+04 1.59e+04
ar.S.L7 -0.4179 0.424 -0.986 0.324 -1.249 0.413
ma.S.L7 -1.0000 5998.822 -0.000 1.000 -1.18e+04 1.18e+04
sigma2 1.6854 3577.319 0.000 1.000 -7009.731 7013.102
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 0.86
Prob(Q): 0.67 Prob(JB): 0.65
Heteroskedasticity (H): 0.09 Skew: 0.37
Prob(H) (two-sided): 0.04 Kurtosis: 1.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 8.5e+16. Standard errors may be unstable.
Predicted Price: 153.80642772276923, Current Price: 153.42
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.739
Date: Wed, 09 Oct 2024 AIC 53.477
Time: 14:41:44 BIC 56.302
Sample: 0 HQIC 52.897
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0238 0.430 0.055 0.956 -0.820 0.867
ma.L1 1.0000 1.23e+04 8.12e-05 1.000 -2.41e+04 2.41e+04
ar.S.L7 -0.4203 0.206 -2.043 0.041 -0.824 -0.017
ma.S.L7 -1.0001 6229.377 -0.000 1.000 -1.22e+04 1.22e+04
sigma2 0.9343 1.6e+04 5.84e-05 1.000 -3.14e+04 3.14e+04
===================================================================================
Ljung-Box (L1) (Q): 0.81 Jarque-Bera (JB): 2.57
Prob(Q): 0.37 Prob(JB): 0.28
Heteroskedasticity (H): 0.13 Skew: 0.98
Prob(H) (two-sided): 0.07 Kurtosis: 3.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 154.80820241450473, Current Price: 153.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.674
Date: Wed, 09 Oct 2024 AIC 53.348
Time: 14:41:44 BIC 56.172
Sample: 0 HQIC 52.767
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0612 0.858 0.071 0.943 -1.621 1.744
ma.L1 1.0000 2.03e+05 4.92e-06 1.000 -3.98e+05 3.98e+05
ar.S.L7 -0.3908 0.139 -2.802 0.005 -0.664 -0.117
ma.S.L7 -1.0000 1.22e+04 -8.2e-05 1.000 -2.39e+04 2.39e+04
sigma2 0.9238 1.89e+05 4.88e-06 1.000 -3.71e+05 3.71e+05
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 7.57
Prob(Q): 0.70 Prob(JB): 0.02
Heteroskedasticity (H): 0.14 Skew: 1.51
Prob(H) (two-sided): 0.08 Kurtosis: 5.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 152.49672230076854, Current Price: 151.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.315
Date: Wed, 09 Oct 2024 AIC 56.629
Time: 14:41:44 BIC 59.454
Sample: 0 HQIC 56.049
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1258 1.039 0.121 0.904 -1.911 2.162
ma.L1 1.0000 1.29e+04 7.75e-05 1.000 -2.53e+04 2.53e+04
ar.S.L7 -0.3692 0.174 -2.120 0.034 -0.710 -0.028
ma.S.L7 -1.0003 2341.188 -0.000 1.000 -4589.644 4587.643
sigma2 1.1855 1.51e+04 7.85e-05 1.000 -2.96e+04 2.96e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 10.75
Prob(Q): 0.97 Prob(JB): 0.00
Heteroskedasticity (H): 0.12 Skew: 1.76
Prob(H) (two-sided): 0.06 Kurtosis: 5.72
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 151.2304111433913, Current Price: 151.45
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.466
Date: Wed, 09 Oct 2024 AIC 42.932
Time: 14:41:44 BIC 45.757
Sample: 0 HQIC 42.351
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3513 0.568 0.619 0.536 -0.761 1.464
ma.L1 0.4362 0.798 0.547 0.584 -1.127 1.999
ar.S.L7 -0.5878 0.316 -1.858 0.063 -1.208 0.032
ma.S.L7 0.0190 0.407 0.047 0.963 -0.778 0.816
sigma2 0.7354 0.359 2.051 0.040 0.033 1.438
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 1.90
Prob(Q): 0.82 Prob(JB): 0.39
Heteroskedasticity (H): 0.28 Skew: -0.93
Prob(H) (two-sided): 0.25 Kurtosis: 3.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 154.11255610312188, Current Price: 154.15
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.538
Date: Wed, 09 Oct 2024 AIC 41.077
Time: 14:41:45 BIC 43.902
Sample: 0 HQIC 40.496
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1956 0.521 0.375 0.708 -0.826 1.217
ma.L1 1.0000 4397.884 0.000 1.000 -8618.695 8620.695
ar.S.L7 -0.5561 0.070 -7.924 0.000 -0.694 -0.419
ma.S.L7 -0.0280 0.347 -0.081 0.936 -0.708 0.652
sigma2 0.5591 2459.047 0.000 1.000 -4819.084 4820.202
===================================================================================
Ljung-Box (L1) (Q): 0.71 Jarque-Bera (JB): 1.90
Prob(Q): 0.40 Prob(JB): 0.39
Heteroskedasticity (H): 0.32 Skew: -0.92
Prob(H) (two-sided): 0.30 Kurtosis: 2.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.35024990909105, Current Price: 153.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.524
Date: Wed, 09 Oct 2024 AIC 43.048
Time: 14:41:45 BIC 45.873
Sample: 0 HQIC 42.467
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1369 0.559 0.245 0.806 -0.958 1.232
ma.L1 0.6853 0.773 0.887 0.375 -0.830 2.200
ar.S.L7 -0.7105 0.151 -4.719 0.000 -1.006 -0.415
ma.S.L7 1.0000 1.4e+04 7.16e-05 1.000 -2.74e+04 2.74e+04
sigma2 0.4415 6162.345 7.16e-05 1.000 -1.21e+04 1.21e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.30
Prob(Q): 0.86 Prob(JB): 0.86
Heteroskedasticity (H): 0.29 Skew: 0.36
Prob(H) (two-sided): 0.25 Kurtosis: 2.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 150.89037203995622, Current Price: 154.0
SELL EXECUTED at 154.0
SELL ORDER COMPLETED at 154.78
OPERATION PROFIT, GROSS 0.7599999999999909, NET 0.4511999999999909
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.844
Date: Wed, 09 Oct 2024 AIC 49.688
Time: 14:41:45 BIC 52.512
Sample: 0 HQIC 49.107
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0833 1.888 0.044 0.965 -3.618 3.784
ma.L1 0.5026 1.897 0.265 0.791 -3.216 4.221
ar.S.L7 -0.6143 0.346 -1.778 0.075 -1.292 0.063
ma.S.L7 0.0370 0.698 0.053 0.958 -1.331 1.405
sigma2 1.2372 0.655 1.889 0.059 -0.047 2.521
===================================================================================
Ljung-Box (L1) (Q): 1.20 Jarque-Bera (JB): 2.78
Prob(Q): 0.27 Prob(JB): 0.25
Heteroskedasticity (H): 1.60 Skew: 0.83
Prob(H) (two-sided): 0.66 Kurtosis: 4.55
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 155.47956921890338, Current Price: 154.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.835
Date: Wed, 09 Oct 2024 AIC 37.671
Time: 14:41:45 BIC 40.495
Sample: 0 HQIC 37.090
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7545 0.153 4.922 0.000 0.454 1.055
ma.L1 -1.0000 3523.995 -0.000 1.000 -6907.904 6905.904
ar.S.L7 -0.5488 0.137 -4.006 0.000 -0.817 -0.280
ma.S.L7 0.2745 1.113 0.247 0.805 -1.907 2.456
sigma2 0.4160 1466.043 0.000 1.000 -2872.976 2873.808
===================================================================================
Ljung-Box (L1) (Q): 0.29 Jarque-Bera (JB): 0.77
Prob(Q): 0.59 Prob(JB): 0.68
Heteroskedasticity (H): 10.70 Skew: 0.55
Prob(H) (two-sided): 0.04 Kurtosis: 3.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 153.88202328204525, Current Price: 154.74
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.885
Date: Wed, 09 Oct 2024 AIC 39.771
Time: 14:41:45 BIC 42.596
Sample: 0 HQIC 39.190
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3942 0.445 0.886 0.376 -0.478 1.267
ma.L1 -0.2654 0.720 -0.369 0.712 -1.677 1.146
ar.S.L7 -0.5386 0.161 -3.343 0.001 -0.854 -0.223
ma.S.L7 0.3107 1.453 0.214 0.831 -2.536 3.158
sigma2 0.5585 0.295 1.892 0.059 -0.020 1.137
===================================================================================
Ljung-Box (L1) (Q): 0.38 Jarque-Bera (JB): 2.57
Prob(Q): 0.54 Prob(JB): 0.28
Heteroskedasticity (H): 6.81 Skew: 0.96
Prob(H) (two-sided): 0.09 Kurtosis: 4.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 152.4464529028951, Current Price: 153.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.463
Date: Wed, 09 Oct 2024 AIC 40.927
Time: 14:41:45 BIC 43.751
Sample: 0 HQIC 40.346
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7819 0.608 -1.287 0.198 -1.973 0.409
ma.L1 1.0000 2.06e+04 4.84e-05 1.000 -4.05e+04 4.05e+04
ar.S.L7 -0.5237 0.151 -3.465 0.001 -0.820 -0.227
ma.S.L7 0.1624 0.620 0.262 0.793 -1.053 1.378
sigma2 0.5280 1.09e+04 4.84e-05 1.000 -2.14e+04 2.14e+04
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.54
Prob(Q): 0.74 Prob(JB): 0.76
Heteroskedasticity (H): 3.30 Skew: 0.50
Prob(H) (two-sided): 0.27 Kurtosis: 3.02
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 152.85706399497903, Current Price: 151.91
BUY EXECUTED at 151.91
BUY ORDER COMPLETED at 153.82
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.317
Date: Wed, 09 Oct 2024 AIC 40.635
Time: 14:41:45 BIC 43.460
Sample: 0 HQIC 40.054
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6333 0.460 1.376 0.169 -0.269 1.535
ma.L1 -0.7180 0.473 -1.517 0.129 -1.645 0.209
ar.S.L7 -0.4753 0.137 -3.473 0.001 -0.744 -0.207
ma.S.L7 -0.1035 0.730 -0.142 0.887 -1.535 1.328
sigma2 0.5995 0.347 1.729 0.084 -0.080 1.279
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.55
Prob(Q): 0.84 Prob(JB): 0.76
Heteroskedasticity (H): 3.36 Skew: 0.35
Prob(H) (two-sided): 0.27 Kurtosis: 2.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 153.64871385225214, Current Price: 153.46
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.867
Date: Wed, 09 Oct 2024 AIC 39.734
Time: 14:41:45 BIC 42.559
Sample: 0 HQIC 39.153
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0413 35.403 0.001 0.999 -69.347 69.429
ma.L1 -0.0319 35.404 -0.001 0.999 -69.422 69.358
ar.S.L7 -0.3926 0.326 -1.203 0.229 -1.032 0.247
ma.S.L7 -0.1938 0.678 -0.286 0.775 -1.524 1.136
sigma2 0.5680 0.314 1.812 0.070 -0.046 1.183
===================================================================================
Ljung-Box (L1) (Q): 0.28 Jarque-Bera (JB): 0.45
Prob(Q): 0.60 Prob(JB): 0.80
Heteroskedasticity (H): 1.43 Skew: 0.44
Prob(H) (two-sided): 0.74 Kurtosis: 2.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 152.92184589232056, Current Price: 152.39
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.740
Date: Wed, 09 Oct 2024 AIC 39.479
Time: 14:41:45 BIC 42.304
Sample: 0 HQIC 38.899
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1393 5.278 -0.026 0.979 -10.485 10.206
ma.L1 0.0588 5.426 0.011 0.991 -10.577 10.694
ar.S.L7 -0.4105 0.180 -2.286 0.022 -0.763 -0.059
ma.S.L7 -0.0466 0.555 -0.084 0.933 -1.134 1.041
sigma2 0.5649 0.310 1.822 0.069 -0.043 1.173
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.62
Prob(Q): 0.97 Prob(JB): 0.73
Heteroskedasticity (H): 2.86 Skew: 0.49
Prob(H) (two-sided): 0.33 Kurtosis: 2.58
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 151.74767542321223, Current Price: 151.81
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.371
Date: Wed, 09 Oct 2024 AIC 38.741
Time: 14:41:45 BIC 41.566
Sample: 0 HQIC 38.161
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2589 10.443 -0.025 0.980 -20.728 20.210
ma.L1 0.2165 10.638 0.020 0.984 -20.633 21.066
ar.S.L7 -0.3859 0.152 -2.538 0.011 -0.684 -0.088
ma.S.L7 -0.2238 0.738 -0.303 0.762 -1.670 1.223
sigma2 0.5236 0.318 1.647 0.099 -0.099 1.146
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.57
Prob(Q): 1.00 Prob(JB): 0.75
Heteroskedasticity (H): 1.57 Skew: 0.48
Prob(H) (two-sided): 0.67 Kurtosis: 2.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 152.36843769258925, Current Price: 156.47
SELL EXECUTED at 156.47
SELL ORDER COMPLETED at 156.22
OPERATION PROFIT, GROSS 2.4000000000000057, NET 2.089960000000006
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.987
Date: Wed, 09 Oct 2024 AIC 53.974
Time: 14:41:45 BIC 56.799
Sample: 0 HQIC 53.394
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5262 1.487 -0.354 0.723 -3.440 2.388
ma.L1 0.8087 1.324 0.611 0.541 -1.786 3.403
ar.S.L7 -0.0002 0.058 -0.003 0.998 -0.113 0.113
ma.S.L7 -2.4469 7.232 -0.338 0.735 -16.621 11.727
sigma2 0.2830 1.595 0.177 0.859 -2.844 3.410
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 9.26
Prob(Q): 0.82 Prob(JB): 0.01
Heteroskedasticity (H): 12.06 Skew: 1.76
Prob(H) (two-sided): 0.03 Kurtosis: 5.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 157.40935855494698, Current Price: 155.85
BUY EXECUTED at 155.85
BUY ORDER COMPLETED at 155.99
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.181
Date: Wed, 09 Oct 2024 AIC 52.363
Time: 14:41:45 BIC 55.187
Sample: 0 HQIC 51.782
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3408 2.051 0.166 0.868 -3.680 4.361
ma.L1 -0.6744 1.421 -0.475 0.635 -3.460 2.111
ar.S.L7 -0.4005 0.169 -2.367 0.018 -0.732 -0.069
ma.S.L7 1.0002 5289.561 0.000 1.000 -1.04e+04 1.04e+04
sigma2 0.9206 4869.795 0.000 1.000 -9543.702 9545.543
===================================================================================
Ljung-Box (L1) (Q): 0.64 Jarque-Bera (JB): 1.96
Prob(Q): 0.42 Prob(JB): 0.37
Heteroskedasticity (H): 4.00 Skew: 0.93
Prob(H) (two-sided): 0.21 Kurtosis: 3.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 154.38255557912274, Current Price: 159.45
SELL EXECUTED at 159.45
SELL ORDER COMPLETED at 159.359
OPERATION PROFIT, GROSS 3.3689999999999998, NET 3.053651
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.092
Date: Wed, 09 Oct 2024 AIC 64.184
Time: 14:41:45 BIC 67.009
Sample: 0 HQIC 63.604
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.2083 0.667 1.812 0.070 -0.098 2.515
ma.L1 -1.0000 2.84e+05 -3.53e-06 1.000 -5.56e+05 5.56e+05
ar.S.L7 -0.5377 0.485 -1.108 0.268 -1.489 0.413
ma.S.L7 0.5056 3.629 0.139 0.889 -6.607 7.618
sigma2 2.9621 8.4e+05 3.53e-06 1.000 -1.65e+06 1.65e+06
===================================================================================
Ljung-Box (L1) (Q): 3.69 Jarque-Bera (JB): 1.19
Prob(Q): 0.05 Prob(JB): 0.55
Heteroskedasticity (H): 5.67 Skew: 0.72
Prob(H) (two-sided): 0.12 Kurtosis: 2.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.4335678371908, Current Price: 158.65
BUY EXECUTED at 158.65
BUY ORDER COMPLETED at 162.01
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.627
Date: Wed, 09 Oct 2024 AIC 63.255
Time: 14:41:45 BIC 66.080
Sample: 0 HQIC 62.674
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7822 3.333 -0.235 0.814 -7.316 5.751
ma.L1 0.5794 4.241 0.137 0.891 -7.733 8.892
ar.S.L7 -0.3911 1.590 -0.246 0.806 -3.508 2.726
ma.S.L7 0.2757 1.443 0.191 0.848 -2.553 3.104
sigma2 3.3603 3.040 1.105 0.269 -2.599 9.319
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 2.33
Prob(Q): 0.94 Prob(JB): 0.31
Heteroskedasticity (H): 9.05 Skew: 1.04
Prob(H) (two-sided): 0.06 Kurtosis: 3.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.25092915987204, Current Price: 163.48
SELL EXECUTED at 163.48
SELL ORDER COMPLETED at 163.914
OPERATION PROFIT, GROSS 1.9039999999999964, NET 1.5780759999999963
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.593
Date: Wed, 09 Oct 2024 AIC 63.186
Time: 14:41:45 BIC 66.011
Sample: 0 HQIC 62.606
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.0086 0.908 -1.111 0.267 -2.788 0.771
ma.L1 0.8260 1.739 0.475 0.635 -2.582 4.234
ar.S.L7 -0.5731 0.818 -0.701 0.484 -2.176 1.030
ma.S.L7 1.0001 2.81e+04 3.55e-05 1.000 -5.52e+04 5.52e+04
sigma2 1.9202 5.4e+04 3.55e-05 1.000 -1.06e+05 1.06e+05
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 1.39
Prob(Q): 0.84 Prob(JB): 0.50
Heteroskedasticity (H): 5.21 Skew: 0.79
Prob(H) (two-sided): 0.14 Kurtosis: 2.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.97621602093326, Current Price: 164.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.866
Date: Wed, 09 Oct 2024 AIC 63.731
Time: 14:41:45 BIC 66.556
Sample: 0 HQIC 63.151
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.1281 0.626 1.802 0.071 -0.099 2.355
ma.L1 -1.0000 4479.114 -0.000 1.000 -8779.902 8777.902
ar.S.L7 -0.5837 1.108 -0.527 0.598 -2.755 1.588
ma.S.L7 0.3329 3.122 0.107 0.915 -5.786 6.452
sigma2 3.0488 1.37e+04 0.000 1.000 -2.68e+04 2.68e+04
===================================================================================
Ljung-Box (L1) (Q): 5.91 Jarque-Bera (JB): 3.31
Prob(Q): 0.02 Prob(JB): 0.19
Heteroskedasticity (H): 8.94 Skew: 1.20
Prob(H) (two-sided): 0.06 Kurtosis: 3.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.7021527258258, Current Price: 164.92
BUY EXECUTED at 164.92
BUY ORDER COMPLETED at 165.27
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.304
Date: Wed, 09 Oct 2024 AIC 64.608
Time: 14:41:45 BIC 67.433
Sample: 0 HQIC 64.027
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.0286 0.554 1.858 0.063 -0.056 2.114
ma.L1 -1.0000 1.27e+04 -7.86e-05 1.000 -2.49e+04 2.49e+04
ar.S.L7 -0.6555 1.556 -0.421 0.674 -3.706 2.395
ma.S.L7 0.1240 2.156 0.058 0.954 -4.101 4.349
sigma2 3.3572 4.27e+04 7.86e-05 1.000 -8.37e+04 8.37e+04
===================================================================================
Ljung-Box (L1) (Q): 2.93 Jarque-Bera (JB): 3.65
Prob(Q): 0.09 Prob(JB): 0.16
Heteroskedasticity (H): 1.24 Skew: 1.27
Prob(H) (two-sided): 0.84 Kurtosis: 3.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.95768113600957, Current Price: 165.5
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.116
Date: Wed, 09 Oct 2024 AIC 66.233
Time: 14:41:45 BIC 69.058
Sample: 0 HQIC 65.652
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6529 1.432 -0.456 0.648 -3.459 2.153
ma.L1 0.4721 1.817 0.260 0.795 -3.088 4.033
ar.S.L7 -0.9907 0.797 -1.244 0.214 -2.552 0.570
ma.S.L7 0.2549 1.191 0.214 0.831 -2.079 2.589
sigma2 4.2738 3.113 1.373 0.170 -1.827 10.375
===================================================================================
Ljung-Box (L1) (Q): 0.65 Jarque-Bera (JB): 1.67
Prob(Q): 0.42 Prob(JB): 0.43
Heteroskedasticity (H): 5.41 Skew: 0.88
Prob(H) (two-sided): 0.13 Kurtosis: 2.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 165.18132084123542, Current Price: 165.12
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.061
Date: Wed, 09 Oct 2024 AIC 66.122
Time: 14:41:45 BIC 68.947
Sample: 0 HQIC 65.542
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5662 1.304 -0.434 0.664 -3.122 1.990
ma.L1 0.3803 1.652 0.230 0.818 -2.857 3.618
ar.S.L7 -1.1179 0.641 -1.744 0.081 -2.374 0.138
ma.S.L7 0.3921 1.062 0.369 0.712 -1.689 2.473
sigma2 4.0562 3.368 1.204 0.228 -2.544 10.657
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 1.55
Prob(Q): 0.69 Prob(JB): 0.46
Heteroskedasticity (H): 1.84 Skew: 0.84
Prob(H) (two-sided): 0.57 Kurtosis: 2.84
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.7631105497119, Current Price: 163.92
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.223
Date: Wed, 09 Oct 2024 AIC 64.446
Time: 14:41:45 BIC 67.271
Sample: 0 HQIC 63.866
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5954 1.066 -0.559 0.576 -2.685 1.494
ma.L1 0.4379 1.661 0.264 0.792 -2.818 3.693
ar.S.L7 -0.4261 0.933 -0.457 0.648 -2.255 1.403
ma.S.L7 -1.0000 1.43e+06 -6.99e-07 1.000 -2.8e+06 2.8e+06
sigma2 2.2339 3.19e+06 6.99e-07 1.000 -6.26e+06 6.26e+06
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 2.22
Prob(Q): 0.94 Prob(JB): 0.33
Heteroskedasticity (H): 0.06 Skew: 1.00
Prob(H) (two-sided): 0.02 Kurtosis: 2.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.65502615131413, Current Price: 162.79
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.485
Date: Wed, 09 Oct 2024 AIC 62.969
Time: 14:41:46 BIC 65.794
Sample: 0 HQIC 62.389
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9791 0.612 -1.599 0.110 -2.179 0.221
ma.L1 1.0000 3.42e+04 2.92e-05 1.000 -6.7e+04 6.7e+04
ar.S.L7 -0.2809 0.868 -0.324 0.746 -1.981 1.419
ma.S.L7 -1.0000 6.37e+04 -1.57e-05 1.000 -1.25e+05 1.25e+05
sigma2 1.8332 1.76e+05 1.04e-05 1.000 -3.45e+05 3.45e+05
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.94
Prob(Q): 0.91 Prob(JB): 0.38
Heteroskedasticity (H): 0.22 Skew: 0.88
Prob(H) (two-sided): 0.17 Kurtosis: 2.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.32862234834218, Current Price: 161.88
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.329
Date: Wed, 09 Oct 2024 AIC 66.658
Time: 14:41:46 BIC 69.483
Sample: 0 HQIC 66.078
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3495 3.055 -0.114 0.909 -6.337 5.638
ma.L1 0.1888 3.478 0.054 0.957 -6.627 7.005
ar.S.L7 -1.4697 0.493 -2.983 0.003 -2.435 -0.504
ma.S.L7 1.0000 4.88e+04 2.05e-05 1.000 -9.57e+04 9.57e+04
sigma2 2.7575 1.35e+05 2.05e-05 1.000 -2.64e+05 2.64e+05
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 1.86
Prob(Q): 0.81 Prob(JB): 0.40
Heteroskedasticity (H): 0.06 Skew: 0.92
Prob(H) (two-sided): 0.02 Kurtosis: 2.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 160.83568571497335, Current Price: 162.07
SELL EXECUTED at 162.07
SELL ORDER COMPLETED at 161.69
OPERATION PROFIT, GROSS -3.5800000000000125, NET -3.9069600000000126
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.442
Date: Wed, 09 Oct 2024 AIC 62.885
Time: 14:41:46 BIC 65.709
Sample: 0 HQIC 62.304
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9400 0.127 -7.391 0.000 -1.189 -0.691
ma.L1 1.0000 2.08e+04 4.81e-05 1.000 -4.08e+04 4.08e+04
ar.S.L7 -0.4941 0.412 -1.200 0.230 -1.301 0.313
ma.S.L7 -1.0001 3.22e+04 -3.11e-05 1.000 -6.31e+04 6.31e+04
sigma2 1.8209 9.05e+04 2.01e-05 1.000 -1.77e+05 1.77e+05
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 0.01
Prob(Q): 0.64 Prob(JB): 0.99
Heteroskedasticity (H): 0.33 Skew: -0.02
Prob(H) (two-sided): 0.31 Kurtosis: 3.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.02461173563225, Current Price: 163.08
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.457
Date: Wed, 09 Oct 2024 AIC 60.913
Time: 14:41:46 BIC 63.738
Sample: 0 HQIC 60.333
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8295 0.152 -5.475 0.000 -1.126 -0.533
ma.L1 1.0000 1.27e+04 7.87e-05 1.000 -2.49e+04 2.49e+04
ar.S.L7 -0.8919 0.439 -2.034 0.042 -1.752 -0.032
ma.S.L7 -0.1443 0.973 -0.148 0.882 -2.051 1.763
sigma2 2.5245 3.21e+04 7.87e-05 1.000 -6.28e+04 6.29e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.11
Prob(Q): 0.89 Prob(JB): 0.58
Heteroskedasticity (H): 0.43 Skew: 0.52
Prob(H) (two-sided): 0.44 Kurtosis: 3.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.37045881746934, Current Price: 163.22
BUY EXECUTED at 163.22
BUY ORDER COMPLETED at 162.93
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.601
Date: Wed, 09 Oct 2024 AIC 65.202
Time: 14:41:46 BIC 68.027
Sample: 0 HQIC 64.621
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3439 1.222 -0.281 0.778 -2.740 2.052
ma.L1 0.2068 1.667 0.124 0.901 -3.060 3.473
ar.S.L7 -0.5308 0.593 -0.896 0.370 -1.693 0.631
ma.S.L7 -1.0000 3.15e+04 -3.17e-05 1.000 -6.17e+04 6.17e+04
sigma2 2.4652 7.77e+04 3.17e-05 1.000 -1.52e+05 1.52e+05
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.03
Prob(Q): 0.92 Prob(JB): 0.98
Heteroskedasticity (H): 0.61 Skew: 0.05
Prob(H) (two-sided): 0.64 Kurtosis: 3.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 163.3063726918163, Current Price: 161.93
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.114
Date: Wed, 09 Oct 2024 AIC 60.228
Time: 14:41:46 BIC 63.053
Sample: 0 HQIC 59.648
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1356 5.788 -0.023 0.981 -11.480 11.209
ma.L1 0.0914 6.001 0.015 0.988 -11.670 11.853
ar.S.L7 -0.8056 0.619 -1.302 0.193 -2.018 0.407
ma.S.L7 -0.1038 1.134 -0.092 0.927 -2.326 2.118
sigma2 2.7779 1.752 1.586 0.113 -0.656 6.212
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.92
Prob(Q): 0.94 Prob(JB): 0.63
Heteroskedasticity (H): 2.11 Skew: -0.65
Prob(H) (two-sided): 0.49 Kurtosis: 2.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.61890437708482, Current Price: 162.73
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.676
Date: Wed, 09 Oct 2024 AIC 59.352
Time: 14:41:46 BIC 62.177
Sample: 0 HQIC 58.772
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6112 0.465 1.315 0.188 -0.300 1.522
ma.L1 -0.5681 0.675 -0.841 0.400 -1.892 0.755
ar.S.L7 -0.7378 0.356 -2.070 0.038 -1.436 -0.039
ma.S.L7 0.1523 1.153 0.132 0.895 -2.108 2.413
sigma2 2.5559 1.132 2.258 0.024 0.337 4.775
===================================================================================
Ljung-Box (L1) (Q): 1.46 Jarque-Bera (JB): 1.02
Prob(Q): 0.23 Prob(JB): 0.60
Heteroskedasticity (H): 3.11 Skew: -0.60
Prob(H) (two-sided): 0.30 Kurtosis: 2.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 161.78343981298727, Current Price: 164.81
SELL EXECUTED at 164.81
SELL ORDER COMPLETED at 167.48
OPERATION PROFIT, GROSS 4.549999999999983, NET 4.219589999999983
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.170
Date: Wed, 09 Oct 2024 AIC 62.340
Time: 14:41:46 BIC 65.165
Sample: 0 HQIC 61.759
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3168 5.978 -0.053 0.958 -12.033 11.399
ma.L1 0.2575 6.210 0.041 0.967 -11.914 12.429
ar.S.L7 -0.7383 0.378 -1.951 0.051 -1.480 0.003
ma.S.L7 -0.0273 0.945 -0.029 0.977 -1.879 1.825
sigma2 3.2806 2.504 1.310 0.190 -1.627 8.188
===================================================================================
Ljung-Box (L1) (Q): 0.68 Jarque-Bera (JB): 0.22
Prob(Q): 0.41 Prob(JB): 0.89
Heteroskedasticity (H): 4.25 Skew: -0.06
Prob(H) (two-sided): 0.19 Kurtosis: 2.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.02600770790477, Current Price: 167.84
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.455
Date: Wed, 09 Oct 2024 AIC 60.909
Time: 14:41:46 BIC 63.734
Sample: 0 HQIC 60.329
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0997 1.980 0.050 0.960 -3.781 3.980
ma.L1 -0.3148 1.720 -0.183 0.855 -3.687 3.057
ar.S.L7 -0.7621 0.491 -1.551 0.121 -1.725 0.201
ma.S.L7 -0.0371 1.248 -0.030 0.976 -2.484 2.410
sigma2 2.9378 2.436 1.206 0.228 -1.836 7.712
===================================================================================
Ljung-Box (L1) (Q): 0.76 Jarque-Bera (JB): 0.15
Prob(Q): 0.38 Prob(JB): 0.93
Heteroskedasticity (H): 4.73 Skew: -0.03
Prob(H) (two-sided): 0.16 Kurtosis: 2.49
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.64406334017988, Current Price: 167.26
BUY EXECUTED at 167.26
BUY ORDER COMPLETED at 166.55
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.983
Date: Wed, 09 Oct 2024 AIC 59.966
Time: 14:41:46 BIC 62.790
Sample: 0 HQIC 59.385
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2374 1.835 0.129 0.897 -3.360 3.835
ma.L1 -0.4719 1.480 -0.319 0.750 -3.373 2.429
ar.S.L7 -0.7731 0.126 -6.158 0.000 -1.019 -0.527
ma.S.L7 1.0001 8549.904 0.000 1.000 -1.68e+04 1.68e+04
sigma2 1.6469 1.41e+04 0.000 1.000 -2.76e+04 2.76e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.42
Prob(Q): 0.93 Prob(JB): 0.81
Heteroskedasticity (H): 8.53 Skew: 0.38
Prob(H) (two-sided): 0.06 Kurtosis: 2.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.75020885418704, Current Price: 164.39
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.319
Date: Wed, 09 Oct 2024 AIC 64.638
Time: 14:41:46 BIC 67.463
Sample: 0 HQIC 64.057
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1715 15.955 -0.011 0.991 -31.443 31.100
ma.L1 0.1996 15.885 0.013 0.990 -30.934 31.333
ar.S.L7 -0.6718 0.278 -2.420 0.016 -1.216 -0.128
ma.S.L7 0.0928 0.955 0.097 0.923 -1.778 1.964
sigma2 3.9029 1.867 2.090 0.037 0.243 7.563
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 0.16
Prob(Q): 0.64 Prob(JB): 0.92
Heteroskedasticity (H): 1.66 Skew: 0.08
Prob(H) (two-sided): 0.63 Kurtosis: 2.48
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.45171798247682, Current Price: 164.84
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.274
Date: Wed, 09 Oct 2024 AIC 62.549
Time: 14:41:46 BIC 65.374
Sample: 0 HQIC 61.968
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7648 0.292 2.621 0.009 0.193 1.337
ma.L1 -1.0000 4.65e+04 -2.15e-05 1.000 -9.12e+04 9.12e+04
ar.S.L7 -0.5173 0.254 -2.037 0.042 -1.015 -0.020
ma.S.L7 -0.2477 0.826 -0.300 0.764 -1.866 1.371
sigma2 2.7240 1.27e+05 2.15e-05 1.000 -2.48e+05 2.48e+05
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 0.10
Prob(Q): 0.71 Prob(JB): 0.95
Heteroskedasticity (H): 0.88 Skew: 0.20
Prob(H) (two-sided): 0.91 Kurtosis: 2.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.38768394177816, Current Price: 166.33
SELL EXECUTED at 166.33
SELL ORDER COMPLETED at 166.58
OPERATION PROFIT, GROSS 0.030000000000001137, NET -0.3031299999999989
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.798
Date: Wed, 09 Oct 2024 AIC 61.595
Time: 14:41:46 BIC 64.420
Sample: 0 HQIC 61.015
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6133 0.474 -1.295 0.195 -1.542 0.315
ma.L1 1.0000 1.48e+04 6.74e-05 1.000 -2.91e+04 2.91e+04
ar.S.L7 -0.2303 0.411 -0.561 0.575 -1.035 0.574
ma.S.L7 -1.0001 8651.755 -0.000 1.000 -1.7e+04 1.7e+04
sigma2 1.6463 3.56e+04 4.63e-05 1.000 -6.97e+04 6.98e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.66
Prob(Q): 0.97 Prob(JB): 0.72
Heteroskedasticity (H): 0.80 Skew: -0.55
Prob(H) (two-sided): 0.84 Kurtosis: 2.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.54850477383204, Current Price: 166.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.827
Date: Wed, 09 Oct 2024 AIC 59.655
Time: 14:41:46 BIC 62.479
Sample: 0 HQIC 59.074
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5693 0.399 -1.426 0.154 -1.352 0.213
ma.L1 1.0000 3.81e+04 2.63e-05 1.000 -7.46e+04 7.46e+04
ar.S.L7 -0.2057 0.579 -0.356 0.722 -1.340 0.928
ma.S.L7 -1.0001 2.25e+04 -4.44e-05 1.000 -4.41e+04 4.41e+04
sigma2 1.3987 7.92e+04 1.76e-05 1.000 -1.55e+05 1.55e+05
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 1.05
Prob(Q): 0.69 Prob(JB): 0.59
Heteroskedasticity (H): 0.92 Skew: -0.69
Prob(H) (two-sided): 0.94 Kurtosis: 2.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 166.39669447327353, Current Price: 167.06
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.560
Date: Wed, 09 Oct 2024 AIC 53.120
Time: 14:41:46 BIC 55.944
Sample: 0 HQIC 52.539
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5062 0.175 -2.889 0.004 -0.850 -0.163
ma.L1 1.0000 1.34e+04 7.48e-05 1.000 -2.62e+04 2.62e+04
ar.S.L7 -0.1832 0.148 -1.235 0.217 -0.474 0.108
ma.S.L7 -1.0003 2971.178 -0.000 1.000 -5824.403 5822.402
sigma2 0.8606 1.24e+04 6.92e-05 1.000 -2.44e+04 2.44e+04
===================================================================================
Ljung-Box (L1) (Q): 1.14 Jarque-Bera (JB): 2.10
Prob(Q): 0.29 Prob(JB): 0.35
Heteroskedasticity (H): 2.33 Skew: -0.94
Prob(H) (two-sided): 0.43 Kurtosis: 3.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.18479029368373, Current Price: 165.68
BUY EXECUTED at 165.68
BUY ORDER COMPLETED at 169.21
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.397
Date: Wed, 09 Oct 2024 AIC 56.794
Time: 14:41:46 BIC 59.619
Sample: 0 HQIC 56.213
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0018 0.555 -0.003 0.997 -1.090 1.086
ma.L1 1.0000 1.29e+04 7.75e-05 1.000 -2.53e+04 2.53e+04
ar.S.L7 -0.1971 0.058 -3.387 0.001 -0.311 -0.083
ma.S.L7 -0.4652 0.954 -0.488 0.626 -2.335 1.405
sigma2 1.7813 2.3e+04 7.75e-05 1.000 -4.5e+04 4.5e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.31
Prob(Q): 0.91 Prob(JB): 0.52
Heteroskedasticity (H): 6.68 Skew: -0.76
Prob(H) (two-sided): 0.09 Kurtosis: 3.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 162.50218443473545, Current Price: 168.51
SELL EXECUTED at 168.51
SELL ORDER COMPLETED at 168.43
OPERATION PROFIT, GROSS -0.7800000000000011, NET -1.117640000000001
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.860
Date: Wed, 09 Oct 2024 AIC 59.719
Time: 14:41:46 BIC 62.544
Sample: 0 HQIC 59.139
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2741 0.656 0.418 0.676 -1.011 1.559
ma.L1 -1.0000 2.67e+04 -3.75e-05 1.000 -5.22e+04 5.22e+04
ar.S.L7 -0.4604 0.107 -4.313 0.000 -0.670 -0.251
ma.S.L7 -3.7453 9.838 -0.381 0.703 -23.027 15.536
sigma2 0.1620 4317.332 3.75e-05 1.000 -8461.654 8461.978
===================================================================================
Ljung-Box (L1) (Q): 0.36 Jarque-Bera (JB): 1.06
Prob(Q): 0.55 Prob(JB): 0.59
Heteroskedasticity (H): 0.70 Skew: 0.10
Prob(H) (two-sided): 0.74 Kurtosis: 1.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.3798469572869, Current Price: 168.1
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.201
Date: Wed, 09 Oct 2024 AIC 58.402
Time: 14:41:46 BIC 61.227
Sample: 0 HQIC 57.822
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4421 0.298 1.483 0.138 -0.142 1.027
ma.L1 -1.0000 2.35e+04 -4.26e-05 1.000 -4.6e+04 4.6e+04
ar.S.L7 -0.5505 0.241 -2.285 0.022 -1.023 -0.078
ma.S.L7 -0.3735 0.648 -0.576 0.565 -1.644 0.897
sigma2 1.9316 4.53e+04 4.26e-05 1.000 -8.89e+04 8.89e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.60
Prob(Q): 0.90 Prob(JB): 0.74
Heteroskedasticity (H): 1.00 Skew: -0.06
Prob(H) (two-sided): 1.00 Kurtosis: 1.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.23138839882296, Current Price: 165.35
BUY EXECUTED at 165.35
BUY ORDER COMPLETED at 166.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.016
Date: Wed, 09 Oct 2024 AIC 62.032
Time: 14:41:46 BIC 64.857
Sample: 0 HQIC 61.452
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6644 0.312 -2.127 0.033 -1.277 -0.052
ma.L1 1.1905 0.435 2.738 0.006 0.338 2.043
ar.S.L7 -0.7918 0.541 -1.464 0.143 -1.852 0.268
ma.S.L7 -0.1868 0.681 -0.274 0.784 -1.521 1.147
sigma2 2.1265 1.940 1.096 0.273 -1.675 5.928
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.77
Prob(Q): 0.77 Prob(JB): 0.68
Heteroskedasticity (H): 2.67 Skew: 0.17
Prob(H) (two-sided): 0.36 Kurtosis: 1.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.52253933282438, Current Price: 166.79
SELL EXECUTED at 166.79
SELL ORDER COMPLETED at 166.71
OPERATION PROFIT, GROSS 0.6899999999999977, NET 0.3572699999999977
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.854
Date: Wed, 09 Oct 2024 AIC 59.708
Time: 14:41:46 BIC 62.533
Sample: 0 HQIC 59.127
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1998 0.475 0.420 0.674 -0.732 1.132
ma.L1 -1.0000 1.64e+04 -6.08e-05 1.000 -3.22e+04 3.22e+04
ar.S.L7 -0.5934 0.145 -4.083 0.000 -0.878 -0.309
ma.S.L7 -0.0623 0.514 -0.121 0.903 -1.069 0.944
sigma2 2.3622 3.88e+04 6.08e-05 1.000 -7.61e+04 7.61e+04
===================================================================================
Ljung-Box (L1) (Q): 0.30 Jarque-Bera (JB): 1.07
Prob(Q): 0.58 Prob(JB): 0.59
Heteroskedasticity (H): 0.56 Skew: -0.55
Prob(H) (two-sided): 0.59 Kurtosis: 2.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.0593001630518, Current Price: 166.32
BUY EXECUTED at 166.32
BUY ORDER COMPLETED at 168.1
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.188
Date: Wed, 09 Oct 2024 AIC 62.377
Time: 14:41:46 BIC 65.202
Sample: 0 HQIC 61.796
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4829 0.152 -3.176 0.001 -0.781 -0.185
ma.L1 1.0000 4.05e+04 2.47e-05 1.000 -7.93e+04 7.93e+04
ar.S.L7 -0.7688 0.395 -1.946 0.052 -1.543 0.006
ma.S.L7 0.1524 0.615 0.248 0.804 -1.052 1.357
sigma2 2.8098 1.14e+05 2.47e-05 1.000 -2.23e+05 2.23e+05
===================================================================================
Ljung-Box (L1) (Q): 1.55 Jarque-Bera (JB): 0.74
Prob(Q): 0.21 Prob(JB): 0.69
Heteroskedasticity (H): 1.00 Skew: 0.57
Prob(H) (two-sided): 1.00 Kurtosis: 2.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.17890728275896, Current Price: 169.08
SELL EXECUTED at 169.08
SELL ORDER COMPLETED at 169.04
OPERATION PROFIT, GROSS 0.9399999999999977, NET 0.6028599999999977
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.998
Date: Wed, 09 Oct 2024 AIC 55.995
Time: 14:41:46 BIC 58.820
Sample: 0 HQIC 55.415
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0527 0.431 0.122 0.903 -0.791 0.897
ma.L1 -1.0000 1.17e+04 -8.57e-05 1.000 -2.29e+04 2.29e+04
ar.S.L7 -0.3763 0.212 -1.774 0.076 -0.792 0.040
ma.S.L7 -0.2834 0.425 -0.666 0.505 -1.117 0.550
sigma2 1.6798 1.96e+04 8.57e-05 1.000 -3.84e+04 3.84e+04
===================================================================================
Ljung-Box (L1) (Q): 1.05 Jarque-Bera (JB): 1.53
Prob(Q): 0.30 Prob(JB): 0.46
Heteroskedasticity (H): 0.59 Skew: -0.42
Prob(H) (two-sided): 0.62 Kurtosis: 1.55
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.46257042950452, Current Price: 168.8
BUY EXECUTED at 168.8
BUY ORDER COMPLETED at 167.76
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.566
Date: Wed, 09 Oct 2024 AIC 59.133
Time: 14:41:46 BIC 61.957
Sample: 0 HQIC 58.552
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1789 0.567 0.315 0.752 -0.933 1.291
ma.L1 -1.0000 5.12e+04 -1.95e-05 1.000 -1e+05 1e+05
ar.S.L7 -0.4459 0.308 -1.447 0.148 -1.050 0.158
ma.S.L7 -0.1345 0.574 -0.234 0.815 -1.260 0.991
sigma2 2.2312 1.14e+05 1.95e-05 1.000 -2.24e+05 2.24e+05
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 1.03
Prob(Q): 0.76 Prob(JB): 0.60
Heteroskedasticity (H): 0.15 Skew: -0.48
Prob(H) (two-sided): 0.09 Kurtosis: 2.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.3165864865356, Current Price: 166.76
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.541
Date: Wed, 09 Oct 2024 AIC 57.082
Time: 14:41:46 BIC 59.906
Sample: 0 HQIC 56.501
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0695 0.583 0.119 0.905 -1.073 1.212
ma.L1 -1.0000 1.07e+04 -9.3e-05 1.000 -2.11e+04 2.11e+04
ar.S.L7 -0.4837 0.251 -1.927 0.054 -0.976 0.008
ma.S.L7 -1.0001 1.01e+04 -9.91e-05 1.000 -1.98e+04 1.98e+04
sigma2 1.1169 7262.497 0.000 1.000 -1.42e+04 1.42e+04
===================================================================================
Ljung-Box (L1) (Q): 0.27 Jarque-Bera (JB): 0.68
Prob(Q): 0.60 Prob(JB): 0.71
Heteroskedasticity (H): 1.91 Skew: -0.36
Prob(H) (two-sided): 0.55 Kurtosis: 2.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.85367455111378, Current Price: 167.26
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.476
Date: Wed, 09 Oct 2024 AIC 56.952
Time: 14:41:46 BIC 59.776
Sample: 0 HQIC 56.371
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0019 0.869 -0.002 0.998 -1.705 1.701
ma.L1 -1.0000 1.57e+04 -6.38e-05 1.000 -3.07e+04 3.07e+04
ar.S.L7 -0.4645 0.219 -2.125 0.034 -0.893 -0.036
ma.S.L7 -1.0003 2376.594 -0.000 1.000 -4659.038 4657.038
sigma2 1.1033 1.95e+04 5.67e-05 1.000 -3.81e+04 3.81e+04
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.70
Prob(Q): 0.73 Prob(JB): 0.70
Heteroskedasticity (H): 1.64 Skew: -0.25
Prob(H) (two-sided): 0.65 Kurtosis: 1.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.41097602550053, Current Price: 168.67
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.314
Date: Wed, 09 Oct 2024 AIC 56.629
Time: 14:41:46 BIC 59.454
Sample: 0 HQIC 56.048
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0018 0.707 -0.003 0.998 -1.388 1.385
ma.L1 -1.0000 7075.589 -0.000 1.000 -1.39e+04 1.39e+04
ar.S.L7 -0.4379 0.190 -2.303 0.021 -0.811 -0.065
ma.S.L7 -1.0001 6535.936 -0.000 1.000 -1.28e+04 1.28e+04
sigma2 1.0765 9281.644 0.000 1.000 -1.82e+04 1.82e+04
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 1.39
Prob(Q): 0.69 Prob(JB): 0.50
Heteroskedasticity (H): 1.21 Skew: -0.69
Prob(H) (two-sided): 0.86 Kurtosis: 2.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.0321710875317, Current Price: 167.91
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.500
Date: Wed, 09 Oct 2024 AIC 60.999
Time: 14:41:47 BIC 63.824
Sample: 0 HQIC 60.419
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4937 0.458 -1.078 0.281 -1.392 0.404
ma.L1 -13.7557 96.785 -0.142 0.887 -203.451 175.940
ar.S.L7 -0.6477 0.257 -2.516 0.012 -1.152 -0.143
ma.S.L7 -1.5003 4.955 -0.303 0.762 -11.211 8.211
sigma2 0.0053 0.073 0.072 0.942 -0.138 0.148
===================================================================================
Ljung-Box (L1) (Q): 0.32 Jarque-Bera (JB): 1.41
Prob(Q): 0.57 Prob(JB): 0.50
Heteroskedasticity (H): 2.06 Skew: -0.54
Prob(H) (two-sided): 0.50 Kurtosis: 1.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.6268355752067, Current Price: 168.85
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.611
Date: Wed, 09 Oct 2024 AIC 55.221
Time: 14:41:47 BIC 58.046
Sample: 0 HQIC 54.641
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0072 0.619 -0.012 0.991 -1.220 1.206
ma.L1 -0.8869 1.052 -0.843 0.399 -2.949 1.175
ar.S.L7 -0.6466 0.224 -2.888 0.004 -1.085 -0.208
ma.S.L7 -1.0001 1.52e+04 -6.57e-05 1.000 -2.98e+04 2.98e+04
sigma2 1.0568 1.61e+04 6.57e-05 1.000 -3.15e+04 3.15e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.44
Prob(Q): 0.97 Prob(JB): 0.80
Heteroskedasticity (H): 0.14 Skew: -0.26
Prob(H) (two-sided): 0.09 Kurtosis: 2.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.25030317553484, Current Price: 169.64
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.832
Date: Wed, 09 Oct 2024 AIC 53.663
Time: 14:41:47 BIC 56.488
Sample: 0 HQIC 53.083
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0123 0.867 -0.014 0.989 -1.711 1.686
ma.L1 -1.0001 2117.625 -0.000 1.000 -4151.468 4149.468
ar.S.L7 -0.4152 0.720 -0.577 0.564 -1.826 0.996
ma.S.L7 -1.0002 5880.577 -0.000 1.000 -1.15e+04 1.15e+04
sigma2 0.8565 6055.053 0.000 1.000 -1.19e+04 1.19e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 1.08
Prob(Q): 0.85 Prob(JB): 0.58
Heteroskedasticity (H): 0.38 Skew: -0.71
Prob(H) (two-sided): 0.38 Kurtosis: 3.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.1127446972629, Current Price: 171.06
SELL EXECUTED at 171.06
SELL ORDER COMPLETED at 172.86
OPERATION PROFIT, GROSS 5.100000000000023, NET 4.759380000000022
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.667
Date: Wed, 09 Oct 2024 AIC 53.334
Time: 14:41:47 BIC 56.158
Sample: 0 HQIC 52.753
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1068 0.777 0.138 0.891 -1.416 1.629
ma.L1 -1.0000 4757.862 -0.000 1.000 -9326.238 9324.238
ar.S.L7 -0.5256 0.410 -1.281 0.200 -1.330 0.279
ma.S.L7 -1.0001 9337.648 -0.000 1.000 -1.83e+04 1.83e+04
sigma2 0.8382 8603.965 9.74e-05 1.000 -1.69e+04 1.69e+04
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 1.29
Prob(Q): 0.70 Prob(JB): 0.53
Heteroskedasticity (H): 0.37 Skew: -0.68
Prob(H) (two-sided): 0.36 Kurtosis: 2.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.89121157236747, Current Price: 172.67
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.501
Date: Wed, 09 Oct 2024 AIC 51.002
Time: 14:41:47 BIC 53.827
Sample: 0 HQIC 50.421
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1425 0.713 0.200 0.841 -1.254 1.539
ma.L1 -1.0000 7048.452 -0.000 1.000 -1.38e+04 1.38e+04
ar.S.L7 -0.5567 0.260 -2.144 0.032 -1.066 -0.048
ma.S.L7 -1.0000 2.43e+04 -4.12e-05 1.000 -4.75e+04 4.75e+04
sigma2 0.7013 1.91e+04 3.67e-05 1.000 -3.75e+04 3.75e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 1.05
Prob(Q): 0.86 Prob(JB): 0.59
Heteroskedasticity (H): 0.79 Skew: -0.52
Prob(H) (two-sided): 0.82 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.29119532655423, Current Price: 170.52
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.930
Date: Wed, 09 Oct 2024 AIC 49.859
Time: 14:41:47 BIC 52.684
Sample: 0 HQIC 49.279
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2025 0.822 0.246 0.805 -1.409 1.814
ma.L1 -1.0000 5083.797 -0.000 1.000 -9965.059 9963.059
ar.S.L7 -0.6647 0.201 -3.314 0.001 -1.058 -0.272
ma.S.L7 -1.0000 1.84e+04 -5.43e-05 1.000 -3.61e+04 3.61e+04
sigma2 0.6436 1.2e+04 5.36e-05 1.000 -2.36e+04 2.36e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.50
Prob(Q): 0.93 Prob(JB): 0.47
Heteroskedasticity (H): 0.73 Skew: -0.81
Prob(H) (two-sided): 0.77 Kurtosis: 3.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.7909172715661, Current Price: 173.71
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.711
Date: Wed, 09 Oct 2024 AIC 61.423
Time: 14:41:47 BIC 64.248
Sample: 0 HQIC 60.842
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1221 2.504 -0.049 0.961 -5.029 4.785
ma.L1 -0.5136 0.796 -0.645 0.519 -2.074 1.046
ar.S.L7 -0.3925 1.486 -0.264 0.792 -3.304 2.519
ma.S.L7 -0.4746 2.139 -0.222 0.824 -4.667 3.718
sigma2 2.7589 4.139 0.666 0.505 -5.354 10.872
===================================================================================
Ljung-Box (L1) (Q): 0.27 Jarque-Bera (JB): 0.23
Prob(Q): 0.60 Prob(JB): 0.89
Heteroskedasticity (H): 1.52 Skew: -0.14
Prob(H) (two-sided): 0.69 Kurtosis: 3.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 172.22296673600218, Current Price: 174.1
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.623
Date: Wed, 09 Oct 2024 AIC 63.246
Time: 14:41:47 BIC 66.071
Sample: 0 HQIC 62.665
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0052 1.279 -0.004 0.997 -2.513 2.502
ma.L1 -0.4846 0.998 -0.486 0.627 -2.441 1.472
ar.S.L7 -0.4734 0.946 -0.500 0.617 -2.327 1.381
ma.S.L7 -0.2160 1.275 -0.169 0.865 -2.715 2.282
sigma2 3.4491 1.888 1.827 0.068 -0.251 7.149
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.30
Prob(Q): 0.78 Prob(JB): 0.86
Heteroskedasticity (H): 1.54 Skew: -0.37
Prob(H) (two-sided): 0.69 Kurtosis: 3.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.4296474075331, Current Price: 174.74
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.681
Date: Wed, 09 Oct 2024 AIC 63.362
Time: 14:41:47 BIC 66.186
Sample: 0 HQIC 62.781
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0402 1.411 -0.028 0.977 -2.805 2.724
ma.L1 -0.4096 1.112 -0.368 0.713 -2.589 1.769
ar.S.L7 -0.4319 1.132 -0.381 0.703 -2.651 1.787
ma.S.L7 -0.1377 1.278 -0.108 0.914 -2.642 2.367
sigma2 3.5217 2.294 1.535 0.125 -0.974 8.017
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 0.46
Prob(Q): 0.72 Prob(JB): 0.79
Heteroskedasticity (H): 0.75 Skew: -0.46
Prob(H) (two-sided): 0.79 Kurtosis: 2.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 176.05014179636467, Current Price: 174.62
BUY EXECUTED at 174.62
BUY ORDER COMPLETED at 176.01
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.912
Date: Wed, 09 Oct 2024 AIC 63.824
Time: 14:41:47 BIC 66.649
Sample: 0 HQIC 63.243
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0139 1.250 0.011 0.991 -2.436 2.464
ma.L1 -0.4912 0.846 -0.580 0.562 -2.150 1.168
ar.S.L7 -0.4354 0.870 -0.500 0.617 -2.141 1.270
ma.S.L7 -0.0559 0.993 -0.056 0.955 -2.002 1.890
sigma2 3.6697 2.564 1.431 0.152 -1.356 8.695
===================================================================================
Ljung-Box (L1) (Q): 0.44 Jarque-Bera (JB): 0.54
Prob(Q): 0.51 Prob(JB): 0.76
Heteroskedasticity (H): 0.76 Skew: -0.43
Prob(H) (two-sided): 0.80 Kurtosis: 2.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 175.77015680958718, Current Price: 176.64
SELL EXECUTED at 176.64
SELL ORDER COMPLETED at 176.96
OPERATION PROFIT, GROSS 0.950000000000017, NET 0.597030000000017
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.003
Date: Wed, 09 Oct 2024 AIC 60.007
Time: 14:41:47 BIC 62.831
Sample: 0 HQIC 59.426
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0921 0.835 -0.110 0.912 -1.728 1.544
ma.L1 -0.4164 0.576 -0.724 0.469 -1.544 0.712
ar.S.L7 -0.3511 0.686 -0.512 0.609 -1.696 0.994
ma.S.L7 -0.0499 0.690 -0.072 0.942 -1.402 1.303
sigma2 2.7380 1.469 1.863 0.062 -0.142 5.618
===================================================================================
Ljung-Box (L1) (Q): 2.19 Jarque-Bera (JB): 0.96
Prob(Q): 0.14 Prob(JB): 0.62
Heteroskedasticity (H): 0.55 Skew: 0.14
Prob(H) (two-sided): 0.57 Kurtosis: 1.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 176.4950239780179, Current Price: 178.76
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.050
Date: Wed, 09 Oct 2024 AIC 60.101
Time: 14:41:47 BIC 62.925
Sample: 0 HQIC 59.520
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1593 0.568 -0.280 0.779 -1.273 0.955
ma.L1 -0.4153 0.522 -0.796 0.426 -1.438 0.607
ar.S.L7 -0.4694 0.303 -1.547 0.122 -1.064 0.125
ma.S.L7 1.0000 6.3e+04 1.59e-05 1.000 -1.24e+05 1.24e+05
sigma2 1.6634 1.05e+05 1.59e-05 1.000 -2.05e+05 2.05e+05
===================================================================================
Ljung-Box (L1) (Q): 0.90 Jarque-Bera (JB): 0.61
Prob(Q): 0.34 Prob(JB): 0.74
Heteroskedasticity (H): 0.27 Skew: 0.41
Prob(H) (two-sided): 0.23 Kurtosis: 2.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 175.4938579884908, Current Price: 177.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.846
Date: Wed, 09 Oct 2024 AIC 55.693
Time: 14:41:47 BIC 58.518
Sample: 0 HQIC 55.112
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2461 0.843 -0.292 0.770 -1.898 1.406
ma.L1 -0.2483 0.863 -0.288 0.774 -1.940 1.444
ar.S.L7 -0.2342 0.356 -0.658 0.511 -0.932 0.464
ma.S.L7 0.2839 0.531 0.535 0.593 -0.756 1.324
sigma2 1.9037 1.552 1.226 0.220 -1.139 4.946
===================================================================================
Ljung-Box (L1) (Q): 0.56 Jarque-Bera (JB): 0.62
Prob(Q): 0.45 Prob(JB): 0.73
Heteroskedasticity (H): 1.26 Skew: 0.53
Prob(H) (two-sided): 0.83 Kurtosis: 2.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 180.2333962412108, Current Price: 177.08
BUY EXECUTED at 177.08
BUY ORDER COMPLETED at 178.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.245
Date: Wed, 09 Oct 2024 AIC 58.490
Time: 14:41:47 BIC 61.315
Sample: 0 HQIC 57.910
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4069 2.999 -0.136 0.892 -6.285 5.471
ma.L1 -0.2596 2.953 -0.088 0.930 -6.048 5.529
ar.S.L7 -0.1168 0.277 -0.422 0.673 -0.660 0.426
ma.S.L7 1.0001 2.51e+04 3.99e-05 1.000 -4.91e+04 4.91e+04
sigma2 1.4714 3.69e+04 3.99e-05 1.000 -7.23e+04 7.23e+04
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.19
Prob(Q): 0.82 Prob(JB): 0.91
Heteroskedasticity (H): 0.90 Skew: -0.11
Prob(H) (two-sided): 0.92 Kurtosis: 3.55
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 180.91495625243678, Current Price: 179.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.194
Date: Wed, 09 Oct 2024 AIC 60.388
Time: 14:41:47 BIC 63.213
Sample: 0 HQIC 59.807
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2869 0.955 -0.301 0.764 -2.158 1.584
ma.L1 -0.3248 0.852 -0.381 0.703 -1.994 1.344
ar.S.L7 -0.1833 0.358 -0.512 0.609 -0.885 0.519
ma.S.L7 0.2249 0.614 0.366 0.714 -0.979 1.429
sigma2 2.7660 1.776 1.557 0.119 -0.715 6.247
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.21
Prob(Q): 0.74 Prob(JB): 0.90
Heteroskedasticity (H): 0.81 Skew: -0.28
Prob(H) (two-sided): 0.84 Kurtosis: 3.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.75799237285474, Current Price: 179.29
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.001
Date: Wed, 09 Oct 2024 AIC 60.002
Time: 14:41:47 BIC 62.827
Sample: 0 HQIC 59.421
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3162 0.986 -0.321 0.748 -2.248 1.616
ma.L1 -0.2752 0.933 -0.295 0.768 -2.105 1.554
ar.S.L7 -0.1467 0.410 -0.357 0.721 -0.951 0.658
ma.S.L7 0.2031 0.800 0.254 0.800 -1.365 1.772
sigma2 2.6962 1.841 1.465 0.143 -0.912 6.305
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.45
Prob(Q): 0.74 Prob(JB): 0.80
Heteroskedasticity (H): 0.71 Skew: -0.23
Prob(H) (two-sided): 0.74 Kurtosis: 3.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.61189275821872, Current Price: 179.63
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.680
Date: Wed, 09 Oct 2024 AIC 59.360
Time: 14:41:47 BIC 62.185
Sample: 0 HQIC 58.779
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2117 0.943 -0.225 0.822 -2.059 1.636
ma.L1 -0.3490 0.791 -0.441 0.659 -1.898 1.200
ar.S.L7 -0.1839 0.347 -0.529 0.597 -0.865 0.497
ma.S.L7 0.1686 0.558 0.302 0.763 -0.925 1.262
sigma2 2.5795 1.546 1.669 0.095 -0.450 5.609
===================================================================================
Ljung-Box (L1) (Q): 0.57 Jarque-Bera (JB): 0.37
Prob(Q): 0.45 Prob(JB): 0.83
Heteroskedasticity (H): 0.54 Skew: -0.31
Prob(H) (two-sided): 0.56 Kurtosis: 3.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 181.54062955225496, Current Price: 180.28
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.407
Date: Wed, 09 Oct 2024 AIC 50.814
Time: 14:41:47 BIC 53.639
Sample: 0 HQIC 50.233
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4511 1.075 -0.420 0.675 -2.558 1.656
ma.L1 -0.2296 1.113 -0.206 0.837 -2.412 1.952
ar.S.L7 0.1274 0.979 0.130 0.896 -1.791 2.045
ma.S.L7 0.0449 1.454 0.031 0.975 -2.805 2.895
sigma2 1.3508 0.693 1.949 0.051 -0.007 2.709
===================================================================================
Ljung-Box (L1) (Q): 0.27 Jarque-Bera (JB): 1.87
Prob(Q): 0.60 Prob(JB): 0.39
Heteroskedasticity (H): 0.34 Skew: -0.69
Prob(H) (two-sided): 0.32 Kurtosis: 4.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 183.38952903346222, Current Price: 181.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.839
Date: Wed, 09 Oct 2024 AIC 53.678
Time: 14:41:47 BIC 56.503
Sample: 0 HQIC 53.097
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2420 1.019 -0.237 0.812 -2.239 1.755
ma.L1 -0.3954 1.001 -0.395 0.693 -2.356 1.566
ar.S.L7 0.0347 0.451 0.077 0.939 -0.849 0.918
ma.S.L7 -0.2481 0.747 -0.332 0.740 -1.713 1.216
sigma2 1.6426 1.312 1.252 0.211 -0.929 4.214
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.80
Prob(Q): 0.93 Prob(JB): 0.67
Heteroskedasticity (H): 1.17 Skew: -0.55
Prob(H) (two-sided): 0.88 Kurtosis: 2.49
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 180.8394124208808, Current Price: 179.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.678
Date: Wed, 09 Oct 2024 AIC 51.356
Time: 14:41:47 BIC 54.180
Sample: 0 HQIC 50.775
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3527 0.675 0.522 0.601 -0.971 1.677
ma.L1 -1.0001 2934.596 -0.000 1.000 -5752.702 5750.702
ar.S.L7 -0.2775 0.159 -1.746 0.081 -0.589 0.034
ma.S.L7 -0.6060 1.546 -0.392 0.695 -3.637 2.425
sigma2 1.0197 2993.906 0.000 1.000 -5866.928 5868.968
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.83
Prob(Q): 0.79 Prob(JB): 0.66
Heteroskedasticity (H): 1.31 Skew: 0.47
Prob(H) (two-sided): 0.80 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 181.94426228116245, Current Price: 179.22
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.711
Date: Wed, 09 Oct 2024 AIC 51.422
Time: 14:41:47 BIC 54.247
Sample: 0 HQIC 50.842
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6661 0.600 -1.110 0.267 -1.843 0.510
ma.L1 0.1954 0.836 0.234 0.815 -1.443 1.834
ar.S.L7 -0.0100 0.214 -0.047 0.963 -0.429 0.409
ma.S.L7 -0.3608 0.673 -0.536 0.592 -1.681 0.959
sigma2 1.3391 1.248 1.073 0.283 -1.107 3.786
===================================================================================
Ljung-Box (L1) (Q): 0.59 Jarque-Bera (JB): 0.38
Prob(Q): 0.44 Prob(JB): 0.83
Heteroskedasticity (H): 2.25 Skew: -0.37
Prob(H) (two-sided): 0.45 Kurtosis: 2.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 181.4273948390197, Current Price: 178.76
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.536
Date: Wed, 09 Oct 2024 AIC 57.073
Time: 14:41:47 BIC 59.897
Sample: 0 HQIC 56.492
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6206 0.740 -0.839 0.401 -2.070 0.829
ma.L1 0.3596 1.283 0.280 0.779 -2.155 2.874
ar.S.L7 -0.0842 0.351 -0.240 0.810 -0.772 0.603
ma.S.L7 -1.0031 210.812 -0.005 0.996 -414.188 412.182
sigma2 1.2792 269.877 0.005 0.996 -527.670 530.228
===================================================================================
Ljung-Box (L1) (Q): 0.53 Jarque-Bera (JB): 0.31
Prob(Q): 0.47 Prob(JB): 0.85
Heteroskedasticity (H): 3.06 Skew: -0.07
Prob(H) (two-sided): 0.30 Kurtosis: 2.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.1689780919017, Current Price: 179.41
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.940
Date: Wed, 09 Oct 2024 AIC 55.881
Time: 14:41:47 BIC 58.705
Sample: 0 HQIC 55.300
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4664 2.091 -0.223 0.823 -4.565 3.632
ma.L1 0.2155 2.379 0.091 0.928 -4.448 4.879
ar.S.L7 -0.0992 0.447 -0.222 0.824 -0.975 0.777
ma.S.L7 -1.0004 2358.304 -0.000 1.000 -4623.190 4621.190
sigma2 1.2017 2834.535 0.000 1.000 -5554.385 5556.788
===================================================================================
Ljung-Box (L1) (Q): 0.58 Jarque-Bera (JB): 0.49
Prob(Q): 0.45 Prob(JB): 0.78
Heteroskedasticity (H): 0.81 Skew: -0.28
Prob(H) (two-sided): 0.84 Kurtosis: 2.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.70875203188024, Current Price: 181.67
SELL EXECUTED at 181.67
SELL ORDER COMPLETED at 181.08
OPERATION PROFIT, GROSS 2.710000000000008, NET 2.350550000000008
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.708
Date: Wed, 09 Oct 2024 AIC 57.416
Time: 14:41:47 BIC 60.241
Sample: 0 HQIC 56.836
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1999 1.344 0.149 0.882 -2.434 2.834
ma.L1 -0.4213 1.281 -0.329 0.742 -2.932 2.089
ar.S.L7 -0.2310 0.395 -0.584 0.559 -1.006 0.544
ma.S.L7 -1.0002 5085.724 -0.000 1.000 -9968.837 9966.836
sigma2 1.3526 6879.784 0.000 1.000 -1.35e+04 1.35e+04
===================================================================================
Ljung-Box (L1) (Q): 0.29 Jarque-Bera (JB): 0.48
Prob(Q): 0.59 Prob(JB): 0.79
Heteroskedasticity (H): 0.98 Skew: 0.03
Prob(H) (two-sided): 0.99 Kurtosis: 2.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 182.79671333063035, Current Price: 177.9
BUY EXECUTED at 177.9
BUY ORDER COMPLETED at 174.92
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.486
Date: Wed, 09 Oct 2024 AIC 62.973
Time: 14:41:47 BIC 65.798
Sample: 0 HQIC 62.392
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4116 1.053 -0.391 0.696 -2.475 1.652
ma.L1 -0.2290 0.659 -0.347 0.728 -1.521 1.063
ar.S.L7 -0.1088 2.097 -0.052 0.959 -4.219 4.002
ma.S.L7 -0.0735 2.383 -0.031 0.975 -4.744 4.597
sigma2 3.4378 2.164 1.588 0.112 -0.804 7.680
===================================================================================
Ljung-Box (L1) (Q): 2.34 Jarque-Bera (JB): 0.36
Prob(Q): 0.13 Prob(JB): 0.84
Heteroskedasticity (H): 2.57 Skew: 0.19
Prob(H) (two-sided): 0.38 Kurtosis: 2.28
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 181.63756762473355, Current Price: 173.46
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.757
Date: Wed, 09 Oct 2024 AIC 71.514
Time: 14:41:47 BIC 74.339
Sample: 0 HQIC 70.934
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1189 1.040 -0.114 0.909 -2.157 1.919
ma.L1 -0.3314 1.290 -0.257 0.797 -2.859 2.196
ar.S.L7 0.3110 1.193 0.261 0.794 -2.027 2.649
ma.S.L7 0.3240 1.864 0.174 0.862 -3.329 3.977
sigma2 6.3599 5.634 1.129 0.259 -4.683 17.403
===================================================================================
Ljung-Box (L1) (Q): 0.28 Jarque-Bera (JB): 0.42
Prob(Q): 0.60 Prob(JB): 0.81
Heteroskedasticity (H): 3.67 Skew: -0.31
Prob(H) (two-sided): 0.24 Kurtosis: 2.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.69898475055183, Current Price: 173.82
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.713
Date: Wed, 09 Oct 2024 AIC 69.425
Time: 14:41:47 BIC 72.250
Sample: 0 HQIC 68.845
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0037 1.281 0.003 0.998 -2.507 2.515
ma.L1 -0.3389 1.502 -0.226 0.822 -3.283 2.605
ar.S.L7 0.3866 2.343 0.165 0.869 -4.205 4.978
ma.S.L7 0.1318 2.563 0.051 0.959 -4.891 5.155
sigma2 5.6202 3.754 1.497 0.134 -1.738 12.979
===================================================================================
Ljung-Box (L1) (Q): 0.64 Jarque-Bera (JB): 0.95
Prob(Q): 0.43 Prob(JB): 0.62
Heteroskedasticity (H): 12.48 Skew: -0.60
Prob(H) (two-sided): 0.03 Kurtosis: 2.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 173.82633339406246, Current Price: 173.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.563
Date: Wed, 09 Oct 2024 AIC 69.125
Time: 14:41:47 BIC 71.950
Sample: 0 HQIC 68.544
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2508 3.035 0.083 0.934 -5.697 6.199
ma.L1 -0.3998 3.213 -0.124 0.901 -6.696 5.897
ar.S.L7 0.1034 7.401 0.014 0.989 -14.403 14.609
ma.S.L7 0.1144 7.802 0.015 0.988 -15.177 15.406
sigma2 5.5017 3.345 1.645 0.100 -1.055 12.058
===================================================================================
Ljung-Box (L1) (Q): 0.26 Jarque-Bera (JB): 1.24
Prob(Q): 0.61 Prob(JB): 0.54
Heteroskedasticity (H): 8.14 Skew: -0.69
Prob(H) (two-sided): 0.07 Kurtosis: 2.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 172.73530350638927, Current Price: 174.41
SELL EXECUTED at 174.41
SELL ORDER COMPLETED at 175.49
OPERATION PROFIT, GROSS 0.5700000000000216, NET 0.2195900000000216
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.546
Date: Wed, 09 Oct 2024 AIC 69.092
Time: 14:41:47 BIC 71.917
Sample: 0 HQIC 68.512
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4861 5.147 0.094 0.925 -9.601 10.573
ma.L1 -0.5509 5.250 -0.105 0.916 -10.841 9.739
ar.S.L7 -0.0403 7.144 -0.006 0.995 -14.042 13.961
ma.S.L7 0.0417 6.703 0.006 0.995 -13.096 13.179
sigma2 5.5125 4.927 1.119 0.263 -4.145 15.170
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.67
Prob(Q): 0.92 Prob(JB): 0.43
Heteroskedasticity (H): 8.33 Skew: -0.85
Prob(H) (two-sided): 0.06 Kurtosis: 2.55
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 175.02825836567936, Current Price: 173.03
BUY EXECUTED at 173.03
BUY ORDER COMPLETED at 173.63
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.432
Date: Wed, 09 Oct 2024 AIC 68.864
Time: 14:41:47 BIC 71.688
Sample: 0 HQIC 68.283
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9053 0.488 1.856 0.063 -0.051 1.861
ma.L1 -1.0000 4846.024 -0.000 1.000 -9499.032 9497.032
ar.S.L7 -0.2004 0.739 -0.271 0.786 -1.649 1.248
ma.S.L7 0.1787 2.122 0.084 0.933 -3.980 4.337
sigma2 4.6441 2.25e+04 0.000 1.000 -4.41e+04 4.41e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.31
Prob(Q): 0.98 Prob(JB): 0.52
Heteroskedasticity (H): 10.89 Skew: -0.75
Prob(H) (two-sided): 0.04 Kurtosis: 2.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 175.1506503588933, Current Price: 173.36
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.595
Date: Wed, 09 Oct 2024 AIC 65.190
Time: 14:41:47 BIC 68.015
Sample: 0 HQIC 64.609
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2060 0.565 -0.365 0.715 -1.313 0.901
ma.L1 1.0000 1.05e+04 9.55e-05 1.000 -2.05e+04 2.05e+04
ar.S.L7 -0.5013 0.284 -1.764 0.078 -1.058 0.056
ma.S.L7 0.1972 1.722 0.115 0.909 -3.178 3.572
sigma2 3.5135 3.68e+04 9.55e-05 1.000 -7.21e+04 7.21e+04
===================================================================================
Ljung-Box (L1) (Q): 0.53 Jarque-Bera (JB): 4.11
Prob(Q): 0.47 Prob(JB): 0.13
Heteroskedasticity (H): 1.30 Skew: -1.16
Prob(H) (two-sided): 0.80 Kurtosis: 4.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.26572338965573, Current Price: 172.48
SELL EXECUTED at 172.48
SELL ORDER COMPLETED at 171.97
OPERATION PROFIT, GROSS -1.6599999999999966, NET -2.0055999999999967
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.946
Date: Wed, 09 Oct 2024 AIC 67.891
Time: 14:41:48 BIC 70.716
Sample: 0 HQIC 67.310
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7354 0.839 0.877 0.380 -0.908 2.379
ma.L1 -1.0000 3.48e+04 -2.87e-05 1.000 -6.83e+04 6.83e+04
ar.S.L7 -0.1281 0.895 -0.143 0.886 -1.882 1.626
ma.S.L7 -1.0003 7815.902 -0.000 1.000 -1.53e+04 1.53e+04
sigma2 2.4267 9.61e+04 2.53e-05 1.000 -1.88e+05 1.88e+05
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.46
Prob(Q): 0.94 Prob(JB): 0.48
Heteroskedasticity (H): 0.32 Skew: -0.82
Prob(H) (two-sided): 0.29 Kurtosis: 2.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.9351822296593, Current Price: 172.61
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.113
Date: Wed, 09 Oct 2024 AIC 66.226
Time: 14:41:48 BIC 69.050
Sample: 0 HQIC 65.645
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3729 0.479 -0.778 0.437 -1.313 0.567
ma.L1 0.7553 0.297 2.547 0.011 0.174 1.336
ar.S.L7 0.0008 0.003 0.276 0.783 -0.005 0.006
ma.S.L7 -1.0000 0.541 -1.848 0.065 -2.061 0.061
sigma2 3.1259 0.173 18.054 0.000 2.787 3.465
===================================================================================
Ljung-Box (L1) (Q): 0.55 Jarque-Bera (JB): 0.72
Prob(Q): 0.46 Prob(JB): 0.70
Heteroskedasticity (H): 0.81 Skew: -0.47
Prob(H) (two-sided): 0.84 Kurtosis: 2.33
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 1.29e+17. Standard errors may be unstable.
Predicted Price: 172.62842236020467, Current Price: 170.89
BUY EXECUTED at 170.89
BUY ORDER COMPLETED at 170.34
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.419
Date: Wed, 09 Oct 2024 AIC 64.837
Time: 14:41:48 BIC 67.662
Sample: 0 HQIC 64.257
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2739 0.888 -0.308 0.758 -2.014 1.466
ma.L1 0.7459 0.958 0.779 0.436 -1.131 2.623
ar.S.L7 -0.3364 0.267 -1.259 0.208 -0.860 0.187
ma.S.L7 -1.0000 1.64e+04 -6.11e-05 1.000 -3.21e+04 3.21e+04
sigma2 2.4067 3.94e+04 6.11e-05 1.000 -7.72e+04 7.72e+04
===================================================================================
Ljung-Box (L1) (Q): 0.71 Jarque-Bera (JB): 0.22
Prob(Q): 0.40 Prob(JB): 0.89
Heteroskedasticity (H): 0.13 Skew: -0.29
Prob(H) (two-sided): 0.07 Kurtosis: 2.71
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.42049276540456, Current Price: 170.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.893
Date: Wed, 09 Oct 2024 AIC 63.786
Time: 14:41:48 BIC 66.611
Sample: 0 HQIC 63.206
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3156 0.889 -0.355 0.723 -2.058 1.427
ma.L1 1.4129 2.227 0.635 0.526 -2.951 5.777
ar.S.L7 -0.2501 0.297 -0.843 0.399 -0.832 0.331
ma.S.L7 -1.0000 1.93e+04 -5.18e-05 1.000 -3.78e+04 3.78e+04
sigma2 1.1116 2.15e+04 5.18e-05 1.000 -4.21e+04 4.21e+04
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 0.54
Prob(Q): 0.67 Prob(JB): 0.76
Heteroskedasticity (H): 0.07 Skew: -0.50
Prob(H) (two-sided): 0.03 Kurtosis: 2.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 172.08112965726778, Current Price: 171.26
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.639
Date: Wed, 09 Oct 2024 AIC 63.277
Time: 14:41:48 BIC 66.102
Sample: 0 HQIC 62.697
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2425 0.896 -0.271 0.787 -1.999 1.514
ma.L1 0.6523 1.178 0.554 0.580 -1.656 2.960
ar.S.L7 -0.1942 0.541 -0.359 0.720 -1.255 0.866
ma.S.L7 -1.0001 1.39e+04 -7.18e-05 1.000 -2.73e+04 2.73e+04
sigma2 2.1291 2.97e+04 7.17e-05 1.000 -5.82e+04 5.82e+04
===================================================================================
Ljung-Box (L1) (Q): 0.96 Jarque-Bera (JB): 0.27
Prob(Q): 0.33 Prob(JB): 0.87
Heteroskedasticity (H): 0.09 Skew: -0.35
Prob(H) (two-sided): 0.03 Kurtosis: 3.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.77065634434604, Current Price: 170.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.515
Date: Wed, 09 Oct 2024 AIC 63.031
Time: 14:41:48 BIC 65.855
Sample: 0 HQIC 62.450
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3851 0.711 -0.542 0.588 -1.778 1.008
ma.L1 0.7209 0.843 0.855 0.392 -0.931 2.373
ar.S.L7 -0.2346 0.491 -0.478 0.633 -1.197 0.727
ma.S.L7 -1.0001 8928.002 -0.000 1.000 -1.75e+04 1.75e+04
sigma2 2.0954 1.87e+04 0.000 1.000 -3.67e+04 3.67e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.40
Prob(Q): 0.98 Prob(JB): 0.50
Heteroskedasticity (H): 0.06 Skew: -0.79
Prob(H) (two-sided): 0.02 Kurtosis: 3.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.67813640676204, Current Price: 169.66
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.332
Date: Wed, 09 Oct 2024 AIC 54.665
Time: 14:41:48 BIC 57.489
Sample: 0 HQIC 54.084
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0427 0.194 -0.220 0.826 -0.423 0.337
ma.L1 1.0000 9049.618 0.000 1.000 -1.77e+04 1.77e+04
ar.S.L7 -0.9948 0.268 -3.716 0.000 -1.520 -0.470
ma.S.L7 0.1295 0.413 0.314 0.754 -0.680 0.939
sigma2 1.5740 1.42e+04 0.000 1.000 -2.79e+04 2.79e+04
===================================================================================
Ljung-Box (L1) (Q): 2.06 Jarque-Bera (JB): 1.65
Prob(Q): 0.15 Prob(JB): 0.44
Heteroskedasticity (H): 0.48 Skew: 0.87
Prob(H) (two-sided): 0.49 Kurtosis: 3.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 164.27592487451864, Current Price: 169.57
SELL EXECUTED at 169.57
SELL ORDER COMPLETED at 168.42
OPERATION PROFIT, GROSS -1.920000000000016, NET -2.258760000000016
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.988
Date: Wed, 09 Oct 2024 AIC 41.976
Time: 14:41:48 BIC 44.801
Sample: 0 HQIC 41.396
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2222 0.722 0.308 0.758 -1.192 1.637
ma.L1 -0.5885 0.676 -0.871 0.384 -1.912 0.735
ar.S.L7 -0.1828 0.258 -0.709 0.478 -0.688 0.322
ma.S.L7 -1.0000 1.23e+05 -8.16e-06 1.000 -2.4e+05 2.4e+05
sigma2 0.4111 5.04e+04 8.16e-06 1.000 -9.87e+04 9.87e+04
===================================================================================
Ljung-Box (L1) (Q): 1.37 Jarque-Bera (JB): 0.55
Prob(Q): 0.24 Prob(JB): 0.76
Heteroskedasticity (H): 1.69 Skew: -0.49
Prob(H) (two-sided): 0.63 Kurtosis: 2.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.2501540486638, Current Price: 168.35
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.220
Date: Wed, 09 Oct 2024 AIC 50.439
Time: 14:41:48 BIC 53.264
Sample: 0 HQIC 49.858
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2979 1.222 -0.244 0.807 -2.694 2.098
ma.L1 0.4849 1.012 0.479 0.632 -1.499 2.469
ar.S.L7 -0.4413 0.468 -0.944 0.345 -1.358 0.475
ma.S.L7 -0.3848 1.040 -0.370 0.711 -2.424 1.654
sigma2 1.2337 0.609 2.026 0.043 0.040 2.427
===================================================================================
Ljung-Box (L1) (Q): 0.90 Jarque-Bera (JB): 1.98
Prob(Q): 0.34 Prob(JB): 0.37
Heteroskedasticity (H): 4.87 Skew: 0.59
Prob(H) (two-sided): 0.15 Kurtosis: 4.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.6268023309797, Current Price: 169.01
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.243
Date: Wed, 09 Oct 2024 AIC 50.486
Time: 14:41:48 BIC 53.311
Sample: 0 HQIC 49.906
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3141 0.736 0.427 0.670 -1.129 1.757
ma.L1 -1.0000 1.05e+04 -9.5e-05 1.000 -2.06e+04 2.06e+04
ar.S.L7 -0.4886 0.152 -3.207 0.001 -0.787 -0.190
ma.S.L7 0.1902 0.676 0.281 0.778 -1.135 1.515
sigma2 1.1819 1.24e+04 9.5e-05 1.000 -2.44e+04 2.44e+04
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.28
Prob(Q): 0.79 Prob(JB): 0.87
Heteroskedasticity (H): 2.83 Skew: 0.15
Prob(H) (two-sided): 0.34 Kurtosis: 2.35
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 167.42736983765045, Current Price: 169.78
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.296
Date: Wed, 09 Oct 2024 AIC 52.591
Time: 14:41:48 BIC 55.416
Sample: 0 HQIC 52.010
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3202 9.745 0.033 0.974 -18.780 19.420
ma.L1 -0.3885 9.638 -0.040 0.968 -19.279 18.502
ar.S.L7 -0.5302 0.249 -2.130 0.033 -1.018 -0.042
ma.S.L7 0.4398 2.200 0.200 0.842 -3.873 4.752
sigma2 1.4239 1.614 0.882 0.378 -1.739 4.586
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.70
Prob(Q): 0.81 Prob(JB): 0.71
Heteroskedasticity (H): 1.50 Skew: -0.21
Prob(H) (two-sided): 0.70 Kurtosis: 1.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.5034169714027, Current Price: 170.76
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.586
Date: Wed, 09 Oct 2024 AIC 51.172
Time: 14:41:48 BIC 53.997
Sample: 0 HQIC 50.592
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3385 3.989 -0.085 0.932 -8.157 7.480
ma.L1 0.2325 4.019 0.058 0.954 -7.645 8.110
ar.S.L7 -0.5163 0.120 -4.316 0.000 -0.751 -0.282
ma.S.L7 0.7280 3.749 0.194 0.846 -6.620 8.076
sigma2 1.0706 3.634 0.295 0.768 -6.052 8.193
===================================================================================
Ljung-Box (L1) (Q): 1.01 Jarque-Bera (JB): 0.56
Prob(Q): 0.31 Prob(JB): 0.76
Heteroskedasticity (H): 0.94 Skew: -0.38
Prob(H) (two-sided): 0.95 Kurtosis: 2.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.96899097117068, Current Price: 170.66
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.078
Date: Wed, 09 Oct 2024 AIC 50.155
Time: 14:41:48 BIC 52.980
Sample: 0 HQIC 49.575
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3495 1.977 -0.177 0.860 -4.224 3.525
ma.L1 0.1518 1.936 0.078 0.938 -3.643 3.947
ar.S.L7 -0.5001 0.136 -3.675 0.000 -0.767 -0.233
ma.S.L7 1.0000 1.15e+06 8.73e-07 1.000 -2.24e+06 2.24e+06
sigma2 0.7737 8.86e+05 8.73e-07 1.000 -1.74e+06 1.74e+06
===================================================================================
Ljung-Box (L1) (Q): 0.56 Jarque-Bera (JB): 0.77
Prob(Q): 0.45 Prob(JB): 0.68
Heteroskedasticity (H): 1.34 Skew: -0.60
Prob(H) (two-sided): 0.78 Kurtosis: 3.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.04939808214138, Current Price: 172.49
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.367
Date: Wed, 09 Oct 2024 AIC 54.733
Time: 14:41:48 BIC 57.558
Sample: 0 HQIC 54.153
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3075 2.444 -0.126 0.900 -5.098 4.483
ma.L1 0.4474 2.432 0.184 0.854 -4.320 5.214
ar.S.L7 -0.5494 0.212 -2.591 0.010 -0.965 -0.134
ma.S.L7 -0.1280 0.464 -0.276 0.783 -1.037 0.781
sigma2 1.8162 1.026 1.771 0.077 -0.194 3.826
===================================================================================
Ljung-Box (L1) (Q): 0.44 Jarque-Bera (JB): 0.90
Prob(Q): 0.51 Prob(JB): 0.64
Heteroskedasticity (H): 1.03 Skew: -0.61
Prob(H) (two-sided): 0.97 Kurtosis: 3.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.85909714208827, Current Price: 171.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.007
Date: Wed, 09 Oct 2024 AIC 48.014
Time: 14:41:48 BIC 50.839
Sample: 0 HQIC 47.433
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5603 0.440 1.273 0.203 -0.303 1.423
ma.L1 -0.4811 0.633 -0.760 0.447 -1.722 0.760
ar.S.L7 -0.3288 0.231 -1.421 0.155 -0.783 0.125
ma.S.L7 -1.0000 2.08e+04 -4.8e-05 1.000 -4.08e+04 4.08e+04
sigma2 0.6281 1.31e+04 4.8e-05 1.000 -2.56e+04 2.56e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 1.75
Prob(Q): 0.84 Prob(JB): 0.42
Heteroskedasticity (H): 0.64 Skew: -0.90
Prob(H) (two-sided): 0.67 Kurtosis: 3.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.37947685915435, Current Price: 168.62
BUY EXECUTED at 168.62
BUY ORDER COMPLETED at 168.61
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.432
Date: Wed, 09 Oct 2024 AIC 46.865
Time: 14:41:48 BIC 49.690
Sample: 0 HQIC 46.284
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5143 0.199 2.587 0.010 0.125 0.904
ma.L1 -0.3790 0.356 -1.064 0.287 -1.077 0.319
ar.S.L7 -0.1087 0.230 -0.472 0.637 -0.560 0.342
ma.S.L7 -1.0001 8245.669 -0.000 1.000 -1.62e+04 1.62e+04
sigma2 0.5968 4920.726 0.000 1.000 -9643.849 9645.042
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.77
Prob(Q): 1.00 Prob(JB): 0.68
Heteroskedasticity (H): 3.26 Skew: -0.59
Prob(H) (two-sided): 0.28 Kurtosis: 2.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.19138529280278, Current Price: 168.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.889
Date: Wed, 09 Oct 2024 AIC 49.778
Time: 14:41:48 BIC 52.603
Sample: 0 HQIC 49.198
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3150 6.500 -0.048 0.961 -13.055 12.425
ma.L1 0.2147 6.491 0.033 0.974 -12.507 12.936
ar.S.L7 -0.2572 0.316 -0.815 0.415 -0.876 0.361
ma.S.L7 -1.0000 3.45e+04 -2.9e-05 1.000 -6.76e+04 6.76e+04
sigma2 0.7520 2.59e+04 2.9e-05 1.000 -5.08e+04 5.08e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 3.98
Prob(Q): 0.90 Prob(JB): 0.14
Heteroskedasticity (H): 2.07 Skew: -1.29
Prob(H) (two-sided): 0.50 Kurtosis: 3.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.48585075697773, Current Price: 170.2
SELL EXECUTED at 170.2
SELL ORDER COMPLETED at 171.93
OPERATION PROFIT, GROSS 3.319999999999993, NET 2.9794599999999933
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.562
Date: Wed, 09 Oct 2024 AIC 53.124
Time: 14:41:48 BIC 55.949
Sample: 0 HQIC 52.543
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3368 24.569 0.014 0.989 -47.818 48.492
ma.L1 -0.3567 24.434 -0.015 0.988 -48.247 47.534
ar.S.L7 -0.2469 0.311 -0.795 0.427 -0.856 0.362
ma.S.L7 -0.4326 1.644 -0.263 0.792 -3.654 2.789
sigma2 1.4878 2.422 0.614 0.539 -3.260 6.236
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 1.83
Prob(Q): 0.76 Prob(JB): 0.40
Heteroskedasticity (H): 1.52 Skew: -0.92
Prob(H) (two-sided): 0.69 Kurtosis: 3.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 170.78496210738325, Current Price: 173.87
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.027
Date: Wed, 09 Oct 2024 AIC 56.054
Time: 14:41:48 BIC 58.879
Sample: 0 HQIC 55.473
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1741 1.733 0.100 0.920 -3.223 3.571
ma.L1 0.1165 1.579 0.074 0.941 -2.978 3.211
ar.S.L7 -0.0007 0.004 -0.180 0.857 -0.009 0.007
ma.S.L7 -1.0144 46.808 -0.022 0.983 -92.756 90.727
sigma2 1.3933 66.095 0.021 0.983 -128.150 130.936
===================================================================================
Ljung-Box (L1) (Q): 0.87 Jarque-Bera (JB): 0.15
Prob(Q): 0.35 Prob(JB): 0.93
Heteroskedasticity (H): 0.91 Skew: -0.23
Prob(H) (two-sided): 0.93 Kurtosis: 2.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 174.32748390406027, Current Price: 177.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.349
Date: Wed, 09 Oct 2024 AIC 60.698
Time: 14:41:48 BIC 63.522
Sample: 0 HQIC 60.117
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6158 0.446 -1.382 0.167 -1.489 0.258
ma.L1 1.0000 4.46e+04 2.24e-05 1.000 -8.74e+04 8.74e+04
ar.S.L7 -0.2285 0.377 -0.605 0.545 -0.968 0.511
ma.S.L7 1.0004 1335.439 0.001 0.999 -2616.412 2618.413
sigma2 1.3885 6.2e+04 2.24e-05 1.000 -1.22e+05 1.22e+05
===================================================================================
Ljung-Box (L1) (Q): 1.40 Jarque-Bera (JB): 0.59
Prob(Q): 0.24 Prob(JB): 0.74
Heteroskedasticity (H): 4.21 Skew: -0.11
Prob(H) (two-sided): 0.19 Kurtosis: 1.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 181.20925859534503, Current Price: 176.83
BUY EXECUTED at 176.83
BUY ORDER COMPLETED at 178.86
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.462
Date: Wed, 09 Oct 2024 AIC 58.925
Time: 14:41:48 BIC 61.750
Sample: 0 HQIC 58.344
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2107 0.445 -0.473 0.636 -1.084 0.662
ma.L1 1.0000 7502.876 0.000 1.000 -1.47e+04 1.47e+04
ar.S.L7 -0.7246 0.262 -2.764 0.006 -1.238 -0.211
ma.S.L7 -0.1850 0.972 -0.190 0.849 -2.090 1.720
sigma2 2.2480 1.69e+04 0.000 1.000 -3.31e+04 3.31e+04
===================================================================================
Ljung-Box (L1) (Q): 0.64 Jarque-Bera (JB): 0.64
Prob(Q): 0.42 Prob(JB): 0.73
Heteroskedasticity (H): 5.88 Skew: 0.31
Prob(H) (two-sided): 0.11 Kurtosis: 2.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 175.16253586305174, Current Price: 178.21
SELL EXECUTED at 178.21
SELL ORDER COMPLETED at 179.51
OPERATION PROFIT, GROSS 0.6499999999999773, NET 0.29162999999997724
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.269
Date: Wed, 09 Oct 2024 AIC 62.537
Time: 14:41:48 BIC 65.362
Sample: 0 HQIC 61.957
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4736 0.639 0.742 0.458 -0.778 1.725
ma.L1 -0.1107 0.592 -0.187 0.852 -1.272 1.050
ar.S.L7 -0.7679 0.439 -1.749 0.080 -1.628 0.093
ma.S.L7 -0.1655 1.575 -0.105 0.916 -3.253 2.922
sigma2 3.2936 2.178 1.512 0.130 -0.974 7.562
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 0.54
Prob(Q): 0.65 Prob(JB): 0.76
Heteroskedasticity (H): 26.40 Skew: -0.44
Prob(H) (two-sided): 0.01 Kurtosis: 2.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.6142283975267, Current Price: 178.57
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.723
Date: Wed, 09 Oct 2024 AIC 61.447
Time: 14:41:48 BIC 64.272
Sample: 0 HQIC 60.866
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3503 0.508 -0.690 0.490 -1.346 0.645
ma.L1 1.0000 1.31e+04 7.65e-05 1.000 -2.56e+04 2.56e+04
ar.S.L7 -0.6876 0.225 -3.053 0.002 -1.129 -0.246
ma.S.L7 -0.2256 0.919 -0.245 0.806 -2.027 1.576
sigma2 2.7428 3.58e+04 7.65e-05 1.000 -7.02e+04 7.02e+04
===================================================================================
Ljung-Box (L1) (Q): 0.89 Jarque-Bera (JB): 0.49
Prob(Q): 0.35 Prob(JB): 0.78
Heteroskedasticity (H): 5.01 Skew: 0.11
Prob(H) (two-sided): 0.15 Kurtosis: 2.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.8791342570261, Current Price: 183.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.776
Date: Wed, 09 Oct 2024 AIC 63.552
Time: 14:41:48 BIC 66.377
Sample: 0 HQIC 62.971
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.1706 0.245 4.774 0.000 0.690 1.651
ma.L1 -1.0000 4789.698 -0.000 1.000 -9388.636 9386.636
ar.S.L7 -1.1004 0.288 -3.815 0.000 -1.666 -0.535
ma.S.L7 1.0000 1.92e+04 5.2e-05 1.000 -3.77e+04 3.77e+04
sigma2 1.9167 3.81e+04 5.04e-05 1.000 -7.46e+04 7.46e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 1.19
Prob(Q): 0.86 Prob(JB): 0.55
Heteroskedasticity (H): 5.82 Skew: -0.74
Prob(H) (two-sided): 0.12 Kurtosis: 2.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 188.83878060676318, Current Price: 183.84
BUY EXECUTED at 183.84
BUY ORDER COMPLETED at 182.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.651
Date: Wed, 09 Oct 2024 AIC 67.303
Time: 14:41:48 BIC 70.128
Sample: 0 HQIC 66.722
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7856 0.467 1.684 0.092 -0.129 1.700
ma.L1 -0.5190 0.647 -0.802 0.422 -1.787 0.749
ar.S.L7 -1.4330 0.536 -2.672 0.008 -2.484 -0.382
ma.S.L7 1.0000 3.2e+04 3.12e-05 1.000 -6.27e+04 6.27e+04
sigma2 2.7993 8.96e+04 3.12e-05 1.000 -1.76e+05 1.76e+05
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 1.27
Prob(Q): 0.80 Prob(JB): 0.53
Heteroskedasticity (H): 1.01 Skew: -0.72
Prob(H) (two-sided): 1.00 Kurtosis: 2.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 185.71042499641484, Current Price: 180.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.190
Date: Wed, 09 Oct 2024 AIC 70.380
Time: 14:41:48 BIC 73.205
Sample: 0 HQIC 69.800
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1836 1.075 0.171 0.864 -1.924 2.291
ma.L1 0.2749 1.083 0.254 0.800 -1.847 2.397
ar.S.L7 -1.3574 0.545 -2.489 0.013 -2.426 -0.288
ma.S.L7 0.2590 0.542 0.478 0.632 -0.802 1.321
sigma2 5.9263 4.569 1.297 0.195 -3.028 14.881
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.78
Prob(Q): 0.81 Prob(JB): 0.68
Heteroskedasticity (H): 0.98 Skew: -0.32
Prob(H) (two-sided): 0.99 Kurtosis: 1.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.2062823456617, Current Price: 183.44
SELL EXECUTED at 183.44
SELL ORDER COMPLETED at 183.91
OPERATION PROFIT, GROSS 1.259999999999991, NET 0.8934399999999909
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.610
Date: Wed, 09 Oct 2024 AIC 71.219
Time: 14:41:48 BIC 74.044
Sample: 0 HQIC 70.638
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3662 0.554 -0.661 0.509 -1.452 0.719
ma.L1 1.0000 1.13e+04 8.88e-05 1.000 -2.21e+04 2.21e+04
ar.S.L7 -1.0429 0.330 -3.162 0.002 -1.689 -0.396
ma.S.L7 0.2944 0.593 0.497 0.620 -0.868 1.456
sigma2 5.4842 6.18e+04 8.88e-05 1.000 -1.21e+05 1.21e+05
===================================================================================
Ljung-Box (L1) (Q): 0.44 Jarque-Bera (JB): 1.10
Prob(Q): 0.51 Prob(JB): 0.58
Heteroskedasticity (H): 2.57 Skew: -0.34
Prob(H) (two-sided): 0.38 Kurtosis: 1.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 186.93428160181148, Current Price: 185.74
BUY EXECUTED at 185.74
BUY ORDER COMPLETED at 185.606
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.705
Date: Wed, 09 Oct 2024 AIC 71.409
Time: 14:41:49 BIC 74.234
Sample: 0 HQIC 70.829
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3777 0.518 -0.729 0.466 -1.393 0.637
ma.L1 1.0000 9300.399 0.000 1.000 -1.82e+04 1.82e+04
ar.S.L7 -0.9522 0.372 -2.562 0.010 -1.681 -0.224
ma.S.L7 0.2019 0.589 0.343 0.732 -0.952 1.356
sigma2 5.7249 5.32e+04 0.000 1.000 -1.04e+05 1.04e+05
===================================================================================
Ljung-Box (L1) (Q): 0.89 Jarque-Bera (JB): 0.91
Prob(Q): 0.34 Prob(JB): 0.63
Heteroskedasticity (H): 1.02 Skew: -0.21
Prob(H) (two-sided): 0.98 Kurtosis: 1.78
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 184.38416118319358, Current Price: 183.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.174
Date: Wed, 09 Oct 2024 AIC 70.348
Time: 14:41:49 BIC 73.173
Sample: 0 HQIC 69.767
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3953 0.336 -1.176 0.240 -1.054 0.264
ma.L1 1.0000 1.6e+04 6.24e-05 1.000 -3.14e+04 3.14e+04
ar.S.L7 -1.0197 0.622 -1.639 0.101 -2.239 0.199
ma.S.L7 0.2030 0.619 0.328 0.743 -1.010 1.416
sigma2 5.2595 8.43e+04 6.24e-05 1.000 -1.65e+05 1.65e+05
===================================================================================
Ljung-Box (L1) (Q): 0.41 Jarque-Bera (JB): 0.80
Prob(Q): 0.52 Prob(JB): 0.67
Heteroskedasticity (H): 0.56 Skew: -0.27
Prob(H) (two-sided): 0.59 Kurtosis: 1.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 181.29340908276066, Current Price: 181.95
SELL EXECUTED at 181.95
SELL ORDER COMPLETED at 182.31
OPERATION PROFIT, GROSS -3.2959999999999923, NET -3.6639159999999924
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.675
Date: Wed, 09 Oct 2024 AIC 69.350
Time: 14:41:49 BIC 72.175
Sample: 0 HQIC 68.770
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3602 0.382 -0.944 0.345 -1.108 0.388
ma.L1 1.0000 4057.098 0.000 1.000 -7950.765 7952.765
ar.S.L7 -1.1121 0.532 -2.089 0.037 -2.155 -0.069
ma.S.L7 0.2981 0.594 0.502 0.616 -0.866 1.463
sigma2 4.7493 1.93e+04 0.000 1.000 -3.78e+04 3.78e+04
===================================================================================
Ljung-Box (L1) (Q): 0.44 Jarque-Bera (JB): 0.75
Prob(Q): 0.51 Prob(JB): 0.69
Heteroskedasticity (H): 0.57 Skew: -0.23
Prob(H) (two-sided): 0.60 Kurtosis: 1.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 182.4989167199543, Current Price: 183.44
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.590
Date: Wed, 09 Oct 2024 AIC 69.180
Time: 14:41:49 BIC 72.004
Sample: 0 HQIC 68.599
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3609 0.597 -0.604 0.546 -1.531 0.810
ma.L1 1.0000 1.37e+04 7.31e-05 1.000 -2.68e+04 2.68e+04
ar.S.L7 -1.1696 0.439 -2.664 0.008 -2.030 -0.309
ma.S.L7 1.0004 1833.059 0.001 1.000 -3591.730 3593.730
sigma2 2.8616 4.18e+04 6.84e-05 1.000 -8.2e+04 8.2e+04
===================================================================================
Ljung-Box (L1) (Q): 0.53 Jarque-Bera (JB): 0.66
Prob(Q): 0.47 Prob(JB): 0.72
Heteroskedasticity (H): 0.18 Skew: -0.27
Prob(H) (two-sided): 0.13 Kurtosis: 2.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 184.34170939525126, Current Price: 182.53
BUY EXECUTED at 182.53
BUY ORDER COMPLETED at 182.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.805
Date: Wed, 09 Oct 2024 AIC 69.610
Time: 14:41:49 BIC 72.435
Sample: 0 HQIC 69.029
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4754 0.558 -0.852 0.394 -1.570 0.619
ma.L1 1.0000 5470.196 0.000 1.000 -1.07e+04 1.07e+04
ar.S.L7 -0.9108 0.820 -1.110 0.267 -2.519 0.697
ma.S.L7 0.1784 1.057 0.169 0.866 -1.894 2.250
sigma2 4.8416 2.65e+04 0.000 1.000 -5.19e+04 5.19e+04
===================================================================================
Ljung-Box (L1) (Q): 0.71 Jarque-Bera (JB): 0.53
Prob(Q): 0.40 Prob(JB): 0.77
Heteroskedasticity (H): 0.33 Skew: 0.26
Prob(H) (two-sided): 0.31 Kurtosis: 2.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 183.7321196240192, Current Price: 184.18
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.435
Date: Wed, 09 Oct 2024 AIC 66.869
Time: 14:41:49 BIC 69.694
Sample: 0 HQIC 66.289
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4860 1.057 -0.460 0.646 -2.557 1.585
ma.L1 0.5471 1.541 0.355 0.722 -2.472 3.567
ar.S.L7 -1.1931 0.475 -2.511 0.012 -2.124 -0.262
ma.S.L7 1.0000 2.17e+05 4.61e-06 1.000 -4.25e+05 4.25e+05
sigma2 2.6756 5.81e+05 4.61e-06 1.000 -1.14e+06 1.14e+06
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.76
Prob(Q): 0.88 Prob(JB): 0.68
Heteroskedasticity (H): 0.51 Skew: -0.51
Prob(H) (two-sided): 0.53 Kurtosis: 3.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 189.10295905650824, Current Price: 183.22
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.739
Date: Wed, 09 Oct 2024 AIC 71.477
Time: 14:41:49 BIC 74.302
Sample: 0 HQIC 70.897
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1305 9.163 -0.014 0.989 -18.090 17.829
ma.L1 0.0246 8.028 0.003 0.998 -15.711 15.760
ar.S.L7 -0.9551 0.596 -1.602 0.109 -2.124 0.214
ma.S.L7 0.6568 3.160 0.208 0.835 -5.537 6.850
sigma2 5.3855 12.014 0.448 0.654 -18.161 28.932
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.27
Prob(Q): 0.78 Prob(JB): 0.87
Heteroskedasticity (H): 1.65 Skew: -0.35
Prob(H) (two-sided): 0.64 Kurtosis: 3.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 183.31408425470894, Current Price: 184.54
SELL EXECUTED at 184.54
SELL ORDER COMPLETED at 184.7224
OPERATION PROFIT, GROSS 1.9723999999999933, NET 1.6049275999999932
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.576
Date: Wed, 09 Oct 2024 AIC 71.152
Time: 14:41:49 BIC 73.977
Sample: 0 HQIC 70.572
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3773 1.456 -0.259 0.796 -3.231 2.476
ma.L1 0.6620 1.101 0.601 0.548 -1.495 2.819
ar.S.L7 -0.5223 0.659 -0.793 0.428 -1.813 0.769
ma.S.L7 -1.0002 1.28e+04 -7.79e-05 1.000 -2.52e+04 2.52e+04
sigma2 3.9094 5.02e+04 7.79e-05 1.000 -9.84e+04 9.84e+04
===================================================================================
Ljung-Box (L1) (Q): 0.33 Jarque-Bera (JB): 0.57
Prob(Q): 0.57 Prob(JB): 0.75
Heteroskedasticity (H): 0.83 Skew: -0.13
Prob(H) (two-sided): 0.86 Kurtosis: 2.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 186.32553175826467, Current Price: 187.98
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.483
Date: Wed, 09 Oct 2024 AIC 70.965
Time: 14:41:49 BIC 73.790
Sample: 0 HQIC 70.384
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4918 0.214 -2.293 0.022 -0.912 -0.071
ma.L1 1.0000 2.79e+04 3.58e-05 1.000 -5.47e+04 5.47e+04
ar.S.L7 -0.4046 0.524 -0.771 0.440 -1.432 0.623
ma.S.L7 -1.0002 1.01e+04 -9.88e-05 1.000 -1.99e+04 1.98e+04
sigma2 3.5552 1.26e+05 2.82e-05 1.000 -2.47e+05 2.48e+05
===================================================================================
Ljung-Box (L1) (Q): 1.35 Jarque-Bera (JB): 0.36
Prob(Q): 0.24 Prob(JB): 0.84
Heteroskedasticity (H): 0.94 Skew: -0.06
Prob(H) (two-sided): 0.95 Kurtosis: 2.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 185.5586399211574, Current Price: 187.83
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.301
Date: Wed, 09 Oct 2024 AIC 68.602
Time: 14:41:49 BIC 71.427
Sample: 0 HQIC 68.022
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4159 1.022 -0.407 0.684 -2.419 1.587
ma.L1 0.7038 1.000 0.704 0.481 -1.255 2.663
ar.S.L7 -0.6219 0.547 -1.136 0.256 -1.695 0.451
ma.S.L7 -0.3782 1.182 -0.320 0.749 -2.695 1.939
sigma2 5.0015 5.189 0.964 0.335 -5.168 15.171
===================================================================================
Ljung-Box (L1) (Q): 0.50 Jarque-Bera (JB): 0.81
Prob(Q): 0.48 Prob(JB): 0.67
Heteroskedasticity (H): 1.03 Skew: -0.41
Prob(H) (two-sided): 0.98 Kurtosis: 2.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 191.48541832429882, Current Price: 186.49
BUY EXECUTED at 186.49
BUY ORDER COMPLETED at 185.18
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.737
Date: Wed, 09 Oct 2024 AIC 71.475
Time: 14:41:49 BIC 74.300
Sample: 0 HQIC 70.894
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3381 1.512 -0.224 0.823 -3.301 2.625
ma.L1 0.5863 1.219 0.481 0.630 -1.802 2.975
ar.S.L7 -0.5309 0.437 -1.216 0.224 -1.387 0.325
ma.S.L7 -1.0001 7953.913 -0.000 1.000 -1.56e+04 1.56e+04
sigma2 3.9985 3.18e+04 0.000 1.000 -6.23e+04 6.23e+04
===================================================================================
Ljung-Box (L1) (Q): 0.73 Jarque-Bera (JB): 1.29
Prob(Q): 0.39 Prob(JB): 0.53
Heteroskedasticity (H): 1.04 Skew: -0.34
Prob(H) (two-sided): 0.97 Kurtosis: 1.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 186.6790459318795, Current Price: 185.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.412
Date: Wed, 09 Oct 2024 AIC 68.824
Time: 14:41:49 BIC 71.648
Sample: 0 HQIC 68.243
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3963 1.244 -0.318 0.750 -2.835 2.042
ma.L1 0.6003 1.257 0.478 0.633 -1.863 3.064
ar.S.L7 -0.4989 0.560 -0.891 0.373 -1.597 0.599
ma.S.L7 -0.2890 0.945 -0.306 0.760 -2.141 1.563
sigma2 5.2317 3.500 1.495 0.135 -1.629 12.092
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 0.93
Prob(Q): 0.68 Prob(JB): 0.63
Heteroskedasticity (H): 3.10 Skew: -0.58
Prob(H) (two-sided): 0.30 Kurtosis: 2.40
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 184.48267553381268, Current Price: 186.28
SELL EXECUTED at 186.28
SELL ORDER COMPLETED at 187.54
OPERATION PROFIT, GROSS 2.359999999999985, NET 1.9872799999999853
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.112
Date: Wed, 09 Oct 2024 AIC 68.224
Time: 14:41:49 BIC 71.049
Sample: 0 HQIC 67.644
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3479 1.346 -0.258 0.796 -2.986 2.290
ma.L1 0.6477 1.244 0.521 0.603 -1.791 3.087
ar.S.L7 -0.4979 0.404 -1.232 0.218 -1.290 0.294
ma.S.L7 -0.5759 1.141 -0.505 0.614 -2.812 1.660
sigma2 4.4377 4.672 0.950 0.342 -4.718 13.594
===================================================================================
Ljung-Box (L1) (Q): 0.44 Jarque-Bera (JB): 0.88
Prob(Q): 0.51 Prob(JB): 0.64
Heteroskedasticity (H): 5.53 Skew: -0.63
Prob(H) (two-sided): 0.13 Kurtosis: 2.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 189.6668300105957, Current Price: 187.19
BUY EXECUTED at 187.19
BUY ORDER COMPLETED at 189.76
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.853
Date: Wed, 09 Oct 2024 AIC 67.707
Time: 14:41:49 BIC 70.531
Sample: 0 HQIC 67.126
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3170 0.921 0.344 0.731 -1.488 2.122
ma.L1 -0.6814 0.697 -0.977 0.329 -2.048 0.686
ar.S.L7 -0.4653 0.390 -1.194 0.232 -1.229 0.298
ma.S.L7 0.0061 0.741 0.008 0.993 -1.446 1.459
sigma2 4.9409 3.757 1.315 0.188 -2.422 12.304
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.17
Prob(Q): 0.86 Prob(JB): 0.92
Heteroskedasticity (H): 1.66 Skew: 0.06
Prob(H) (two-sided): 0.64 Kurtosis: 2.45
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 189.00887717488888, Current Price: 189.72
SELL EXECUTED at 189.72
SELL ORDER COMPLETED at 188.08
OPERATION PROFIT, GROSS -1.6799999999999784, NET -2.0578399999999784
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.124
Date: Wed, 09 Oct 2024 AIC 68.249
Time: 14:41:49 BIC 71.073
Sample: 0 HQIC 67.668
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4271 0.982 -0.435 0.664 -2.352 1.498
ma.L1 0.6452 0.911 0.708 0.479 -1.141 2.431
ar.S.L7 -0.4596 0.401 -1.147 0.251 -1.245 0.326
ma.S.L7 0.0787 1.064 0.074 0.941 -2.007 2.164
sigma2 5.1583 2.191 2.354 0.019 0.863 9.453
===================================================================================
Ljung-Box (L1) (Q): 0.73 Jarque-Bera (JB): 1.50
Prob(Q): 0.39 Prob(JB): 0.47
Heteroskedasticity (H): 0.30 Skew: -0.83
Prob(H) (two-sided): 0.27 Kurtosis: 2.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 191.09045945553243, Current Price: 186.36
BUY EXECUTED at 186.36
BUY ORDER COMPLETED at 185.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.942
Date: Wed, 09 Oct 2024 AIC 69.885
Time: 14:41:49 BIC 72.709
Sample: 0 HQIC 69.304
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2331 1.059 0.220 0.826 -1.842 2.308
ma.L1 -0.5483 0.881 -0.622 0.534 -2.276 1.179
ar.S.L7 -0.5079 0.425 -1.196 0.232 -1.340 0.324
ma.S.L7 -0.1954 0.822 -0.238 0.812 -1.806 1.416
sigma2 5.7668 4.703 1.226 0.220 -3.451 14.985
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 0.64
Prob(Q): 0.64 Prob(JB): 0.73
Heteroskedasticity (H): 0.49 Skew: -0.03
Prob(H) (two-sided): 0.50 Kurtosis: 1.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 186.30904752549702, Current Price: 185.53
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.812
Date: Wed, 09 Oct 2024 AIC 69.623
Time: 14:41:49 BIC 72.448
Sample: 0 HQIC 69.043
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2862 1.634 0.175 0.861 -2.916 3.488
ma.L1 -0.6584 1.593 -0.413 0.679 -3.780 2.463
ar.S.L7 -0.4742 0.560 -0.847 0.397 -1.572 0.624
ma.S.L7 -0.0870 1.279 -0.068 0.946 -2.593 2.419
sigma2 5.7073 4.276 1.335 0.182 -2.673 14.088
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 0.54
Prob(Q): 0.70 Prob(JB): 0.76
Heteroskedasticity (H): 0.59 Skew: 0.02
Prob(H) (two-sided): 0.63 Kurtosis: 2.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 186.76159728545917, Current Price: 186.25
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.989
Date: Wed, 09 Oct 2024 AIC 67.979
Time: 14:41:49 BIC 70.803
Sample: 0 HQIC 67.398
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5410 0.801 0.675 0.499 -1.029 2.111
ma.L1 -1.0000 2.33e+04 -4.28e-05 1.000 -4.57e+04 4.57e+04
ar.S.L7 -0.4757 0.761 -0.625 0.532 -1.967 1.016
ma.S.L7 -0.3754 1.373 -0.273 0.785 -3.066 2.315
sigma2 3.9213 9.15e+04 4.28e-05 1.000 -1.79e+05 1.79e+05
===================================================================================
Ljung-Box (L1) (Q): 0.40 Jarque-Bera (JB): 0.66
Prob(Q): 0.53 Prob(JB): 0.72
Heteroskedasticity (H): 0.45 Skew: 0.09
Prob(H) (two-sided): 0.46 Kurtosis: 1.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 186.46765256842087, Current Price: 185.36
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.438
Date: Wed, 09 Oct 2024 AIC 64.877
Time: 14:41:49 BIC 67.701
Sample: 0 HQIC 64.296
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1826 0.620 0.295 0.768 -1.032 1.398
ma.L1 -0.7412 0.779 -0.951 0.341 -2.268 0.786
ar.S.L7 -0.1977 0.249 -0.794 0.427 -0.686 0.290
ma.S.L7 -1.0001 8294.204 -0.000 1.000 -1.63e+04 1.63e+04
sigma2 2.3529 1.95e+04 0.000 1.000 -3.82e+04 3.83e+04
===================================================================================
Ljung-Box (L1) (Q): 0.40 Jarque-Bera (JB): 1.57
Prob(Q): 0.53 Prob(JB): 0.46
Heteroskedasticity (H): 0.55 Skew: 0.81
Prob(H) (two-sided): 0.58 Kurtosis: 2.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 185.87524125123164, Current Price: 186.09
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.315
Date: Wed, 09 Oct 2024 AIC 62.630
Time: 14:41:49 BIC 65.455
Sample: 0 HQIC 62.049
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3257 0.769 0.423 0.672 -1.182 1.834
ma.L1 -0.7708 0.886 -0.870 0.384 -2.507 0.966
ar.S.L7 -0.3096 0.228 -1.357 0.175 -0.757 0.138
ma.S.L7 -0.8051 2.284 -0.352 0.724 -5.282 3.672
sigma2 2.3693 5.581 0.425 0.671 -8.569 13.308
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.01
Prob(Q): 1.00 Prob(JB): 0.60
Heteroskedasticity (H): 0.23 Skew: 0.60
Prob(H) (two-sided): 0.18 Kurtosis: 2.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 187.47719936529222, Current Price: 184.25
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.181
Date: Wed, 09 Oct 2024 AIC 64.362
Time: 14:41:49 BIC 67.187
Sample: 0 HQIC 63.782
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2433 0.758 0.321 0.748 -1.242 1.729
ma.L1 -0.6219 0.690 -0.902 0.367 -1.973 0.730
ar.S.L7 -0.3145 0.300 -1.049 0.294 -0.902 0.273
ma.S.L7 -0.4886 0.624 -0.782 0.434 -1.713 0.735
sigma2 3.4275 2.542 1.348 0.178 -1.555 8.410
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.60
Prob(Q): 0.87 Prob(JB): 0.74
Heteroskedasticity (H): 0.40 Skew: 0.51
Prob(H) (two-sided): 0.40 Kurtosis: 2.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 187.06985652908236, Current Price: 184.81
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.988
Date: Wed, 09 Oct 2024 AIC 57.976
Time: 14:41:49 BIC 60.801
Sample: 0 HQIC 57.395
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3728 1.623 0.230 0.818 -2.808 3.554
ma.L1 -0.5204 1.609 -0.323 0.746 -3.673 2.633
ar.S.L7 -0.2695 0.263 -1.026 0.305 -0.784 0.245
ma.S.L7 -1.0000 2.66e+04 -3.76e-05 1.000 -5.21e+04 5.21e+04
sigma2 1.4127 3.76e+04 3.76e-05 1.000 -7.37e+04 7.37e+04
===================================================================================
Ljung-Box (L1) (Q): 0.87 Jarque-Bera (JB): 0.72
Prob(Q): 0.35 Prob(JB): 0.70
Heteroskedasticity (H): 0.52 Skew: -0.37
Prob(H) (two-sided): 0.54 Kurtosis: 2.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 185.59247356616189, Current Price: 185.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.475
Date: Wed, 09 Oct 2024 AIC 56.950
Time: 14:41:49 BIC 59.775
Sample: 0 HQIC 56.369
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3267 1.552 0.211 0.833 -2.714 3.368
ma.L1 -0.5501 1.413 -0.389 0.697 -3.320 2.220
ar.S.L7 -0.2288 0.243 -0.940 0.347 -0.706 0.248
ma.S.L7 -1.0000 4.94e+04 -2.02e-05 1.000 -9.68e+04 9.68e+04
sigma2 1.3044 6.44e+04 2.02e-05 1.000 -1.26e+05 1.26e+05
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.16
Prob(Q): 0.94 Prob(JB): 0.56
Heteroskedasticity (H): 0.94 Skew: -0.56
Prob(H) (two-sided): 0.95 Kurtosis: 2.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 185.06849629296053, Current Price: 184.74
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.680
Date: Wed, 09 Oct 2024 AIC 55.359
Time: 14:41:49 BIC 58.184
Sample: 0 HQIC 54.778
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4301 0.439 0.979 0.327 -0.431 1.291
ma.L1 -0.5113 0.899 -0.569 0.570 -2.273 1.251
ar.S.L7 -0.6531 0.122 -5.348 0.000 -0.892 -0.414
ma.S.L7 -0.0569 0.726 -0.078 0.938 -1.480 1.366
sigma2 1.9094 1.140 1.676 0.094 -0.324 4.143
===================================================================================
Ljung-Box (L1) (Q): 1.32 Jarque-Bera (JB): 1.33
Prob(Q): 0.25 Prob(JB): 0.52
Heteroskedasticity (H): 0.53 Skew: 0.47
Prob(H) (two-sided): 0.56 Kurtosis: 4.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 184.2255223270701, Current Price: 184.75
SELL EXECUTED at 184.75
SELL ORDER COMPLETED at 184.79
OPERATION PROFIT, GROSS -1.0999999999999943, NET -1.4706799999999944
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.677
Date: Wed, 09 Oct 2024 AIC 53.354
Time: 14:41:49 BIC 56.178
Sample: 0 HQIC 52.773
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0633 1.496 0.042 0.966 -2.868 2.995
ma.L1 -0.3912 1.173 -0.334 0.739 -2.690 1.907
ar.S.L7 -0.7156 0.162 -4.406 0.000 -1.034 -0.397
ma.S.L7 0.0339 0.591 0.057 0.954 -1.125 1.193
sigma2 1.6427 1.117 1.470 0.142 -0.547 3.833
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.35
Prob(Q): 0.87 Prob(JB): 0.84
Heteroskedasticity (H): 0.42 Skew: 0.37
Prob(H) (two-sided): 0.42 Kurtosis: 3.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 183.4135081017502, Current Price: 184.8
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.560
Date: Wed, 09 Oct 2024 AIC 43.120
Time: 14:41:49 BIC 45.945
Sample: 0 HQIC 42.539
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7155 0.113 -6.342 0.000 -0.937 -0.494
ma.L1 1.0000 1.72e+04 5.82e-05 1.000 -3.37e+04 3.37e+04
ar.S.L7 -0.8174 0.089 -9.209 0.000 -0.991 -0.643
ma.S.L7 0.0516 0.445 0.116 0.908 -0.820 0.923
sigma2 0.6372 1.09e+04 5.82e-05 1.000 -2.15e+04 2.15e+04
===================================================================================
Ljung-Box (L1) (Q): 1.77 Jarque-Bera (JB): 0.65
Prob(Q): 0.18 Prob(JB): 0.72
Heteroskedasticity (H): 1.54 Skew: 0.48
Prob(H) (two-sided): 0.69 Kurtosis: 2.49
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 185.99901421966393, Current Price: 183.97
BUY EXECUTED at 183.97
BUY ORDER COMPLETED at 184.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.312
Date: Wed, 09 Oct 2024 AIC 48.624
Time: 14:41:49 BIC 51.448
Sample: 0 HQIC 48.043
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4667 0.315 1.480 0.139 -0.151 1.084
ma.L1 -0.4427 0.772 -0.573 0.566 -1.956 1.071
ar.S.L7 -0.8323 0.201 -4.144 0.000 -1.226 -0.439
ma.S.L7 1.0001 7319.588 0.000 1.000 -1.43e+04 1.43e+04
sigma2 0.6597 4828.611 0.000 1.000 -9463.243 9464.563
===================================================================================
Ljung-Box (L1) (Q): 1.23 Jarque-Bera (JB): 0.30
Prob(Q): 0.27 Prob(JB): 0.86
Heteroskedasticity (H): 1.13 Skew: -0.08
Prob(H) (two-sided): 0.91 Kurtosis: 2.27
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 184.49019145089474, Current Price: 187.52
SELL EXECUTED at 187.52
SELL ORDER COMPLETED at 187.61
OPERATION PROFIT, GROSS 2.960000000000008, NET 2.587740000000008
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.172
Date: Wed, 09 Oct 2024 AIC 54.345
Time: 14:41:49 BIC 57.170
Sample: 0 HQIC 53.764
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3408 1.250 -0.273 0.785 -2.790 2.109
ma.L1 0.0522 1.152 0.045 0.964 -2.205 2.310
ar.S.L7 -0.8962 0.122 -7.339 0.000 -1.136 -0.657
ma.S.L7 0.4668 1.012 0.461 0.645 -1.518 2.451
sigma2 1.6143 1.083 1.491 0.136 -0.508 3.736
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 2.16
Prob(Q): 0.80 Prob(JB): 0.34
Heteroskedasticity (H): 4.87 Skew: 1.00
Prob(H) (two-sided): 0.15 Kurtosis: 2.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 188.46992372585345, Current Price: 189.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.280
Date: Wed, 09 Oct 2024 AIC 52.560
Time: 14:41:49 BIC 55.385
Sample: 0 HQIC 51.980
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4910 1.988 -0.247 0.805 -4.387 3.405
ma.L1 0.2433 1.930 0.126 0.900 -3.539 4.025
ar.S.L7 -0.7838 0.265 -2.961 0.003 -1.303 -0.265
ma.S.L7 0.0063 0.738 0.008 0.993 -1.440 1.452
sigma2 1.5463 1.160 1.334 0.182 -0.726 3.819
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.43
Prob(Q): 0.99 Prob(JB): 0.49
Heteroskedasticity (H): 20.47 Skew: 0.81
Prob(H) (two-sided): 0.01 Kurtosis: 2.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 187.02636094972937, Current Price: 190.44
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.636
Date: Wed, 09 Oct 2024 AIC 55.272
Time: 14:41:49 BIC 58.097
Sample: 0 HQIC 54.691
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3821 0.414 -0.923 0.356 -1.193 0.429
ma.L1 0.0583 0.564 0.103 0.918 -1.046 1.163
ar.S.L7 -0.5527 0.234 -2.365 0.018 -1.011 -0.095
ma.S.L7 -1.0000 1.69e+04 -5.93e-05 1.000 -3.3e+04 3.3e+04
sigma2 1.1502 1.94e+04 5.93e-05 1.000 -3.8e+04 3.8e+04
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 0.89
Prob(Q): 0.67 Prob(JB): 0.64
Heteroskedasticity (H): 2.85 Skew: 0.15
Prob(H) (two-sided): 0.33 Kurtosis: 1.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 189.22773933534248, Current Price: 187.46
BUY EXECUTED at 187.46
BUY ORDER COMPLETED at 187.82
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.467
Date: Wed, 09 Oct 2024 AIC 52.934
Time: 14:41:50 BIC 55.759
Sample: 0 HQIC 52.354
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.1495 0.325 -3.534 0.000 -1.787 -0.512
ma.L1 0.7101 0.451 1.573 0.116 -0.175 1.595
ar.S.L7 -0.7559 0.187 -4.048 0.000 -1.122 -0.390
ma.S.L7 -1.0001 1.09e+04 -9.14e-05 1.000 -2.14e+04 2.14e+04
sigma2 0.9200 1.01e+04 9.14e-05 1.000 -1.97e+04 1.97e+04
===================================================================================
Ljung-Box (L1) (Q): 0.21 Jarque-Bera (JB): 0.84
Prob(Q): 0.64 Prob(JB): 0.66
Heteroskedasticity (H): 1.20 Skew: -0.02
Prob(H) (two-sided): 0.86 Kurtosis: 1.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 190.3961188879434, Current Price: 187.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.818
Date: Wed, 09 Oct 2024 AIC 55.636
Time: 14:41:50 BIC 58.461
Sample: 0 HQIC 55.056
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9331 0.362 -2.581 0.010 -1.642 -0.224
ma.L1 0.5713 0.631 0.905 0.365 -0.665 1.808
ar.S.L7 -0.7156 0.274 -2.616 0.009 -1.252 -0.179
ma.S.L7 -1.0001 9395.241 -0.000 1.000 -1.84e+04 1.84e+04
sigma2 1.1392 1.07e+04 0.000 1.000 -2.1e+04 2.1e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.15
Prob(Q): 1.00 Prob(JB): 0.56
Heteroskedasticity (H): 1.53 Skew: 0.41
Prob(H) (two-sided): 0.69 Kurtosis: 1.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 185.1122862572326, Current Price: 189.02
SELL EXECUTED at 189.02
SELL ORDER COMPLETED at 188.975
OPERATION PROFIT, GROSS 1.1550000000000011, NET 0.7782050000000011
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.565
Date: Wed, 09 Oct 2024 AIC 59.131
Time: 14:41:50 BIC 61.956
Sample: 0 HQIC 58.550
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6104 0.503 -1.213 0.225 -1.597 0.376
ma.L1 0.1609 0.586 0.274 0.784 -0.988 1.310
ar.S.L7 -0.6240 0.441 -1.415 0.157 -1.488 0.240
ma.S.L7 -0.4590 1.356 -0.338 0.735 -3.117 2.199
sigma2 2.3020 1.773 1.299 0.194 -1.173 5.777
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 1.20
Prob(Q): 0.85 Prob(JB): 0.55
Heteroskedasticity (H): 2.32 Skew: 0.32
Prob(H) (two-sided): 0.44 Kurtosis: 1.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 188.99786591749634, Current Price: 188.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.674
Date: Wed, 09 Oct 2024 AIC 57.348
Time: 14:41:50 BIC 60.172
Sample: 0 HQIC 56.767
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5928 0.425 -1.394 0.163 -1.426 0.241
ma.L1 0.0837 0.474 0.177 0.860 -0.845 1.012
ar.S.L7 -0.5941 0.485 -1.224 0.221 -1.546 0.357
ma.S.L7 -0.5688 1.766 -0.322 0.747 -4.030 2.893
sigma2 1.8833 1.760 1.070 0.285 -1.567 5.333
===================================================================================
Ljung-Box (L1) (Q): 0.52 Jarque-Bera (JB): 0.86
Prob(Q): 0.47 Prob(JB): 0.65
Heteroskedasticity (H): 2.30 Skew: 0.27
Prob(H) (two-sided): 0.44 Kurtosis: 1.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 188.37497230032048, Current Price: 187.13
BUY EXECUTED at 187.13
BUY ORDER COMPLETED at 187.43
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.085
Date: Wed, 09 Oct 2024 AIC 56.170
Time: 14:41:50 BIC 58.995
Sample: 0 HQIC 55.590
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3617 0.667 -0.542 0.588 -1.669 0.945
ma.L1 -0.1898 0.572 -0.332 0.740 -1.310 0.931
ar.S.L7 -0.5756 0.533 -1.081 0.280 -1.619 0.468
ma.S.L7 -1.0005 2702.795 -0.000 1.000 -5298.381 5296.380
sigma2 1.2321 3331.398 0.000 1.000 -6528.188 6530.652
===================================================================================
Ljung-Box (L1) (Q): 0.82 Jarque-Bera (JB): 1.69
Prob(Q): 0.37 Prob(JB): 0.43
Heteroskedasticity (H): 3.85 Skew: 0.76
Prob(H) (two-sided): 0.22 Kurtosis: 2.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 188.74313787719146, Current Price: 186.81
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.159
Date: Wed, 09 Oct 2024 AIC 58.317
Time: 14:41:50 BIC 61.142
Sample: 0 HQIC 57.737
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5908 0.535 -1.104 0.269 -1.639 0.458
ma.L1 0.0240 0.780 0.031 0.975 -1.504 1.552
ar.S.L7 -0.7824 0.266 -2.937 0.003 -1.304 -0.260
ma.S.L7 -0.6380 2.375 -0.269 0.788 -5.292 4.017
sigma2 1.9379 2.742 0.707 0.480 -3.437 7.313
===================================================================================
Ljung-Box (L1) (Q): 0.61 Jarque-Bera (JB): 1.28
Prob(Q): 0.43 Prob(JB): 0.53
Heteroskedasticity (H): 1.60 Skew: 0.39
Prob(H) (two-sided): 0.66 Kurtosis: 1.68
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 186.91441542587796, Current Price: 187.21
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.289
Date: Wed, 09 Oct 2024 AIC 60.577
Time: 14:41:50 BIC 63.402
Sample: 0 HQIC 59.996
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5639 0.832 0.678 0.498 -1.066 2.194
ma.L1 -1.0000 1.73e+04 -5.79e-05 1.000 -3.39e+04 3.39e+04
ar.S.L7 -0.5224 0.521 -1.002 0.316 -1.544 0.499
ma.S.L7 -0.5017 2.069 -0.242 0.808 -4.558 3.554
sigma2 2.0949 3.62e+04 5.79e-05 1.000 -7.1e+04 7.1e+04
===================================================================================
Ljung-Box (L1) (Q): 1.08 Jarque-Bera (JB): 1.08
Prob(Q): 0.30 Prob(JB): 0.58
Heteroskedasticity (H): 0.15 Skew: 0.59
Prob(H) (two-sided): 0.10 Kurtosis: 2.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 186.72903772389677, Current Price: 184.87
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.513
Date: Wed, 09 Oct 2024 AIC 59.027
Time: 14:41:50 BIC 61.852
Sample: 0 HQIC 58.446
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5635 0.491 -1.147 0.251 -1.526 0.399
ma.L1 0.0064 0.730 0.009 0.993 -1.425 1.437
ar.S.L7 -0.6836 0.260 -2.634 0.008 -1.192 -0.175
ma.S.L7 -1.0009 1501.697 -0.001 0.999 -2944.272 2942.271
sigma2 1.4796 2223.158 0.001 0.999 -4355.829 4358.788
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 1.30
Prob(Q): 0.72 Prob(JB): 0.52
Heteroskedasticity (H): 0.34 Skew: 0.37
Prob(H) (two-sided): 0.32 Kurtosis: 1.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 186.1930329612628, Current Price: 184.23
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.551
Date: Wed, 09 Oct 2024 AIC 59.101
Time: 14:41:50 BIC 61.926
Sample: 0 HQIC 58.521
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2862 1.064 -0.269 0.788 -2.371 1.798
ma.L1 -8.5229 83.076 -0.103 0.918 -171.349 154.303
ar.S.L7 -0.5831 0.295 -1.978 0.048 -1.161 -0.005
ma.S.L7 -0.9547 22.910 -0.042 0.967 -45.857 43.947
sigma2 0.0218 0.342 0.064 0.949 -0.648 0.692
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.69
Prob(Q): 0.90 Prob(JB): 0.43
Heteroskedasticity (H): 0.35 Skew: 0.71
Prob(H) (two-sided): 0.34 Kurtosis: 1.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 183.53929439234562, Current Price: 181.84
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.651
Date: Wed, 09 Oct 2024 AIC 55.302
Time: 14:41:50 BIC 58.127
Sample: 0 HQIC 54.722
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7549 0.121 -6.264 0.000 -0.991 -0.519
ma.L1 1.0000 1.78e+04 5.62e-05 1.000 -3.49e+04 3.49e+04
ar.S.L7 -0.4959 0.213 -2.324 0.020 -0.914 -0.078
ma.S.L7 -1.0001 1.24e+04 -8.05e-05 1.000 -2.44e+04 2.44e+04
sigma2 1.0160 1.45e+04 7e-05 1.000 -2.84e+04 2.84e+04
===================================================================================
Ljung-Box (L1) (Q): 0.50 Jarque-Bera (JB): 0.24
Prob(Q): 0.48 Prob(JB): 0.89
Heteroskedasticity (H): 0.89 Skew: 0.21
Prob(H) (two-sided): 0.91 Kurtosis: 2.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 180.92938417809384, Current Price: 183.64
SELL EXECUTED at 183.64
SELL ORDER COMPLETED at 183.22
OPERATION PROFIT, GROSS -4.210000000000008, NET -4.580650000000008
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.632
Date: Wed, 09 Oct 2024 AIC 55.263
Time: 14:41:50 BIC 58.088
Sample: 0 HQIC 54.683
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3643 0.986 -0.370 0.712 -2.296 1.567
ma.L1 0.2689 1.032 0.261 0.794 -1.753 2.291
ar.S.L7 -0.3837 0.255 -1.505 0.132 -0.883 0.116
ma.S.L7 -1.0000 2.05e+04 -4.88e-05 1.000 -4.01e+04 4.01e+04
sigma2 1.1481 2.35e+04 4.88e-05 1.000 -4.61e+04 4.61e+04
===================================================================================
Ljung-Box (L1) (Q): 0.36 Jarque-Bera (JB): 0.87
Prob(Q): 0.55 Prob(JB): 0.65
Heteroskedasticity (H): 1.79 Skew: 0.32
Prob(H) (two-sided): 0.59 Kurtosis: 1.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 184.42027181734096, Current Price: 183.21
BUY EXECUTED at 183.21
BUY ORDER COMPLETED at 182.78
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.841
Date: Wed, 09 Oct 2024 AIC 55.683
Time: 14:41:50 BIC 58.508
Sample: 0 HQIC 55.102
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3584 0.754 -0.475 0.635 -1.837 1.120
ma.L1 0.1170 0.746 0.157 0.875 -1.346 1.580
ar.S.L7 -0.3555 0.287 -1.238 0.216 -0.918 0.207
ma.S.L7 -1.0000 2.08e+04 -4.81e-05 1.000 -4.08e+04 4.08e+04
sigma2 1.1883 2.47e+04 4.81e-05 1.000 -4.84e+04 4.84e+04
===================================================================================
Ljung-Box (L1) (Q): 0.74 Jarque-Bera (JB): 0.79
Prob(Q): 0.39 Prob(JB): 0.67
Heteroskedasticity (H): 1.49 Skew: 0.47
Prob(H) (two-sided): 0.71 Kurtosis: 2.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 184.87050972298857, Current Price: 183.43
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.883
Date: Wed, 09 Oct 2024 AIC 57.766
Time: 14:41:50 BIC 60.591
Sample: 0 HQIC 57.185
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1988 1.115 -0.178 0.859 -2.384 1.987
ma.L1 -0.0881 1.132 -0.078 0.938 -2.307 2.130
ar.S.L7 -0.6743 0.231 -2.919 0.004 -1.127 -0.222
ma.S.L7 -0.0665 0.495 -0.134 0.893 -1.036 0.903
sigma2 2.3041 1.724 1.336 0.181 -1.075 5.684
===================================================================================
Ljung-Box (L1) (Q): 0.63 Jarque-Bera (JB): 1.40
Prob(Q): 0.43 Prob(JB): 0.50
Heteroskedasticity (H): 3.25 Skew: 0.80
Prob(H) (two-sided): 0.28 Kurtosis: 3.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 184.78077967282783, Current Price: 181.95
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.817
Date: Wed, 09 Oct 2024 AIC 59.634
Time: 14:41:50 BIC 62.459
Sample: 0 HQIC 59.054
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3686 8.558 0.043 0.966 -16.404 17.142
ma.L1 -2.8594 70.503 -0.041 0.968 -141.043 135.324
ar.S.L7 -0.5668 0.240 -2.360 0.018 -1.038 -0.096
ma.S.L7 -0.0855 0.540 -0.158 0.874 -1.144 0.973
sigma2 0.3251 15.933 0.020 0.984 -30.903 31.553
===================================================================================
Ljung-Box (L1) (Q): 1.41 Jarque-Bera (JB): 1.05
Prob(Q): 0.23 Prob(JB): 0.59
Heteroskedasticity (H): 2.01 Skew: 0.69
Prob(H) (two-sided): 0.51 Kurtosis: 2.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.24917122572063, Current Price: 180.2
SELL EXECUTED at 180.2
SELL ORDER COMPLETED at 181.01
OPERATION PROFIT, GROSS -1.7700000000000102, NET -2.13379000000001
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.703
Date: Wed, 09 Oct 2024 AIC 59.406
Time: 14:41:50 BIC 62.231
Sample: 0 HQIC 58.825
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9077 0.325 2.793 0.005 0.271 1.545
ma.L1 -1.0000 1.39e+04 -7.18e-05 1.000 -2.73e+04 2.73e+04
ar.S.L7 -0.5365 0.218 -2.458 0.014 -0.964 -0.109
ma.S.L7 -0.1736 0.511 -0.340 0.734 -1.175 0.828
sigma2 2.1821 3.04e+04 7.18e-05 1.000 -5.96e+04 5.96e+04
===================================================================================
Ljung-Box (L1) (Q): 2.20 Jarque-Bera (JB): 0.99
Prob(Q): 0.14 Prob(JB): 0.61
Heteroskedasticity (H): 0.85 Skew: 0.62
Prob(H) (two-sided): 0.88 Kurtosis: 2.49
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.83359054464316, Current Price: 180.92
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.609
Date: Wed, 09 Oct 2024 AIC 59.218
Time: 14:41:50 BIC 62.042
Sample: 0 HQIC 58.637
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9056 0.503 1.801 0.072 -0.080 1.891
ma.L1 -1.0000 1.19e+04 -8.4e-05 1.000 -2.33e+04 2.33e+04
ar.S.L7 -0.5915 0.230 -2.567 0.010 -1.043 -0.140
ma.S.L7 -0.1508 0.516 -0.292 0.770 -1.162 0.860
sigma2 2.1619 2.57e+04 8.4e-05 1.000 -5.05e+04 5.05e+04
===================================================================================
Ljung-Box (L1) (Q): 2.07 Jarque-Bera (JB): 1.15
Prob(Q): 0.15 Prob(JB): 0.56
Heteroskedasticity (H): 1.14 Skew: 0.73
Prob(H) (two-sided): 0.90 Kurtosis: 2.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 180.9276855657245, Current Price: 182.04
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.680
Date: Wed, 09 Oct 2024 AIC 59.360
Time: 14:41:50 BIC 62.184
Sample: 0 HQIC 58.779
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8895 0.488 1.822 0.068 -0.067 1.846
ma.L1 -1.0000 1.27e+04 -7.85e-05 1.000 -2.5e+04 2.5e+04
ar.S.L7 -0.6488 0.282 -2.303 0.021 -1.201 -0.097
ma.S.L7 -0.2588 0.660 -0.392 0.695 -1.552 1.034
sigma2 2.1243 2.71e+04 7.85e-05 1.000 -5.3e+04 5.3e+04
===================================================================================
Ljung-Box (L1) (Q): 1.32 Jarque-Bera (JB): 0.78
Prob(Q): 0.25 Prob(JB): 0.68
Heteroskedasticity (H): 1.44 Skew: 0.55
Prob(H) (two-sided): 0.73 Kurtosis: 2.51
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 181.63789084258738, Current Price: 182.32
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.752
Date: Wed, 09 Oct 2024 AIC 55.504
Time: 14:41:50 BIC 58.329
Sample: 0 HQIC 54.924
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7650 0.204 3.743 0.000 0.364 1.166
ma.L1 -1.0000 9176.701 -0.000 1.000 -1.8e+04 1.8e+04
ar.S.L7 -0.4943 0.336 -1.471 0.141 -1.153 0.164
ma.S.L7 0.0305 0.579 0.053 0.958 -1.105 1.166
sigma2 1.6645 1.53e+04 0.000 1.000 -2.99e+04 2.99e+04
===================================================================================
Ljung-Box (L1) (Q): 1.36 Jarque-Bera (JB): 0.10
Prob(Q): 0.24 Prob(JB): 0.95
Heteroskedasticity (H): 8.11 Skew: -0.17
Prob(H) (two-sided): 0.07 Kurtosis: 2.72
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 181.13477645809508, Current Price: 183.76
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.713
Date: Wed, 09 Oct 2024 AIC 55.426
Time: 14:41:50 BIC 58.251
Sample: 0 HQIC 54.845
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6027 0.283 2.132 0.033 0.049 1.157
ma.L1 -1.1074 1.513 -0.732 0.464 -4.073 1.858
ar.S.L7 -0.4376 0.314 -1.393 0.164 -1.053 0.178
ma.S.L7 -1.0002 7352.262 -0.000 1.000 -1.44e+04 1.44e+04
sigma2 0.8257 6070.525 0.000 1.000 -1.19e+04 1.19e+04
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 0.61
Prob(Q): 0.66 Prob(JB): 0.74
Heteroskedasticity (H): 0.95 Skew: -0.52
Prob(H) (two-sided): 0.96 Kurtosis: 2.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 183.12999269362055, Current Price: 181.05
BUY EXECUTED at 181.05
BUY ORDER COMPLETED at 180.79
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.657
Date: Wed, 09 Oct 2024 AIC 57.314
Time: 14:41:50 BIC 60.139
Sample: 0 HQIC 56.734
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5428 0.306 1.777 0.076 -0.056 1.142
ma.L1 -1.0000 8493.731 -0.000 1.000 -1.66e+04 1.66e+04
ar.S.L7 -0.4267 0.326 -1.308 0.191 -1.066 0.213
ma.S.L7 -1.0004 4208.760 -0.000 1.000 -8250.019 8248.018
sigma2 1.0657 1.02e+04 0.000 1.000 -2e+04 2e+04
===================================================================================
Ljung-Box (L1) (Q): 0.77 Jarque-Bera (JB): 0.32
Prob(Q): 0.38 Prob(JB): 0.85
Heteroskedasticity (H): 1.05 Skew: -0.23
Prob(H) (two-sided): 0.97 Kurtosis: 2.38
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 181.79585962466055, Current Price: 182.14
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.828
Date: Wed, 09 Oct 2024 AIC 57.657
Time: 14:41:50 BIC 60.482
Sample: 0 HQIC 57.076
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0175 2.368 0.007 0.994 -4.624 4.659
ma.L1 -0.5161 2.139 -0.241 0.809 -4.709 3.677
ar.S.L7 -0.3133 0.516 -0.608 0.543 -1.324 0.697
ma.S.L7 -1.0001 2.26e+04 -4.42e-05 1.000 -4.43e+04 4.43e+04
sigma2 1.3758 3.11e+04 4.42e-05 1.000 -6.1e+04 6.1e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.36
Prob(Q): 0.85 Prob(JB): 0.84
Heteroskedasticity (H): 0.69 Skew: -0.40
Prob(H) (two-sided): 0.73 Kurtosis: 3.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.82433231164273, Current Price: 182.34
SELL EXECUTED at 182.34
SELL ORDER COMPLETED at 181.94
OPERATION PROFIT, GROSS 1.1500000000000057, NET 0.7872700000000057
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.890
Date: Wed, 09 Oct 2024 AIC 59.780
Time: 14:41:50 BIC 62.605
Sample: 0 HQIC 59.200
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0752 3.164 0.024 0.981 -6.126 6.276
ma.L1 -1.7368 7.037 -0.247 0.805 -15.530 12.056
ar.S.L7 -0.3967 0.381 -1.042 0.297 -1.143 0.349
ma.S.L7 -1.0007 1828.735 -0.001 1.000 -3585.256 3583.254
sigma2 0.5357 976.443 0.001 1.000 -1913.257 1914.329
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.07
Prob(Q): 0.88 Prob(JB): 0.97
Heteroskedasticity (H): 1.53 Skew: -0.07
Prob(H) (two-sided): 0.69 Kurtosis: 2.68
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 180.80725498432236, Current Price: 180.15
BUY EXECUTED at 180.15
BUY ORDER COMPLETED at 182.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.759
Date: Wed, 09 Oct 2024 AIC 55.517
Time: 14:41:50 BIC 58.342
Sample: 0 HQIC 54.937
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0933 1.565 -0.060 0.952 -3.161 2.975
ma.L1 -0.4623 1.232 -0.375 0.707 -2.877 1.952
ar.S.L7 -0.3244 0.261 -1.242 0.214 -0.836 0.187
ma.S.L7 -1.0018 487.353 -0.002 0.998 -956.196 954.192
sigma2 1.1663 569.041 0.002 0.998 -1114.134 1116.466
===================================================================================
Ljung-Box (L1) (Q): 0.28 Jarque-Bera (JB): 0.19
Prob(Q): 0.59 Prob(JB): 0.91
Heteroskedasticity (H): 2.50 Skew: 0.26
Prob(H) (two-sided): 0.40 Kurtosis: 2.71
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 180.16706760659477, Current Price: 182.53
SELL EXECUTED at 182.53
SELL ORDER COMPLETED at 182.36
OPERATION PROFIT, GROSS 0.36000000000001364, NET -0.004359999999986375
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.491
Date: Wed, 09 Oct 2024 AIC 58.982
Time: 14:41:50 BIC 61.807
Sample: 0 HQIC 58.401
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2475 0.865 -0.286 0.775 -1.944 1.449
ma.L1 -0.2316 0.690 -0.336 0.737 -1.584 1.121
ar.S.L7 -0.2971 0.461 -0.644 0.519 -1.201 0.607
ma.S.L7 -0.4621 0.861 -0.536 0.592 -2.150 1.226
sigma2 2.3051 1.733 1.330 0.184 -1.092 5.702
===================================================================================
Ljung-Box (L1) (Q): 0.38 Jarque-Bera (JB): 0.69
Prob(Q): 0.54 Prob(JB): 0.71
Heteroskedasticity (H): 3.05 Skew: -0.17
Prob(H) (two-sided): 0.31 Kurtosis: 1.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 182.08835372155585, Current Price: 182.04
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.788
Date: Wed, 09 Oct 2024 AIC 59.576
Time: 14:41:51 BIC 62.401
Sample: 0 HQIC 58.995
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4404 0.590 -0.746 0.455 -1.597 0.716
ma.L1 -0.1095 0.616 -0.178 0.859 -1.317 1.098
ar.S.L7 -0.3787 0.240 -1.577 0.115 -0.849 0.092
ma.S.L7 0.0257 0.790 0.033 0.974 -1.522 1.573
sigma2 2.6520 1.680 1.579 0.114 -0.640 5.944
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.46
Prob(Q): 0.74 Prob(JB): 0.79
Heteroskedasticity (H): 1.60 Skew: 0.04
Prob(H) (two-sided): 0.66 Kurtosis: 2.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 183.42233827629985, Current Price: 181.88
BUY EXECUTED at 181.88
BUY ORDER COMPLETED at 182.1
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.023
Date: Wed, 09 Oct 2024 AIC 60.045
Time: 14:41:51 BIC 62.870
Sample: 0 HQIC 59.465
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4022 0.726 -0.554 0.579 -1.824 1.020
ma.L1 -0.1130 0.654 -0.173 0.863 -1.394 1.168
ar.S.L7 -0.4269 0.236 -1.812 0.070 -0.889 0.035
ma.S.L7 -0.1646 0.677 -0.243 0.808 -1.492 1.163
sigma2 2.7230 1.666 1.635 0.102 -0.542 5.988
===================================================================================
Ljung-Box (L1) (Q): 0.44 Jarque-Bera (JB): 0.69
Prob(Q): 0.51 Prob(JB): 0.71
Heteroskedasticity (H): 0.46 Skew: -0.02
Prob(H) (two-sided): 0.47 Kurtosis: 1.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 181.1666111545692, Current Price: 180.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.770
Date: Wed, 09 Oct 2024 AIC 57.540
Time: 14:41:51 BIC 60.365
Sample: 0 HQIC 56.959
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3756 0.787 -0.477 0.633 -1.918 1.167
ma.L1 -0.1829 0.749 -0.244 0.807 -1.650 1.285
ar.S.L7 -0.5437 0.233 -2.330 0.020 -1.001 -0.086
ma.S.L7 0.0245 0.722 0.034 0.973 -1.391 1.440
sigma2 2.2680 1.291 1.757 0.079 -0.262 4.798
===================================================================================
Ljung-Box (L1) (Q): 1.05 Jarque-Bera (JB): 1.13
Prob(Q): 0.30 Prob(JB): 0.57
Heteroskedasticity (H): 1.11 Skew: 0.29
Prob(H) (two-sided): 0.92 Kurtosis: 1.68
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 180.4465670544678, Current Price: 180.64
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.701
Date: Wed, 09 Oct 2024 AIC 57.403
Time: 14:41:51 BIC 60.228
Sample: 0 HQIC 56.822
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3993 0.618 -0.646 0.518 -1.611 0.812
ma.L1 -0.1632 0.590 -0.277 0.782 -1.320 0.993
ar.S.L7 -0.5132 0.241 -2.126 0.034 -0.986 -0.040
ma.S.L7 -0.1380 0.569 -0.243 0.808 -1.253 0.977
sigma2 2.2336 1.145 1.951 0.051 -0.010 4.477
===================================================================================
Ljung-Box (L1) (Q): 0.75 Jarque-Bera (JB): 1.16
Prob(Q): 0.39 Prob(JB): 0.56
Heteroskedasticity (H): 0.13 Skew: 0.30
Prob(H) (two-sided): 0.07 Kurtosis: 1.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.27699456519346, Current Price: 181.91
SELL EXECUTED at 181.91
SELL ORDER COMPLETED at 181.925
OPERATION PROFIT, GROSS -0.17499999999998295, NET -0.539024999999983
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.558
Date: Wed, 09 Oct 2024 AIC 57.116
Time: 14:41:51 BIC 59.941
Sample: 0 HQIC 56.535
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3744 0.582 -0.643 0.520 -1.515 0.766
ma.L1 -0.1998 0.609 -0.328 0.743 -1.393 0.994
ar.S.L7 -0.5387 0.208 -2.587 0.010 -0.947 -0.131
ma.S.L7 1.0000 1.88e+04 5.31e-05 1.000 -3.69e+04 3.69e+04
sigma2 1.3230 2.49e+04 5.31e-05 1.000 -4.89e+04 4.89e+04
===================================================================================
Ljung-Box (L1) (Q): 0.70 Jarque-Bera (JB): 0.42
Prob(Q): 0.40 Prob(JB): 0.81
Heteroskedasticity (H): 0.68 Skew: -0.29
Prob(H) (two-sided): 0.72 Kurtosis: 2.33
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.04636877855185, Current Price: 181.63
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.500
Date: Wed, 09 Oct 2024 AIC 55.000
Time: 14:41:51 BIC 57.825
Sample: 0 HQIC 54.420
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0859 0.658 0.131 0.896 -1.203 1.375
ma.L1 -1.0001 2481.091 -0.000 1.000 -4863.849 4861.849
ar.S.L7 0.2281 0.282 0.809 0.418 -0.324 0.780
ma.S.L7 -1.0000 1.04e+04 -9.62e-05 1.000 -2.04e+04 2.04e+04
sigma2 0.9521 8893.813 0.000 1.000 -1.74e+04 1.74e+04
===================================================================================
Ljung-Box (L1) (Q): 0.65 Jarque-Bera (JB): 1.29
Prob(Q): 0.42 Prob(JB): 0.52
Heteroskedasticity (H): 0.23 Skew: 0.02
Prob(H) (two-sided): 0.19 Kurtosis: 1.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 181.55669049500975, Current Price: 179.75
BUY EXECUTED at 179.75
BUY ORDER COMPLETED at 179.15
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.293
Date: Wed, 09 Oct 2024 AIC 56.586
Time: 14:41:51 BIC 59.411
Sample: 0 HQIC 56.006
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1387 0.488 -0.284 0.776 -1.096 0.819
ma.L1 -1.0000 2881.945 -0.000 1.000 -5649.509 5647.509
ar.S.L7 0.0036 0.005 0.795 0.426 -0.005 0.013
ma.S.L7 -1.0001 5598.102 -0.000 1.000 -1.1e+04 1.1e+04
sigma2 1.1290 7335.983 0.000 1.000 -1.44e+04 1.44e+04
===================================================================================
Ljung-Box (L1) (Q): 1.00 Jarque-Bera (JB): 1.24
Prob(Q): 0.32 Prob(JB): 0.54
Heteroskedasticity (H): 0.52 Skew: 0.25
Prob(H) (two-sided): 0.54 Kurtosis: 1.58
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 181.56677467792173, Current Price: 179.49
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.339
Date: Wed, 09 Oct 2024 AIC 56.679
Time: 14:41:51 BIC 59.503
Sample: 0 HQIC 56.098
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0166 0.444 -0.037 0.970 -0.888 0.854
ma.L1 -1.0000 8804.406 -0.000 1.000 -1.73e+04 1.73e+04
ar.S.L7 -0.1913 0.282 -0.679 0.497 -0.743 0.361
ma.S.L7 -0.1542 0.717 -0.215 0.830 -1.560 1.252
sigma2 1.8246 1.61e+04 0.000 1.000 -3.15e+04 3.15e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.84
Prob(Q): 0.88 Prob(JB): 0.66
Heteroskedasticity (H): 1.26 Skew: 0.28
Prob(H) (two-sided): 0.83 Kurtosis: 1.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 181.39371759437773, Current Price: 177.71
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.171
Date: Wed, 09 Oct 2024 AIC 60.342
Time: 14:41:51 BIC 63.166
Sample: 0 HQIC 59.761
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3780 0.711 0.532 0.595 -1.015 1.771
ma.L1 -1.0000 7550.991 -0.000 1.000 -1.48e+04 1.48e+04
ar.S.L7 -0.2042 0.340 -0.601 0.548 -0.870 0.461
ma.S.L7 -0.2374 0.669 -0.355 0.723 -1.549 1.075
sigma2 2.4180 1.83e+04 0.000 1.000 -3.58e+04 3.58e+04
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.68
Prob(Q): 0.77 Prob(JB): 0.71
Heteroskedasticity (H): 1.54 Skew: -0.22
Prob(H) (two-sided): 0.69 Kurtosis: 1.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.04345259060014, Current Price: 178.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.798
Date: Wed, 09 Oct 2024 AIC 59.595
Time: 14:41:51 BIC 62.420
Sample: 0 HQIC 59.014
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3243 0.720 0.450 0.652 -1.087 1.735
ma.L1 -0.8836 1.107 -0.798 0.425 -3.053 1.286
ar.S.L7 -0.1964 0.362 -0.542 0.588 -0.907 0.514
ma.S.L7 -0.1163 0.717 -0.162 0.871 -1.521 1.288
sigma2 2.5346 1.385 1.831 0.067 -0.179 5.248
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 0.53
Prob(Q): 0.64 Prob(JB): 0.77
Heteroskedasticity (H): 1.96 Skew: -0.13
Prob(H) (two-sided): 0.53 Kurtosis: 2.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.10046605226825, Current Price: 178.51
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.559
Date: Wed, 09 Oct 2024 AIC 57.118
Time: 14:41:51 BIC 59.943
Sample: 0 HQIC 56.538
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0472 0.700 0.067 0.946 -1.324 1.419
ma.L1 -0.6933 0.916 -0.757 0.449 -2.488 1.101
ar.S.L7 -0.0781 0.449 -0.174 0.862 -0.958 0.802
ma.S.L7 0.0501 0.697 0.072 0.943 -1.316 1.416
sigma2 2.1766 0.994 2.191 0.028 0.229 4.124
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.18
Prob(Q): 0.81 Prob(JB): 0.91
Heteroskedasticity (H): 2.16 Skew: -0.02
Prob(H) (two-sided): 0.48 Kurtosis: 2.43
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.67555530931196, Current Price: 177.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.036
Date: Wed, 09 Oct 2024 AIC 58.072
Time: 14:41:51 BIC 60.897
Sample: 0 HQIC 57.491
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0904 0.826 0.109 0.913 -1.529 1.710
ma.L1 -0.5687 0.741 -0.768 0.443 -2.021 0.883
ar.S.L7 -0.1504 0.424 -0.354 0.723 -0.982 0.682
ma.S.L7 -0.1130 0.586 -0.193 0.847 -1.261 1.035
sigma2 2.3458 1.161 2.020 0.043 0.070 4.621
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.70
Prob(Q): 0.84 Prob(JB): 0.71
Heteroskedasticity (H): 2.89 Skew: -0.20
Prob(H) (two-sided): 0.33 Kurtosis: 1.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.75603247481064, Current Price: 177.28
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.200
Date: Wed, 09 Oct 2024 AIC 54.400
Time: 14:41:51 BIC 57.225
Sample: 0 HQIC 53.820
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5692 0.648 0.878 0.380 -0.702 1.840
ma.L1 -1.0000 5024.754 -0.000 1.000 -9849.336 9847.336
ar.S.L7 -0.4052 0.426 -0.951 0.341 -1.240 0.430
ma.S.L7 -1.0002 4352.171 -0.000 1.000 -8531.098 8529.098
sigma2 0.8622 6495.574 0.000 1.000 -1.27e+04 1.27e+04
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 0.31
Prob(Q): 0.69 Prob(JB): 0.86
Heteroskedasticity (H): 4.28 Skew: -0.38
Prob(H) (two-sided): 0.19 Kurtosis: 3.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.49516735155223, Current Price: 177.09
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.024
Date: Wed, 09 Oct 2024 AIC 56.048
Time: 14:41:51 BIC 58.872
Sample: 0 HQIC 55.467
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3282 1.170 0.281 0.779 -1.965 2.621
ma.L1 -0.6760 0.989 -0.683 0.494 -2.615 1.263
ar.S.L7 -0.3614 0.407 -0.888 0.375 -1.159 0.436
ma.S.L7 -0.3366 0.862 -0.390 0.696 -2.026 1.353
sigma2 1.9171 1.102 1.740 0.082 -0.243 4.077
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.46
Prob(Q): 0.80 Prob(JB): 0.79
Heteroskedasticity (H): 0.78 Skew: -0.36
Prob(H) (two-sided): 0.81 Kurtosis: 2.42
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.20769899127248, Current Price: 178.27
SELL EXECUTED at 178.27
SELL ORDER COMPLETED at 178.61
OPERATION PROFIT, GROSS -0.539999999999992, NET -0.8977599999999921
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.508
Date: Wed, 09 Oct 2024 AIC 57.016
Time: 14:41:51 BIC 59.841
Sample: 0 HQIC 56.435
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0709 0.850 0.083 0.933 -1.595 1.737
ma.L1 -0.6496 0.809 -0.803 0.422 -2.235 0.935
ar.S.L7 -0.1377 0.532 -0.259 0.796 -1.181 0.906
ma.S.L7 -1.0002 6219.573 -0.000 1.000 -1.22e+04 1.22e+04
sigma2 1.3001 8086.994 0.000 1.000 -1.58e+04 1.59e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.68
Prob(Q): 0.94 Prob(JB): 0.71
Heteroskedasticity (H): 0.72 Skew: -0.54
Prob(H) (two-sided): 0.75 Kurtosis: 2.74
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.88842926291565, Current Price: 178.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.570
Date: Wed, 09 Oct 2024 AIC 57.141
Time: 14:41:51 BIC 59.965
Sample: 0 HQIC 56.560
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1726 0.748 0.231 0.818 -1.293 1.639
ma.L1 -0.7520 0.763 -0.986 0.324 -2.246 0.743
ar.S.L7 -0.2157 0.452 -0.477 0.633 -1.101 0.670
ma.S.L7 -1.0000 5.46e+04 -1.83e-05 1.000 -1.07e+05 1.07e+05
sigma2 1.2952 7.07e+04 1.83e-05 1.000 -1.39e+05 1.39e+05
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.77
Prob(Q): 0.78 Prob(JB): 0.68
Heteroskedasticity (H): 0.28 Skew: -0.52
Prob(H) (two-sided): 0.25 Kurtosis: 2.43
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 176.60816890062694, Current Price: 177.84
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.475
Date: Wed, 09 Oct 2024 AIC 56.949
Time: 14:41:51 BIC 59.774
Sample: 0 HQIC 56.369
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3944 0.384 1.027 0.304 -0.358 1.147
ma.L1 -1.0000 6147.493 -0.000 1.000 -1.2e+04 1.2e+04
ar.S.L7 -0.2388 0.399 -0.599 0.549 -1.021 0.543
ma.S.L7 -1.6501 3.258 -0.506 0.613 -8.036 4.736
sigma2 0.5764 3543.804 0.000 1.000 -6945.153 6946.306
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 1.18
Prob(Q): 0.84 Prob(JB): 0.55
Heteroskedasticity (H): 0.35 Skew: -0.53
Prob(H) (two-sided): 0.33 Kurtosis: 1.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.52416312276407, Current Price: 177.31
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.610
Date: Wed, 09 Oct 2024 AIC 55.220
Time: 14:41:51 BIC 58.045
Sample: 0 HQIC 54.640
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4392 0.308 1.426 0.154 -0.164 1.043
ma.L1 -1.0000 1640.510 -0.001 1.000 -3216.341 3214.341
ar.S.L7 0.0019 0.004 0.499 0.618 -0.006 0.009
ma.S.L7 -1.0002 3020.670 -0.000 1.000 -5921.405 5919.405
sigma2 1.0818 1492.878 0.001 0.999 -2924.906 2927.069
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 0.97
Prob(Q): 0.72 Prob(JB): 0.62
Heteroskedasticity (H): 0.22 Skew: -0.53
Prob(H) (two-sided): 0.17 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 2.2e+17. Standard errors may be unstable.
Predicted Price: 177.15465202747936, Current Price: 178.64
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.176
Date: Wed, 09 Oct 2024 AIC 54.353
Time: 14:41:51 BIC 57.177
Sample: 0 HQIC 53.772
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1409 0.890 0.158 0.874 -1.603 1.885
ma.L1 -0.6020 0.871 -0.691 0.490 -2.309 1.105
ar.S.L7 -0.1868 0.496 -0.376 0.707 -1.160 0.786
ma.S.L7 -1.0002 6855.752 -0.000 1.000 -1.34e+04 1.34e+04
sigma2 1.0638 7292.870 0.000 1.000 -1.43e+04 1.43e+04
===================================================================================
Ljung-Box (L1) (Q): 0.34 Jarque-Bera (JB): 1.19
Prob(Q): 0.56 Prob(JB): 0.55
Heteroskedasticity (H): 0.22 Skew: -0.61
Prob(H) (two-sided): 0.17 Kurtosis: 2.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.2580384838828, Current Price: 178.78
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.975
Date: Wed, 09 Oct 2024 AIC 49.950
Time: 14:41:51 BIC 52.775
Sample: 0 HQIC 49.369
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3337 1.855 0.180 0.857 -3.301 3.968
ma.L1 -0.5100 1.642 -0.311 0.756 -3.728 2.708
ar.S.L7 -0.1045 0.277 -0.377 0.706 -0.648 0.439
ma.S.L7 -0.6521 1.095 -0.595 0.552 -2.799 1.494
sigma2 1.0304 1.248 0.825 0.409 -1.416 3.477
===================================================================================
Ljung-Box (L1) (Q): 0.25 Jarque-Bera (JB): 1.08
Prob(Q): 0.62 Prob(JB): 0.58
Heteroskedasticity (H): 0.52 Skew: -0.53
Prob(H) (two-sided): 0.54 Kurtosis: 2.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.5401727871856, Current Price: 179.45
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.514
Date: Wed, 09 Oct 2024 AIC 49.028
Time: 14:41:51 BIC 51.853
Sample: 0 HQIC 48.448
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3625 2.643 0.137 0.891 -4.818 5.543
ma.L1 -0.4753 2.401 -0.198 0.843 -5.181 4.231
ar.S.L7 -0.0631 0.277 -0.228 0.820 -0.607 0.480
ma.S.L7 -1.0001 5773.611 -0.000 1.000 -1.13e+04 1.13e+04
sigma2 0.7095 4096.302 0.000 1.000 -8027.894 8029.313
===================================================================================
Ljung-Box (L1) (Q): 0.28 Jarque-Bera (JB): 1.03
Prob(Q): 0.60 Prob(JB): 0.60
Heteroskedasticity (H): 0.33 Skew: -0.52
Prob(H) (two-sided): 0.31 Kurtosis: 2.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.39885471287678, Current Price: 181.88
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.358
Date: Wed, 09 Oct 2024 AIC 48.716
Time: 14:41:51 BIC 51.541
Sample: 0 HQIC 48.136
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5431 0.099 -5.505 0.000 -0.736 -0.350
ma.L1 1.0000 4947.051 0.000 1.000 -9695.043 9697.043
ar.S.L7 -0.1727 0.209 -0.828 0.408 -0.582 0.236
ma.S.L7 -0.6080 0.900 -0.675 0.500 -2.373 1.157
sigma2 0.8435 4172.806 0.000 1.000 -8177.705 8179.392
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 0.47
Prob(Q): 0.67 Prob(JB): 0.79
Heteroskedasticity (H): 1.29 Skew: -0.34
Prob(H) (two-sided): 0.81 Kurtosis: 2.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 181.1253494307622, Current Price: 182.01
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.540
Date: Wed, 09 Oct 2024 AIC 47.080
Time: 14:41:51 BIC 49.905
Sample: 0 HQIC 46.500
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9850 0.521 1.889 0.059 -0.037 2.007
ma.L1 -0.6722 0.891 -0.754 0.451 -2.419 1.075
ar.S.L7 -0.3592 0.284 -1.265 0.206 -0.916 0.198
ma.S.L7 -0.3142 0.599 -0.524 0.600 -1.489 0.860
sigma2 0.9476 0.574 1.651 0.099 -0.178 2.073
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.81
Prob(Q): 0.94 Prob(JB): 0.67
Heteroskedasticity (H): 0.89 Skew: -0.51
Prob(H) (two-sided): 0.91 Kurtosis: 2.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 182.78721632134156, Current Price: 181.43
BUY EXECUTED at 181.43
BUY ORDER COMPLETED at 180.99
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.849
Date: Wed, 09 Oct 2024 AIC 45.699
Time: 14:41:51 BIC 48.524
Sample: 0 HQIC 45.118
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1879 0.693 -0.271 0.786 -1.546 1.170
ma.L1 1.0000 1.98e+04 5.06e-05 1.000 -3.87e+04 3.87e+04
ar.S.L7 -0.1126 0.087 -1.299 0.194 -0.282 0.057
ma.S.L7 -0.3170 0.655 -0.484 0.628 -1.601 0.966
sigma2 0.7987 1.58e+04 5.06e-05 1.000 -3.09e+04 3.09e+04
===================================================================================
Ljung-Box (L1) (Q): 0.68 Jarque-Bera (JB): 0.80
Prob(Q): 0.41 Prob(JB): 0.67
Heteroskedasticity (H): 1.08 Skew: -0.45
Prob(H) (two-sided): 0.94 Kurtosis: 2.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 180.6798752786107, Current Price: 181.56
SELL EXECUTED at 181.56
SELL ORDER COMPLETED at 182.79
OPERATION PROFIT, GROSS 1.799999999999983, NET 1.436219999999983
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.237
Date: Wed, 09 Oct 2024 AIC 44.474
Time: 14:41:51 BIC 47.298
Sample: 0 HQIC 43.893
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0542 0.533 -0.102 0.919 -1.100 0.991
ma.L1 0.7443 0.353 2.106 0.035 0.052 1.437
ar.S.L7 -0.1547 0.139 -1.116 0.265 -0.427 0.117
ma.S.L7 -0.6366 1.225 -0.520 0.603 -3.038 1.765
sigma2 0.6831 0.634 1.077 0.281 -0.560 1.926
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.59
Prob(Q): 0.73 Prob(JB): 0.74
Heteroskedasticity (H): 0.59 Skew: -0.26
Prob(H) (two-sided): 0.62 Kurtosis: 2.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 182.4161431234697, Current Price: 183.64
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.977
Date: Wed, 09 Oct 2024 AIC 43.953
Time: 14:41:51 BIC 46.778
Sample: 0 HQIC 43.373
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5304 0.409 1.297 0.195 -0.271 1.332
ma.L1 -0.2133 0.593 -0.360 0.719 -1.376 0.949
ar.S.L7 -0.3509 0.107 -3.285 0.001 -0.560 -0.142
ma.S.L7 1.0001 8053.707 0.000 1.000 -1.58e+04 1.58e+04
sigma2 0.4614 3715.874 0.000 1.000 -7282.518 7283.441
===================================================================================
Ljung-Box (L1) (Q): 1.30 Jarque-Bera (JB): 0.78
Prob(Q): 0.25 Prob(JB): 0.68
Heteroskedasticity (H): 0.33 Skew: 0.07
Prob(H) (two-sided): 0.31 Kurtosis: 1.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 183.65950404615398, Current Price: 183.67
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.422
Date: Wed, 09 Oct 2024 AIC 40.844
Time: 14:41:51 BIC 43.668
Sample: 0 HQIC 40.263
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9980 0.142 7.029 0.000 0.720 1.276
ma.L1 -1.0000 5055.025 -0.000 1.000 -9908.667 9906.667
ar.S.L7 -0.3147 0.135 -2.339 0.019 -0.578 -0.051
ma.S.L7 1.0001 1.42e+04 7.04e-05 1.000 -2.79e+04 2.79e+04
sigma2 0.3341 5493.443 6.08e-05 1.000 -1.08e+04 1.08e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 1.21
Prob(Q): 0.85 Prob(JB): 0.55
Heteroskedasticity (H): 0.23 Skew: -0.46
Prob(H) (two-sided): 0.18 Kurtosis: 1.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 185.29426499494028, Current Price: 182.74
BUY EXECUTED at 182.74
BUY ORDER COMPLETED at 182.06
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.627
Date: Wed, 09 Oct 2024 AIC 43.255
Time: 14:41:51 BIC 46.080
Sample: 0 HQIC 42.674
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0228 0.815 -0.028 0.978 -1.620 1.575
ma.L1 1.5412 1.501 1.027 0.305 -1.401 4.483
ar.S.L7 -0.3393 0.214 -1.585 0.113 -0.759 0.080
ma.S.L7 0.2759 0.413 0.669 0.504 -0.533 1.085
sigma2 0.3061 0.623 0.491 0.623 -0.915 1.527
===================================================================================
Ljung-Box (L1) (Q): 0.29 Jarque-Bera (JB): 0.28
Prob(Q): 0.59 Prob(JB): 0.87
Heteroskedasticity (H): 0.90 Skew: 0.15
Prob(H) (two-sided): 0.93 Kurtosis: 2.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 184.26114136506627, Current Price: 182.18
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.507
Date: Wed, 09 Oct 2024 AIC 47.014
Time: 14:41:51 BIC 49.839
Sample: 0 HQIC 46.434
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3230 0.759 0.426 0.670 -1.165 1.811
ma.L1 1.7744 2.017 0.880 0.379 -2.179 5.728
ar.S.L7 -0.4191 0.360 -1.164 0.244 -1.125 0.287
ma.S.L7 0.4193 0.722 0.581 0.561 -0.995 1.833
sigma2 0.2955 0.846 0.349 0.727 -1.363 1.954
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.53
Prob(Q): 0.81 Prob(JB): 0.77
Heteroskedasticity (H): 1.55 Skew: 0.27
Prob(H) (two-sided): 0.68 Kurtosis: 2.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 180.53650547910192, Current Price: 181.4
SELL EXECUTED at 181.4
SELL ORDER COMPLETED at 181.72
OPERATION PROFIT, GROSS -0.3400000000000034, NET -0.7037800000000034
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.153
Date: Wed, 09 Oct 2024 AIC 42.307
Time: 14:41:51 BIC 45.131
Sample: 0 HQIC 41.726
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0805 0.445 -0.181 0.856 -0.952 0.791
ma.L1 1.0003 173.172 0.006 0.995 -338.411 340.411
ar.S.L7 -7.682e-06 0.034 -0.000 1.000 -0.066 0.066
ma.S.L7 -3.7505 5.373 -0.698 0.485 -14.282 6.781
sigma2 0.0473 8.179 0.006 0.995 -15.983 16.078
===================================================================================
Ljung-Box (L1) (Q): 0.57 Jarque-Bera (JB): 2.06
Prob(Q): 0.45 Prob(JB): 0.36
Heteroskedasticity (H): 1.57 Skew: -0.96
Prob(H) (two-sided): 0.67 Kurtosis: 3.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 181.64860585854123, Current Price: 182.41
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -6172.064
Date: Wed, 09 Oct 2024 AIC 12354.128
Time: 14:41:51 BIC 12356.953
Sample: 0 HQIC 12353.548
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1005 0.001 -74.277 0.000 -0.103 -0.098
ma.L1 0.5797 0.001 563.162 0.000 0.578 0.582
ar.S.L7 31.8000 0.418 76.157 0.000 30.982 32.618
ma.S.L7 -7.061e-14 0.001 -9.74e-11 1.000 -0.001 0.001
sigma2 1.5247 0.040 38.600 0.000 1.447 1.602
===================================================================================
Ljung-Box (L1) (Q): 0.73 Jarque-Bera (JB): 1.06
Prob(Q): 0.39 Prob(JB): 0.59
Heteroskedasticity (H): 0.34 Skew: 0.66
Prob(H) (two-sided): 0.32 Kurtosis: 2.55
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 199.97724880489935, Current Price: 183.3
BUY EXECUTED at 183.3
BUY ORDER COMPLETED at 181.64
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.339
Date: Wed, 09 Oct 2024 AIC 40.679
Time: 14:41:52 BIC 43.504
Sample: 0 HQIC 40.098
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1368 0.395 0.346 0.729 -0.638 0.911
ma.L1 0.9997 141.077 0.007 0.994 -275.506 277.505
ar.S.L7 -9.991e-06 0.015 -0.001 0.999 -0.029 0.029
ma.S.L7 -0.2698 0.379 -0.713 0.476 -1.012 0.472
sigma2 0.5859 82.593 0.007 0.994 -161.294 162.466
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.25
Prob(Q): 0.93 Prob(JB): 0.88
Heteroskedasticity (H): 2.05 Skew: -0.33
Prob(H) (two-sided): 0.50 Kurtosis: 2.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 185.27285634442845, Current Price: 180.42
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.434
Date: Wed, 09 Oct 2024 AIC 56.868
Time: 14:41:52 BIC 59.692
Sample: 0 HQIC 56.287
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1622 1.581 -0.103 0.918 -3.260 2.936
ma.L1 1.7445 3.220 0.542 0.588 -4.567 8.056
ar.S.L7 -0.5373 0.790 -0.680 0.496 -2.086 1.011
ma.S.L7 -1.0001 1.41e+04 -7.09e-05 1.000 -2.77e+04 2.77e+04
sigma2 0.4266 6021.200 7.09e-05 1.000 -1.18e+04 1.18e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 3.73
Prob(Q): 0.86 Prob(JB): 0.15
Heteroskedasticity (H): 3.33 Skew: -1.18
Prob(H) (two-sided): 0.27 Kurtosis: 4.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.85918433428708, Current Price: 181.86
SELL EXECUTED at 181.86
SELL ORDER COMPLETED at 182.43
OPERATION PROFIT, GROSS 0.7900000000000205, NET 0.42593000000002046
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.044
Date: Wed, 09 Oct 2024 AIC 58.088
Time: 14:41:52 BIC 60.913
Sample: 0 HQIC 57.508
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2843 11.156 -0.025 0.980 -22.150 21.582
ma.L1 4.4755 218.801 0.020 0.984 -424.367 433.318
ar.S.L7 -0.6448 0.529 -1.219 0.223 -1.682 0.392
ma.S.L7 -0.9841 97.648 -0.010 0.992 -192.370 190.402
sigma2 0.0715 6.498 0.011 0.991 -12.665 12.808
===================================================================================
Ljung-Box (L1) (Q): 0.73 Jarque-Bera (JB): 3.12
Prob(Q): 0.39 Prob(JB): 0.21
Heteroskedasticity (H): 3.09 Skew: -1.12
Prob(H) (two-sided): 0.30 Kurtosis: 3.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 181.86376049453352, Current Price: 182.35
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.621
Date: Wed, 09 Oct 2024 AIC 55.241
Time: 14:41:52 BIC 58.066
Sample: 0 HQIC 54.661
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6146 1.649 -0.373 0.709 -3.847 2.618
ma.L1 0.5354 1.614 0.332 0.740 -2.628 3.699
ar.S.L7 -0.8508 0.417 -2.042 0.041 -1.667 -0.034
ma.S.L7 -1.0000 2.03e+05 -4.93e-06 1.000 -3.98e+05 3.98e+05
sigma2 1.1066 2.24e+05 4.93e-06 1.000 -4.4e+05 4.4e+05
===================================================================================
Ljung-Box (L1) (Q): 1.62 Jarque-Bera (JB): 1.85
Prob(Q): 0.20 Prob(JB): 0.40
Heteroskedasticity (H): 1.62 Skew: -0.81
Prob(H) (two-sided): 0.65 Kurtosis: 3.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 184.73746971548024, Current Price: 180.46
BUY EXECUTED at 180.46
BUY ORDER COMPLETED at 180.57
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.067
Date: Wed, 09 Oct 2024 AIC 62.134
Time: 14:41:52 BIC 64.959
Sample: 0 HQIC 61.553
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4258 1.581 -0.269 0.788 -3.524 2.672
ma.L1 0.6682 1.496 0.447 0.655 -2.263 3.599
ar.S.L7 -0.3426 1.243 -0.276 0.783 -2.779 2.094
ma.S.L7 -0.3325 1.929 -0.172 0.863 -4.114 3.449
sigma2 3.0958 2.917 1.061 0.289 -2.622 8.814
===================================================================================
Ljung-Box (L1) (Q): 1.39 Jarque-Bera (JB): 0.77
Prob(Q): 0.24 Prob(JB): 0.68
Heteroskedasticity (H): 15.39 Skew: -0.60
Prob(H) (two-sided): 0.02 Kurtosis: 3.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.89029006506027, Current Price: 179.6
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.286
Date: Wed, 09 Oct 2024 AIC 62.572
Time: 14:41:52 BIC 65.397
Sample: 0 HQIC 61.991
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4587 1.582 -0.290 0.772 -3.559 2.642
ma.L1 0.6843 1.571 0.436 0.663 -2.395 3.763
ar.S.L7 -0.2599 0.958 -0.271 0.786 -2.138 1.618
ma.S.L7 -0.1423 1.689 -0.084 0.933 -3.453 3.168
sigma2 3.3121 2.593 1.277 0.202 -1.771 8.395
===================================================================================
Ljung-Box (L1) (Q): 1.23 Jarque-Bera (JB): 1.23
Prob(Q): 0.27 Prob(JB): 0.54
Heteroskedasticity (H): 3.13 Skew: -0.74
Prob(H) (two-sided): 0.29 Kurtosis: 3.29
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 180.01080764123034, Current Price: 179.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.303
Date: Wed, 09 Oct 2024 AIC 62.606
Time: 14:41:52 BIC 65.431
Sample: 0 HQIC 62.026
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4608 1.294 -0.356 0.722 -2.997 2.075
ma.L1 0.6920 1.260 0.549 0.583 -1.778 3.162
ar.S.L7 -0.2609 0.957 -0.273 0.785 -2.137 1.615
ma.S.L7 -0.1710 1.619 -0.106 0.916 -3.343 3.001
sigma2 3.3094 2.185 1.515 0.130 -0.973 7.592
===================================================================================
Ljung-Box (L1) (Q): 1.69 Jarque-Bera (JB): 0.85
Prob(Q): 0.19 Prob(JB): 0.65
Heteroskedasticity (H): 0.50 Skew: -0.61
Prob(H) (two-sided): 0.51 Kurtosis: 3.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.94768130053316, Current Price: 180.19
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.045
Date: Wed, 09 Oct 2024 AIC 62.090
Time: 14:41:52 BIC 64.915
Sample: 0 HQIC 61.509
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4388 1.810 -0.242 0.808 -3.986 3.109
ma.L1 0.6607 1.745 0.379 0.705 -2.759 4.080
ar.S.L7 -0.4298 1.201 -0.358 0.721 -2.784 1.925
ma.S.L7 -0.1387 1.467 -0.095 0.925 -3.014 2.737
sigma2 3.1941 2.733 1.169 0.242 -2.162 8.550
===================================================================================
Ljung-Box (L1) (Q): 2.00 Jarque-Bera (JB): 0.76
Prob(Q): 0.16 Prob(JB): 0.68
Heteroskedasticity (H): 0.94 Skew: -0.58
Prob(H) (two-sided): 0.96 Kurtosis: 3.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 180.16313604276735, Current Price: 179.78
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.057
Date: Wed, 09 Oct 2024 AIC 62.114
Time: 14:41:52 BIC 64.939
Sample: 0 HQIC 61.534
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4333 0.836 -0.518 0.604 -2.073 1.206
ma.L1 0.6613 0.819 0.807 0.419 -0.944 2.267
ar.S.L7 -0.3844 1.089 -0.353 0.724 -2.518 1.749
ma.S.L7 -0.1176 1.440 -0.082 0.935 -2.940 2.705
sigma2 3.2127 1.928 1.666 0.096 -0.566 6.991
===================================================================================
Ljung-Box (L1) (Q): 1.87 Jarque-Bera (JB): 0.84
Prob(Q): 0.17 Prob(JB): 0.66
Heteroskedasticity (H): 0.03 Skew: -0.59
Prob(H) (two-sided): 0.00 Kurtosis: 3.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 180.44937847552742, Current Price: 178.64
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.480
Date: Wed, 09 Oct 2024 AIC 60.960
Time: 14:41:52 BIC 63.785
Sample: 0 HQIC 60.380
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0008 1.972 0.000 1.000 -3.864 3.865
ma.L1 -0.2894 1.872 -0.155 0.877 -3.958 3.379
ar.S.L7 -0.7817 0.272 -2.873 0.004 -1.315 -0.248
ma.S.L7 1.0001 1.47e+04 6.8e-05 1.000 -2.88e+04 2.88e+04
sigma2 1.7774 2.61e+04 6.8e-05 1.000 -5.12e+04 5.12e+04
===================================================================================
Ljung-Box (L1) (Q): 1.21 Jarque-Bera (JB): 0.72
Prob(Q): 0.27 Prob(JB): 0.70
Heteroskedasticity (H): 0.74 Skew: -0.16
Prob(H) (two-sided): 0.78 Kurtosis: 1.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.03628586678306, Current Price: 177.79
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.626
Date: Wed, 09 Oct 2024 AIC 59.252
Time: 14:41:52 BIC 62.077
Sample: 0 HQIC 58.672
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0145 1.584 -0.009 0.993 -3.119 3.090
ma.L1 -0.3010 1.480 -0.203 0.839 -3.202 2.600
ar.S.L7 -0.7467 0.400 -1.869 0.062 -1.530 0.036
ma.S.L7 1.0000 2.3e+06 4.34e-07 1.000 -4.51e+06 4.51e+06
sigma2 1.5585 3.59e+06 4.34e-07 1.000 -7.04e+06 7.04e+06
===================================================================================
Ljung-Box (L1) (Q): 1.24 Jarque-Bera (JB): 0.40
Prob(Q): 0.27 Prob(JB): 0.82
Heteroskedasticity (H): 0.37 Skew: -0.15
Prob(H) (two-sided): 0.36 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 175.59244963438925, Current Price: 177.6
SELL EXECUTED at 177.6
SELL ORDER COMPLETED at 177.7
OPERATION PROFIT, GROSS -2.8700000000000045, NET -3.2282700000000046
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.608
Date: Wed, 09 Oct 2024 AIC 59.217
Time: 14:41:52 BIC 62.041
Sample: 0 HQIC 58.636
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0664 1.065 -0.062 0.950 -2.153 2.020
ma.L1 -0.4105 0.947 -0.434 0.665 -2.266 1.445
ar.S.L7 -0.4590 0.587 -0.782 0.434 -1.609 0.691
ma.S.L7 0.3008 1.392 0.216 0.829 -2.428 3.029
sigma2 2.4850 3.440 0.722 0.470 -4.258 9.228
===================================================================================
Ljung-Box (L1) (Q): 0.96 Jarque-Bera (JB): 0.41
Prob(Q): 0.33 Prob(JB): 0.82
Heteroskedasticity (H): 0.47 Skew: -0.35
Prob(H) (two-sided): 0.48 Kurtosis: 2.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 176.20003397323663, Current Price: 177.6
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.168
Date: Wed, 09 Oct 2024 AIC 56.336
Time: 14:41:52 BIC 59.161
Sample: 0 HQIC 55.755
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1891 2.164 0.087 0.930 -4.052 4.430
ma.L1 -0.5904 1.880 -0.314 0.753 -4.275 3.094
ar.S.L7 -0.0457 0.753 -0.061 0.952 -1.522 1.430
ma.S.L7 -1.0000 1.96e+04 -5.1e-05 1.000 -3.84e+04 3.84e+04
sigma2 1.2403 2.43e+04 5.1e-05 1.000 -4.76e+04 4.76e+04
===================================================================================
Ljung-Box (L1) (Q): 1.10 Jarque-Bera (JB): 3.09
Prob(Q): 0.30 Prob(JB): 0.21
Heteroskedasticity (H): 0.38 Skew: -1.09
Prob(H) (two-sided): 0.37 Kurtosis: 3.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.5455158623728, Current Price: 177.06
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.762
Date: Wed, 09 Oct 2024 AIC 55.525
Time: 14:41:52 BIC 58.349
Sample: 0 HQIC 54.944
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1516 2.260 0.067 0.947 -4.278 4.582
ma.L1 -0.6164 1.983 -0.311 0.756 -4.503 3.270
ar.S.L7 -0.0295 1.016 -0.029 0.977 -2.022 1.963
ma.S.L7 -1.0000 2.63e+04 -3.8e-05 1.000 -5.16e+04 5.16e+04
sigma2 1.1637 3.07e+04 3.8e-05 1.000 -6.01e+04 6.01e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 4.04
Prob(Q): 0.85 Prob(JB): 0.13
Heteroskedasticity (H): 0.20 Skew: -1.21
Prob(H) (two-sided): 0.15 Kurtosis: 4.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.73010418285784, Current Price: 176.59
BUY EXECUTED at 176.59
BUY ORDER COMPLETED at 176.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.515
Date: Wed, 09 Oct 2024 AIC 45.029
Time: 14:41:52 BIC 47.854
Sample: 0 HQIC 44.449
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2665 1.186 0.225 0.822 -2.059 2.592
ma.L1 -0.5829 1.059 -0.551 0.582 -2.658 1.492
ar.S.L7 0.0023 0.004 0.594 0.553 -0.005 0.010
ma.S.L7 -1.0008 982.381 -0.001 0.999 -1926.433 1924.432
sigma2 0.5466 537.075 0.001 0.999 -1052.102 1053.195
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.45
Prob(Q): 0.73 Prob(JB): 0.80
Heteroskedasticity (H): 0.78 Skew: -0.02
Prob(H) (two-sided): 0.82 Kurtosis: 2.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 176.6507600910787, Current Price: 175.57
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.032
Date: Wed, 09 Oct 2024 AIC 40.064
Time: 14:41:52 BIC 42.888
Sample: 0 HQIC 39.483
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3498 0.195 -1.790 0.073 -0.733 0.033
ma.L1 0.8943 0.315 2.835 0.005 0.276 1.513
ar.S.L7 -0.3494 0.163 -2.148 0.032 -0.668 -0.031
ma.S.L7 -0.4073 0.494 -0.825 0.409 -1.375 0.560
sigma2 0.5427 0.371 1.463 0.143 -0.184 1.270
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.37
Prob(Q): 0.82 Prob(JB): 0.83
Heteroskedasticity (H): 1.11 Skew: -0.03
Prob(H) (two-sided): 0.92 Kurtosis: 2.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 175.9726808039515, Current Price: 175.3
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.422
Date: Wed, 09 Oct 2024 AIC 44.845
Time: 14:41:52 BIC 47.670
Sample: 0 HQIC 44.264
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1090 0.674 0.162 0.872 -1.213 1.431
ma.L1 -0.5802 0.699 -0.830 0.406 -1.949 0.789
ar.S.L7 -0.1108 0.208 -0.532 0.595 -0.519 0.298
ma.S.L7 -1.0005 1302.784 -0.001 0.999 -2554.411 2552.410
sigma2 0.5124 667.767 0.001 0.999 -1308.287 1309.312
===================================================================================
Ljung-Box (L1) (Q): 0.36 Jarque-Bera (JB): 1.26
Prob(Q): 0.55 Prob(JB): 0.53
Heteroskedasticity (H): 1.56 Skew: 0.74
Prob(H) (two-sided): 0.68 Kurtosis: 2.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 175.30956639163225, Current Price: 175.33
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.565
Date: Wed, 09 Oct 2024 AIC 39.130
Time: 14:41:52 BIC 41.955
Sample: 0 HQIC 38.549
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4022 0.123 -3.270 0.001 -0.643 -0.161
ma.L1 1.0000 6077.397 0.000 1.000 -1.19e+04 1.19e+04
ar.S.L7 -0.4531 0.164 -2.769 0.006 -0.774 -0.132
ma.S.L7 -0.3804 0.770 -0.494 0.621 -1.890 1.129
sigma2 0.4744 2883.535 0.000 1.000 -5651.150 5652.098
===================================================================================
Ljung-Box (L1) (Q): 2.36 Jarque-Bera (JB): 1.15
Prob(Q): 0.12 Prob(JB): 0.56
Heteroskedasticity (H): 1.87 Skew: -0.37
Prob(H) (two-sided): 0.56 Kurtosis: 1.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 174.8728437772953, Current Price: 175.81
SELL EXECUTED at 175.81
SELL ORDER COMPLETED at 175.83
OPERATION PROFIT, GROSS -0.789999999999992, NET -1.1424499999999922
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.234
Date: Wed, 09 Oct 2024 AIC 42.469
Time: 14:41:52 BIC 45.293
Sample: 0 HQIC 41.888
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5550 0.178 3.112 0.002 0.205 0.905
ma.L1 -1.0000 2.39e+04 -4.18e-05 1.000 -4.69e+04 4.69e+04
ar.S.L7 -0.4498 0.175 -2.568 0.010 -0.793 -0.107
ma.S.L7 0.3220 0.800 0.402 0.687 -1.246 1.890
sigma2 0.5956 1.43e+04 4.18e-05 1.000 -2.79e+04 2.79e+04
===================================================================================
Ljung-Box (L1) (Q): 0.67 Jarque-Bera (JB): 1.16
Prob(Q): 0.41 Prob(JB): 0.56
Heteroskedasticity (H): 0.36 Skew: -0.50
Prob(H) (two-sided): 0.34 Kurtosis: 1.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 175.34597831426066, Current Price: 176.1
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.611
Date: Wed, 09 Oct 2024 AIC 39.222
Time: 14:41:52 BIC 42.047
Sample: 0 HQIC 38.641
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1557 0.516 -0.302 0.763 -1.167 0.856
ma.L1 1.0000 1.69e+05 5.91e-06 1.000 -3.32e+05 3.32e+05
ar.S.L7 -0.4881 0.087 -5.632 0.000 -0.658 -0.318
ma.S.L7 1.0002 3969.164 0.000 1.000 -7778.419 7780.419
sigma2 0.2835 4.82e+04 5.88e-06 1.000 -9.45e+04 9.45e+04
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 2.71
Prob(Q): 0.76 Prob(JB): 0.26
Heteroskedasticity (H): 0.19 Skew: -1.11
Prob(H) (two-sided): 0.13 Kurtosis: 3.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 175.1103275910125, Current Price: 177.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.804
Date: Wed, 09 Oct 2024 AIC 45.608
Time: 14:41:52 BIC 48.432
Sample: 0 HQIC 45.027
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2152 0.784 -0.274 0.784 -1.752 1.321
ma.L1 1.0000 2.98e+04 3.35e-05 1.000 -5.84e+04 5.84e+04
ar.S.L7 -0.5427 0.193 -2.805 0.005 -0.922 -0.163
ma.S.L7 -0.1730 0.424 -0.408 0.683 -1.004 0.658
sigma2 0.8078 2.41e+04 3.35e-05 1.000 -4.72e+04 4.72e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.88
Prob(Q): 0.99 Prob(JB): 0.64
Heteroskedasticity (H): 1.73 Skew: -0.47
Prob(H) (two-sided): 0.61 Kurtosis: 2.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.33552691102614, Current Price: 177.85
BUY EXECUTED at 177.85
BUY ORDER COMPLETED at 177.58
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.743
Date: Wed, 09 Oct 2024 AIC 47.487
Time: 14:41:52 BIC 50.312
Sample: 0 HQIC 46.906
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3569 0.956 -0.373 0.709 -2.231 1.517
ma.L1 1.0000 1.53e+04 6.55e-05 1.000 -2.99e+04 2.99e+04
ar.S.L7 -0.5659 0.269 -2.106 0.035 -1.092 -0.039
ma.S.L7 -0.0841 0.492 -0.171 0.864 -1.049 0.881
sigma2 0.9409 1.44e+04 6.55e-05 1.000 -2.81e+04 2.81e+04
===================================================================================
Ljung-Box (L1) (Q): 0.35 Jarque-Bera (JB): 0.93
Prob(Q): 0.56 Prob(JB): 0.63
Heteroskedasticity (H): 1.98 Skew: -0.21
Prob(H) (two-sided): 0.53 Kurtosis: 1.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 176.05536229678935, Current Price: 177.62
SELL EXECUTED at 177.62
SELL ORDER COMPLETED at 177.65
OPERATION PROFIT, GROSS 0.06999999999999318, NET -0.28523000000000687
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.015
Date: Wed, 09 Oct 2024 AIC 44.030
Time: 14:41:52 BIC 46.854
Sample: 0 HQIC 43.449
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1423 0.914 -0.156 0.876 -1.934 1.649
ma.L1 0.5103 0.607 0.841 0.400 -0.679 1.699
ar.S.L7 -0.1693 0.563 -0.301 0.764 -1.273 0.934
ma.S.L7 -0.1028 0.675 -0.152 0.879 -1.426 1.220
sigma2 0.7985 0.416 1.920 0.055 -0.017 1.614
===================================================================================
Ljung-Box (L1) (Q): 0.63 Jarque-Bera (JB): 0.50
Prob(Q): 0.43 Prob(JB): 0.78
Heteroskedasticity (H): 2.51 Skew: 0.45
Prob(H) (two-sided): 0.39 Kurtosis: 2.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.61408582948508, Current Price: 178.13
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.426
Date: Wed, 09 Oct 2024 AIC 44.851
Time: 14:41:52 BIC 47.676
Sample: 0 HQIC 44.271
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2075 1.109 -0.187 0.852 -2.382 1.967
ma.L1 0.5530 0.819 0.676 0.499 -1.051 2.157
ar.S.L7 -0.2327 0.399 -0.583 0.560 -1.015 0.550
ma.S.L7 -0.0441 0.608 -0.073 0.942 -1.236 1.148
sigma2 0.8532 0.476 1.792 0.073 -0.080 1.787
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 0.22
Prob(Q): 0.71 Prob(JB): 0.90
Heteroskedasticity (H): 1.88 Skew: 0.26
Prob(H) (two-sided): 0.56 Kurtosis: 2.64
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.03778744754882, Current Price: 179.87
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.683
Date: Wed, 09 Oct 2024 AIC 43.366
Time: 14:41:53 BIC 46.191
Sample: 0 HQIC 42.785
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.0542 0.350 3.013 0.003 0.368 1.740
ma.L1 -0.7272 0.654 -1.113 0.266 -2.008 0.554
ar.S.L7 -0.1514 0.280 -0.541 0.589 -0.700 0.397
ma.S.L7 0.0530 0.507 0.104 0.917 -0.942 1.048
sigma2 0.7431 0.448 1.659 0.097 -0.135 1.621
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.12
Prob(Q): 0.85 Prob(JB): 0.94
Heteroskedasticity (H): 0.43 Skew: -0.03
Prob(H) (two-sided): 0.43 Kurtosis: 2.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 181.5545117874997, Current Price: 180.32
BUY EXECUTED at 180.32
BUY ORDER COMPLETED at 180.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.310
Date: Wed, 09 Oct 2024 AIC 44.620
Time: 14:41:53 BIC 47.444
Sample: 0 HQIC 44.039
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4387 0.789 0.556 0.578 -1.108 1.985
ma.L1 -0.0542 0.931 -0.058 0.954 -1.879 1.771
ar.S.L7 -0.1225 0.299 -0.409 0.682 -0.709 0.464
ma.S.L7 0.0669 0.723 0.092 0.926 -1.351 1.484
sigma2 0.8388 0.633 1.324 0.185 -0.403 2.080
===================================================================================
Ljung-Box (L1) (Q): 0.24 Jarque-Bera (JB): 0.43
Prob(Q): 0.62 Prob(JB): 0.81
Heteroskedasticity (H): 1.37 Skew: 0.42
Prob(H) (two-sided): 0.77 Kurtosis: 2.68
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 180.63516394298537, Current Price: 180.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.813
Date: Wed, 09 Oct 2024 AIC 43.626
Time: 14:41:53 BIC 46.451
Sample: 0 HQIC 43.046
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5969 0.585 1.021 0.307 -0.549 1.743
ma.L1 -0.1461 0.694 -0.211 0.833 -1.506 1.214
ar.S.L7 -0.1793 0.286 -0.628 0.530 -0.739 0.380
ma.S.L7 -0.1465 0.518 -0.283 0.777 -1.161 0.868
sigma2 0.7697 0.529 1.454 0.146 -0.268 1.807
===================================================================================
Ljung-Box (L1) (Q): 0.96 Jarque-Bera (JB): 0.44
Prob(Q): 0.33 Prob(JB): 0.80
Heteroskedasticity (H): 2.37 Skew: 0.09
Prob(H) (two-sided): 0.42 Kurtosis: 2.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 180.91019191584712, Current Price: 180.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.851
Date: Wed, 09 Oct 2024 AIC 43.702
Time: 14:41:53 BIC 46.527
Sample: 0 HQIC 43.122
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4140 1.052 0.393 0.694 -1.648 2.476
ma.L1 -0.0340 1.161 -0.029 0.977 -2.309 2.241
ar.S.L7 -0.2143 0.331 -0.647 0.518 -0.863 0.435
ma.S.L7 -0.2369 0.630 -0.376 0.707 -1.471 0.997
sigma2 0.7671 0.380 2.021 0.043 0.023 1.511
===================================================================================
Ljung-Box (L1) (Q): 0.56 Jarque-Bera (JB): 0.50
Prob(Q): 0.45 Prob(JB): 0.78
Heteroskedasticity (H): 3.34 Skew: 0.34
Prob(H) (two-sided): 0.27 Kurtosis: 2.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.71905011232394, Current Price: 178.64
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.270
Date: Wed, 09 Oct 2024 AIC 44.540
Time: 14:41:53 BIC 47.364
Sample: 0 HQIC 43.959
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5272 0.751 0.702 0.483 -0.945 1.999
ma.L1 16.2951 201.510 0.081 0.936 -378.657 411.247
ar.S.L7 -0.2215 0.359 -0.617 0.537 -0.925 0.482
ma.S.L7 -0.1178 0.656 -0.179 0.858 -1.404 1.169
sigma2 0.0031 0.078 0.040 0.968 -0.150 0.156
===================================================================================
Ljung-Box (L1) (Q): 0.53 Jarque-Bera (JB): 0.64
Prob(Q): 0.47 Prob(JB): 0.72
Heteroskedasticity (H): 2.79 Skew: 0.36
Prob(H) (two-sided): 0.34 Kurtosis: 2.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.4095608295102, Current Price: 177.83
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.952
Date: Wed, 09 Oct 2024 AIC 43.904
Time: 14:41:53 BIC 46.729
Sample: 0 HQIC 43.323
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7171 0.520 1.380 0.168 -0.301 1.736
ma.L1 -0.2463 0.644 -0.382 0.702 -1.509 1.016
ar.S.L7 -0.1439 0.486 -0.296 0.767 -1.097 0.810
ma.S.L7 -0.2373 0.861 -0.276 0.783 -1.924 1.449
sigma2 0.7734 0.503 1.536 0.124 -0.213 1.760
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.82
Prob(Q): 0.87 Prob(JB): 0.66
Heteroskedasticity (H): 0.54 Skew: 0.48
Prob(H) (two-sided): 0.56 Kurtosis: 2.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.6634768413796, Current Price: 178.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.395
Date: Wed, 09 Oct 2024 AIC 42.791
Time: 14:41:53 BIC 45.615
Sample: 0 HQIC 42.210
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7287 0.256 2.848 0.004 0.227 1.230
ma.L1 -0.4351 0.502 -0.866 0.386 -1.420 0.549
ar.S.L7 -0.0755 0.602 -0.125 0.900 -1.255 1.104
ma.S.L7 -1.0008 1918.997 -0.001 1.000 -3762.166 3760.164
sigma2 0.4239 813.795 0.001 1.000 -1594.585 1595.433
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.67
Prob(Q): 0.94 Prob(JB): 0.72
Heteroskedasticity (H): 0.54 Skew: 0.54
Prob(H) (two-sided): 0.56 Kurtosis: 2.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.45835606889344, Current Price: 178.08
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.022
Date: Wed, 09 Oct 2024 AIC 42.044
Time: 14:41:53 BIC 44.869
Sample: 0 HQIC 41.464
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6514 0.382 1.707 0.088 -0.097 1.400
ma.L1 -0.4151 0.778 -0.534 0.594 -1.940 1.110
ar.S.L7 -0.2321 0.518 -0.448 0.654 -1.246 0.782
ma.S.L7 -1.0003 4921.557 -0.000 1.000 -9647.074 9645.074
sigma2 0.4010 1973.816 0.000 1.000 -3868.208 3869.010
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.28
Prob(Q): 0.98 Prob(JB): 0.87
Heteroskedasticity (H): 0.70 Skew: 0.33
Prob(H) (two-sided): 0.74 Kurtosis: 2.71
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.35438838278725, Current Price: 178.41
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.137
Date: Wed, 09 Oct 2024 AIC 42.273
Time: 14:41:53 BIC 45.098
Sample: 0 HQIC 41.693
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6728 0.486 1.385 0.166 -0.279 1.625
ma.L1 -0.3282 0.716 -0.458 0.647 -1.731 1.075
ar.S.L7 -0.0071 0.138 -0.051 0.959 -0.277 0.263
ma.S.L7 -1.0000 2.87e+04 -3.48e-05 1.000 -5.63e+04 5.63e+04
sigma2 0.4241 1.22e+04 3.48e-05 1.000 -2.39e+04 2.39e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.01
Prob(Q): 0.96 Prob(JB): 0.60
Heteroskedasticity (H): 0.21 Skew: 0.67
Prob(H) (two-sided): 0.16 Kurtosis: 2.77
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.3818331416919, Current Price: 177.49
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.366
Date: Wed, 09 Oct 2024 AIC 36.733
Time: 14:41:53 BIC 39.558
Sample: 0 HQIC 36.152
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5513 1.070 0.515 0.606 -1.546 2.649
ma.L1 -0.2230 1.176 -0.190 0.850 -2.528 2.082
ar.S.L7 -0.0104 1.257 -0.008 0.993 -2.474 2.453
ma.S.L7 -1.0001 1.36e+04 -7.35e-05 1.000 -2.67e+04 2.67e+04
sigma2 0.2757 3753.357 7.35e-05 1.000 -7356.168 7356.720
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.63
Prob(Q): 0.88 Prob(JB): 0.73
Heteroskedasticity (H): 0.72 Skew: 0.49
Prob(H) (two-sided): 0.75 Kurtosis: 2.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.61849420780865, Current Price: 177.08
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.832
Date: Wed, 09 Oct 2024 AIC 39.663
Time: 14:41:53 BIC 42.488
Sample: 0 HQIC 39.082
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7216 0.356 2.026 0.043 0.024 1.420
ma.L1 -0.1867 0.506 -0.369 0.712 -1.179 0.805
ar.S.L7 -0.2902 0.346 -0.839 0.401 -0.968 0.387
ma.S.L7 0.0109 0.512 0.021 0.983 -0.993 1.015
sigma2 0.5733 0.436 1.314 0.189 -0.282 1.428
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 1.01
Prob(Q): 0.84 Prob(JB): 0.60
Heteroskedasticity (H): 0.64 Skew: 0.44
Prob(H) (two-sided): 0.67 Kurtosis: 1.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 175.40032525271127, Current Price: 177.17
SELL EXECUTED at 177.17
SELL ORDER COMPLETED at 178.55
OPERATION PROFIT, GROSS -1.8199999999999932, NET -2.178919999999993
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -14.532
Date: Wed, 09 Oct 2024 AIC 39.064
Time: 14:41:53 BIC 41.889
Sample: 0 HQIC 38.484
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0308 0.332 0.093 0.926 -0.620 0.681
ma.L1 1.0000 4729.848 0.000 1.000 -9269.332 9271.332
ar.S.L7 -0.5571 0.331 -1.681 0.093 -1.207 0.092
ma.S.L7 -2.3648 4.311 -0.549 0.583 -10.814 6.084
sigma2 0.0825 390.431 0.000 1.000 -765.148 765.313
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.55
Prob(Q): 0.88 Prob(JB): 0.76
Heteroskedasticity (H): 0.83 Skew: 0.09
Prob(H) (two-sided): 0.86 Kurtosis: 2.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.4793801108212, Current Price: 178.34
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.554
Date: Wed, 09 Oct 2024 AIC 37.108
Time: 14:41:53 BIC 39.932
Sample: 0 HQIC 36.527
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2466 0.315 0.783 0.434 -0.371 0.864
ma.L1 1.0000 1.34e+04 7.45e-05 1.000 -2.63e+04 2.63e+04
ar.S.L7 -0.5555 0.128 -4.323 0.000 -0.807 -0.304
ma.S.L7 -0.6881 1.856 -0.371 0.711 -4.326 2.950
sigma2 0.3446 4625.905 7.45e-05 1.000 -9066.263 9066.952
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.56
Prob(Q): 0.76 Prob(JB): 0.75
Heteroskedasticity (H): 1.34 Skew: -0.09
Prob(H) (two-sided): 0.79 Kurtosis: 2.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 179.38849647443627, Current Price: 179.39
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -11.715
Date: Wed, 09 Oct 2024 AIC 33.431
Time: 14:41:53 BIC 36.256
Sample: 0 HQIC 32.850
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0039 0.431 -0.009 0.993 -0.848 0.840
ma.L1 1.0000 6658.029 0.000 1.000 -1.3e+04 1.31e+04
ar.S.L7 -0.5489 0.138 -3.965 0.000 -0.820 -0.278
ma.S.L7 -0.3560 0.879 -0.405 0.685 -2.078 1.366
sigma2 0.3054 2033.124 0.000 1.000 -3984.545 3985.156
===================================================================================
Ljung-Box (L1) (Q): 0.47 Jarque-Bera (JB): 0.31
Prob(Q): 0.49 Prob(JB): 0.86
Heteroskedasticity (H): 1.60 Skew: 0.03
Prob(H) (two-sided): 0.66 Kurtosis: 2.25
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 180.48996937434765, Current Price: 179.22
BUY EXECUTED at 179.22
BUY ORDER COMPLETED at 179.34
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.194
Date: Wed, 09 Oct 2024 AIC 36.387
Time: 14:41:53 BIC 39.212
Sample: 0 HQIC 35.807
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0470 0.630 0.075 0.941 -1.188 1.282
ma.L1 1.0000 4906.089 0.000 1.000 -9614.757 9616.757
ar.S.L7 -0.4978 0.217 -2.295 0.022 -0.923 -0.073
ma.S.L7 -0.3681 1.220 -0.302 0.763 -2.758 2.022
sigma2 0.3814 1871.068 0.000 1.000 -3666.845 3667.608
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 0.40
Prob(Q): 0.71 Prob(JB): 0.82
Heteroskedasticity (H): 3.12 Skew: -0.22
Prob(H) (two-sided): 0.30 Kurtosis: 2.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.48030503400682, Current Price: 179.35
SELL EXECUTED at 179.35
SELL ORDER COMPLETED at 177.86
OPERATION PROFIT, GROSS -1.4799999999999898, NET -1.8371999999999897
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.893
Date: Wed, 09 Oct 2024 AIC 37.786
Time: 14:41:53 BIC 40.611
Sample: 0 HQIC 37.205
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0178 0.395 -0.045 0.964 -0.791 0.755
ma.L1 1.0000 3.09e+04 3.24e-05 1.000 -6.05e+04 6.05e+04
ar.S.L7 -0.3427 0.141 -2.432 0.015 -0.619 -0.067
ma.S.L7 0.1527 0.499 0.306 0.759 -0.825 1.130
sigma2 0.4273 1.32e+04 3.24e-05 1.000 -2.59e+04 2.59e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.66
Prob(Q): 0.91 Prob(JB): 0.72
Heteroskedasticity (H): 1.05 Skew: 0.11
Prob(H) (two-sided): 0.96 Kurtosis: 1.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.90168538584274, Current Price: 178.05
BUY EXECUTED at 178.05
BUY ORDER COMPLETED at 178.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -13.870
Date: Wed, 09 Oct 2024 AIC 37.740
Time: 14:41:53 BIC 40.565
Sample: 0 HQIC 37.160
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0503 0.453 0.111 0.912 -0.838 0.938
ma.L1 1.0000 1.26e+04 7.94e-05 1.000 -2.47e+04 2.47e+04
ar.S.L7 -0.2980 0.184 -1.623 0.105 -0.658 0.062
ma.S.L7 0.6543 1.483 0.441 0.659 -2.252 3.561
sigma2 0.3407 4290.793 7.94e-05 1.000 -8409.459 8410.141
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.33
Prob(Q): 0.79 Prob(JB): 0.85
Heteroskedasticity (H): 0.24 Skew: 0.34
Prob(H) (two-sided): 0.20 Kurtosis: 2.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.17873406176287, Current Price: 178.62
SELL EXECUTED at 178.62
SELL ORDER COMPLETED at 178.41
OPERATION PROFIT, GROSS -0.2400000000000091, NET -0.5970600000000091
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.343
Date: Wed, 09 Oct 2024 AIC 40.686
Time: 14:41:53 BIC 43.511
Sample: 0 HQIC 40.105
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0145 0.489 0.030 0.976 -0.944 0.973
ma.L1 1.0000 6055.445 0.000 1.000 -1.19e+04 1.19e+04
ar.S.L7 -0.2261 0.186 -1.218 0.223 -0.590 0.138
ma.S.L7 1.0003 3528.802 0.000 1.000 -6915.325 6917.326
sigma2 0.3156 2936.028 0.000 1.000 -5754.193 5754.824
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.22
Prob(Q): 0.91 Prob(JB): 0.89
Heteroskedasticity (H): 1.07 Skew: 0.02
Prob(H) (two-sided): 0.95 Kurtosis: 2.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 180.63634363806258, Current Price: 177.7
BUY EXECUTED at 177.7
BUY ORDER COMPLETED at 176.825
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -15.843
Date: Wed, 09 Oct 2024 AIC 41.686
Time: 14:41:53 BIC 44.511
Sample: 0 HQIC 41.105
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2715 1.218 -0.223 0.824 -2.659 2.116
ma.L1 0.5359 1.117 0.480 0.631 -1.653 2.724
ar.S.L7 -0.3685 0.318 -1.157 0.247 -0.992 0.255
ma.S.L7 -0.2573 0.592 -0.435 0.664 -1.417 0.902
sigma2 0.6521 0.496 1.314 0.189 -0.320 1.625
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.01
Prob(Q): 0.98 Prob(JB): 0.60
Heteroskedasticity (H): 0.96 Skew: 0.43
Prob(H) (two-sided): 0.97 Kurtosis: 1.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 177.4926519856334, Current Price: 176.28
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.857
Date: Wed, 09 Oct 2024 AIC 43.714
Time: 14:41:53 BIC 46.539
Sample: 0 HQIC 43.134
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3664 0.703 -0.521 0.602 -1.744 1.011
ma.L1 0.6749 0.665 1.015 0.310 -0.628 1.978
ar.S.L7 -0.4396 0.379 -1.160 0.246 -1.182 0.303
ma.S.L7 -0.5325 1.219 -0.437 0.662 -2.922 1.857
sigma2 0.6876 0.519 1.325 0.185 -0.329 1.704
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.92
Prob(Q): 0.84 Prob(JB): 0.63
Heteroskedasticity (H): 1.12 Skew: 0.29
Prob(H) (two-sided): 0.91 Kurtosis: 1.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 176.4729645192254, Current Price: 174.1
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.048
Date: Wed, 09 Oct 2024 AIC 48.096
Time: 14:41:53 BIC 50.920
Sample: 0 HQIC 47.515
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3376 0.504 0.670 0.503 -0.649 1.325
ma.L1 0.3348 0.500 0.669 0.503 -0.645 1.315
ar.S.L7 -0.3590 0.978 -0.367 0.714 -2.276 1.558
ma.S.L7 -0.1697 1.171 -0.145 0.885 -2.465 2.125
sigma2 1.0842 0.783 1.384 0.166 -0.451 2.620
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.85
Prob(Q): 0.85 Prob(JB): 0.66
Heteroskedasticity (H): 1.75 Skew: 0.25
Prob(H) (two-sided): 0.60 Kurtosis: 1.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 172.6158580847926, Current Price: 173.23
SELL EXECUTED at 173.23
SELL ORDER COMPLETED at 173.92
OPERATION PROFIT, GROSS -2.905000000000001, NET -3.255745000000001
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.599
Date: Wed, 09 Oct 2024 AIC 47.198
Time: 14:41:53 BIC 50.023
Sample: 0 HQIC 46.617
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5473 0.574 0.953 0.341 -0.579 1.673
ma.L1 0.1611 0.687 0.235 0.815 -1.185 1.507
ar.S.L7 -0.3035 0.651 -0.466 0.641 -1.580 0.973
ma.S.L7 -1.0019 904.939 -0.001 0.999 -1774.649 1772.645
sigma2 0.5912 535.515 0.001 0.999 -1048.998 1050.181
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.47
Prob(Q): 0.89 Prob(JB): 0.79
Heteroskedasticity (H): 1.43 Skew: 0.11
Prob(H) (two-sided): 0.74 Kurtosis: 2.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 172.79843867487713, Current Price: 171.45
BUY EXECUTED at 171.45
BUY ORDER COMPLETED at 170.23
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.375
Date: Wed, 09 Oct 2024 AIC 48.751
Time: 14:41:53 BIC 51.576
Sample: 0 HQIC 48.170
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6246 0.437 1.430 0.153 -0.232 1.481
ma.L1 0.0271 0.469 0.058 0.954 -0.893 0.947
ar.S.L7 -0.3443 0.680 -0.507 0.612 -1.676 0.988
ma.S.L7 -1.0003 5552.967 -0.000 1.000 -1.09e+04 1.09e+04
sigma2 0.6739 3742.543 0.000 1.000 -7334.576 7335.923
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.56
Prob(Q): 0.91 Prob(JB): 0.76
Heteroskedasticity (H): 1.94 Skew: 0.14
Prob(H) (two-sided): 0.54 Kurtosis: 2.02
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.5539097064378, Current Price: 169.65
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.924
Date: Wed, 09 Oct 2024 AIC 47.849
Time: 14:41:53 BIC 50.673
Sample: 0 HQIC 47.268
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5430 0.386 1.407 0.159 -0.213 1.299
ma.L1 0.0826 0.508 0.163 0.871 -0.914 1.079
ar.S.L7 -0.4827 0.569 -0.848 0.396 -1.598 0.633
ma.S.L7 -1.0002 5990.507 -0.000 1.000 -1.17e+04 1.17e+04
sigma2 0.6273 3758.376 0.000 1.000 -7365.654 7366.908
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.48
Prob(Q): 0.87 Prob(JB): 0.79
Heteroskedasticity (H): 1.34 Skew: -0.21
Prob(H) (two-sided): 0.78 Kurtosis: 2.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.9304476352696, Current Price: 169.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.888
Date: Wed, 09 Oct 2024 AIC 45.776
Time: 14:41:54 BIC 48.600
Sample: 0 HQIC 45.195
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4322 0.292 1.479 0.139 -0.141 1.005
ma.L1 0.1820 0.368 0.494 0.621 -0.539 0.903
ar.S.L7 -0.3597 0.579 -0.621 0.535 -1.495 0.776
ma.S.L7 -1.0001 1.44e+04 -6.94e-05 1.000 -2.83e+04 2.83e+04
sigma2 0.5522 7963.695 6.93e-05 1.000 -1.56e+04 1.56e+04
===================================================================================
Ljung-Box (L1) (Q): 0.75 Jarque-Bera (JB): 0.71
Prob(Q): 0.39 Prob(JB): 0.70
Heteroskedasticity (H): 1.55 Skew: -0.42
Prob(H) (two-sided): 0.68 Kurtosis: 2.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 168.30974588565263, Current Price: 169.14
SELL EXECUTED at 169.14
SELL ORDER COMPLETED at 168.74
OPERATION PROFIT, GROSS -1.4899999999999807, NET -1.8289699999999807
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.716
Date: Wed, 09 Oct 2024 AIC 45.432
Time: 14:41:54 BIC 48.257
Sample: 0 HQIC 44.851
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4593 0.394 1.167 0.243 -0.312 1.231
ma.L1 0.1169 0.607 0.193 0.847 -1.072 1.306
ar.S.L7 -0.4818 0.451 -1.069 0.285 -1.365 0.401
ma.S.L7 -1.0004 2581.916 -0.000 1.000 -5061.463 5059.462
sigma2 0.5302 1369.170 0.000 1.000 -2682.994 2684.054
===================================================================================
Ljung-Box (L1) (Q): 0.29 Jarque-Bera (JB): 0.61
Prob(Q): 0.59 Prob(JB): 0.74
Heteroskedasticity (H): 1.51 Skew: -0.44
Prob(H) (two-sided): 0.70 Kurtosis: 2.42
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.78262684044165, Current Price: 168.83
BUY EXECUTED at 168.83
BUY ORDER COMPLETED at 169.17
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.122
Date: Wed, 09 Oct 2024 AIC 46.244
Time: 14:41:54 BIC 49.069
Sample: 0 HQIC 45.664
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3804 0.537 0.708 0.479 -0.673 1.433
ma.L1 0.1110 0.574 0.193 0.847 -1.014 1.236
ar.S.L7 -0.3291 0.574 -0.573 0.567 -1.455 0.796
ma.S.L7 -1.0001 1.27e+04 -7.9e-05 1.000 -2.48e+04 2.48e+04
sigma2 0.5756 7290.669 7.9e-05 1.000 -1.43e+04 1.43e+04
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 0.33
Prob(Q): 0.66 Prob(JB): 0.85
Heteroskedasticity (H): 0.38 Skew: -0.31
Prob(H) (two-sided): 0.37 Kurtosis: 2.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.18666365659797, Current Price: 169.7
SELL EXECUTED at 169.7
SELL ORDER COMPLETED at 171.18
OPERATION PROFIT, GROSS 2.0100000000000193, NET 1.6696500000000194
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -16.858
Date: Wed, 09 Oct 2024 AIC 43.715
Time: 14:41:54 BIC 46.540
Sample: 0 HQIC 43.135
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8095 0.231 3.502 0.000 0.356 1.263
ma.L1 -0.3654 0.583 -0.626 0.531 -1.509 0.778
ar.S.L7 -0.6082 0.421 -1.444 0.149 -1.434 0.217
ma.S.L7 -0.9619 27.301 -0.035 0.972 -54.470 52.547
sigma2 0.4746 12.799 0.037 0.970 -24.610 25.559
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.92
Prob(Q): 0.80 Prob(JB): 0.63
Heteroskedasticity (H): 2.28 Skew: -0.28
Prob(H) (two-sided): 0.45 Kurtosis: 1.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 169.70157850418062, Current Price: 172.82
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.610
Date: Wed, 09 Oct 2024 AIC 53.219
Time: 14:41:54 BIC 56.044
Sample: 0 HQIC 52.638
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7790 0.619 1.258 0.208 -0.435 1.993
ma.L1 -0.0605 0.712 -0.085 0.932 -1.456 1.335
ar.S.L7 -0.5438 0.803 -0.677 0.498 -2.117 1.029
ma.S.L7 -0.0073 0.925 -0.008 0.994 -1.820 1.805
sigma2 1.6268 1.305 1.247 0.213 -0.931 4.184
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.56
Prob(Q): 0.98 Prob(JB): 0.76
Heteroskedasticity (H): 2.47 Skew: 0.25
Prob(H) (two-sided): 0.40 Kurtosis: 2.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 174.73702262614813, Current Price: 172.53
BUY EXECUTED at 172.53
BUY ORDER COMPLETED at 173.6
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.242
Date: Wed, 09 Oct 2024 AIC 54.484
Time: 14:41:54 BIC 57.309
Sample: 0 HQIC 53.904
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3562 0.930 0.383 0.702 -1.467 2.179
ma.L1 0.0859 0.987 0.087 0.931 -1.849 2.021
ar.S.L7 -0.7504 0.835 -0.898 0.369 -2.388 0.887
ma.S.L7 0.1959 1.090 0.180 0.857 -1.941 2.332
sigma2 1.7661 1.111 1.589 0.112 -0.412 3.944
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.13
Prob(Q): 0.92 Prob(JB): 0.57
Heteroskedasticity (H): 2.09 Skew: 0.71
Prob(H) (two-sided): 0.49 Kurtosis: 3.31
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 171.0472995509383, Current Price: 173.79
SELL EXECUTED at 173.79
SELL ORDER COMPLETED at 174.06
OPERATION PROFIT, GROSS 0.46000000000000796, NET 0.11234000000000799
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.914
Date: Wed, 09 Oct 2024 AIC 55.829
Time: 14:41:54 BIC 58.653
Sample: 0 HQIC 55.248
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8993 0.346 2.599 0.009 0.221 1.577
ma.L1 -0.3158 0.478 -0.661 0.509 -1.252 0.621
ar.S.L7 -0.5442 0.675 -0.807 0.420 -1.867 0.778
ma.S.L7 0.3312 1.072 0.309 0.757 -1.769 2.431
sigma2 1.8830 1.473 1.278 0.201 -1.005 4.771
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.72
Prob(Q): 0.75 Prob(JB): 0.70
Heteroskedasticity (H): 2.44 Skew: 0.04
Prob(H) (two-sided): 0.41 Kurtosis: 1.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 175.81083004887924, Current Price: 173.26
BUY EXECUTED at 173.26
BUY ORDER COMPLETED at 176.8921
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.118
Date: Wed, 09 Oct 2024 AIC 58.235
Time: 14:41:54 BIC 61.060
Sample: 0 HQIC 57.655
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6928 0.467 1.483 0.138 -0.223 1.608
ma.L1 -0.2720 0.661 -0.411 0.681 -1.568 1.024
ar.S.L7 -0.4701 0.929 -0.506 0.613 -2.292 1.351
ma.S.L7 0.0280 1.113 0.025 0.980 -2.153 2.209
sigma2 2.3912 1.907 1.254 0.210 -1.347 6.129
===================================================================================
Ljung-Box (L1) (Q): 0.27 Jarque-Bera (JB): 0.69
Prob(Q): 0.60 Prob(JB): 0.71
Heteroskedasticity (H): 1.98 Skew: 0.31
Prob(H) (two-sided): 0.53 Kurtosis: 2.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 172.990463383832, Current Price: 178.83
SELL EXECUTED at 178.83
SELL ORDER COMPLETED at 177.84
OPERATION PROFIT, GROSS 0.9479000000000042, NET 0.5931679000000042
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.786
Date: Wed, 09 Oct 2024 AIC 63.571
Time: 14:41:54 BIC 66.396
Sample: 0 HQIC 62.991
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9301 0.219 4.240 0.000 0.500 1.360
ma.L1 -0.3638 0.515 -0.707 0.480 -1.373 0.645
ar.S.L7 0.2174 0.653 0.333 0.739 -1.063 1.498
ma.S.L7 0.4418 1.799 0.246 0.806 -3.084 3.967
sigma2 3.2629 2.707 1.205 0.228 -2.043 8.569
===================================================================================
Ljung-Box (L1) (Q): 1.03 Jarque-Bera (JB): 0.46
Prob(Q): 0.31 Prob(JB): 0.79
Heteroskedasticity (H): 3.19 Skew: 0.03
Prob(H) (two-sided): 0.29 Kurtosis: 2.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 183.02151617558982, Current Price: 177.96
BUY EXECUTED at 177.96
BUY ORDER COMPLETED at 178.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.687
Date: Wed, 09 Oct 2024 AIC 65.375
Time: 14:41:54 BIC 68.200
Sample: 0 HQIC 64.794
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8234 0.431 1.909 0.056 -0.022 1.669
ma.L1 -0.5628 0.644 -0.873 0.382 -1.826 0.700
ar.S.L7 -0.2186 0.539 -0.405 0.685 -1.276 0.838
ma.S.L7 1.0000 2.69e+05 3.72e-06 1.000 -5.26e+05 5.26e+05
sigma2 2.4098 6.47e+05 3.72e-06 1.000 -1.27e+06 1.27e+06
===================================================================================
Ljung-Box (L1) (Q): 4.62 Jarque-Bera (JB): 0.14
Prob(Q): 0.03 Prob(JB): 0.93
Heteroskedasticity (H): 17.62 Skew: 0.21
Prob(H) (two-sided): 0.02 Kurtosis: 2.73
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 180.77094443579662, Current Price: 178.29
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.581
Date: Wed, 09 Oct 2024 AIC 65.162
Time: 14:41:54 BIC 67.987
Sample: 0 HQIC 64.581
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7566 0.589 1.285 0.199 -0.398 1.911
ma.L1 -0.5428 0.828 -0.656 0.512 -2.165 1.080
ar.S.L7 -0.4047 0.642 -0.630 0.529 -1.664 0.854
ma.S.L7 0.6115 2.738 0.223 0.823 -4.755 5.978
sigma2 3.3257 7.177 0.463 0.643 -10.742 17.393
===================================================================================
Ljung-Box (L1) (Q): 3.21 Jarque-Bera (JB): 1.79
Prob(Q): 0.07 Prob(JB): 0.41
Heteroskedasticity (H): 21.13 Skew: 0.89
Prob(H) (two-sided): 0.01 Kurtosis: 3.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 181.79463530809338, Current Price: 180.87
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.627
Date: Wed, 09 Oct 2024 AIC 65.255
Time: 14:41:54 BIC 68.080
Sample: 0 HQIC 64.674
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7303 0.652 1.120 0.263 -0.548 2.008
ma.L1 -0.5226 0.830 -0.630 0.529 -2.149 1.103
ar.S.L7 -0.4337 0.742 -0.584 0.559 -1.888 1.021
ma.S.L7 0.4112 3.095 0.133 0.894 -5.655 6.477
sigma2 3.7519 7.170 0.523 0.601 -10.301 17.804
===================================================================================
Ljung-Box (L1) (Q): 3.23 Jarque-Bera (JB): 2.68
Prob(Q): 0.07 Prob(JB): 0.26
Heteroskedasticity (H): 40.31 Skew: 1.07
Prob(H) (two-sided): 0.00 Kurtosis: 3.58
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 180.45140546376265, Current Price: 183.09
SELL EXECUTED at 183.09
SELL ORDER COMPLETED at 183.43
OPERATION PROFIT, GROSS 5.060000000000002, NET 4.698200000000003
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.507
Date: Wed, 09 Oct 2024 AIC 67.013
Time: 14:41:54 BIC 69.838
Sample: 0 HQIC 66.433
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8299 0.535 1.550 0.121 -0.219 1.879
ma.L1 -0.5907 0.619 -0.954 0.340 -1.804 0.623
ar.S.L7 -0.4069 0.889 -0.458 0.647 -2.148 1.335
ma.S.L7 0.2545 4.126 0.062 0.951 -7.833 8.342
sigma2 4.5163 8.772 0.515 0.607 -12.677 21.709
===================================================================================
Ljung-Box (L1) (Q): 3.52 Jarque-Bera (JB): 0.64
Prob(Q): 0.06 Prob(JB): 0.72
Heteroskedasticity (H): 2.18 Skew: 0.51
Prob(H) (two-sided): 0.47 Kurtosis: 2.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 184.75917816854184, Current Price: 183.59
BUY EXECUTED at 183.59
BUY ORDER COMPLETED at 183.5099
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.075
Date: Wed, 09 Oct 2024 AIC 66.151
Time: 14:41:54 BIC 68.975
Sample: 0 HQIC 65.570
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.0279 0.338 3.038 0.002 0.365 1.691
ma.L1 -1.0000 6985.265 -0.000 1.000 -1.37e+04 1.37e+04
ar.S.L7 -0.4033 0.920 -0.438 0.661 -2.207 1.400
ma.S.L7 -0.1139 1.212 -0.094 0.925 -2.489 2.261
sigma2 3.7111 2.59e+04 0.000 1.000 -5.08e+04 5.08e+04
===================================================================================
Ljung-Box (L1) (Q): 3.64 Jarque-Bera (JB): 0.79
Prob(Q): 0.06 Prob(JB): 0.67
Heteroskedasticity (H): 0.28 Skew: 0.58
Prob(H) (two-sided): 0.24 Kurtosis: 2.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 184.92319076597937, Current Price: 182.97
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.757
Date: Wed, 09 Oct 2024 AIC 65.514
Time: 14:41:54 BIC 68.338
Sample: 0 HQIC 64.933
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9742 0.318 3.067 0.002 0.352 1.597
ma.L1 -1.0000 2.35e+04 -4.25e-05 1.000 -4.61e+04 4.61e+04
ar.S.L7 -0.3283 0.797 -0.412 0.680 -1.890 1.233
ma.S.L7 0.0513 1.024 0.050 0.960 -1.955 2.058
sigma2 3.5977 8.47e+04 4.25e-05 1.000 -1.66e+05 1.66e+05
===================================================================================
Ljung-Box (L1) (Q): 2.05 Jarque-Bera (JB): 1.52
Prob(Q): 0.15 Prob(JB): 0.47
Heteroskedasticity (H): 0.49 Skew: 0.81
Prob(H) (two-sided): 0.51 Kurtosis: 2.61
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 187.96395986444995, Current Price: 182.95
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.517
Date: Wed, 09 Oct 2024 AIC 65.033
Time: 14:41:54 BIC 67.858
Sample: 0 HQIC 64.453
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8727 0.377 2.313 0.021 0.133 1.612
ma.L1 -1.0000 2.5e+04 -4e-05 1.000 -4.9e+04 4.9e+04
ar.S.L7 -0.2722 0.574 -0.474 0.635 -1.397 0.853
ma.S.L7 -1.0001 1.04e+04 -9.66e-05 1.000 -2.03e+04 2.03e+04
sigma2 1.9539 5.6e+04 3.49e-05 1.000 -1.1e+05 1.1e+05
===================================================================================
Ljung-Box (L1) (Q): 0.76 Jarque-Bera (JB): 0.46
Prob(Q): 0.38 Prob(JB): 0.80
Heteroskedasticity (H): 0.97 Skew: 0.19
Prob(H) (two-sided): 0.98 Kurtosis: 2.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 183.98927126639416, Current Price: 183.72
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.280
Date: Wed, 09 Oct 2024 AIC 64.561
Time: 14:41:54 BIC 67.385
Sample: 0 HQIC 63.980
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8544 0.369 2.317 0.020 0.132 1.577
ma.L1 -1.0000 3.08e+04 -3.24e-05 1.000 -6.04e+04 6.04e+04
ar.S.L7 -0.2338 0.572 -0.409 0.683 -1.354 0.887
ma.S.L7 -1.0001 1.34e+04 -7.46e-05 1.000 -2.63e+04 2.63e+04
sigma2 1.8851 7.05e+04 2.67e-05 1.000 -1.38e+05 1.38e+05
===================================================================================
Ljung-Box (L1) (Q): 1.26 Jarque-Bera (JB): 0.67
Prob(Q): 0.26 Prob(JB): 0.72
Heteroskedasticity (H): 0.78 Skew: 0.52
Prob(H) (two-sided): 0.82 Kurtosis: 2.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 184.76604189073237, Current Price: 184.01
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.596
Date: Wed, 09 Oct 2024 AIC 61.192
Time: 14:41:54 BIC 64.017
Sample: 0 HQIC 60.612
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7945 0.271 2.934 0.003 0.264 1.325
ma.L1 -1.0000 1.91e+04 -5.25e-05 1.000 -3.74e+04 3.74e+04
ar.S.L7 -0.3060 0.591 -0.518 0.605 -1.464 0.853
ma.S.L7 -1.0001 1.08e+04 -9.26e-05 1.000 -2.12e+04 2.12e+04
sigma2 1.4547 2.5e+04 5.81e-05 1.000 -4.9e+04 4.9e+04
===================================================================================
Ljung-Box (L1) (Q): 1.33 Jarque-Bera (JB): 3.00
Prob(Q): 0.25 Prob(JB): 0.22
Heteroskedasticity (H): 0.27 Skew: 1.13
Prob(H) (two-sided): 0.23 Kurtosis: 3.68
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 186.52215533734508, Current Price: 186.15
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.539
Date: Wed, 09 Oct 2024 AIC 59.079
Time: 14:41:54 BIC 61.903
Sample: 0 HQIC 58.498
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7490 0.289 2.592 0.010 0.183 1.315
ma.L1 -1.0000 1.77e+04 -5.66e-05 1.000 -3.46e+04 3.46e+04
ar.S.L7 -0.3503 0.516 -0.679 0.497 -1.362 0.661
ma.S.L7 -1.0000 3.74e+04 -2.67e-05 1.000 -7.33e+04 7.33e+04
sigma2 1.2358 4.63e+04 2.67e-05 1.000 -9.07e+04 9.08e+04
===================================================================================
Ljung-Box (L1) (Q): 1.44 Jarque-Bera (JB): 4.32
Prob(Q): 0.23 Prob(JB): 0.12
Heteroskedasticity (H): 0.15 Skew: 1.24
Prob(H) (two-sided): 0.09 Kurtosis: 4.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 186.57570777762794, Current Price: 185.1
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.905
Date: Wed, 09 Oct 2024 AIC 59.810
Time: 14:41:54 BIC 62.635
Sample: 0 HQIC 59.230
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7354 0.540 1.361 0.173 -0.323 1.794
ma.L1 -1.0000 8518.592 -0.000 1.000 -1.67e+04 1.67e+04
ar.S.L7 -0.3823 0.671 -0.570 0.569 -1.697 0.933
ma.S.L7 -1.0001 2.09e+04 -4.79e-05 1.000 -4.09e+04 4.09e+04
sigma2 1.3077 2.46e+04 5.31e-05 1.000 -4.83e+04 4.83e+04
===================================================================================
Ljung-Box (L1) (Q): 0.39 Jarque-Bera (JB): 6.15
Prob(Q): 0.53 Prob(JB): 0.05
Heteroskedasticity (H): 0.15 Skew: 1.44
Prob(H) (two-sided): 0.09 Kurtosis: 4.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 185.80341647717998, Current Price: 184.09
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.177
Date: Wed, 09 Oct 2024 AIC 60.354
Time: 14:41:54 BIC 63.178
Sample: 0 HQIC 59.773
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7240 0.423 1.712 0.087 -0.105 1.553
ma.L1 -0.9393 1.962 -0.479 0.632 -4.785 2.906
ar.S.L7 -0.4465 0.798 -0.559 0.576 -2.011 1.119
ma.S.L7 -1.0000 2.84e+04 -3.52e-05 1.000 -5.57e+04 5.57e+04
sigma2 1.4404 4.09e+04 3.52e-05 1.000 -8.02e+04 8.02e+04
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 3.01
Prob(Q): 0.82 Prob(JB): 0.22
Heteroskedasticity (H): 0.30 Skew: 1.13
Prob(H) (two-sided): 0.28 Kurtosis: 3.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 184.91583252796744, Current Price: 183.51
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.141
Date: Wed, 09 Oct 2024 AIC 48.282
Time: 14:41:54 BIC 51.107
Sample: 0 HQIC 47.701
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3546 1.484 0.239 0.811 -2.554 3.263
ma.L1 -0.2323 1.538 -0.151 0.880 -3.247 2.782
ar.S.L7 -0.4056 0.286 -1.417 0.157 -0.967 0.156
ma.S.L7 -1.0000 1.72e+04 -5.82e-05 1.000 -3.37e+04 3.37e+04
sigma2 0.6707 1.15e+04 5.82e-05 1.000 -2.26e+04 2.26e+04
===================================================================================
Ljung-Box (L1) (Q): 0.86 Jarque-Bera (JB): 2.22
Prob(Q): 0.35 Prob(JB): 0.33
Heteroskedasticity (H): 0.33 Skew: 0.95
Prob(H) (two-sided): 0.31 Kurtosis: 3.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 185.91752069063676, Current Price: 184.12
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.515
Date: Wed, 09 Oct 2024 AIC 51.030
Time: 14:41:54 BIC 53.855
Sample: 0 HQIC 50.450
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3248 1.854 0.175 0.861 -3.309 3.959
ma.L1 -0.1684 2.040 -0.083 0.934 -4.167 3.830
ar.S.L7 -0.3711 0.257 -1.445 0.149 -0.875 0.132
ma.S.L7 -1.0000 1.88e+04 -5.31e-05 1.000 -3.69e+04 3.69e+04
sigma2 0.8303 1.56e+04 5.31e-05 1.000 -3.06e+04 3.06e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.35
Prob(Q): 0.87 Prob(JB): 0.84
Heteroskedasticity (H): 0.89 Skew: 0.40
Prob(H) (two-sided): 0.92 Kurtosis: 3.15
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 183.08993492902496, Current Price: 184.79
SELL EXECUTED at 184.79
SELL ORDER COMPLETED at 184.14
OPERATION PROFIT, GROSS 0.6300999999999988, NET 0.2624500999999988
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.664
Date: Wed, 09 Oct 2024 AIC 59.329
Time: 14:41:54 BIC 62.153
Sample: 0 HQIC 58.748
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4531 2.189 0.207 0.836 -3.836 4.743
ma.L1 -0.1386 2.280 -0.061 0.952 -4.608 4.331
ar.S.L7 -0.5386 0.397 -1.357 0.175 -1.317 0.239
ma.S.L7 0.1781 0.556 0.320 0.749 -0.912 1.269
sigma2 2.5701 2.988 0.860 0.390 -3.286 8.427
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 0.75
Prob(Q): 0.71 Prob(JB): 0.69
Heteroskedasticity (H): 0.74 Skew: 0.27
Prob(H) (two-sided): 0.78 Kurtosis: 1.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 185.09438803072888, Current Price: 183.35
BUY EXECUTED at 183.35
BUY ORDER COMPLETED at 182.25
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.347
Date: Wed, 09 Oct 2024 AIC 60.695
Time: 14:41:54 BIC 63.520
Sample: 0 HQIC 60.114
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3319 2.582 0.129 0.898 -4.729 5.393
ma.L1 -0.1417 2.698 -0.053 0.958 -5.430 5.146
ar.S.L7 -0.6331 0.331 -1.913 0.056 -1.282 0.015
ma.S.L7 0.0937 0.792 0.118 0.906 -1.459 1.647
sigma2 3.6633 3.828 0.957 0.339 -3.840 11.166
===================================================================================
Ljung-Box (L1) (Q): 0.84 Jarque-Bera (JB): 0.92
Prob(Q): 0.36 Prob(JB): 0.63
Heteroskedasticity (H): 0.88 Skew: 0.55
Prob(H) (two-sided): 0.91 Kurtosis: 2.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 185.36476828742417, Current Price: 182.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.773
Date: Wed, 09 Oct 2024 AIC 59.546
Time: 14:41:54 BIC 62.371
Sample: 0 HQIC 58.966
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6838 0.446 -1.533 0.125 -1.558 0.190
ma.L1 1.0000 1.57e+04 6.38e-05 1.000 -3.07e+04 3.07e+04
ar.S.L7 -0.4796 0.212 -2.266 0.023 -0.895 -0.065
ma.S.L7 0.0461 0.496 0.093 0.926 -0.925 1.018
sigma2 2.2566 3.54e+04 6.38e-05 1.000 -6.93e+04 6.93e+04
===================================================================================
Ljung-Box (L1) (Q): 1.68 Jarque-Bera (JB): 0.89
Prob(Q): 0.19 Prob(JB): 0.64
Heteroskedasticity (H): 1.39 Skew: 0.24
Prob(H) (two-sided): 0.76 Kurtosis: 1.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 183.0244789514942, Current Price: 180.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.230
Date: Wed, 09 Oct 2024 AIC 58.461
Time: 14:41:55 BIC 61.285
Sample: 0 HQIC 57.880
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5394 0.283 -1.909 0.056 -1.093 0.015
ma.L1 1.0000 2.9e+04 3.44e-05 1.000 -5.69e+04 5.69e+04
ar.S.L7 -0.4261 0.254 -1.675 0.094 -0.924 0.072
ma.S.L7 0.5717 0.902 0.634 0.526 -1.196 2.339
sigma2 1.6994 4.93e+04 3.44e-05 1.000 -9.67e+04 9.67e+04
===================================================================================
Ljung-Box (L1) (Q): 1.07 Jarque-Bera (JB): 0.64
Prob(Q): 0.30 Prob(JB): 0.73
Heteroskedasticity (H): 0.99 Skew: 0.32
Prob(H) (two-sided): 0.99 Kurtosis: 2.13
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 178.87352108460985, Current Price: 181.49
SELL EXECUTED at 181.49
SELL ORDER COMPLETED at 180.51
OPERATION PROFIT, GROSS -1.740000000000009, NET -2.102760000000009
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.024
Date: Wed, 09 Oct 2024 AIC 60.047
Time: 14:41:55 BIC 62.872
Sample: 0 HQIC 59.467
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0184 2.335 0.008 0.994 -4.557 4.594
ma.L1 4.0447 37.869 0.107 0.915 -70.176 78.266
ar.S.L7 -0.4883 0.189 -2.581 0.010 -0.859 -0.118
ma.S.L7 0.4678 0.765 0.612 0.541 -1.031 1.967
sigma2 0.1525 2.792 0.055 0.956 -5.320 5.625
===================================================================================
Ljung-Box (L1) (Q): 0.78 Jarque-Bera (JB): 1.15
Prob(Q): 0.38 Prob(JB): 0.56
Heteroskedasticity (H): 1.29 Skew: 0.65
Prob(H) (two-sided): 0.81 Kurtosis: 2.33
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 181.48776928920267, Current Price: 179.51
BUY EXECUTED at 179.51
BUY ORDER COMPLETED at 179.4
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.311
Date: Wed, 09 Oct 2024 AIC 58.622
Time: 14:41:55 BIC 61.447
Sample: 0 HQIC 58.041
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1080 0.242 0.447 0.655 -0.366 0.582
ma.L1 -30.8271 0.854 -36.077 0.000 -32.502 -29.152
ar.S.L7 -0.1568 0.461 -0.340 0.734 -1.060 0.746
ma.S.L7 -11.7957 93.505 -0.126 0.900 -195.062 171.470
sigma2 1.855e-05 0.000 0.062 0.950 -0.001 0.001
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.36
Prob(Q): 0.82 Prob(JB): 0.83
Heteroskedasticity (H): 1.21 Skew: 0.23
Prob(H) (two-sided): 0.86 Kurtosis: 2.31
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 3.07e+19. Standard errors may be unstable.
Predicted Price: 179.97379421415394, Current Price: 180.51
SELL EXECUTED at 180.51
SELL ORDER COMPLETED at 181.7
OPERATION PROFIT, GROSS 2.299999999999983, NET 1.938899999999983
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.746
Date: Wed, 09 Oct 2024 AIC 55.492
Time: 14:41:55 BIC 58.317
Sample: 0 HQIC 54.912
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3996 0.946 0.422 0.673 -1.455 2.255
ma.L1 -6.9281 44.200 -0.157 0.875 -93.558 79.702
ar.S.L7 -0.3013 0.343 -0.878 0.380 -0.974 0.371
ma.S.L7 0.2601 1.021 0.255 0.799 -1.740 2.260
sigma2 0.0393 0.510 0.077 0.939 -0.961 1.040
===================================================================================
Ljung-Box (L1) (Q): 0.24 Jarque-Bera (JB): 0.35
Prob(Q): 0.62 Prob(JB): 0.84
Heteroskedasticity (H): 1.33 Skew: 0.26
Prob(H) (two-sided): 0.79 Kurtosis: 2.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 181.32730617224126, Current Price: 182.12
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.994
Date: Wed, 09 Oct 2024 AIC 55.988
Time: 14:41:55 BIC 58.813
Sample: 0 HQIC 55.408
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4183 0.854 0.490 0.624 -1.255 2.092
ma.L1 -13.8211 143.847 -0.096 0.923 -295.755 268.113
ar.S.L7 -0.2116 0.327 -0.647 0.518 -0.853 0.429
ma.S.L7 0.0658 1.106 0.059 0.953 -2.103 2.234
sigma2 0.0104 0.216 0.048 0.962 -0.414 0.435
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.51
Prob(Q): 0.73 Prob(JB): 0.77
Heteroskedasticity (H): 1.21 Skew: 0.01
Prob(H) (two-sided): 0.86 Kurtosis: 2.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 181.25866274916436, Current Price: 181.64
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.012
Date: Wed, 09 Oct 2024 AIC 56.024
Time: 14:41:55 BIC 58.849
Sample: 0 HQIC 55.443
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4546 0.823 0.552 0.581 -1.159 2.068
ma.L1 -8.2181 50.624 -0.162 0.871 -107.439 91.002
ar.S.L7 -0.2181 0.316 -0.690 0.490 -0.838 0.401
ma.S.L7 15.1168 313.875 0.048 0.962 -600.067 630.301
sigma2 0.0001 0.006 0.023 0.982 -0.011 0.011
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.64
Prob(Q): 0.83 Prob(JB): 0.73
Heteroskedasticity (H): 0.66 Skew: -0.13
Prob(H) (two-sided): 0.69 Kurtosis: 1.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 181.58728499586874, Current Price: 183.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.766
Date: Wed, 09 Oct 2024 AIC 51.532
Time: 14:41:55 BIC 54.357
Sample: 0 HQIC 50.952
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5876 0.377 -1.558 0.119 -1.327 0.151
ma.L1 1.0000 895.688 0.001 0.999 -1754.516 1756.516
ar.S.L7 -0.0013 0.002 -0.580 0.562 -0.006 0.003
ma.S.L7 -0.4121 0.352 -1.172 0.241 -1.101 0.277
sigma2 1.3131 1176.712 0.001 0.999 -2305.000 2307.626
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.86
Prob(Q): 0.87 Prob(JB): 0.65
Heteroskedasticity (H): 1.72 Skew: -0.59
Prob(H) (two-sided): 0.61 Kurtosis: 2.55
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 182.75640842513346, Current Price: 183.67
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.727
Date: Wed, 09 Oct 2024 AIC 51.454
Time: 14:41:55 BIC 54.279
Sample: 0 HQIC 50.873
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5783 0.589 -0.982 0.326 -1.732 0.576
ma.L1 0.7540 0.568 1.328 0.184 -0.359 1.867
ar.S.L7 -0.0900 0.560 -0.161 0.872 -1.187 1.007
ma.S.L7 -1.0001 1.08e+04 -9.22e-05 1.000 -2.13e+04 2.13e+04
sigma2 0.8136 8826.810 9.22e-05 1.000 -1.73e+04 1.73e+04
===================================================================================
Ljung-Box (L1) (Q): 0.98 Jarque-Bera (JB): 1.67
Prob(Q): 0.32 Prob(JB): 0.43
Heteroskedasticity (H): 0.56 Skew: -0.69
Prob(H) (two-sided): 0.59 Kurtosis: 1.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 183.89871510432093, Current Price: 183.37
BUY EXECUTED at 183.37
BUY ORDER COMPLETED at 185.57
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.483
Date: Wed, 09 Oct 2024 AIC 48.967
Time: 14:41:55 BIC 51.792
Sample: 0 HQIC 48.386
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2418 1.434 -0.169 0.866 -3.052 2.569
ma.L1 0.5940 1.110 0.535 0.593 -1.581 2.769
ar.S.L7 -0.1160 0.292 -0.397 0.691 -0.689 0.457
ma.S.L7 -1.0001 1.29e+04 -7.73e-05 1.000 -2.53e+04 2.53e+04
sigma2 0.7074 9147.401 7.73e-05 1.000 -1.79e+04 1.79e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.04
Prob(Q): 0.91 Prob(JB): 0.59
Heteroskedasticity (H): 0.29 Skew: -0.39
Prob(H) (two-sided): 0.26 Kurtosis: 1.86
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 182.28500265802552, Current Price: 185.35
SELL EXECUTED at 185.35
SELL ORDER COMPLETED at 185.47
OPERATION PROFIT, GROSS -0.09999999999999432, NET -0.4710399999999943
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.897
Date: Wed, 09 Oct 2024 AIC 55.794
Time: 14:41:55 BIC 58.619
Sample: 0 HQIC 55.214
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3958 1.189 0.333 0.739 -1.935 2.727
ma.L1 -5.5544 40.055 -0.139 0.890 -84.061 72.952
ar.S.L7 -0.3349 0.786 -0.426 0.670 -1.876 1.206
ma.S.L7 -1.0007 2512.166 -0.000 1.000 -4924.755 4922.754
sigma2 0.0387 97.365 0.000 1.000 -190.793 190.870
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.22
Prob(Q): 0.98 Prob(JB): 0.89
Heteroskedasticity (H): 0.83 Skew: 0.11
Prob(H) (two-sided): 0.86 Kurtosis: 2.40
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 186.7982366988394, Current Price: 184.56
BUY EXECUTED at 184.56
BUY ORDER COMPLETED at 185.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.577
Date: Wed, 09 Oct 2024 AIC 57.153
Time: 14:41:55 BIC 59.978
Sample: 0 HQIC 56.573
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6766 0.335 2.020 0.043 0.020 1.333
ma.L1 -0.7164 0.456 -1.572 0.116 -1.609 0.177
ar.S.L7 -0.4961 0.505 -0.982 0.326 -1.487 0.494
ma.S.L7 -1.0003 5399.306 -0.000 1.000 -1.06e+04 1.06e+04
sigma2 1.2502 6750.982 0.000 1.000 -1.32e+04 1.32e+04
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.41
Prob(Q): 0.80 Prob(JB): 0.82
Heteroskedasticity (H): 0.91 Skew: 0.26
Prob(H) (two-sided): 0.93 Kurtosis: 2.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 184.40642926843645, Current Price: 185.52
SELL EXECUTED at 185.52
SELL ORDER COMPLETED at 186.56
OPERATION PROFIT, GROSS 1.0900000000000034, NET 0.7179700000000034
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.140
Date: Wed, 09 Oct 2024 AIC 56.281
Time: 14:41:55 BIC 59.106
Sample: 0 HQIC 55.700
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3413 4.721 0.072 0.942 -8.911 9.594
ma.L1 -0.2764 4.984 -0.055 0.956 -10.045 9.492
ar.S.L7 -0.3612 0.580 -0.622 0.534 -1.499 0.777
ma.S.L7 -1.0001 2.4e+04 -4.17e-05 1.000 -4.7e+04 4.7e+04
sigma2 1.2398 2.97e+04 4.17e-05 1.000 -5.83e+04 5.83e+04
===================================================================================
Ljung-Box (L1) (Q): 0.58 Jarque-Bera (JB): 0.10
Prob(Q): 0.45 Prob(JB): 0.95
Heteroskedasticity (H): 0.86 Skew: 0.01
Prob(H) (two-sided): 0.89 Kurtosis: 2.58
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 185.0728306502014, Current Price: 186.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.747
Date: Wed, 09 Oct 2024 AIC 53.495
Time: 14:41:55 BIC 56.319
Sample: 0 HQIC 52.914
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3066 7.155 0.043 0.966 -13.717 14.330
ma.L1 -0.2830 7.291 -0.039 0.969 -14.574 14.008
ar.S.L7 -0.4436 0.357 -1.244 0.213 -1.142 0.255
ma.S.L7 -1.0000 2.56e+04 -3.91e-05 1.000 -5.02e+04 5.02e+04
sigma2 1.0009 2.56e+04 3.91e-05 1.000 -5.02e+04 5.02e+04
===================================================================================
Ljung-Box (L1) (Q): 2.18 Jarque-Bera (JB): 0.18
Prob(Q): 0.14 Prob(JB): 0.91
Heteroskedasticity (H): 1.95 Skew: 0.17
Prob(H) (two-sided): 0.53 Kurtosis: 2.53
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 187.62939239512065, Current Price: 189.26
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.676
Date: Wed, 09 Oct 2024 AIC 53.351
Time: 14:41:55 BIC 56.176
Sample: 0 HQIC 52.771
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2822 3.446 -0.082 0.935 -7.036 6.472
ma.L1 0.3934 3.247 0.121 0.904 -5.970 6.757
ar.S.L7 -0.6719 0.548 -1.227 0.220 -1.745 0.402
ma.S.L7 -1.0001 1.68e+04 -5.96e-05 1.000 -3.29e+04 3.29e+04
sigma2 0.9901 1.66e+04 5.96e-05 1.000 -3.26e+04 3.26e+04
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.50
Prob(Q): 0.80 Prob(JB): 0.78
Heteroskedasticity (H): 2.74 Skew: -0.03
Prob(H) (two-sided): 0.35 Kurtosis: 2.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 188.30074167341823, Current Price: 189.54
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.375
Date: Wed, 09 Oct 2024 AIC 56.749
Time: 14:41:55 BIC 59.574
Sample: 0 HQIC 56.168
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3176 0.290 1.097 0.273 -0.250 0.885
ma.L1 -55.7805 0.096 -583.802 0.000 -55.968 -55.593
ar.S.L7 -0.7846 0.439 -1.787 0.074 -1.645 0.076
ma.S.L7 -7.5440 40.614 -0.186 0.853 -87.147 72.059
sigma2 1.2e-05 0.000 0.097 0.923 -0.000 0.000
===================================================================================
Ljung-Box (L1) (Q): 0.62 Jarque-Bera (JB): 0.56
Prob(Q): 0.43 Prob(JB): 0.76
Heteroskedasticity (H): 2.30 Skew: -0.46
Prob(H) (two-sided): 0.44 Kurtosis: 2.55
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 6.28e+20. Standard errors may be unstable.
Predicted Price: 190.54422729826774, Current Price: 188.75
BUY EXECUTED at 188.75
BUY ORDER COMPLETED at 188.805
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.409
Date: Wed, 09 Oct 2024 AIC 56.818
Time: 14:41:56 BIC 59.643
Sample: 0 HQIC 56.237
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3413 0.460 0.742 0.458 -0.560 1.243
ma.L1 -69.8011 1.401 -49.831 0.000 -72.547 -67.056
ar.S.L7 -0.7410 0.499 -1.484 0.138 -1.720 0.238
ma.S.L7 -1.0110 163.440 -0.006 0.995 -321.347 319.325
sigma2 0.0003 0.043 0.006 0.995 -0.084 0.084
===================================================================================
Ljung-Box (L1) (Q): 0.28 Jarque-Bera (JB): 1.14
Prob(Q): 0.60 Prob(JB): 0.56
Heteroskedasticity (H): 6.05 Skew: -0.68
Prob(H) (two-sided): 0.11 Kurtosis: 2.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
[2] Covariance matrix is singular or near-singular, with condition number 9.13e+20. Standard errors may be unstable.
Predicted Price: 186.03023009718729, Current Price: 192.01
SELL EXECUTED at 192.01
SELL ORDER COMPLETED at 189.599
OPERATION PROFIT, GROSS 0.7939999999999827, NET 0.41559599999998276
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.315
Date: Wed, 09 Oct 2024 AIC 58.631
Time: 14:41:56 BIC 61.456
Sample: 0 HQIC 58.050
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1276 2.079 -0.061 0.951 -4.202 3.947
ma.L1 -11.1102 270.470 -0.041 0.967 -541.222 519.002
ar.S.L7 -0.3785 0.351 -1.079 0.280 -1.066 0.309
ma.S.L7 1.7064 3.968 0.430 0.667 -6.070 9.483
sigma2 0.0058 0.295 0.020 0.984 -0.572 0.583
===================================================================================
Ljung-Box (L1) (Q): 1.42 Jarque-Bera (JB): 1.24
Prob(Q): 0.23 Prob(JB): 0.54
Heteroskedasticity (H): 0.32 Skew: 0.72
Prob(H) (two-sided): 0.30 Kurtosis: 3.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 190.74338144528085, Current Price: 187.86
BUY EXECUTED at 187.86
BUY ORDER COMPLETED at 187.5501
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.702
Date: Wed, 09 Oct 2024 AIC 57.403
Time: 14:41:56 BIC 60.228
Sample: 0 HQIC 56.823
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8331 0.182 4.568 0.000 0.476 1.191
ma.L1 -1.0000 2.2e+04 -4.55e-05 1.000 -4.31e+04 4.31e+04
ar.S.L7 -0.1738 0.370 -0.470 0.638 -0.899 0.551
ma.S.L7 1.0000 1.91e+05 5.22e-06 1.000 -3.75e+05 3.75e+05
sigma2 1.1938 2.45e+05 4.88e-06 1.000 -4.8e+05 4.8e+05
===================================================================================
Ljung-Box (L1) (Q): 1.56 Jarque-Bera (JB): 0.08
Prob(Q): 0.21 Prob(JB): 0.96
Heteroskedasticity (H): 2.05 Skew: -0.19
Prob(H) (two-sided): 0.50 Kurtosis: 2.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 188.79031656134222, Current Price: 187.15
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.941
Date: Wed, 09 Oct 2024 AIC 59.882
Time: 14:41:56 BIC 62.707
Sample: 0 HQIC 59.302
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1184 57.959 0.002 0.998 -113.478 113.715
ma.L1 -7.6623 3405.105 -0.002 0.998 -6681.546 6666.221
ar.S.L7 -0.2107 0.422 -0.500 0.617 -1.037 0.615
ma.S.L7 1.0001 1.31e+04 7.62e-05 1.000 -2.57e+04 2.57e+04
sigma2 0.0279 380.910 7.31e-05 1.000 -746.542 746.598
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.20
Prob(Q): 0.83 Prob(JB): 0.91
Heteroskedasticity (H): 0.64 Skew: 0.21
Prob(H) (two-sided): 0.67 Kurtosis: 2.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 189.14363471665683, Current Price: 187.84
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.453
Date: Wed, 09 Oct 2024 AIC 58.905
Time: 14:41:56 BIC 61.730
Sample: 0 HQIC 58.325
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4444 3.591 0.124 0.902 -6.594 7.483
ma.L1 -2.7707 30.483 -0.091 0.928 -62.517 56.976
ar.S.L7 -0.1220 0.527 -0.232 0.817 -1.154 0.910
ma.S.L7 1.0001 1.56e+04 6.41e-05 1.000 -3.06e+04 3.06e+04
sigma2 0.1979 3087.187 6.41e-05 1.000 -6050.577 6050.973
===================================================================================
Ljung-Box (L1) (Q): 0.81 Jarque-Bera (JB): 1.40
Prob(Q): 0.37 Prob(JB): 0.50
Heteroskedasticity (H): 0.62 Skew: 0.78
Prob(H) (two-sided): 0.66 Kurtosis: 3.35
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 189.8018769127914, Current Price: 188.15
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.316
Date: Wed, 09 Oct 2024 AIC 62.632
Time: 14:41:56 BIC 65.457
Sample: 0 HQIC 62.052
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1135 1.492 -0.076 0.939 -3.037 2.811
ma.L1 -6.9712 73.410 -0.095 0.924 -150.852 136.910
ar.S.L7 0.1974 0.941 0.210 0.834 -1.647 2.041
ma.S.L7 -9.3957 90.762 -0.104 0.918 -187.286 168.495
sigma2 0.0008 0.022 0.035 0.972 -0.041 0.043
===================================================================================
Ljung-Box (L1) (Q): 0.14 Jarque-Bera (JB): 1.40
Prob(Q): 0.71 Prob(JB): 0.50
Heteroskedasticity (H): 1.25 Skew: 0.77
Prob(H) (two-sided): 0.84 Kurtosis: 3.49
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 189.08766970421297, Current Price: 185.64
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.894
Date: Wed, 09 Oct 2024 AIC 63.787
Time: 14:41:56 BIC 66.612
Sample: 0 HQIC 63.207
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8925 0.431 2.069 0.039 0.047 1.738
ma.L1 -1.4895 1.585 -0.940 0.347 -4.596 1.617
ar.S.L7 0.3127 0.670 0.467 0.641 -1.000 1.625
ma.S.L7 -18.8245 283.550 -0.066 0.947 -574.573 536.924
sigma2 0.0045 0.138 0.033 0.974 -0.266 0.275
===================================================================================
Ljung-Box (L1) (Q): 1.41 Jarque-Bera (JB): 2.55
Prob(Q): 0.24 Prob(JB): 0.28
Heteroskedasticity (H): 0.24 Skew: 0.95
Prob(H) (two-sided): 0.19 Kurtosis: 4.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 183.39935261295167, Current Price: 183.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.052
Date: Wed, 09 Oct 2024 AIC 54.103
Time: 14:41:56 BIC 56.928
Sample: 0 HQIC 53.522
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.9904 0.402 2.464 0.014 0.203 1.778
ma.L1 -1.5216 1.481 -1.027 0.304 -4.424 1.381
ar.S.L7 0.1262 0.691 0.183 0.855 -1.227 1.480
ma.S.L7 1.0002 9331.361 0.000 1.000 -1.83e+04 1.83e+04
sigma2 0.4359 4067.175 0.000 1.000 -7971.081 7971.953
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.02
Prob(Q): 0.88 Prob(JB): 0.99
Heteroskedasticity (H): 0.29 Skew: -0.06
Prob(H) (two-sided): 0.26 Kurtosis: 3.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 184.55712297086316, Current Price: 183.49
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.116
Date: Wed, 09 Oct 2024 AIC 46.231
Time: 14:41:56 BIC 49.056
Sample: 0 HQIC 45.651
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 1.0514 0.141 7.457 0.000 0.775 1.328
ma.L1 -1.7595 0.533 -3.302 0.001 -2.804 -0.715
ar.S.L7 0.2280 0.328 0.694 0.488 -0.416 0.872
ma.S.L7 1.0000 2.76e+04 3.62e-05 1.000 -5.42e+04 5.42e+04
sigma2 0.1785 4933.861 3.62e-05 1.000 -9670.012 9670.369
===================================================================================
Ljung-Box (L1) (Q): 4.07 Jarque-Bera (JB): 1.92
Prob(Q): 0.04 Prob(JB): 0.38
Heteroskedasticity (H): 1.01 Skew: 0.93
Prob(H) (two-sided): 0.99 Kurtosis: 2.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 175.2348935917373, Current Price: 187.63
SELL EXECUTED at 187.63
SELL ORDER COMPLETED at 188.8649
OPERATION PROFIT, GROSS 1.3148000000000195, NET 0.9383850000000196
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.937
Date: Wed, 09 Oct 2024 AIC 69.874
Time: 14:41:56 BIC 72.698
Sample: 0 HQIC 69.293
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3837 3.996 -0.096 0.924 -8.216 7.448
ma.L1 0.5011 4.311 0.116 0.907 -7.949 8.951
ar.S.L7 -0.4035 0.546 -0.739 0.460 -1.474 0.667
ma.S.L7 -1.0000 2.57e+04 -3.9e-05 1.000 -5.03e+04 5.03e+04
sigma2 3.5299 9.06e+04 3.9e-05 1.000 -1.77e+05 1.77e+05
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 0.11
Prob(Q): 0.66 Prob(JB): 0.95
Heteroskedasticity (H): 4.17 Skew: -0.21
Prob(H) (two-sided): 0.20 Kurtosis: 2.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 189.4513637678794, Current Price: 188.73
BUY EXECUTED at 188.73
BUY ORDER COMPLETED at 188.52
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.291
Date: Wed, 09 Oct 2024 AIC 68.582
Time: 14:41:56 BIC 71.407
Sample: 0 HQIC 68.001
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3574 3.814 0.094 0.925 -7.118 7.833
ma.L1 -0.4696 3.580 -0.131 0.896 -7.487 6.548
ar.S.L7 -0.5098 0.449 -1.135 0.256 -1.390 0.370
ma.S.L7 -1.0000 3.55e+04 -2.82e-05 1.000 -6.96e+04 6.96e+04
sigma2 3.1928 1.13e+05 2.82e-05 1.000 -2.22e+05 2.22e+05
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.77
Prob(Q): 0.88 Prob(JB): 0.68
Heteroskedasticity (H): 1.80 Skew: 0.41
Prob(H) (two-sided): 0.58 Kurtosis: 2.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 188.6474881371907, Current Price: 187.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.083
Date: Wed, 09 Oct 2024 AIC 68.166
Time: 14:41:56 BIC 70.991
Sample: 0 HQIC 67.586
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3471 1.566 0.222 0.825 -2.721 3.416
ma.L1 -0.5057 1.514 -0.334 0.738 -3.474 2.462
ar.S.L7 -0.6022 0.380 -1.586 0.113 -1.347 0.142
ma.S.L7 -1.0000 2.06e+04 -4.86e-05 1.000 -4.03e+04 4.03e+04
sigma2 3.0909 6.36e+04 4.86e-05 1.000 -1.25e+05 1.25e+05
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 1.04
Prob(Q): 0.69 Prob(JB): 0.59
Heteroskedasticity (H): 0.70 Skew: 0.56
Prob(H) (two-sided): 0.74 Kurtosis: 2.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 189.38391955009718, Current Price: 187.85
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.385
Date: Wed, 09 Oct 2024 AIC 68.770
Time: 14:41:56 BIC 71.595
Sample: 0 HQIC 68.189
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3542 6.525 -0.054 0.957 -13.142 12.434
ma.L1 0.4170 6.304 0.066 0.947 -11.939 12.773
ar.S.L7 -0.5978 0.345 -1.734 0.083 -1.274 0.078
ma.S.L7 -1.0000 5.34e+04 -1.87e-05 1.000 -1.05e+05 1.05e+05
sigma2 3.2422 1.73e+05 1.87e-05 1.000 -3.39e+05 3.39e+05
===================================================================================
Ljung-Box (L1) (Q): 0.43 Jarque-Bera (JB): 2.00
Prob(Q): 0.51 Prob(JB): 0.37
Heteroskedasticity (H): 0.81 Skew: 0.94
Prob(H) (two-sided): 0.84 Kurtosis: 3.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 188.2454320342964, Current Price: 189.13
SELL EXECUTED at 189.13
SELL ORDER COMPLETED at 188.69
OPERATION PROFIT, GROSS 0.1699999999999875, NET -0.20721000000001255
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.621
Date: Wed, 09 Oct 2024 AIC 69.241
Time: 14:41:56 BIC 72.066
Sample: 0 HQIC 68.661
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3507 2.650 0.132 0.895 -4.842 5.544
ma.L1 -0.4573 2.544 -0.180 0.857 -5.443 4.529
ar.S.L7 -0.6203 0.368 -1.686 0.092 -1.341 0.101
ma.S.L7 -1.0000 3.03e+04 -3.3e-05 1.000 -5.94e+04 5.94e+04
sigma2 3.3591 1.02e+05 3.3e-05 1.000 -1.99e+05 1.99e+05
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 1.90
Prob(Q): 0.79 Prob(JB): 0.39
Heteroskedasticity (H): 0.37 Skew: 0.93
Prob(H) (two-sided): 0.35 Kurtosis: 2.80
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 189.30926856623822, Current Price: 188.1
BUY EXECUTED at 188.1
BUY ORDER COMPLETED at 189.21
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.791
Date: Wed, 09 Oct 2024 AIC 65.583
Time: 14:41:57 BIC 68.407
Sample: 0 HQIC 65.002
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5029 0.132 -3.807 0.000 -0.762 -0.244
ma.L1 0.7093 0.364 1.946 0.052 -0.005 1.424
ar.S.L7 -1.0245 0.666 -1.538 0.124 -2.330 0.281
ma.S.L7 -1.0000 3.4e+04 -2.94e-05 1.000 -6.66e+04 6.66e+04
sigma2 2.4304 8.26e+04 2.94e-05 1.000 -1.62e+05 1.62e+05
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.77
Prob(Q): 0.81 Prob(JB): 0.68
Heteroskedasticity (H): 0.48 Skew: 0.57
Prob(H) (two-sided): 0.49 Kurtosis: 3.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 191.26994609452842, Current Price: 189.43
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.653
Date: Wed, 09 Oct 2024 AIC 55.305
Time: 14:41:57 BIC 58.130
Sample: 0 HQIC 54.725
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0734 0.286 -0.257 0.797 -0.633 0.487
ma.L1 0.5299 0.286 1.854 0.064 -0.030 1.090
ar.S.L7 -1.1438 0.273 -4.187 0.000 -1.679 -0.608
ma.S.L7 -1.0001 6766.363 -0.000 1.000 -1.33e+04 1.33e+04
sigma2 1.1507 7786.030 0.000 1.000 -1.53e+04 1.53e+04
===================================================================================
Ljung-Box (L1) (Q): 0.35 Jarque-Bera (JB): 1.40
Prob(Q): 0.56 Prob(JB): 0.50
Heteroskedasticity (H): 1.28 Skew: 0.08
Prob(H) (two-sided): 0.82 Kurtosis: 1.40
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 182.29559120002446, Current Price: 190.27
SELL EXECUTED at 190.27
SELL ORDER COMPLETED at 190.97
OPERATION PROFIT, GROSS 1.759999999999991, NET 1.379819999999991
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.969
Date: Wed, 09 Oct 2024 AIC 67.938
Time: 14:41:57 BIC 70.763
Sample: 0 HQIC 67.358
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2965 2.608 0.114 0.909 -4.814 5.407
ma.L1 -0.4576 2.228 -0.205 0.837 -4.824 3.909
ar.S.L7 -0.5295 1.755 -0.302 0.763 -3.969 2.910
ma.S.L7 -0.4341 3.381 -0.128 0.898 -7.061 6.193
sigma2 4.6464 6.425 0.723 0.470 -7.947 17.240
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.91
Prob(Q): 0.97 Prob(JB): 0.39
Heteroskedasticity (H): 0.75 Skew: 0.93
Prob(H) (two-sided): 0.79 Kurtosis: 2.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 189.9115318278508, Current Price: 191.72
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.871
Date: Wed, 09 Oct 2024 AIC 65.742
Time: 14:41:57 BIC 68.567
Sample: 0 HQIC 65.161
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5944 0.265 2.246 0.025 0.076 1.113
ma.L1 -1.0000 2.7e+05 -3.71e-06 1.000 -5.29e+05 5.29e+05
ar.S.L7 -0.8374 0.287 -2.920 0.003 -1.399 -0.275
ma.S.L7 1.0000 6.83e+04 1.46e-05 1.000 -1.34e+05 1.34e+05
sigma2 2.2701 5.92e+05 3.84e-06 1.000 -1.16e+06 1.16e+06
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 0.38
Prob(Q): 0.70 Prob(JB): 0.83
Heteroskedasticity (H): 0.44 Skew: 0.25
Prob(H) (two-sided): 0.44 Kurtosis: 2.32
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 188.56695473269133, Current Price: 192.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.645
Date: Wed, 09 Oct 2024 AIC 67.291
Time: 14:41:57 BIC 70.116
Sample: 0 HQIC 66.710
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3684 0.720 -0.512 0.609 -1.779 1.042
ma.L1 0.7218 0.764 0.945 0.345 -0.776 2.219
ar.S.L7 -0.9144 0.314 -2.913 0.004 -1.530 -0.299
ma.S.L7 0.5577 0.913 0.611 0.541 -1.231 2.346
sigma2 4.1046 4.959 0.828 0.408 -5.615 13.824
===================================================================================
Ljung-Box (L1) (Q): 0.29 Jarque-Bera (JB): 1.65
Prob(Q): 0.59 Prob(JB): 0.44
Heteroskedasticity (H): 0.28 Skew: 0.87
Prob(H) (two-sided): 0.24 Kurtosis: 2.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 193.1718619212335, Current Price: 191.47
BUY EXECUTED at 191.47
BUY ORDER COMPLETED at 190.99
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.743
Date: Wed, 09 Oct 2024 AIC 65.486
Time: 14:41:57 BIC 68.311
Sample: 0 HQIC 64.905
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2951 2.655 -0.111 0.911 -5.499 4.908
ma.L1 0.4946 2.337 0.212 0.832 -4.086 5.075
ar.S.L7 -0.9505 0.245 -3.875 0.000 -1.431 -0.470
ma.S.L7 1.0000 1.16e+06 8.63e-07 1.000 -2.27e+06 2.27e+06
sigma2 2.5154 2.91e+06 8.63e-07 1.000 -5.71e+06 5.71e+06
===================================================================================
Ljung-Box (L1) (Q): 0.49 Jarque-Bera (JB): 1.27
Prob(Q): 0.48 Prob(JB): 0.53
Heteroskedasticity (H): 0.41 Skew: 0.75
Prob(H) (two-sided): 0.41 Kurtosis: 2.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 190.4175380018513, Current Price: 191.17
SELL EXECUTED at 191.17
SELL ORDER COMPLETED at 191.44
OPERATION PROFIT, GROSS 0.44999999999998863, NET 0.06756999999998858
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.912
Date: Wed, 09 Oct 2024 AIC 63.825
Time: 14:41:57 BIC 66.649
Sample: 0 HQIC 63.244
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5533 0.411 -1.348 0.178 -1.358 0.251
ma.L1 0.8647 1.064 0.813 0.416 -1.220 2.950
ar.S.L7 -0.8022 0.463 -1.732 0.083 -1.710 0.106
ma.S.L7 1.0000 1.03e+05 9.68e-06 1.000 -2.02e+05 2.02e+05
sigma2 1.9744 2.04e+05 9.68e-06 1.000 -4e+05 4e+05
===================================================================================
Ljung-Box (L1) (Q): 1.29 Jarque-Bera (JB): 0.85
Prob(Q): 0.26 Prob(JB): 0.65
Heteroskedasticity (H): 0.36 Skew: 0.63
Prob(H) (two-sided): 0.34 Kurtosis: 3.01
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 190.9797701011549, Current Price: 190.72
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.658
Date: Wed, 09 Oct 2024 AIC 63.316
Time: 14:41:57 BIC 66.140
Sample: 0 HQIC 62.735
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3793 1.580 -0.240 0.810 -3.476 2.718
ma.L1 0.5826 1.542 0.378 0.706 -2.440 3.605
ar.S.L7 -0.8448 0.309 -2.732 0.006 -1.451 -0.239
ma.S.L7 1.0000 1.97e+05 5.09e-06 1.000 -3.85e+05 3.85e+05
sigma2 2.1226 4.17e+05 5.09e-06 1.000 -8.18e+05 8.18e+05
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 2.38
Prob(Q): 0.85 Prob(JB): 0.30
Heteroskedasticity (H): 0.22 Skew: 0.90
Prob(H) (two-sided): 0.17 Kurtosis: 4.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 190.63282023286607, Current Price: 189.13
BUY EXECUTED at 189.13
BUY ORDER COMPLETED at 189.08
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.912
Date: Wed, 09 Oct 2024 AIC 51.824
Time: 14:41:57 BIC 54.649
Sample: 0 HQIC 51.244
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4132 0.084 -4.899 0.000 -0.578 -0.248
ma.L1 1.0000 2081.069 0.000 1.000 -4077.821 4079.821
ar.S.L7 -0.6220 0.255 -2.437 0.015 -1.122 -0.122
ma.S.L7 0.3490 0.556 0.628 0.530 -0.740 1.438
sigma2 1.1938 2484.795 0.000 1.000 -4868.916 4871.303
===================================================================================
Ljung-Box (L1) (Q): 0.31 Jarque-Bera (JB): 0.74
Prob(Q): 0.58 Prob(JB): 0.69
Heteroskedasticity (H): 1.06 Skew: 0.11
Prob(H) (two-sided): 0.96 Kurtosis: 1.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 191.58033492510617, Current Price: 189.32
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.459
Date: Wed, 09 Oct 2024 AIC 52.919
Time: 14:41:57 BIC 55.743
Sample: 0 HQIC 52.338
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2334 0.355 -0.658 0.510 -0.928 0.462
ma.L1 1.0000 8864.918 0.000 1.000 -1.74e+04 1.74e+04
ar.S.L7 -0.5069 0.099 -5.123 0.000 -0.701 -0.313
ma.S.L7 0.2185 0.446 0.489 0.624 -0.656 1.094
sigma2 1.3618 1.21e+04 0.000 1.000 -2.37e+04 2.37e+04
===================================================================================
Ljung-Box (L1) (Q): 0.50 Jarque-Bera (JB): 0.82
Prob(Q): 0.48 Prob(JB): 0.66
Heteroskedasticity (H): 0.80 Skew: 0.40
Prob(H) (two-sided): 0.83 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 190.26271566877503, Current Price: 189.35
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.668
Date: Wed, 09 Oct 2024 AIC 49.336
Time: 14:41:57 BIC 52.161
Sample: 0 HQIC 48.755
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2651 0.472 -0.561 0.575 -1.191 0.661
ma.L1 1.0000 9525.736 0.000 1.000 -1.87e+04 1.87e+04
ar.S.L7 -0.3927 0.074 -5.311 0.000 -0.538 -0.248
ma.S.L7 -0.4753 0.850 -0.559 0.576 -2.140 1.190
sigma2 1.0132 9651.743 0.000 1.000 -1.89e+04 1.89e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.40
Prob(Q): 0.87 Prob(JB): 0.82
Heteroskedasticity (H): 1.28 Skew: -0.01
Prob(H) (two-sided): 0.82 Kurtosis: 2.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 188.68758185280763, Current Price: 187.87
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.040
Date: Wed, 09 Oct 2024 AIC 50.080
Time: 14:41:57 BIC 52.905
Sample: 0 HQIC 49.499
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2727 0.525 -0.519 0.604 -1.302 0.757
ma.L1 1.0000 1.27e+04 7.86e-05 1.000 -2.49e+04 2.49e+04
ar.S.L7 -0.4168 0.086 -4.856 0.000 -0.585 -0.249
ma.S.L7 -0.3456 0.797 -0.434 0.664 -1.907 1.216
sigma2 1.1173 1.42e+04 7.86e-05 1.000 -2.79e+04 2.79e+04
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 0.75
Prob(Q): 0.69 Prob(JB): 0.69
Heteroskedasticity (H): 1.29 Skew: 0.44
Prob(H) (two-sided): 0.81 Kurtosis: 2.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 187.80404561320887, Current Price: 187.93
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.001
Date: Wed, 09 Oct 2024 AIC 48.003
Time: 14:41:57 BIC 50.828
Sample: 0 HQIC 47.422
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4162 0.222 -1.877 0.060 -0.851 0.018
ma.L1 1.0000 1.72e+04 5.82e-05 1.000 -3.37e+04 3.37e+04
ar.S.L7 -0.4065 0.176 -2.315 0.021 -0.751 -0.062
ma.S.L7 -0.3031 0.693 -0.438 0.662 -1.661 1.055
sigma2 0.9440 1.62e+04 5.82e-05 1.000 -3.18e+04 3.18e+04
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.32
Prob(Q): 0.90 Prob(JB): 0.85
Heteroskedasticity (H): 0.99 Skew: 0.02
Prob(H) (two-sided): 0.99 Kurtosis: 2.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 188.23180514300395, Current Price: 187.5
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.763
Date: Wed, 09 Oct 2024 AIC 51.526
Time: 14:41:57 BIC 54.351
Sample: 0 HQIC 50.946
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4596 0.294 1.564 0.118 -0.116 1.036
ma.L1 -0.1955 0.412 -0.474 0.635 -1.003 0.612
ar.S.L7 -0.4334 0.317 -1.365 0.172 -1.056 0.189
ma.S.L7 -0.5159 1.628 -0.317 0.751 -3.707 2.675
sigma2 1.2472 0.769 1.623 0.105 -0.259 2.754
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 1.22
Prob(Q): 0.88 Prob(JB): 0.54
Heteroskedasticity (H): 0.10 Skew: -0.73
Prob(H) (two-sided): 0.05 Kurtosis: 2.66
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 186.1580481760148, Current Price: 187.87
SELL EXECUTED at 187.87
SELL ORDER COMPLETED at 190.67
OPERATION PROFIT, GROSS 1.589999999999975, NET 1.210249999999975
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.370
Date: Wed, 09 Oct 2024 AIC 50.741
Time: 14:41:57 BIC 53.565
Sample: 0 HQIC 50.160
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5004 0.277 -1.810 0.070 -1.042 0.042
ma.L1 1.0001 852.213 0.001 0.999 -1669.306 1671.306
ar.S.L7 -0.4592 0.273 -1.680 0.093 -0.995 0.076
ma.S.L7 -1.0010 1394.479 -0.001 0.999 -2734.130 2732.128
sigma2 0.7141 776.468 0.001 0.999 -1521.136 1522.564
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.39
Prob(Q): 0.95 Prob(JB): 0.82
Heteroskedasticity (H): 1.02 Skew: 0.11
Prob(H) (two-sided): 0.99 Kurtosis: 2.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 189.90724166801752, Current Price: 189.71
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.743
Date: Wed, 09 Oct 2024 AIC 49.485
Time: 14:41:57 BIC 52.310
Sample: 0 HQIC 48.905
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3371 0.506 -0.667 0.505 -1.328 0.654
ma.L1 1.0000 5.25e+04 1.9e-05 1.000 -1.03e+05 1.03e+05
ar.S.L7 -0.3686 0.186 -1.980 0.048 -0.733 -0.004
ma.S.L7 -1.0001 1.06e+04 -9.43e-05 1.000 -2.08e+04 2.08e+04
sigma2 0.7002 3.64e+04 1.92e-05 1.000 -7.14e+04 7.14e+04
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 0.35
Prob(Q): 0.64 Prob(JB): 0.84
Heteroskedasticity (H): 0.68 Skew: 0.20
Prob(H) (two-sided): 0.71 Kurtosis: 2.31
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 190.8981377691681, Current Price: 187.91
BUY EXECUTED at 187.91
BUY ORDER COMPLETED at 187.31
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.225
Date: Wed, 09 Oct 2024 AIC 54.450
Time: 14:41:57 BIC 57.275
Sample: 0 HQIC 53.869
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3340 0.581 -0.575 0.565 -1.473 0.805
ma.L1 1.0000 4696.362 0.000 1.000 -9203.700 9205.700
ar.S.L7 -0.4539 0.292 -1.557 0.119 -1.025 0.117
ma.S.L7 -0.3340 0.910 -0.367 0.714 -2.118 1.450
sigma2 1.5734 7388.782 0.000 1.000 -1.45e+04 1.45e+04
===================================================================================
Ljung-Box (L1) (Q): 1.04 Jarque-Bera (JB): 0.34
Prob(Q): 0.31 Prob(JB): 0.84
Heteroskedasticity (H): 1.81 Skew: 0.23
Prob(H) (two-sided): 0.58 Kurtosis: 2.34
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 187.5239405382616, Current Price: 185.84
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.516
Date: Wed, 09 Oct 2024 AIC 55.033
Time: 14:41:57 BIC 57.857
Sample: 0 HQIC 54.452
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2101 0.516 -0.408 0.684 -1.221 0.800
ma.L1 1.0000 1.14e+04 8.8e-05 1.000 -2.23e+04 2.23e+04
ar.S.L7 -0.3600 0.375 -0.961 0.337 -1.094 0.374
ma.S.L7 -0.4058 1.274 -0.319 0.750 -2.902 2.091
sigma2 1.6036 1.82e+04 8.8e-05 1.000 -3.57e+04 3.57e+04
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.23
Prob(Q): 0.77 Prob(JB): 0.89
Heteroskedasticity (H): 1.39 Skew: 0.32
Prob(H) (two-sided): 0.76 Kurtosis: 2.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 185.06201903630637, Current Price: 187.37
SELL EXECUTED at 187.37
SELL ORDER COMPLETED at 188.26
OPERATION PROFIT, GROSS 0.9499999999999886, NET 0.5744299999999887
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.534
Date: Wed, 09 Oct 2024 AIC 55.069
Time: 14:41:57 BIC 57.893
Sample: 0 HQIC 54.488
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1637 0.729 -0.225 0.822 -1.593 1.265
ma.L1 1.0000 1.11e+04 8.97e-05 1.000 -2.18e+04 2.18e+04
ar.S.L7 -0.2989 0.289 -1.035 0.301 -0.865 0.267
ma.S.L7 -0.5744 1.813 -0.317 0.751 -4.127 2.979
sigma2 1.4955 1.67e+04 8.97e-05 1.000 -3.27e+04 3.27e+04
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.06
Prob(Q): 0.83 Prob(JB): 0.97
Heteroskedasticity (H): 2.78 Skew: 0.14
Prob(H) (two-sided): 0.35 Kurtosis: 2.84
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 188.97723085234693, Current Price: 187.93
BUY EXECUTED at 187.93
BUY ORDER COMPLETED at 187.23
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.861
Date: Wed, 09 Oct 2024 AIC 55.723
Time: 14:41:57 BIC 58.547
Sample: 0 HQIC 55.142
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2305 0.851 -0.271 0.787 -1.899 1.438
ma.L1 1.1096 1.999 0.555 0.579 -2.809 5.028
ar.S.L7 -0.6736 0.251 -2.685 0.007 -1.165 -0.182
ma.S.L7 1.0000 2.95e+04 3.39e-05 1.000 -5.78e+04 5.78e+04
sigma2 0.8903 2.62e+04 3.39e-05 1.000 -5.14e+04 5.14e+04
===================================================================================
Ljung-Box (L1) (Q): 0.76 Jarque-Bera (JB): 0.94
Prob(Q): 0.38 Prob(JB): 0.63
Heteroskedasticity (H): 1.67 Skew: 0.38
Prob(H) (two-sided): 0.63 Kurtosis: 1.92
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 185.87356747394432, Current Price: 187.22
SELL EXECUTED at 187.22
SELL ORDER COMPLETED at 187.45
OPERATION PROFIT, GROSS 0.21999999999999886, NET -0.15468000000000115
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.903
Date: Wed, 09 Oct 2024 AIC 55.806
Time: 14:41:57 BIC 58.630
Sample: 0 HQIC 55.225
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2255 0.980 -0.230 0.818 -2.147 1.696
ma.L1 0.8480 1.118 0.759 0.448 -1.343 3.039
ar.S.L7 -0.6612 0.341 -1.936 0.053 -1.331 0.008
ma.S.L7 0.2582 0.729 0.354 0.723 -1.171 1.687
sigma2 1.8574 1.713 1.084 0.278 -1.500 5.215
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.85
Prob(Q): 0.85 Prob(JB): 0.65
Heteroskedasticity (H): 1.13 Skew: 0.49
Prob(H) (two-sided): 0.91 Kurtosis: 2.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 187.6996870341928, Current Price: 187.95
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.459
Date: Wed, 09 Oct 2024 AIC 52.918
Time: 14:41:57 BIC 55.743
Sample: 0 HQIC 52.337
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2331 0.833 -0.280 0.779 -1.865 1.399
ma.L1 1.1449 1.489 0.769 0.442 -1.774 4.064
ar.S.L7 -0.6706 0.326 -2.058 0.040 -1.309 -0.032
ma.S.L7 0.3058 0.645 0.474 0.635 -0.959 1.570
sigma2 1.1083 2.392 0.463 0.643 -3.580 5.796
===================================================================================
Ljung-Box (L1) (Q): 0.42 Jarque-Bera (JB): 0.65
Prob(Q): 0.52 Prob(JB): 0.72
Heteroskedasticity (H): 2.19 Skew: 0.41
Prob(H) (two-sided): 0.47 Kurtosis: 2.28
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 188.11265273432662, Current Price: 186.4
BUY EXECUTED at 186.4
BUY ORDER COMPLETED at 187.34
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.974
Date: Wed, 09 Oct 2024 AIC 51.949
Time: 14:41:57 BIC 54.773
Sample: 0 HQIC 51.368
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3128 1.033 -0.303 0.762 -2.337 1.712
ma.L1 0.7616 0.941 0.809 0.418 -1.083 2.606
ar.S.L7 -0.9431 0.319 -2.954 0.003 -1.569 -0.317
ma.S.L7 0.4975 0.869 0.573 0.567 -1.205 2.200
sigma2 1.2940 0.970 1.334 0.182 -0.607 3.195
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 0.23
Prob(Q): 0.65 Prob(JB): 0.89
Heteroskedasticity (H): 1.00 Skew: -0.29
Prob(H) (two-sided): 1.00 Kurtosis: 2.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 185.45704351115833, Current Price: 187.14
SELL EXECUTED at 187.14
SELL ORDER COMPLETED at 187.27
OPERATION PROFIT, GROSS -0.06999999999999318, NET -0.4446099999999932
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.374
Date: Wed, 09 Oct 2024 AIC 52.748
Time: 14:41:57 BIC 55.573
Sample: 0 HQIC 52.167
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4009 0.081 -4.936 0.000 -0.560 -0.242
ma.L1 1.0000 1.58e+04 6.32e-05 1.000 -3.1e+04 3.1e+04
ar.S.L7 -1.0209 0.240 -4.248 0.000 -1.492 -0.550
ma.S.L7 0.5933 1.064 0.557 0.577 -1.493 2.679
sigma2 1.1187 1.77e+04 6.32e-05 1.000 -3.47e+04 3.47e+04
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.60
Prob(Q): 0.80 Prob(JB): 0.74
Heteroskedasticity (H): 0.87 Skew: -0.47
Prob(H) (two-sided): 0.89 Kurtosis: 2.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 186.57528175903838, Current Price: 187.01
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.933
Date: Wed, 09 Oct 2024 AIC 53.866
Time: 14:41:57 BIC 56.691
Sample: 0 HQIC 53.285
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2979 0.697 -0.428 0.669 -1.663 1.068
ma.L1 1.0000 3.03e+04 3.3e-05 1.000 -5.94e+04 5.94e+04
ar.S.L7 -0.9989 0.248 -4.027 0.000 -1.485 -0.513
ma.S.L7 0.3061 0.514 0.595 0.552 -0.702 1.314
sigma2 1.4328 4.34e+04 3.3e-05 1.000 -8.51e+04 8.51e+04
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.54
Prob(Q): 0.85 Prob(JB): 0.76
Heteroskedasticity (H): 0.82 Skew: -0.03
Prob(H) (two-sided): 0.86 Kurtosis: 2.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 185.11948335952798, Current Price: 188.33
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.732
Date: Wed, 09 Oct 2024 AIC 57.463
Time: 14:41:57 BIC 60.288
Sample: 0 HQIC 56.883
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6153 0.771 -0.798 0.425 -2.126 0.895
ma.L1 0.6826 0.799 0.855 0.393 -0.883 2.248
ar.S.L7 -0.4816 0.309 -1.558 0.119 -1.087 0.124
ma.S.L7 -0.3828 0.721 -0.531 0.595 -1.796 1.030
sigma2 2.0677 1.383 1.495 0.135 -0.644 4.779
===================================================================================
Ljung-Box (L1) (Q): 0.43 Jarque-Bera (JB): 0.95
Prob(Q): 0.51 Prob(JB): 0.62
Heteroskedasticity (H): 0.60 Skew: -0.48
Prob(H) (two-sided): 0.63 Kurtosis: 2.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 188.46191753237568, Current Price: 188.59
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.354
Date: Wed, 09 Oct 2024 AIC 56.709
Time: 14:41:57 BIC 59.534
Sample: 0 HQIC 56.128
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5982 1.348 -0.444 0.657 -3.241 2.044
ma.L1 0.6695 1.494 0.448 0.654 -2.259 3.598
ar.S.L7 -0.4367 0.336 -1.300 0.194 -1.095 0.222
ma.S.L7 -1.0001 9193.162 -0.000 1.000 -1.8e+04 1.8e+04
sigma2 1.2331 1.13e+04 0.000 1.000 -2.22e+04 2.22e+04
===================================================================================
Ljung-Box (L1) (Q): 0.56 Jarque-Bera (JB): 0.69
Prob(Q): 0.46 Prob(JB): 0.71
Heteroskedasticity (H): 0.40 Skew: -0.39
Prob(H) (two-sided): 0.39 Kurtosis: 2.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 188.1678781420385, Current Price: 188.45
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.216
Date: Wed, 09 Oct 2024 AIC 56.432
Time: 14:41:57 BIC 59.256
Sample: 0 HQIC 55.851
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2759 1.485 -0.186 0.853 -3.186 2.634
ma.L1 0.4925 1.391 0.354 0.723 -2.235 3.220
ar.S.L7 -0.7575 0.493 -1.537 0.124 -1.723 0.208
ma.S.L7 0.0564 0.690 0.082 0.935 -1.296 1.409
sigma2 2.0798 1.292 1.610 0.107 -0.452 4.611
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 1.20
Prob(Q): 0.70 Prob(JB): 0.55
Heteroskedasticity (H): 0.30 Skew: -0.68
Prob(H) (two-sided): 0.27 Kurtosis: 2.40
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 189.15532028143824, Current Price: 190.41
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.186
Date: Wed, 09 Oct 2024 AIC 54.371
Time: 14:41:57 BIC 57.196
Sample: 0 HQIC 53.791
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1410 0.981 0.144 0.886 -1.781 2.063
ma.L1 -0.5038 0.944 -0.534 0.594 -2.355 1.347
ar.S.L7 -0.1942 0.365 -0.532 0.595 -0.910 0.522
ma.S.L7 -2.0453 3.900 -0.524 0.600 -9.688 5.598
sigma2 0.3811 1.407 0.271 0.787 -2.377 3.139
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 1.92
Prob(Q): 0.85 Prob(JB): 0.38
Heteroskedasticity (H): 0.84 Skew: -0.94
Prob(H) (two-sided): 0.87 Kurtosis: 2.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 189.50487399681188, Current Price: 188.61
BUY EXECUTED at 188.61
BUY ORDER COMPLETED at 186.875
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.774
Date: Wed, 09 Oct 2024 AIC 53.548
Time: 14:41:57 BIC 56.373
Sample: 0 HQIC 52.968
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3198 1.020 0.313 0.754 -1.680 2.319
ma.L1 -0.6111 0.812 -0.753 0.452 -2.202 0.980
ar.S.L7 -0.1408 0.359 -0.392 0.695 -0.845 0.563
ma.S.L7 -1.0006 1035.306 -0.001 0.999 -2030.163 2028.161
sigma2 1.0003 1035.831 0.001 0.999 -2029.191 2031.192
===================================================================================
Ljung-Box (L1) (Q): 0.86 Jarque-Bera (JB): 1.29
Prob(Q): 0.35 Prob(JB): 0.53
Heteroskedasticity (H): 0.69 Skew: -0.73
Prob(H) (two-sided): 0.73 Kurtosis: 2.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 188.31813415731574, Current Price: 187.57
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.668
Date: Wed, 09 Oct 2024 AIC 49.336
Time: 14:41:57 BIC 52.161
Sample: 0 HQIC 48.756
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2437 0.818 0.298 0.766 -1.359 1.846
ma.L1 -0.5869 0.600 -0.978 0.328 -1.763 0.589
ar.S.L7 -0.4720 0.293 -1.609 0.108 -1.047 0.103
ma.S.L7 -0.1587 0.528 -0.301 0.764 -1.194 0.876
sigma2 1.1926 0.951 1.254 0.210 -0.672 3.057
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.90
Prob(Q): 0.81 Prob(JB): 0.64
Heteroskedasticity (H): 3.24 Skew: -0.57
Prob(H) (two-sided): 0.28 Kurtosis: 2.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 186.73776454338966, Current Price: 188.55
SELL EXECUTED at 188.55
SELL ORDER COMPLETED at 188.45
OPERATION PROFIT, GROSS 1.5749999999999886, NET 1.1996749999999885
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.743
Date: Wed, 09 Oct 2024 AIC 49.485
Time: 14:41:58 BIC 52.310
Sample: 0 HQIC 48.904
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4315 0.159 2.713 0.007 0.120 0.743
ma.L1 -0.5593 0.421 -1.330 0.184 -1.383 0.265
ar.S.L7 -0.5360 0.163 -3.288 0.001 -0.856 -0.216
ma.S.L7 1.0000 1.23e+04 8.14e-05 1.000 -2.41e+04 2.41e+04
sigma2 0.7170 8803.907 8.14e-05 1.000 -1.73e+04 1.73e+04
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.86
Prob(Q): 0.83 Prob(JB): 0.65
Heteroskedasticity (H): 1.29 Skew: -0.31
Prob(H) (two-sided): 0.81 Kurtosis: 1.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 190.18297011782084, Current Price: 188.5
BUY EXECUTED at 188.5
BUY ORDER COMPLETED at 187.91
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.813
Date: Wed, 09 Oct 2024 AIC 51.627
Time: 14:41:58 BIC 54.451
Sample: 0 HQIC 51.046
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0382 1.029 -0.037 0.970 -2.055 1.979
ma.L1 -0.3156 0.942 -0.335 0.738 -2.162 1.531
ar.S.L7 -0.4173 0.247 -1.692 0.091 -0.901 0.066
ma.S.L7 -15.4682 134.054 -0.115 0.908 -278.209 247.273
sigma2 0.0060 0.108 0.055 0.956 -0.206 0.218
===================================================================================
Ljung-Box (L1) (Q): 0.40 Jarque-Bera (JB): 1.29
Prob(Q): 0.53 Prob(JB): 0.52
Heteroskedasticity (H): 1.26 Skew: -0.49
Prob(H) (two-sided): 0.83 Kurtosis: 1.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 189.18990895772689, Current Price: 188.33
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.537
Date: Wed, 09 Oct 2024 AIC 51.073
Time: 14:41:58 BIC 53.898
Sample: 0 HQIC 50.493
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1144 1.238 -0.092 0.926 -2.541 2.312
ma.L1 -0.1921 1.304 -0.147 0.883 -2.749 2.364
ar.S.L7 -0.4405 0.173 -2.552 0.011 -0.779 -0.102
ma.S.L7 0.4419 0.706 0.626 0.531 -0.942 1.825
sigma2 1.2656 1.192 1.062 0.288 -1.070 3.601
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 1.43
Prob(Q): 0.83 Prob(JB): 0.49
Heteroskedasticity (H): 1.20 Skew: -0.30
Prob(H) (two-sided): 0.86 Kurtosis: 1.49
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 188.39162350966626, Current Price: 187.6
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.628
Date: Wed, 09 Oct 2024 AIC 51.256
Time: 14:41:58 BIC 54.081
Sample: 0 HQIC 50.676
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1224 1.267 -0.097 0.923 -2.606 2.361
ma.L1 -0.1425 1.364 -0.104 0.917 -2.817 2.532
ar.S.L7 -0.4491 0.168 -2.674 0.008 -0.778 -0.120
ma.S.L7 0.3089 0.585 0.528 0.598 -0.839 1.456
sigma2 1.3446 1.483 0.907 0.364 -1.561 4.251
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 1.58
Prob(Q): 0.84 Prob(JB): 0.45
Heteroskedasticity (H): 0.69 Skew: -0.07
Prob(H) (two-sided): 0.73 Kurtosis: 1.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 189.5316306276073, Current Price: 187.11
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.102
Date: Wed, 09 Oct 2024 AIC 52.204
Time: 14:41:58 BIC 55.029
Sample: 0 HQIC 51.623
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0666 1.837 0.036 0.971 -3.533 3.666
ma.L1 -0.2868 1.971 -0.146 0.884 -4.149 3.576
ar.S.L7 -0.3235 0.377 -0.859 0.390 -1.062 0.415
ma.S.L7 -0.1105 0.662 -0.167 0.867 -1.407 1.186
sigma2 1.4975 1.131 1.324 0.186 -0.720 3.715
===================================================================================
Ljung-Box (L1) (Q): 0.38 Jarque-Bera (JB): 1.11
Prob(Q): 0.54 Prob(JB): 0.57
Heteroskedasticity (H): 1.05 Skew: -0.12
Prob(H) (two-sided): 0.96 Kurtosis: 1.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 186.02145248862755, Current Price: 184.53
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.194
Date: Wed, 09 Oct 2024 AIC 48.387
Time: 14:41:58 BIC 51.212
Sample: 0 HQIC 47.807
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3643 1.190 -0.306 0.760 -2.697 1.968
ma.L1 0.6710 0.850 0.790 0.430 -0.994 2.336
ar.S.L7 -0.1354 0.700 -0.193 0.847 -1.508 1.237
ma.S.L7 -0.1385 0.757 -0.183 0.855 -1.622 1.345
sigma2 1.1122 1.281 0.868 0.385 -1.399 3.623
===================================================================================
Ljung-Box (L1) (Q): 0.85 Jarque-Bera (JB): 0.49
Prob(Q): 0.36 Prob(JB): 0.78
Heteroskedasticity (H): 3.05 Skew: 0.00
Prob(H) (two-sided): 0.31 Kurtosis: 2.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 183.8586046632409, Current Price: 184.42
SELL EXECUTED at 184.42
SELL ORDER COMPLETED at 185.6
OPERATION PROFIT, GROSS -2.3100000000000023, NET -2.6835100000000023
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.864
Date: Wed, 09 Oct 2024 AIC 47.729
Time: 14:41:58 BIC 50.553
Sample: 0 HQIC 47.148
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1784 113.356 0.002 0.999 -221.996 222.353
ma.L1 -0.1818 113.293 -0.002 0.999 -222.233 221.869
ar.S.L7 -0.0967 0.567 -0.171 0.865 -1.208 1.014
ma.S.L7 -0.3398 0.850 -0.400 0.689 -2.006 1.327
sigma2 1.0158 0.588 1.729 0.084 -0.136 2.168
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 0.34
Prob(Q): 0.68 Prob(JB): 0.85
Heteroskedasticity (H): 2.88 Skew: 0.34
Prob(H) (two-sided): 0.33 Kurtosis: 2.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 184.67856570685507, Current Price: 185.66
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -19.487
Date: Wed, 09 Oct 2024 AIC 48.974
Time: 14:41:58 BIC 51.799
Sample: 0 HQIC 48.393
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1925 33.148 0.006 0.995 -64.777 65.162
ma.L1 -0.2046 33.090 -0.006 0.995 -65.059 64.650
ar.S.L7 -0.1831 0.341 -0.537 0.591 -0.852 0.485
ma.S.L7 -0.0525 0.495 -0.106 0.916 -1.024 0.919
sigma2 1.1723 0.753 1.557 0.120 -0.304 2.648
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.43
Prob(Q): 0.81 Prob(JB): 0.81
Heteroskedasticity (H): 2.22 Skew: 0.07
Prob(H) (two-sided): 0.46 Kurtosis: 2.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 185.92665557676648, Current Price: 186.34
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.455
Date: Wed, 09 Oct 2024 AIC 46.909
Time: 14:41:58 BIC 49.734
Sample: 0 HQIC 46.329
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6920 2.163 0.320 0.749 -3.547 4.931
ma.L1 -0.6413 2.754 -0.233 0.816 -6.039 4.757
ar.S.L7 -0.0422 0.444 -0.095 0.924 -0.913 0.828
ma.S.L7 -1.0001 1.81e+04 -5.53e-05 1.000 -3.55e+04 3.55e+04
sigma2 0.5780 1.05e+04 5.53e-05 1.000 -2.05e+04 2.05e+04
===================================================================================
Ljung-Box (L1) (Q): 0.10 Jarque-Bera (JB): 0.78
Prob(Q): 0.75 Prob(JB): 0.68
Heteroskedasticity (H): 0.46 Skew: -0.11
Prob(H) (two-sided): 0.47 Kurtosis: 1.82
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 186.42092784919453, Current Price: 187.47
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -18.557
Date: Wed, 09 Oct 2024 AIC 47.113
Time: 14:41:58 BIC 49.938
Sample: 0 HQIC 46.532
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5056 2.523 0.200 0.841 -4.438 5.450
ma.L1 -0.3952 2.633 -0.150 0.881 -5.556 4.766
ar.S.L7 0.0164 0.197 0.083 0.934 -0.370 0.402
ma.S.L7 -1.0001 1.39e+04 -7.2e-05 1.000 -2.72e+04 2.72e+04
sigma2 0.6135 8517.763 7.2e-05 1.000 -1.67e+04 1.67e+04
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 0.78
Prob(Q): 0.64 Prob(JB): 0.68
Heteroskedasticity (H): 0.34 Skew: -0.22
Prob(H) (two-sided): 0.32 Kurtosis: 1.89
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 187.0513152302731, Current Price: 187.48
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.348
Date: Wed, 09 Oct 2024 AIC 44.696
Time: 14:41:58 BIC 47.521
Sample: 0 HQIC 44.116
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7345 0.351 -2.092 0.036 -1.423 -0.046
ma.L1 1.0000 1.16e+04 8.64e-05 1.000 -2.27e+04 2.27e+04
ar.S.L7 0.0364 0.230 0.159 0.874 -0.414 0.487
ma.S.L7 -1.0001 1.35e+04 -7.43e-05 1.000 -2.64e+04 2.64e+04
sigma2 0.4509 9902.621 4.55e-05 1.000 -1.94e+04 1.94e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.98
Prob(Q): 0.95 Prob(JB): 0.61
Heteroskedasticity (H): 0.29 Skew: -0.16
Prob(H) (two-sided): 0.25 Kurtosis: 1.69
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 187.91659762560883, Current Price: 187.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -17.228
Date: Wed, 09 Oct 2024 AIC 44.457
Time: 14:41:58 BIC 47.281
Sample: 0 HQIC 43.876
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3467 0.380 -0.911 0.362 -1.092 0.399
ma.L1 1.0000 7976.780 0.000 1.000 -1.56e+04 1.56e+04
ar.S.L7 -0.4412 0.404 -1.093 0.274 -1.232 0.350
ma.S.L7 0.0723 0.594 0.122 0.903 -1.092 1.237
sigma2 0.7445 5938.553 0.000 1.000 -1.16e+04 1.16e+04
===================================================================================
Ljung-Box (L1) (Q): 0.91 Jarque-Bera (JB): 0.52
Prob(Q): 0.34 Prob(JB): 0.77
Heteroskedasticity (H): 0.22 Skew: -0.45
Prob(H) (two-sided): 0.18 Kurtosis: 2.62
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 185.35726205455234, Current Price: 188.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.574
Date: Wed, 09 Oct 2024 AIC 53.148
Time: 14:41:58 BIC 55.972
Sample: 0 HQIC 52.567
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2191 2.140 -0.102 0.918 -4.413 3.975
ma.L1 -0.1226 1.722 -0.071 0.943 -3.498 3.253
ar.S.L7 -0.3210 0.428 -0.750 0.453 -1.160 0.518
ma.S.L7 -1.0000 4.39e+04 -2.28e-05 1.000 -8.61e+04 8.61e+04
sigma2 0.9744 4.28e+04 2.28e-05 1.000 -8.39e+04 8.39e+04
===================================================================================
Ljung-Box (L1) (Q): 0.36 Jarque-Bera (JB): 0.60
Prob(Q): 0.55 Prob(JB): 0.74
Heteroskedasticity (H): 2.21 Skew: 0.24
Prob(H) (two-sided): 0.46 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 187.5243015322836, Current Price: 188.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.569
Date: Wed, 09 Oct 2024 AIC 51.139
Time: 14:41:58 BIC 53.964
Sample: 0 HQIC 50.558
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3122 0.570 0.548 0.584 -0.804 1.429
ma.L1 -1.2993 1.031 -1.260 0.208 -3.321 0.722
ar.S.L7 -1.0518 0.345 -3.053 0.002 -1.727 -0.377
ma.S.L7 -0.0656 0.371 -0.177 0.860 -0.793 0.661
sigma2 0.8134 1.330 0.612 0.541 -1.793 3.420
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.45
Prob(Q): 0.97 Prob(JB): 0.80
Heteroskedasticity (H): 5.22 Skew: 0.19
Prob(H) (two-sided): 0.14 Kurtosis: 2.18
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 188.34589111215854, Current Price: 188.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.372
Date: Wed, 09 Oct 2024 AIC 50.743
Time: 14:41:58 BIC 53.568
Sample: 0 HQIC 50.163
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3996 0.130 -3.073 0.002 -0.654 -0.145
ma.L1 1.0000 5062.056 0.000 1.000 -9920.448 9922.448
ar.S.L7 -0.5839 0.587 -0.995 0.320 -1.734 0.566
ma.S.L7 0.0643 1.783 0.036 0.971 -3.430 3.559
sigma2 1.1988 6068.479 0.000 1.000 -1.19e+04 1.19e+04
===================================================================================
Ljung-Box (L1) (Q): 1.40 Jarque-Bera (JB): 5.08
Prob(Q): 0.24 Prob(JB): 0.08
Heteroskedasticity (H): 5.09 Skew: 1.35
Prob(H) (two-sided): 0.14 Kurtosis: 4.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 188.7606437338026, Current Price: 188.34
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.439
Date: Wed, 09 Oct 2024 AIC 50.878
Time: 14:41:58 BIC 53.703
Sample: 0 HQIC 50.298
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6871 0.977 -0.703 0.482 -2.602 1.228
ma.L1 1.0000 8943.019 0.000 1.000 -1.75e+04 1.75e+04
ar.S.L7 -0.6040 0.627 -0.963 0.336 -1.834 0.626
ma.S.L7 -0.2453 1.232 -0.199 0.842 -2.660 2.170
sigma2 1.1552 1.03e+04 0.000 1.000 -2.02e+04 2.02e+04
===================================================================================
Ljung-Box (L1) (Q): 1.30 Jarque-Bera (JB): 4.04
Prob(Q): 0.25 Prob(JB): 0.13
Heteroskedasticity (H): 2.64 Skew: 1.21
Prob(H) (two-sided): 0.37 Kurtosis: 4.27
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 188.20608433408094, Current Price: 189.31
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -20.327
Date: Wed, 09 Oct 2024 AIC 50.654
Time: 14:41:58 BIC 53.479
Sample: 0 HQIC 50.074
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6417 0.760 -0.844 0.399 -2.132 0.849
ma.L1 0.8056 0.809 0.995 0.320 -0.781 2.392
ar.S.L7 -0.5885 0.677 -0.869 0.385 -1.916 0.739
ma.S.L7 -0.2414 1.089 -0.222 0.825 -2.377 1.894
sigma2 1.2556 0.695 1.808 0.071 -0.106 2.617
===================================================================================
Ljung-Box (L1) (Q): 0.60 Jarque-Bera (JB): 3.28
Prob(Q): 0.44 Prob(JB): 0.19
Heteroskedasticity (H): 0.45 Skew: 1.11
Prob(H) (two-sided): 0.45 Kurtosis: 4.05
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 189.0477433628298, Current Price: 192.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.057
Date: Wed, 09 Oct 2024 AIC 56.115
Time: 14:41:58 BIC 58.940
Sample: 0 HQIC 55.534
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4113 0.562 -0.732 0.464 -1.512 0.689
ma.L1 1.0000 7990.556 0.000 1.000 -1.57e+04 1.57e+04
ar.S.L7 -0.2974 1.587 -0.187 0.851 -3.407 2.812
ma.S.L7 -0.0838 3.006 -0.028 0.978 -5.976 5.808
sigma2 1.8384 1.47e+04 0.000 1.000 -2.88e+04 2.88e+04
===================================================================================
Ljung-Box (L1) (Q): 0.99 Jarque-Bera (JB): 1.36
Prob(Q): 0.32 Prob(JB): 0.51
Heteroskedasticity (H): 27.89 Skew: 0.79
Prob(H) (two-sided): 0.01 Kurtosis: 3.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 194.0875256350785, Current Price: 196.01
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.883
Date: Wed, 09 Oct 2024 AIC 57.766
Time: 14:41:58 BIC 60.591
Sample: 0 HQIC 57.185
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3389 0.389 -0.871 0.384 -1.102 0.424
ma.L1 1.0000 7.75e+04 1.29e-05 1.000 -1.52e+05 1.52e+05
ar.S.L7 -0.3379 1.560 -0.217 0.829 -3.395 2.719
ma.S.L7 -0.0076 2.947 -0.003 0.998 -5.783 5.768
sigma2 2.0676 1.6e+05 1.29e-05 1.000 -3.14e+05 3.14e+05
===================================================================================
Ljung-Box (L1) (Q): 0.38 Jarque-Bera (JB): 0.38
Prob(Q): 0.54 Prob(JB): 0.83
Heteroskedasticity (H): 7.39 Skew: 0.38
Prob(H) (two-sided): 0.08 Kurtosis: 2.67
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 196.35292877022536, Current Price: 197.19
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.167
Date: Wed, 09 Oct 2024 AIC 58.333
Time: 14:41:58 BIC 61.158
Sample: 0 HQIC 57.753
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3623 0.390 -0.928 0.353 -1.127 0.403
ma.L1 0.9999 1150.623 0.001 0.999 -2254.181 2256.180
ar.S.L7 -0.2930 1.641 -0.179 0.858 -3.509 2.923
ma.S.L7 0.0511 1.768 0.029 0.977 -3.414 3.516
sigma2 2.1466 2469.751 0.001 0.999 -4838.476 4842.769
===================================================================================
Ljung-Box (L1) (Q): 0.52 Jarque-Bera (JB): 0.32
Prob(Q): 0.47 Prob(JB): 0.85
Heteroskedasticity (H): 12.10 Skew: 0.38
Prob(H) (two-sided): 0.03 Kurtosis: 2.88
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 196.9189581217755, Current Price: 198.81
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.489
Date: Wed, 09 Oct 2024 AIC 58.977
Time: 14:41:58 BIC 61.802
Sample: 0 HQIC 58.397
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2772 0.377 -0.735 0.462 -1.016 0.462
ma.L1 1.0000 4855.223 0.000 1.000 -9515.062 9517.062
ar.S.L7 -0.3986 1.219 -0.327 0.744 -2.788 1.990
ma.S.L7 0.0696 1.392 0.050 0.960 -2.659 2.798
sigma2 2.2404 1.09e+04 0.000 1.000 -2.13e+04 2.13e+04
===================================================================================
Ljung-Box (L1) (Q): 0.59 Jarque-Bera (JB): 0.13
Prob(Q): 0.44 Prob(JB): 0.94
Heteroskedasticity (H): 10.32 Skew: 0.16
Prob(H) (two-sided): 0.04 Kurtosis: 2.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 199.9783290599027, Current Price: 199.94
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.559
Date: Wed, 09 Oct 2024 AIC 59.118
Time: 14:41:58 BIC 61.943
Sample: 0 HQIC 58.538
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5027 0.949 0.529 0.596 -1.358 2.363
ma.L1 0.1514 1.030 0.147 0.883 -1.868 2.171
ar.S.L7 -0.0789 0.624 -0.126 0.899 -1.303 1.145
ma.S.L7 -1.0001 7146.027 -0.000 1.000 -1.4e+04 1.4e+04
sigma2 1.5431 1.1e+04 0.000 1.000 -2.16e+04 2.16e+04
===================================================================================
Ljung-Box (L1) (Q): 0.41 Jarque-Bera (JB): 0.77
Prob(Q): 0.52 Prob(JB): 0.68
Heteroskedasticity (H): 0.16 Skew: 0.56
Prob(H) (two-sided): 0.10 Kurtosis: 3.38
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 200.4033414896001, Current Price: 201.63
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.597
Date: Wed, 09 Oct 2024 AIC 59.194
Time: 14:41:58 BIC 62.019
Sample: 0 HQIC 58.613
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6045 0.867 0.697 0.486 -1.095 2.304
ma.L1 0.0014 0.927 0.001 0.999 -1.815 1.818
ar.S.L7 -0.0039 0.015 -0.269 0.788 -0.032 0.025
ma.S.L7 -1.0003 4014.610 -0.000 1.000 -7869.491 7867.491
sigma2 1.6182 6497.726 0.000 1.000 -1.27e+04 1.27e+04
===================================================================================
Ljung-Box (L1) (Q): 0.30 Jarque-Bera (JB): 0.83
Prob(Q): 0.58 Prob(JB): 0.66
Heteroskedasticity (H): 0.15 Skew: 0.61
Prob(H) (two-sided): 0.09 Kurtosis: 3.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 203.030194467056, Current Price: 202.0
BUY EXECUTED at 202.0
BUY ORDER COMPLETED at 200.42
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.525
Date: Wed, 09 Oct 2024 AIC 59.050
Time: 14:41:58 BIC 61.875
Sample: 0 HQIC 58.470
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1371 0.351 -0.391 0.696 -0.824 0.550
ma.L1 0.9997 75.742 0.013 0.989 -147.451 149.450
ar.S.L7 -0.1735 0.543 -0.320 0.749 -1.238 0.891
ma.S.L7 -1.0000 3.12e+04 -3.2e-05 1.000 -6.12e+04 6.12e+04
sigma2 1.4457 4.52e+04 3.2e-05 1.000 -8.85e+04 8.86e+04
===================================================================================
Ljung-Box (L1) (Q): 0.67 Jarque-Bera (JB): 0.67
Prob(Q): 0.41 Prob(JB): 0.72
Heteroskedasticity (H): 0.23 Skew: -0.35
Prob(H) (two-sided): 0.18 Kurtosis: 2.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 201.41402198696775, Current Price: 199.79
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.936
Date: Wed, 09 Oct 2024 AIC 59.871
Time: 14:41:58 BIC 62.696
Sample: 0 HQIC 59.291
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0177 0.408 0.043 0.965 -0.782 0.817
ma.L1 1.0000 3527.065 0.000 1.000 -6911.920 6913.920
ar.S.L7 -0.2834 0.550 -0.515 0.606 -1.361 0.794
ma.S.L7 -1.0001 1.32e+04 -7.55e-05 1.000 -2.6e+04 2.6e+04
sigma2 1.5281 2.41e+04 6.34e-05 1.000 -4.73e+04 4.73e+04
===================================================================================
Ljung-Box (L1) (Q): 0.37 Jarque-Bera (JB): 0.61
Prob(Q): 0.54 Prob(JB): 0.74
Heteroskedasticity (H): 0.28 Skew: -0.28
Prob(H) (two-sided): 0.25 Kurtosis: 2.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 198.65462148159438, Current Price: 201.19
SELL EXECUTED at 201.19
SELL ORDER COMPLETED at 200.37
OPERATION PROFIT, GROSS -0.04999999999998295, NET -0.4507899999999829
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.746
Date: Wed, 09 Oct 2024 AIC 57.491
Time: 14:41:58 BIC 60.316
Sample: 0 HQIC 56.911
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1199 0.470 -0.255 0.799 -1.041 0.801
ma.L1 1.0000 1.67e+04 5.97e-05 1.000 -3.28e+04 3.28e+04
ar.S.L7 -0.3624 0.534 -0.678 0.497 -1.409 0.685
ma.S.L7 -0.4376 1.062 -0.412 0.680 -2.518 1.643
sigma2 1.9086 3.19e+04 5.97e-05 1.000 -6.26e+04 6.26e+04
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.56
Prob(Q): 0.72 Prob(JB): 0.76
Heteroskedasticity (H): 3.48 Skew: -0.16
Prob(H) (two-sided): 0.25 Kurtosis: 2.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 203.16465741519656, Current Price: 200.35
BUY EXECUTED at 200.35
BUY ORDER COMPLETED at 199.94
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.888
Date: Wed, 09 Oct 2024 AIC 59.777
Time: 14:41:59 BIC 62.601
Sample: 0 HQIC 59.196
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3937 0.715 -0.551 0.582 -1.795 1.008
ma.L1 1.0000 6347.851 0.000 1.000 -1.24e+04 1.24e+04
ar.S.L7 -0.2759 0.433 -0.638 0.524 -1.124 0.572
ma.S.L7 -1.0002 3880.378 -0.000 1.000 -7606.402 7604.402
sigma2 1.5445 6420.843 0.000 1.000 -1.26e+04 1.26e+04
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.62
Prob(Q): 0.77 Prob(JB): 0.73
Heteroskedasticity (H): 1.55 Skew: -0.14
Prob(H) (two-sided): 0.68 Kurtosis: 1.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 198.7348932513058, Current Price: 199.71
SELL EXECUTED at 199.71
SELL ORDER COMPLETED at 199.66
OPERATION PROFIT, GROSS -0.28000000000000114, NET -0.6796000000000011
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.312
Date: Wed, 09 Oct 2024 AIC 58.624
Time: 14:41:59 BIC 61.449
Sample: 0 HQIC 58.043
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6076 0.745 0.815 0.415 -0.853 2.069
ma.L1 -0.2241 0.829 -0.270 0.787 -1.849 1.400
ar.S.L7 -0.5352 0.685 -0.782 0.434 -1.877 0.807
ma.S.L7 -1.0002 7412.164 -0.000 1.000 -1.45e+04 1.45e+04
sigma2 1.4412 1.07e+04 0.000 1.000 -2.09e+04 2.09e+04
===================================================================================
Ljung-Box (L1) (Q): 0.19 Jarque-Bera (JB): 0.34
Prob(Q): 0.66 Prob(JB): 0.85
Heteroskedasticity (H): 0.78 Skew: 0.28
Prob(H) (two-sided): 0.82 Kurtosis: 2.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 200.24937559225557, Current Price: 200.03
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.022
Date: Wed, 09 Oct 2024 AIC 58.045
Time: 14:41:59 BIC 60.870
Sample: 0 HQIC 57.464
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6333 0.900 0.704 0.482 -1.130 2.397
ma.L1 -0.1852 0.905 -0.205 0.838 -1.960 1.589
ar.S.L7 -0.5923 0.719 -0.824 0.410 -2.001 0.816
ma.S.L7 -1.0001 1e+04 -9.97e-05 1.000 -1.97e+04 1.97e+04
sigma2 1.3782 1.38e+04 9.96e-05 1.000 -2.71e+04 2.71e+04
===================================================================================
Ljung-Box (L1) (Q): 0.36 Jarque-Bera (JB): 0.53
Prob(Q): 0.55 Prob(JB): 0.77
Heteroskedasticity (H): 0.67 Skew: 0.44
Prob(H) (two-sided): 0.71 Kurtosis: 2.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 200.00192533240136, Current Price: 199.8
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.682
Date: Wed, 09 Oct 2024 AIC 57.363
Time: 14:41:59 BIC 60.188
Sample: 0 HQIC 56.783
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7275 0.624 1.165 0.244 -0.496 1.951
ma.L1 -0.3005 0.747 -0.403 0.687 -1.764 1.163
ar.S.L7 -0.6629 0.711 -0.932 0.351 -2.057 0.731
ma.S.L7 -1.0001 1.34e+04 -7.47e-05 1.000 -2.62e+04 2.62e+04
sigma2 1.3065 1.75e+04 7.47e-05 1.000 -3.43e+04 3.43e+04
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 1.43
Prob(Q): 0.79 Prob(JB): 0.49
Heteroskedasticity (H): 0.19 Skew: 0.80
Prob(H) (two-sided): 0.14 Kurtosis: 2.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 200.80838500128846, Current Price: 202.18
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -21.334
Date: Wed, 09 Oct 2024 AIC 52.669
Time: 14:41:59 BIC 55.494
Sample: 0 HQIC 52.088
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6860 0.280 2.453 0.014 0.138 1.234
ma.L1 -0.3104 0.316 -0.982 0.326 -0.930 0.309
ar.S.L7 -0.7108 0.603 -1.179 0.238 -1.892 0.470
ma.S.L7 -1.0002 6326.479 -0.000 1.000 -1.24e+04 1.24e+04
sigma2 0.9105 5761.169 0.000 1.000 -1.13e+04 1.13e+04
===================================================================================
Ljung-Box (L1) (Q): 1.58 Jarque-Bera (JB): 0.36
Prob(Q): 0.21 Prob(JB): 0.84
Heteroskedasticity (H): 0.47 Skew: 0.31
Prob(H) (two-sided): 0.48 Kurtosis: 2.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 205.52743310645414, Current Price: 201.97
BUY EXECUTED at 201.97
BUY ORDER COMPLETED at 201.32
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.478
Date: Wed, 09 Oct 2024 AIC 54.957
Time: 14:41:59 BIC 57.782
Sample: 0 HQIC 54.376
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3117 2.671 0.117 0.907 -4.923 5.546
ma.L1 -0.2360 2.874 -0.082 0.935 -5.869 5.397
ar.S.L7 -0.4271 0.494 -0.865 0.387 -1.395 0.541
ma.S.L7 -0.7536 3.290 -0.229 0.819 -7.201 5.694
sigma2 1.4065 3.846 0.366 0.715 -6.131 8.944
===================================================================================
Ljung-Box (L1) (Q): 0.95 Jarque-Bera (JB): 1.00
Prob(Q): 0.33 Prob(JB): 0.61
Heteroskedasticity (H): 1.56 Skew: -0.45
Prob(H) (two-sided): 0.68 Kurtosis: 1.98
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 203.2539878062565, Current Price: 200.35
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.138
Date: Wed, 09 Oct 2024 AIC 60.277
Time: 14:41:59 BIC 63.102
Sample: 0 HQIC 59.696
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3859 0.391 -0.988 0.323 -1.152 0.380
ma.L1 0.8844 0.474 1.866 0.062 -0.045 1.813
ar.S.L7 -0.4775 0.461 -1.037 0.300 -1.380 0.425
ma.S.L7 -1.0001 7336.841 -0.000 1.000 -1.44e+04 1.44e+04
sigma2 1.7027 1.25e+04 0.000 1.000 -2.45e+04 2.45e+04
===================================================================================
Ljung-Box (L1) (Q): 1.71 Jarque-Bera (JB): 1.24
Prob(Q): 0.19 Prob(JB): 0.54
Heteroskedasticity (H): 1.60 Skew: -0.04
Prob(H) (two-sided): 0.66 Kurtosis: 1.49
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 200.8754796720614, Current Price: 200.99
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.849
Date: Wed, 09 Oct 2024 AIC 61.697
Time: 14:41:59 BIC 64.522
Sample: 0 HQIC 61.116
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3024 3.155 0.096 0.924 -5.881 6.486
ma.L1 -0.1138 3.023 -0.038 0.970 -6.038 5.811
ar.S.L7 -0.6305 0.317 -1.989 0.047 -1.252 -0.009
ma.S.L7 -0.2914 0.824 -0.354 0.724 -1.907 1.324
sigma2 3.0161 1.799 1.677 0.094 -0.510 6.542
===================================================================================
Ljung-Box (L1) (Q): 0.59 Jarque-Bera (JB): 1.14
Prob(Q): 0.44 Prob(JB): 0.57
Heteroskedasticity (H): 1.91 Skew: -0.56
Prob(H) (two-sided): 0.55 Kurtosis: 2.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 201.78989489336396, Current Price: 201.64
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.045
Date: Wed, 09 Oct 2024 AIC 62.089
Time: 14:41:59 BIC 64.914
Sample: 0 HQIC 61.509
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3524 2.894 0.122 0.903 -5.320 6.025
ma.L1 -0.2015 3.067 -0.066 0.948 -6.213 5.810
ar.S.L7 -0.6212 0.289 -2.149 0.032 -1.188 -0.055
ma.S.L7 -0.1307 0.762 -0.172 0.864 -1.624 1.362
sigma2 3.1978 2.388 1.339 0.181 -1.483 7.878
===================================================================================
Ljung-Box (L1) (Q): 0.94 Jarque-Bera (JB): 0.90
Prob(Q): 0.33 Prob(JB): 0.64
Heteroskedasticity (H): 1.39 Skew: -0.51
Prob(H) (two-sided): 0.76 Kurtosis: 2.20
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 202.39405966237925, Current Price: 203.1
SELL EXECUTED at 203.1
SELL ORDER COMPLETED at 204.54
OPERATION PROFIT, GROSS 3.219999999999999, NET 2.8141399999999988
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.308
Date: Wed, 09 Oct 2024 AIC 60.616
Time: 14:41:59 BIC 63.441
Sample: 0 HQIC 60.035
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5321 0.594 -0.896 0.370 -1.696 0.632
ma.L1 1.0000 5.6e+04 1.78e-05 1.000 -1.1e+05 1.1e+05
ar.S.L7 -0.6119 0.483 -1.267 0.205 -1.559 0.335
ma.S.L7 -0.2671 1.082 -0.247 0.805 -2.388 1.853
sigma2 2.4430 1.37e+05 1.78e-05 1.000 -2.68e+05 2.68e+05
===================================================================================
Ljung-Box (L1) (Q): 1.26 Jarque-Bera (JB): 1.18
Prob(Q): 0.26 Prob(JB): 0.56
Heteroskedasticity (H): 0.63 Skew: -0.35
Prob(H) (two-sided): 0.66 Kurtosis: 1.71
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 204.92693061654552, Current Price: 205.72
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.269
Date: Wed, 09 Oct 2024 AIC 60.538
Time: 14:41:59 BIC 63.363
Sample: 0 HQIC 59.958
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4235 0.308 -1.373 0.170 -1.028 0.181
ma.L1 1.0000 4.79e+04 2.09e-05 1.000 -9.38e+04 9.38e+04
ar.S.L7 -0.6294 0.500 -1.259 0.208 -1.609 0.350
ma.S.L7 -0.3762 1.215 -0.310 0.757 -2.758 2.006
sigma2 2.4583 1.18e+05 2.09e-05 1.000 -2.31e+05 2.31e+05
===================================================================================
Ljung-Box (L1) (Q): 1.00 Jarque-Bera (JB): 1.59
Prob(Q): 0.32 Prob(JB): 0.45
Heteroskedasticity (H): 0.15 Skew: -0.43
Prob(H) (two-sided): 0.09 Kurtosis: 1.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 206.32585117979465, Current Price: 207.82
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -22.836
Date: Wed, 09 Oct 2024 AIC 55.672
Time: 14:41:59 BIC 58.497
Sample: 0 HQIC 55.092
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7211 0.258 2.793 0.005 0.215 1.227
ma.L1 -1.0000 9.12e+04 -1.1e-05 1.000 -1.79e+05 1.79e+05
ar.S.L7 -0.4337 0.287 -1.508 0.131 -0.997 0.130
ma.S.L7 0.0493 0.603 0.082 0.935 -1.133 1.231
sigma2 1.6877 1.54e+05 1.1e-05 1.000 -3.02e+05 3.02e+05
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 3.02
Prob(Q): 0.92 Prob(JB): 0.22
Heteroskedasticity (H): 2.32 Skew: -0.99
Prob(H) (two-sided): 0.43 Kurtosis: 4.28
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 206.2942662744818, Current Price: 210.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -24.377
Date: Wed, 09 Oct 2024 AIC 58.753
Time: 14:41:59 BIC 61.578
Sample: 0 HQIC 58.172
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7183 0.384 1.871 0.061 -0.034 1.471
ma.L1 -3.8086 9.818 -0.388 0.698 -23.051 15.434
ar.S.L7 -0.5428 0.240 -2.260 0.024 -1.013 -0.072
ma.S.L7 -1.0002 6006.298 -0.000 1.000 -1.18e+04 1.18e+04
sigma2 0.1003 602.255 0.000 1.000 -1180.297 1180.498
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.55
Prob(Q): 0.94 Prob(JB): 0.76
Heteroskedasticity (H): 5.11 Skew: -0.24
Prob(H) (two-sided): 0.14 Kurtosis: 2.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 214.57910233313117, Current Price: 212.74
BUY EXECUTED at 212.74
BUY ORDER COMPLETED at 212.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.125
Date: Wed, 09 Oct 2024 AIC 60.251
Time: 14:41:59 BIC 63.075
Sample: 0 HQIC 59.670
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5802 0.768 0.756 0.450 -0.924 2.085
ma.L1 -0.3418 0.835 -0.409 0.682 -1.979 1.295
ar.S.L7 -0.4603 0.552 -0.834 0.404 -1.542 0.621
ma.S.L7 -0.8268 5.967 -0.139 0.890 -12.521 10.868
sigma2 1.9187 10.565 0.182 0.856 -18.788 22.625
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.08
Prob(Q): 0.83 Prob(JB): 0.96
Heteroskedasticity (H): 3.19 Skew: -0.16
Prob(H) (two-sided): 0.29 Kurtosis: 3.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 212.95443105577618, Current Price: 211.52
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -23.791
Date: Wed, 09 Oct 2024 AIC 57.581
Time: 14:41:59 BIC 60.406
Sample: 0 HQIC 57.001
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3660 0.436 -0.839 0.401 -1.221 0.489
ma.L1 1.0000 5786.545 0.000 1.000 -1.13e+04 1.13e+04
ar.S.L7 -0.4494 0.296 -1.516 0.129 -1.030 0.132
ma.S.L7 -1.0003 2583.150 -0.000 1.000 -5063.881 5061.880
sigma2 1.3045 9252.584 0.000 1.000 -1.81e+04 1.81e+04
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.80
Prob(Q): 0.83 Prob(JB): 0.67
Heteroskedasticity (H): 1.67 Skew: 0.40
Prob(H) (two-sided): 0.63 Kurtosis: 2.09
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 212.1094225956142, Current Price: 215.14
SELL EXECUTED at 215.14
SELL ORDER COMPLETED at 215.98
OPERATION PROFIT, GROSS 3.9799999999999898, NET 3.55201999999999
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.739
Date: Wed, 09 Oct 2024 AIC 65.479
Time: 14:41:59 BIC 68.303
Sample: 0 HQIC 64.898
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6995 1.201 0.583 0.560 -1.654 3.053
ma.L1 -1.8176 3.456 -0.526 0.599 -8.591 4.955
ar.S.L7 -0.4146 0.803 -0.517 0.605 -1.988 1.158
ma.S.L7 -0.6051 3.245 -0.186 0.852 -6.966 5.755
sigma2 1.0343 3.938 0.263 0.793 -6.683 8.752
===================================================================================
Ljung-Box (L1) (Q): 0.26 Jarque-Bera (JB): 0.20
Prob(Q): 0.61 Prob(JB): 0.91
Heteroskedasticity (H): 1.72 Skew: -0.28
Prob(H) (two-sided): 0.61 Kurtosis: 2.79
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 216.32146184319583, Current Price: 216.48
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.588
Date: Wed, 09 Oct 2024 AIC 65.175
Time: 14:41:59 BIC 68.000
Sample: 0 HQIC 64.595
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7281 1.581 0.461 0.645 -2.370 3.826
ma.L1 -1.7413 5.052 -0.345 0.730 -11.643 8.161
ar.S.L7 -0.3954 0.796 -0.497 0.619 -1.955 1.164
ma.S.L7 -0.5315 2.111 -0.252 0.801 -4.670 3.607
sigma2 1.1513 5.379 0.214 0.831 -9.392 11.695
===================================================================================
Ljung-Box (L1) (Q): 0.42 Jarque-Bera (JB): 0.31
Prob(Q): 0.52 Prob(JB): 0.86
Heteroskedasticity (H): 0.87 Skew: -0.38
Prob(H) (two-sided): 0.90 Kurtosis: 3.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 217.73678809762993, Current Price: 217.67
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.928
Date: Wed, 09 Oct 2024 AIC 63.855
Time: 14:41:59 BIC 66.680
Sample: 0 HQIC 63.275
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8988 0.906 0.992 0.321 -0.878 2.675
ma.L1 -1.2829 2.246 -0.571 0.568 -5.686 3.120
ar.S.L7 -0.2876 0.934 -0.308 0.758 -2.117 1.542
ma.S.L7 -0.7298 4.884 -0.149 0.881 -10.303 8.843
sigma2 1.6047 6.274 0.256 0.798 -10.693 13.902
===================================================================================
Ljung-Box (L1) (Q): 0.59 Jarque-Bera (JB): 0.10
Prob(Q): 0.44 Prob(JB): 0.95
Heteroskedasticity (H): 1.17 Skew: -0.19
Prob(H) (two-sided): 0.88 Kurtosis: 2.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 219.96565494021465, Current Price: 215.61
BUY EXECUTED at 215.61
BUY ORDER COMPLETED at 216.85
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.920
Date: Wed, 09 Oct 2024 AIC 67.841
Time: 14:41:59 BIC 70.665
Sample: 0 HQIC 67.260
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2913 5.991 0.049 0.961 -11.450 12.033
ma.L1 -5.8042 212.379 -0.027 0.978 -422.060 410.451
ar.S.L7 -0.5557 0.845 -0.657 0.511 -2.212 1.101
ma.S.L7 -1.0063 268.249 -0.004 0.997 -526.764 524.752
sigma2 0.0883 29.381 0.003 0.998 -57.498 57.675
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.27
Prob(Q): 0.74 Prob(JB): 0.87
Heteroskedasticity (H): 2.32 Skew: -0.32
Prob(H) (two-sided): 0.44 Kurtosis: 2.69
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 213.9793750586042, Current Price: 219.8
SELL EXECUTED at 219.8
SELL ORDER COMPLETED at 221.87
OPERATION PROFIT, GROSS 5.02000000000001, NET 4.58128000000001
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.890
Date: Wed, 09 Oct 2024 AIC 67.780
Time: 14:41:59 BIC 70.604
Sample: 0 HQIC 67.199
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4103 8.835 0.046 0.963 -16.906 17.726
ma.L1 -2.5968 61.912 -0.042 0.967 -123.942 118.748
ar.S.L7 -0.2674 0.892 -0.300 0.764 -2.016 1.481
ma.S.L7 -0.0147 1.108 -0.013 0.989 -2.187 2.157
sigma2 0.7395 35.399 0.021 0.983 -68.641 70.120
===================================================================================
Ljung-Box (L1) (Q): 0.30 Jarque-Bera (JB): 1.42
Prob(Q): 0.58 Prob(JB): 0.49
Heteroskedasticity (H): 2.99 Skew: -0.79
Prob(H) (two-sided): 0.31 Kurtosis: 3.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 220.69401532976454, Current Price: 216.89
BUY EXECUTED at 216.89
BUY ORDER COMPLETED at 217.94
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.757
Date: Wed, 09 Oct 2024 AIC 69.514
Time: 14:41:59 BIC 72.339
Sample: 0 HQIC 68.934
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0977 2.017 -0.048 0.961 -4.052 3.856
ma.L1 -13.2593 378.319 -0.035 0.972 -754.751 728.232
ar.S.L7 -0.3896 0.838 -0.465 0.642 -2.032 1.253
ma.S.L7 -0.1884 1.359 -0.139 0.890 -2.852 2.475
sigma2 0.0320 1.825 0.018 0.986 -3.545 3.609
===================================================================================
Ljung-Box (L1) (Q): 0.49 Jarque-Bera (JB): 1.03
Prob(Q): 0.49 Prob(JB): 0.60
Heteroskedasticity (H): 4.53 Skew: -0.69
Prob(H) (two-sided): 0.17 Kurtosis: 2.93
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 217.112488652163, Current Price: 220.95
SELL EXECUTED at 220.95
SELL ORDER COMPLETED at 220.18
OPERATION PROFIT, GROSS 2.240000000000009, NET 1.801880000000009
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.541
Date: Wed, 09 Oct 2024 AIC 69.082
Time: 14:41:59 BIC 71.906
Sample: 0 HQIC 68.501
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.1241 0.409 -2.746 0.006 -1.926 -0.322
ma.L1 0.7746 0.439 1.765 0.078 -0.086 1.635
ar.S.L7 -0.2725 0.420 -0.649 0.516 -1.095 0.550
ma.S.L7 -0.6045 2.127 -0.284 0.776 -4.774 3.565
sigma2 4.4558 7.481 0.596 0.551 -10.207 19.119
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.85
Prob(Q): 0.79 Prob(JB): 0.66
Heteroskedasticity (H): 0.91 Skew: -0.62
Prob(H) (two-sided): 0.93 Kurtosis: 2.87
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 217.9080561823076, Current Price: 221.22
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.705
Date: Wed, 09 Oct 2024 AIC 69.411
Time: 14:41:59 BIC 72.236
Sample: 0 HQIC 68.830
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9397 0.372 -2.526 0.012 -1.669 -0.211
ma.L1 0.6476 0.507 1.278 0.201 -0.346 1.641
ar.S.L7 -0.2133 0.447 -0.477 0.633 -1.089 0.662
ma.S.L7 -0.4934 1.549 -0.318 0.750 -3.530 2.543
sigma2 4.9346 6.018 0.820 0.412 -6.860 16.730
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 1.35
Prob(Q): 0.72 Prob(JB): 0.51
Heteroskedasticity (H): 0.34 Skew: -0.78
Prob(H) (two-sided): 0.32 Kurtosis: 2.75
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 224.18486993472436, Current Price: 219.59
BUY EXECUTED at 219.59
BUY ORDER COMPLETED at 221.31
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.414
Date: Wed, 09 Oct 2024 AIC 70.828
Time: 14:41:59 BIC 73.653
Sample: 0 HQIC 70.247
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4827 0.645 -0.748 0.454 -1.747 0.782
ma.L1 0.0971 0.821 0.118 0.906 -1.512 1.706
ar.S.L7 -0.1708 0.479 -0.357 0.721 -1.109 0.767
ma.S.L7 -1.0001 2.35e+04 -4.25e-05 1.000 -4.61e+04 4.61e+04
sigma2 3.7975 8.94e+04 4.25e-05 1.000 -1.75e+05 1.75e+05
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 1.10
Prob(Q): 0.68 Prob(JB): 0.58
Heteroskedasticity (H): 0.91 Skew: -0.67
Prob(H) (two-sided): 0.93 Kurtosis: 2.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 221.76297089974153, Current Price: 220.34
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.462
Date: Wed, 09 Oct 2024 AIC 70.924
Time: 14:41:59 BIC 73.749
Sample: 0 HQIC 70.344
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7615 0.399 -1.909 0.056 -1.543 0.020
ma.L1 0.5247 0.621 0.845 0.398 -0.692 1.741
ar.S.L7 -0.2564 0.519 -0.494 0.621 -1.274 0.761
ma.S.L7 -1.0002 6374.040 -0.000 1.000 -1.25e+04 1.25e+04
sigma2 3.6978 2.36e+04 0.000 1.000 -4.62e+04 4.62e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.91
Prob(Q): 0.86 Prob(JB): 0.63
Heteroskedasticity (H): 0.95 Skew: -0.38
Prob(H) (two-sided): 0.96 Kurtosis: 1.94
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 221.78253111516892, Current Price: 221.03
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.497
Date: Wed, 09 Oct 2024 AIC 68.995
Time: 14:41:59 BIC 71.819
Sample: 0 HQIC 68.414
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6579 0.468 -1.406 0.160 -1.575 0.259
ma.L1 0.4120 0.748 0.551 0.582 -1.053 1.877
ar.S.L7 -0.3530 0.594 -0.595 0.552 -1.517 0.811
ma.S.L7 -1.0001 1.18e+04 -8.48e-05 1.000 -2.31e+04 2.31e+04
sigma2 3.1873 3.76e+04 8.48e-05 1.000 -7.36e+04 7.36e+04
===================================================================================
Ljung-Box (L1) (Q): 0.30 Jarque-Bera (JB): 0.74
Prob(Q): 0.59 Prob(JB): 0.69
Heteroskedasticity (H): 0.93 Skew: -0.19
Prob(H) (two-sided): 0.94 Kurtosis: 1.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 222.65778520690927, Current Price: 215.57
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -33.142
Date: Wed, 09 Oct 2024 AIC 76.283
Time: 14:41:59 BIC 79.108
Sample: 0 HQIC 75.703
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4420 0.793 -0.557 0.577 -1.997 1.113
ma.L1 0.2586 1.226 0.211 0.833 -2.144 2.661
ar.S.L7 -0.4777 0.984 -0.486 0.627 -2.406 1.451
ma.S.L7 -1.0000 3.71e+04 -2.7e-05 1.000 -7.26e+04 7.26e+04
sigma2 5.7667 2.14e+05 2.7e-05 1.000 -4.19e+05 4.19e+05
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.32
Prob(Q): 0.91 Prob(JB): 0.85
Heteroskedasticity (H): 5.88 Skew: -0.32
Prob(H) (two-sided): 0.11 Kurtosis: 2.59
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 217.32330495636174, Current Price: 215.04
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -33.564
Date: Wed, 09 Oct 2024 AIC 77.128
Time: 14:41:59 BIC 79.953
Sample: 0 HQIC 76.548
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3329 29.305 -0.011 0.991 -57.771 57.105
ma.L1 0.3211 29.477 0.011 0.991 -57.453 58.096
ar.S.L7 -0.5974 0.841 -0.710 0.478 -2.246 1.052
ma.S.L7 -1.0002 1.08e+04 -9.26e-05 1.000 -2.12e+04 2.12e+04
sigma2 6.1632 6.66e+04 9.26e-05 1.000 -1.3e+05 1.31e+05
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.40
Prob(Q): 0.88 Prob(JB): 0.82
Heteroskedasticity (H): 2.60 Skew: -0.43
Prob(H) (two-sided): 0.38 Kurtosis: 2.96
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 213.48861766002105, Current Price: 214.64
SELL EXECUTED at 214.64
SELL ORDER COMPLETED at 214.47
OPERATION PROFIT, GROSS -6.840000000000003, NET -7.275780000000004
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.981
Date: Wed, 09 Oct 2024 AIC 75.962
Time: 14:42:00 BIC 78.786
Sample: 0 HQIC 75.381
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5185 0.859 0.603 0.546 -1.166 2.203
ma.L1 -0.3906 0.773 -0.505 0.614 -1.906 1.125
ar.S.L7 -0.7107 0.575 -1.237 0.216 -1.837 0.416
ma.S.L7 -1.0002 8916.927 -0.000 1.000 -1.75e+04 1.75e+04
sigma2 5.4997 4.9e+04 0.000 1.000 -9.61e+04 9.61e+04
===================================================================================
Ljung-Box (L1) (Q): 0.46 Jarque-Bera (JB): 0.23
Prob(Q): 0.50 Prob(JB): 0.89
Heteroskedasticity (H): 2.01 Skew: -0.29
Prob(H) (two-sided): 0.52 Kurtosis: 2.68
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 216.99312210791257, Current Price: 215.92
BUY EXECUTED at 215.92
BUY ORDER COMPLETED at 216.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.709
Date: Wed, 09 Oct 2024 AIC 73.418
Time: 14:42:00 BIC 76.243
Sample: 0 HQIC 72.838
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8637 0.229 -3.777 0.000 -1.312 -0.416
ma.L1 0.9999 844.064 0.001 0.999 -1653.334 1655.334
ar.S.L7 -0.7931 0.707 -1.122 0.262 -2.179 0.593
ma.S.L7 -1.0002 7311.265 -0.000 1.000 -1.43e+04 1.43e+04
sigma2 4.0945 3.1e+04 0.000 1.000 -6.08e+04 6.08e+04
===================================================================================
Ljung-Box (L1) (Q): 0.36 Jarque-Bera (JB): 2.61
Prob(Q): 0.55 Prob(JB): 0.27
Heteroskedasticity (H): 5.47 Skew: -0.92
Prob(H) (two-sided): 0.13 Kurtosis: 4.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 217.75962637442342, Current Price: 216.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.267
Date: Wed, 09 Oct 2024 AIC 74.534
Time: 14:42:00 BIC 77.359
Sample: 0 HQIC 73.954
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8708 0.273 -3.188 0.001 -1.406 -0.335
ma.L1 1.0000 1.14e+04 8.79e-05 1.000 -2.23e+04 2.23e+04
ar.S.L7 -0.7507 0.785 -0.957 0.339 -2.289 0.787
ma.S.L7 -1.0004 4402.757 -0.000 1.000 -8630.246 8628.245
sigma2 4.4587 5.74e+04 7.77e-05 1.000 -1.13e+05 1.13e+05
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 1.79
Prob(Q): 0.77 Prob(JB): 0.41
Heteroskedasticity (H): 0.35 Skew: -0.75
Prob(H) (two-sided): 0.33 Kurtosis: 4.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 218.9546868874945, Current Price: 216.18
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.760
Date: Wed, 09 Oct 2024 AIC 73.521
Time: 14:42:00 BIC 76.346
Sample: 0 HQIC 72.940
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8019 0.251 -3.189 0.001 -1.295 -0.309
ma.L1 1.0000 1.94e+04 5.14e-05 1.000 -3.81e+04 3.81e+04
ar.S.L7 -0.7785 0.967 -0.805 0.421 -2.673 1.116
ma.S.L7 -0.1686 2.198 -0.077 0.939 -4.476 4.139
sigma2 6.6489 1.29e+05 5.14e-05 1.000 -2.53e+05 2.53e+05
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 6.71
Prob(Q): 0.79 Prob(JB): 0.03
Heteroskedasticity (H): 0.61 Skew: -1.37
Prob(H) (two-sided): 0.65 Kurtosis: 5.21
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 214.77025633783498, Current Price: 211.87
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.003
Date: Wed, 09 Oct 2024 AIC 72.007
Time: 14:42:00 BIC 74.831
Sample: 0 HQIC 71.426
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7311 0.623 1.174 0.241 -0.490 1.952
ma.L1 -0.4194 0.646 -0.649 0.516 -1.685 0.847
ar.S.L7 -0.9419 0.412 -2.285 0.022 -1.750 -0.134
ma.S.L7 -0.5787 1.573 -0.368 0.713 -3.661 2.503
sigma2 5.7724 9.987 0.578 0.563 -13.801 25.346
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 1.62
Prob(Q): 0.66 Prob(JB): 0.45
Heteroskedasticity (H): 0.48 Skew: 0.84
Prob(H) (two-sided): 0.49 Kurtosis: 3.41
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 217.00187046669424, Current Price: 213.79
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.088
Date: Wed, 09 Oct 2024 AIC 74.176
Time: 14:42:00 BIC 77.001
Sample: 0 HQIC 73.595
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4009 1.467 0.273 0.785 -2.473 3.275
ma.L1 -0.1452 1.422 -0.102 0.919 -2.932 2.641
ar.S.L7 -0.8905 0.708 -1.257 0.209 -2.279 0.498
ma.S.L7 -0.1637 1.200 -0.136 0.892 -2.516 2.188
sigma2 8.1098 5.940 1.365 0.172 -3.532 19.751
===================================================================================
Ljung-Box (L1) (Q): 0.51 Jarque-Bera (JB): 2.09
Prob(Q): 0.48 Prob(JB): 0.35
Heteroskedasticity (H): 0.39 Skew: -0.59
Prob(H) (two-sided): 0.38 Kurtosis: 4.57
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 210.7330916345909, Current Price: 213.13
SELL EXECUTED at 213.13
SELL ORDER COMPLETED at 212.89
OPERATION PROFIT, GROSS -3.880000000000024, NET -4.309660000000024
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.824
Date: Wed, 09 Oct 2024 AIC 69.647
Time: 14:42:00 BIC 72.472
Sample: 0 HQIC 69.067
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2354 0.861 -0.273 0.785 -1.923 1.452
ma.L1 1.0000 3.06e+04 3.27e-05 1.000 -6e+04 6e+04
ar.S.L7 -1.0337 0.107 -9.617 0.000 -1.244 -0.823
ma.S.L7 1.0000 2.97e+04 3.37e-05 1.000 -5.82e+04 5.82e+04
sigma2 2.9535 1.44e+05 2.05e-05 1.000 -2.83e+05 2.83e+05
===================================================================================
Ljung-Box (L1) (Q): 0.13 Jarque-Bera (JB): 2.36
Prob(Q): 0.72 Prob(JB): 0.31
Heteroskedasticity (H): 1.76 Skew: -0.81
Prob(H) (two-sided): 0.60 Kurtosis: 4.31
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 218.4644942631723, Current Price: 212.96
BUY EXECUTED at 212.96
BUY ORDER COMPLETED at 215.14
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.920
Date: Wed, 09 Oct 2024 AIC 73.839
Time: 14:42:00 BIC 76.664
Sample: 0 HQIC 73.259
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3919 4.132 0.095 0.924 -7.707 8.491
ma.L1 -0.2989 4.146 -0.072 0.943 -8.425 7.827
ar.S.L7 -0.4345 0.727 -0.598 0.550 -1.859 0.991
ma.S.L7 -1.0000 2.27e+04 -4.41e-05 1.000 -4.44e+04 4.44e+04
sigma2 4.7922 1.09e+05 4.41e-05 1.000 -2.13e+05 2.13e+05
===================================================================================
Ljung-Box (L1) (Q): 2.51 Jarque-Bera (JB): 7.46
Prob(Q): 0.11 Prob(JB): 0.02
Heteroskedasticity (H): 0.22 Skew: -1.48
Prob(H) (two-sided): 0.18 Kurtosis: 5.24
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 214.6423645047978, Current Price: 215.2
SELL EXECUTED at 215.2
SELL ORDER COMPLETED at 214.52
OPERATION PROFIT, GROSS -0.6199999999999761, NET -1.0496599999999763
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.006
Date: Wed, 09 Oct 2024 AIC 74.012
Time: 14:42:00 BIC 76.836
Sample: 0 HQIC 73.431
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4171 2.783 -0.150 0.881 -5.872 5.038
ma.L1 0.2284 2.973 0.077 0.939 -5.598 6.055
ar.S.L7 -0.2857 0.744 -0.384 0.701 -1.745 1.173
ma.S.L7 -1.0000 3.24e+04 -3.09e-05 1.000 -6.35e+04 6.35e+04
sigma2 4.8474 1.57e+05 3.09e-05 1.000 -3.08e+05 3.08e+05
===================================================================================
Ljung-Box (L1) (Q): 2.19 Jarque-Bera (JB): 7.17
Prob(Q): 0.14 Prob(JB): 0.03
Heteroskedasticity (H): 0.10 Skew: -1.46
Prob(H) (two-sided): 0.05 Kurtosis: 5.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 215.0675150606023, Current Price: 214.21
BUY EXECUTED at 214.21
BUY ORDER COMPLETED at 213.62
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.970
Date: Wed, 09 Oct 2024 AIC 73.940
Time: 14:42:00 BIC 76.765
Sample: 0 HQIC 73.360
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3894 2.781 -0.140 0.889 -5.840 5.061
ma.L1 0.2173 2.719 0.080 0.936 -5.111 5.546
ar.S.L7 -0.3375 0.726 -0.465 0.642 -1.760 1.086
ma.S.L7 -1.0001 1.82e+04 -5.49e-05 1.000 -3.57e+04 3.57e+04
sigma2 4.8230 8.78e+04 5.49e-05 1.000 -1.72e+05 1.72e+05
===================================================================================
Ljung-Box (L1) (Q): 1.80 Jarque-Bera (JB): 6.98
Prob(Q): 0.18 Prob(JB): 0.03
Heteroskedasticity (H): 0.13 Skew: -1.48
Prob(H) (two-sided): 0.07 Kurtosis: 5.02
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 215.61645304533823, Current Price: 213.58
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.076
Date: Wed, 09 Oct 2024 AIC 70.152
Time: 14:42:00 BIC 72.977
Sample: 0 HQIC 69.572
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7422 0.440 -1.685 0.092 -1.605 0.121
ma.L1 1.0000 9458.347 0.000 1.000 -1.85e+04 1.85e+04
ar.S.L7 -0.4419 0.755 -0.586 0.558 -1.921 1.037
ma.S.L7 -1.0000 2.06e+04 -4.85e-05 1.000 -4.04e+04 4.04e+04
sigma2 3.1827 6.3e+04 5.05e-05 1.000 -1.24e+05 1.24e+05
===================================================================================
Ljung-Box (L1) (Q): 0.16 Jarque-Bera (JB): 5.23
Prob(Q): 0.69 Prob(JB): 0.07
Heteroskedasticity (H): 0.14 Skew: -1.41
Prob(H) (two-sided): 0.08 Kurtosis: 4.31
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 214.472471442571, Current Price: 216.95
SELL EXECUTED at 216.95
SELL ORDER COMPLETED at 219.22
OPERATION PROFIT, GROSS 5.599999999999994, NET 5.167159999999995
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.354
Date: Wed, 09 Oct 2024 AIC 62.709
Time: 14:42:00 BIC 65.533
Sample: 0 HQIC 62.128
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3376 3.471 -0.097 0.923 -7.141 6.466
ma.L1 0.3745 3.576 0.105 0.917 -6.635 7.384
ar.S.L7 -0.6561 0.358 -1.833 0.067 -1.358 0.045
ma.S.L7 -0.2382 0.747 -0.319 0.750 -1.703 1.227
sigma2 3.3017 2.002 1.649 0.099 -0.623 7.226
===================================================================================
Ljung-Box (L1) (Q): 1.00 Jarque-Bera (JB): 0.81
Prob(Q): 0.32 Prob(JB): 0.67
Heteroskedasticity (H): 6.63 Skew: 0.60
Prob(H) (two-sided): 0.09 Kurtosis: 3.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 214.40248931214052, Current Price: 218.71
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.670
Date: Wed, 09 Oct 2024 AIC 65.339
Time: 14:42:00 BIC 68.164
Sample: 0 HQIC 64.758
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0440 14.672 -0.003 0.998 -28.800 28.712
ma.L1 0.0271 14.606 0.002 0.999 -28.601 28.655
ar.S.L7 -0.4888 0.228 -2.146 0.032 -0.935 -0.042
ma.S.L7 -1.0001 5194.935 -0.000 1.000 -1.02e+04 1.02e+04
sigma2 2.4888 1.29e+04 0.000 1.000 -2.53e+04 2.53e+04
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.63
Prob(Q): 0.82 Prob(JB): 0.73
Heteroskedasticity (H): 3.93 Skew: 0.36
Prob(H) (two-sided): 0.21 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 217.37128354734696, Current Price: 216.26
BUY EXECUTED at 216.26
BUY ORDER COMPLETED at 217.31
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.100
Date: Wed, 09 Oct 2024 AIC 66.200
Time: 14:42:00 BIC 69.025
Sample: 0 HQIC 65.619
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2879 2.368 0.122 0.903 -4.353 4.929
ma.L1 -0.4798 2.437 -0.197 0.844 -5.256 4.297
ar.S.L7 -7.339e-05 0.056 -0.001 0.999 -0.109 0.109
ma.S.L7 -0.9464 7.572 -0.125 0.901 -15.788 13.895
sigma2 2.8491 21.665 0.132 0.895 -39.613 45.311
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 1.04
Prob(Q): 0.83 Prob(JB): 0.59
Heteroskedasticity (H): 1.99 Skew: 0.62
Prob(H) (two-sided): 0.52 Kurtosis: 3.63
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 216.53329928961992, Current Price: 218.09
SELL EXECUTED at 218.09
SELL ORDER COMPLETED at 219.06
OPERATION PROFIT, GROSS 1.75, NET 1.3136299999999999
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.113
Date: Wed, 09 Oct 2024 AIC 68.225
Time: 14:42:00 BIC 71.050
Sample: 0 HQIC 67.645
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4975 0.341 1.457 0.145 -0.172 1.167
ma.L1 -0.5639 0.606 -0.930 0.352 -1.752 0.625
ar.S.L7 -0.6883 0.421 -1.636 0.102 -1.513 0.136
ma.S.L7 -1.0033 340.655 -0.003 0.998 -668.675 666.669
sigma2 3.0020 1024.108 0.003 0.998 -2004.213 2010.217
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.40
Prob(Q): 0.95 Prob(JB): 0.50
Heteroskedasticity (H): 4.11 Skew: 0.76
Prob(H) (two-sided): 0.20 Kurtosis: 3.50
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 218.6461415517237, Current Price: 220.89
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.247
Date: Wed, 09 Oct 2024 AIC 68.495
Time: 14:42:00 BIC 71.319
Sample: 0 HQIC 67.914
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2465 16.600 0.015 0.988 -32.290 32.783
ma.L1 -0.2845 16.277 -0.017 0.986 -32.187 31.618
ar.S.L7 -0.6416 0.344 -1.867 0.062 -1.315 0.032
ma.S.L7 -0.7353 3.928 -0.187 0.852 -8.433 6.963
sigma2 4.0373 14.328 0.282 0.778 -24.045 32.119
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.54
Prob(Q): 0.93 Prob(JB): 0.76
Heteroskedasticity (H): 2.66 Skew: 0.49
Prob(H) (two-sided): 0.37 Kurtosis: 2.81
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 220.90003854335654, Current Price: 220.03
BUY EXECUTED at 220.03
BUY ORDER COMPLETED at 222.18
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.242
Date: Wed, 09 Oct 2024 AIC 68.483
Time: 14:42:00 BIC 71.308
Sample: 0 HQIC 67.903
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2531 7.100 0.036 0.972 -13.663 14.169
ma.L1 -0.3181 6.910 -0.046 0.963 -13.862 13.226
ar.S.L7 -0.6106 0.317 -1.929 0.054 -1.231 0.010
ma.S.L7 -1.2753 6.210 -0.205 0.837 -13.446 10.896
sigma2 2.3832 15.299 0.156 0.876 -27.602 32.369
===================================================================================
Ljung-Box (L1) (Q): 0.20 Jarque-Bera (JB): 0.40
Prob(Q): 0.65 Prob(JB): 0.82
Heteroskedasticity (H): 0.40 Skew: 0.42
Prob(H) (two-sided): 0.39 Kurtosis: 2.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 220.56497534969796, Current Price: 223.66
SELL EXECUTED at 223.66
SELL ORDER COMPLETED at 223.79
OPERATION PROFIT, GROSS 1.6099999999999852, NET 1.1640299999999852
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.383
Date: Wed, 09 Oct 2024 AIC 68.766
Time: 14:42:00 BIC 71.590
Sample: 0 HQIC 68.185
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1324 3.949 0.034 0.973 -7.608 7.872
ma.L1 -3.7029 47.926 -0.077 0.938 -97.637 90.231
ar.S.L7 -0.5918 0.396 -1.494 0.135 -1.368 0.185
ma.S.L7 -1.3626 6.272 -0.217 0.828 -13.655 10.930
sigma2 0.1616 4.861 0.033 0.973 -9.366 9.689
===================================================================================
Ljung-Box (L1) (Q): 0.31 Jarque-Bera (JB): 0.56
Prob(Q): 0.58 Prob(JB): 0.76
Heteroskedasticity (H): 2.15 Skew: 0.49
Prob(H) (two-sided): 0.48 Kurtosis: 2.76
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 220.14025177947502, Current Price: 224.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.942
Date: Wed, 09 Oct 2024 AIC 63.884
Time: 14:42:00 BIC 66.709
Sample: 0 HQIC 63.303
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3300 0.540 -0.611 0.541 -1.389 0.729
ma.L1 1.0000 1.05e+04 9.52e-05 1.000 -2.06e+04 2.06e+04
ar.S.L7 -0.4465 0.174 -2.572 0.010 -0.787 -0.106
ma.S.L7 -0.4309 0.989 -0.436 0.663 -2.368 1.507
sigma2 3.1663 3.32e+04 9.52e-05 1.000 -6.52e+04 6.52e+04
===================================================================================
Ljung-Box (L1) (Q): 0.58 Jarque-Bera (JB): 1.58
Prob(Q): 0.45 Prob(JB): 0.45
Heteroskedasticity (H): 4.15 Skew: 0.83
Prob(H) (two-sided): 0.20 Kurtosis: 2.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 224.40093658306503, Current Price: 224.23
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.915
Date: Wed, 09 Oct 2024 AIC 69.830
Time: 14:42:00 BIC 72.655
Sample: 0 HQIC 69.249
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.8534 0.387 2.202 0.028 0.094 1.613
ma.L1 -1.0000 1.21e+04 -8.24e-05 1.000 -2.38e+04 2.38e+04
ar.S.L7 -0.3547 0.342 -1.037 0.300 -1.025 0.315
ma.S.L7 -0.1499 0.630 -0.238 0.812 -1.385 1.085
sigma2 4.8926 5.94e+04 8.24e-05 1.000 -1.16e+05 1.16e+05
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 1.00
Prob(Q): 0.74 Prob(JB): 0.61
Heteroskedasticity (H): 1.59 Skew: 0.62
Prob(H) (two-sided): 0.66 Kurtosis: 2.43
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 222.84770071205142, Current Price: 220.11
BUY EXECUTED at 220.11
BUY ORDER COMPLETED at 218.78
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.405
Date: Wed, 09 Oct 2024 AIC 66.810
Time: 14:42:00 BIC 69.635
Sample: 0 HQIC 66.229
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3522 0.709 -0.496 0.620 -1.743 1.038
ma.L1 1.0000 1.17e+04 8.55e-05 1.000 -2.29e+04 2.29e+04
ar.S.L7 -0.4125 0.213 -1.936 0.053 -0.830 0.005
ma.S.L7 -0.2822 0.695 -0.406 0.685 -1.644 1.080
sigma2 4.1152 4.81e+04 8.55e-05 1.000 -9.43e+04 9.43e+04
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 0.54
Prob(Q): 0.64 Prob(JB): 0.76
Heteroskedasticity (H): 0.81 Skew: 0.29
Prob(H) (two-sided): 0.84 Kurtosis: 2.19
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 219.08381591722315, Current Price: 215.72
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.969
Date: Wed, 09 Oct 2024 AIC 67.939
Time: 14:42:01 BIC 70.763
Sample: 0 HQIC 67.358
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1217 0.678 -0.180 0.858 -1.450 1.207
ma.L1 1.0000 5250.175 0.000 1.000 -1.03e+04 1.03e+04
ar.S.L7 -0.4276 0.153 -2.795 0.005 -0.727 -0.128
ma.S.L7 -0.4284 0.697 -0.615 0.539 -1.794 0.937
sigma2 4.2765 2.25e+04 0.000 1.000 -4.4e+04 4.4e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 1.12
Prob(Q): 0.87 Prob(JB): 0.57
Heteroskedasticity (H): 0.70 Skew: 0.64
Prob(H) (two-sided): 0.74 Kurtosis: 2.36
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 216.01128285481443, Current Price: 215.92
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.249
Date: Wed, 09 Oct 2024 AIC 66.498
Time: 14:42:01 BIC 69.323
Sample: 0 HQIC 65.917
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0141 0.654 -0.022 0.983 -1.295 1.267
ma.L1 1.0000 5984.360 0.000 1.000 -1.17e+04 1.17e+04
ar.S.L7 -0.4665 0.114 -4.080 0.000 -0.691 -0.242
ma.S.L7 -1.0001 8637.110 -0.000 1.000 -1.69e+04 1.69e+04
sigma2 2.5477 2.77e+04 9.19e-05 1.000 -5.44e+04 5.44e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 1.47
Prob(Q): 0.86 Prob(JB): 0.48
Heteroskedasticity (H): 0.50 Skew: 0.78
Prob(H) (two-sided): 0.52 Kurtosis: 2.46
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 215.54811256472334, Current Price: 218.19
SELL EXECUTED at 218.19
SELL ORDER COMPLETED at 216.92
OPERATION PROFIT, GROSS -1.8600000000000136, NET -2.2957000000000134
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.938
Date: Wed, 09 Oct 2024 AIC 73.875
Time: 14:42:01 BIC 76.700
Sample: 0 HQIC 73.295
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2583 0.968 0.267 0.790 -1.640 2.156
ma.L1 7.7489 61.529 0.126 0.900 -112.846 128.343
ar.S.L7 -0.3910 0.686 -0.570 0.569 -1.735 0.953
ma.S.L7 -0.7997 5.858 -0.137 0.891 -12.280 10.681
sigma2 0.0923 1.622 0.057 0.955 -3.086 3.271
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 0.94
Prob(Q): 0.64 Prob(JB): 0.63
Heteroskedasticity (H): 0.77 Skew: 0.32
Prob(H) (two-sided): 0.80 Kurtosis: 1.85
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 218.75122693659694, Current Price: 216.16
BUY EXECUTED at 216.16
BUY ORDER COMPLETED at 216.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.499
Date: Wed, 09 Oct 2024 AIC 66.998
Time: 14:42:01 BIC 69.823
Sample: 0 HQIC 66.417
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2249 0.645 -0.349 0.727 -1.488 1.039
ma.L1 0.9999 655.920 0.002 0.999 -1284.581 1286.580
ar.S.L7 -0.4949 0.209 -2.362 0.018 -0.905 -0.084
ma.S.L7 -1.0000 1.28e+05 -7.84e-06 1.000 -2.5e+05 2.5e+05
sigma2 2.6752 3.42e+05 7.83e-06 1.000 -6.7e+05 6.7e+05
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.71
Prob(Q): 0.89 Prob(JB): 0.70
Heteroskedasticity (H): 2.70 Skew: 0.25
Prob(H) (two-sided): 0.36 Kurtosis: 1.97
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 213.12540720186442, Current Price: 216.57
SELL EXECUTED at 216.57
SELL ORDER COMPLETED at 217.77
OPERATION PROFIT, GROSS 1.0800000000000125, NET 0.6455400000000124
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.473
Date: Wed, 09 Oct 2024 AIC 68.946
Time: 14:42:01 BIC 71.771
Sample: 0 HQIC 68.365
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3880 0.517 -0.750 0.453 -1.401 0.625
ma.L1 1.0000 9219.441 0.000 1.000 -1.81e+04 1.81e+04
ar.S.L7 -0.6031 0.211 -2.861 0.004 -1.016 -0.190
ma.S.L7 -0.4302 0.521 -0.826 0.409 -1.451 0.591
sigma2 4.6984 4.33e+04 0.000 1.000 -8.49e+04 8.49e+04
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 1.20
Prob(Q): 0.79 Prob(JB): 0.55
Heteroskedasticity (H): 1.33 Skew: 0.07
Prob(H) (two-sided): 0.79 Kurtosis: 1.52
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 219.5506593317778, Current Price: 215.3
BUY EXECUTED at 215.3
BUY ORDER COMPLETED at 215.92
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.484
Date: Wed, 09 Oct 2024 AIC 68.969
Time: 14:42:01 BIC 71.793
Sample: 0 HQIC 68.388
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0116 1.341 -0.009 0.993 -2.640 2.617
ma.L1 3.9468 20.935 0.189 0.850 -37.085 44.978
ar.S.L7 -0.5654 0.532 -1.063 0.288 -1.608 0.477
ma.S.L7 -0.9999 7652.902 -0.000 1.000 -1.5e+04 1.5e+04
sigma2 0.2113 1616.857 0.000 1.000 -3168.770 3169.193
===================================================================================
Ljung-Box (L1) (Q): 0.31 Jarque-Bera (JB): 0.65
Prob(Q): 0.58 Prob(JB): 0.72
Heteroskedasticity (H): 0.87 Skew: 0.27
Prob(H) (two-sided): 0.89 Kurtosis: 2.04
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 214.0045571173983, Current Price: 217.22
SELL EXECUTED at 217.22
SELL ORDER COMPLETED at 216.24
OPERATION PROFIT, GROSS 0.3200000000000216, NET -0.11215999999997839
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.841
Date: Wed, 09 Oct 2024 AIC 71.681
Time: 14:42:01 BIC 74.506
Sample: 0 HQIC 71.100
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0953 2.207 -0.043 0.966 -4.422 4.231
ma.L1 0.2755 2.304 0.120 0.905 -4.241 4.792
ar.S.L7 -0.6115 0.570 -1.073 0.283 -1.729 0.506
ma.S.L7 -1.0000 2.27e+04 -4.41e-05 1.000 -4.45e+04 4.45e+04
sigma2 4.0538 9.2e+04 4.41e-05 1.000 -1.8e+05 1.8e+05
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.00
Prob(Q): 0.95 Prob(JB): 0.61
Heteroskedasticity (H): 1.51 Skew: 0.35
Prob(H) (two-sided): 0.70 Kurtosis: 1.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 219.85866352881698, Current Price: 215.27
BUY EXECUTED at 215.27
BUY ORDER COMPLETED at 216.69
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.764
Date: Wed, 09 Oct 2024 AIC 73.528
Time: 14:42:01 BIC 76.353
Sample: 0 HQIC 72.948
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3774 4.780 -0.079 0.937 -9.746 8.991
ma.L1 0.2890 4.792 0.060 0.952 -9.103 9.681
ar.S.L7 -0.4603 0.942 -0.488 0.625 -2.308 1.387
ma.S.L7 -0.6362 2.863 -0.222 0.824 -6.248 4.975
sigma2 6.3962 12.527 0.511 0.610 -18.156 30.948
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 1.24
Prob(Q): 0.86 Prob(JB): 0.54
Heteroskedasticity (H): 1.69 Skew: 0.59
Prob(H) (two-sided): 0.62 Kurtosis: 2.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 218.11876459269453, Current Price: 217.82
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.858
Date: Wed, 09 Oct 2024 AIC 73.716
Time: 14:42:01 BIC 76.541
Sample: 0 HQIC 73.135
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3654 6.277 -0.058 0.954 -12.668 11.937
ma.L1 0.2910 6.383 0.046 0.964 -12.220 12.802
ar.S.L7 -0.4424 1.120 -0.395 0.693 -2.638 1.754
ma.S.L7 -1.0001 2.92e+04 -3.43e-05 1.000 -5.72e+04 5.72e+04
sigma2 4.7398 1.38e+05 3.43e-05 1.000 -2.71e+05 2.71e+05
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.96
Prob(Q): 0.79 Prob(JB): 0.62
Heteroskedasticity (H): 1.36 Skew: 0.50
Prob(H) (two-sided): 0.77 Kurtosis: 2.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 216.70491723593162, Current Price: 219.43
SELL EXECUTED at 219.43
SELL ORDER COMPLETED at 215.07
OPERATION PROFIT, GROSS -1.6200000000000045, NET -2.0517600000000047
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.405
Date: Wed, 09 Oct 2024 AIC 72.810
Time: 14:42:01 BIC 75.634
Sample: 0 HQIC 72.229
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.2371 118.003 -0.002 0.998 -231.518 231.044
ma.L1 0.2343 117.971 0.002 0.998 -230.985 231.454
ar.S.L7 -0.4262 1.421 -0.300 0.764 -3.211 2.359
ma.S.L7 -0.4519 2.517 -0.180 0.858 -5.384 4.481
sigma2 6.7074 6.065 1.106 0.269 -5.179 18.594
===================================================================================
Ljung-Box (L1) (Q): 0.37 Jarque-Bera (JB): 0.74
Prob(Q): 0.54 Prob(JB): 0.69
Heteroskedasticity (H): 0.82 Skew: 0.51
Prob(H) (two-sided): 0.86 Kurtosis: 2.43
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 220.80142019130724, Current Price: 211.6
BUY EXECUTED at 211.6
BUY ORDER COMPLETED at 213.13
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -34.676
Date: Wed, 09 Oct 2024 AIC 79.353
Time: 14:42:01 BIC 82.178
Sample: 0 HQIC 78.772
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1608 2.119 0.076 0.940 -3.993 4.314
ma.L1 0.1825 2.024 0.090 0.928 -3.785 4.150
ar.S.L7 -0.4183 0.559 -0.748 0.454 -1.514 0.677
ma.S.L7 1.0000 4.38e+04 2.28e-05 1.000 -8.58e+04 8.58e+04
sigma2 7.3141 3.2e+05 2.28e-05 1.000 -6.28e+05 6.28e+05
===================================================================================
Ljung-Box (L1) (Q): 0.09 Jarque-Bera (JB): 0.33
Prob(Q): 0.76 Prob(JB): 0.85
Heteroskedasticity (H): 1.02 Skew: 0.37
Prob(H) (two-sided): 0.98 Kurtosis: 3.28
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 209.5622729833309, Current Price: 213.54
SELL EXECUTED at 213.54
SELL ORDER COMPLETED at 213.95
OPERATION PROFIT, GROSS 0.8199999999999932, NET 0.39291999999999316
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -34.782
Date: Wed, 09 Oct 2024 AIC 79.564
Time: 14:42:01 BIC 82.389
Sample: 0 HQIC 78.983
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1121 2.219 0.050 0.960 -4.238 4.462
ma.L1 0.1114 2.283 0.049 0.961 -4.362 4.585
ar.S.L7 -0.2427 0.422 -0.575 0.565 -1.070 0.584
ma.S.L7 0.5948 1.453 0.409 0.682 -2.253 3.442
sigma2 10.4528 10.157 1.029 0.303 -9.454 30.359
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.38
Prob(Q): 0.94 Prob(JB): 0.83
Heteroskedasticity (H): 1.10 Skew: 0.21
Prob(H) (two-sided): 0.93 Kurtosis: 2.28
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 212.7508248329053, Current Price: 214.15
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -34.743
Date: Wed, 09 Oct 2024 AIC 79.487
Time: 14:42:01 BIC 82.312
Sample: 0 HQIC 78.906
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0117 2.523 -0.005 0.996 -4.958 4.934
ma.L1 0.2103 2.586 0.081 0.935 -4.857 5.278
ar.S.L7 -0.3066 0.376 -0.814 0.415 -1.044 0.431
ma.S.L7 0.5681 1.305 0.435 0.663 -1.990 3.126
sigma2 10.5605 9.156 1.153 0.249 -7.384 28.505
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.26
Prob(Q): 0.82 Prob(JB): 0.88
Heteroskedasticity (H): 0.77 Skew: 0.02
Prob(H) (two-sided): 0.80 Kurtosis: 2.30
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 217.89703477950482, Current Price: 214.72
BUY EXECUTED at 214.72
BUY ORDER COMPLETED at 214.44
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.057
Date: Wed, 09 Oct 2024 AIC 72.114
Time: 14:42:01 BIC 74.939
Sample: 0 HQIC 71.534
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5679 0.108 5.256 0.000 0.356 0.780
ma.L1 -1.0000 8508.579 -0.000 1.000 -1.67e+04 1.67e+04
ar.S.L7 -0.4016 0.218 -1.841 0.066 -0.829 0.026
ma.S.L7 0.8197 6.170 0.133 0.894 -11.274 12.914
sigma2 4.2689 3.63e+04 0.000 1.000 -7.12e+04 7.12e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.65
Prob(Q): 0.85 Prob(JB): 0.72
Heteroskedasticity (H): 1.88 Skew: -0.44
Prob(H) (two-sided): 0.55 Kurtosis: 2.35
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 212.94548865795633, Current Price: 212.97
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.360
Date: Wed, 09 Oct 2024 AIC 70.721
Time: 14:42:01 BIC 73.546
Sample: 0 HQIC 70.140
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4951 0.065 7.662 0.000 0.368 0.622
ma.L1 -1.0000 6091.563 -0.000 1.000 -1.19e+04 1.19e+04
ar.S.L7 -0.3773 0.197 -1.919 0.055 -0.763 0.008
ma.S.L7 1.0000 1.58e+05 6.33e-06 1.000 -3.1e+05 3.1e+05
sigma2 3.4035 5.35e+05 6.36e-06 1.000 -1.05e+06 1.05e+06
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 1.01
Prob(Q): 0.80 Prob(JB): 0.60
Heteroskedasticity (H): 0.15 Skew: -0.54
Prob(H) (two-sided): 0.09 Kurtosis: 2.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 216.21945026709773, Current Price: 215.73
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.885
Date: Wed, 09 Oct 2024 AIC 71.769
Time: 14:42:01 BIC 74.594
Sample: 0 HQIC 71.188
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6728 0.473 -1.422 0.155 -1.600 0.255
ma.L1 1.0000 3942.710 0.000 1.000 -7726.569 7728.569
ar.S.L7 -0.1576 0.634 -0.249 0.804 -1.400 1.085
ma.S.L7 0.5052 1.534 0.329 0.742 -2.502 3.512
sigma2 4.9337 1.94e+04 0.000 1.000 -3.81e+04 3.81e+04
===================================================================================
Ljung-Box (L1) (Q): 0.07 Jarque-Bera (JB): 0.01
Prob(Q): 0.79 Prob(JB): 1.00
Heteroskedasticity (H): 0.13 Skew: 0.02
Prob(H) (two-sided): 0.07 Kurtosis: 3.10
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 217.3286768001256, Current Price: 214.61
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.820
Date: Wed, 09 Oct 2024 AIC 67.640
Time: 14:42:01 BIC 70.464
Sample: 0 HQIC 67.059
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3556 0.532 0.668 0.504 -0.688 1.399
ma.L1 -1.0000 1.08e+04 -9.23e-05 1.000 -2.12e+04 2.12e+04
ar.S.L7 -0.3299 0.177 -1.867 0.062 -0.676 0.016
ma.S.L7 1.0000 3.59e+05 2.79e-06 1.000 -7.03e+05 7.03e+05
sigma2 2.8317 1.02e+06 2.78e-06 1.000 -2e+06 2e+06
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.44
Prob(Q): 0.86 Prob(JB): 0.80
Heteroskedasticity (H): 0.46 Skew: -0.15
Prob(H) (two-sided): 0.48 Kurtosis: 2.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 206.52169716120704, Current Price: 215.47
SELL EXECUTED at 215.47
SELL ORDER COMPLETED at 216.32
OPERATION PROFIT, GROSS 1.8799999999999955, NET 1.4492399999999954
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.939
Date: Wed, 09 Oct 2024 AIC 75.877
Time: 14:42:01 BIC 78.702
Sample: 0 HQIC 75.296
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6635 0.395 -1.682 0.093 -1.437 0.110
ma.L1 0.6842 0.819 0.836 0.403 -0.920 2.289
ar.S.L7 -0.2427 0.690 -0.351 0.725 -1.596 1.110
ma.S.L7 -1.0001 2.01e+04 -4.98e-05 1.000 -3.94e+04 3.94e+04
sigma2 5.3145 1.07e+05 4.98e-05 1.000 -2.09e+05 2.09e+05
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 8.95
Prob(Q): 0.86 Prob(JB): 0.01
Heteroskedasticity (H): 0.94 Skew: -1.62
Prob(H) (two-sided): 0.96 Kurtosis: 5.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 217.5089430804306, Current Price: 218.16
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.284
Date: Wed, 09 Oct 2024 AIC 74.568
Time: 14:42:01 BIC 77.393
Sample: 0 HQIC 73.987
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5716 0.454 1.259 0.208 -0.318 1.462
ma.L1 -1.0000 8025.579 -0.000 1.000 -1.57e+04 1.57e+04
ar.S.L7 -0.2808 0.314 -0.894 0.371 -0.896 0.335
ma.S.L7 -1.0000 7.76e+04 -1.29e-05 1.000 -1.52e+05 1.52e+05
sigma2 4.1481 3.29e+05 1.26e-05 1.000 -6.45e+05 6.45e+05
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 4.41
Prob(Q): 0.77 Prob(JB): 0.11
Heteroskedasticity (H): 0.94 Skew: -1.25
Prob(H) (two-sided): 0.95 Kurtosis: 4.37
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 216.8028069060022, Current Price: 214.78
BUY EXECUTED at 214.78
BUY ORDER COMPLETED at 215.55
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.933
Date: Wed, 09 Oct 2024 AIC 71.866
Time: 14:42:01 BIC 74.691
Sample: 0 HQIC 71.285
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5551 0.249 2.226 0.026 0.066 1.044
ma.L1 -1.0000 1.07e+04 -9.32e-05 1.000 -2.1e+04 2.1e+04
ar.S.L7 -0.2451 0.293 -0.836 0.403 -0.820 0.330
ma.S.L7 -1.0009 1042.731 -0.001 0.999 -2044.716 2042.714
sigma2 3.3745 3.83e+04 8.81e-05 1.000 -7.51e+04 7.51e+04
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 2.67
Prob(Q): 0.78 Prob(JB): 0.26
Heteroskedasticity (H): 0.78 Skew: -1.08
Prob(H) (two-sided): 0.82 Kurtosis: 3.54
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 213.99141855897813, Current Price: 215.63
SELL EXECUTED at 215.63
SELL ORDER COMPLETED at 214.96
OPERATION PROFIT, GROSS -0.5900000000000034, NET -1.0205100000000034
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.226
Date: Wed, 09 Oct 2024 AIC 70.453
Time: 14:42:01 BIC 73.278
Sample: 0 HQIC 69.872
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5513 0.192 2.876 0.004 0.176 0.927
ma.L1 -1.0000 3.28e+04 -3.05e-05 1.000 -6.43e+04 6.43e+04
ar.S.L7 -0.2089 0.319 -0.654 0.513 -0.835 0.417
ma.S.L7 -1.0000 3.23e+04 -3.1e-05 1.000 -6.32e+04 6.32e+04
sigma2 2.9993 1.36e+05 2.2e-05 1.000 -2.67e+05 2.67e+05
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 3.50
Prob(Q): 0.73 Prob(JB): 0.17
Heteroskedasticity (H): 0.60 Skew: -1.15
Prob(H) (two-sided): 0.64 Kurtosis: 4.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 213.12311130880815, Current Price: 214.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.621
Date: Wed, 09 Oct 2024 AIC 69.243
Time: 14:42:01 BIC 72.067
Sample: 0 HQIC 68.662
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3016 0.871 0.346 0.729 -1.405 2.008
ma.L1 -0.8292 1.228 -0.675 0.500 -3.237 1.578
ar.S.L7 -0.2016 0.314 -0.642 0.521 -0.817 0.414
ma.S.L7 -1.0000 4.82e+04 -2.08e-05 1.000 -9.44e+04 9.44e+04
sigma2 3.2209 1.55e+05 2.08e-05 1.000 -3.04e+05 3.04e+05
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.48
Prob(Q): 0.90 Prob(JB): 0.48
Heteroskedasticity (H): 0.49 Skew: -0.75
Prob(H) (two-sided): 0.51 Kurtosis: 3.68
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 215.38437147102783, Current Price: 212.58
BUY EXECUTED at 212.58
BUY ORDER COMPLETED at 214.71
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -34.514
Date: Wed, 09 Oct 2024 AIC 79.029
Time: 14:42:01 BIC 81.854
Sample: 0 HQIC 78.448
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1832 1.301 -0.141 0.888 -2.733 2.367
ma.L1 -7.8460 79.698 -0.098 0.922 -164.052 148.360
ar.S.L7 -0.1897 0.547 -0.347 0.729 -1.263 0.883
ma.S.L7 14.2271 144.477 0.098 0.922 -268.942 297.396
sigma2 0.0009 0.031 0.030 0.976 -0.059 0.061
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.10
Prob(Q): 0.99 Prob(JB): 0.95
Heteroskedasticity (H): 0.63 Skew: 0.20
Prob(H) (two-sided): 0.67 Kurtosis: 3.14
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 213.22464969013643, Current Price: 214.99
SELL EXECUTED at 214.99
SELL ORDER COMPLETED at 215.64
OPERATION PROFIT, GROSS 0.9299999999999784, NET 0.4996499999999784
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -25.699
Date: Wed, 09 Oct 2024 AIC 61.398
Time: 14:42:01 BIC 64.223
Sample: 0 HQIC 60.818
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3791 0.326 1.161 0.245 -0.261 1.019
ma.L1 -0.7759 0.316 -2.456 0.014 -1.395 -0.157
ar.S.L7 -0.4707 0.321 -1.467 0.142 -1.099 0.158
ma.S.L7 -1.0000 2.67e+04 -3.75e-05 1.000 -5.23e+04 5.23e+04
sigma2 1.7972 4.79e+04 3.75e-05 1.000 -9.39e+04 9.39e+04
===================================================================================
Ljung-Box (L1) (Q): 0.51 Jarque-Bera (JB): 0.66
Prob(Q): 0.48 Prob(JB): 0.72
Heteroskedasticity (H): 2.65 Skew: -0.37
Prob(H) (two-sided): 0.37 Kurtosis: 2.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 210.96069636443562, Current Price: 215.01
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.211
Date: Wed, 09 Oct 2024 AIC 66.422
Time: 14:42:01 BIC 69.246
Sample: 0 HQIC 65.841
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2939 1.127 0.261 0.794 -1.914 2.502
ma.L1 -0.7368 0.848 -0.869 0.385 -2.399 0.925
ar.S.L7 -0.3779 0.549 -0.689 0.491 -1.454 0.698
ma.S.L7 -1.0001 1.7e+04 -5.9e-05 1.000 -3.32e+04 3.32e+04
sigma2 2.6585 4.51e+04 5.9e-05 1.000 -8.84e+04 8.84e+04
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 0.34
Prob(Q): 0.64 Prob(JB): 0.84
Heteroskedasticity (H): 5.11 Skew: -0.39
Prob(H) (two-sided): 0.14 Kurtosis: 3.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 214.5208069474324, Current Price: 215.57
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.911
Date: Wed, 09 Oct 2024 AIC 71.822
Time: 14:42:02 BIC 74.647
Sample: 0 HQIC 71.241
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2689 0.505 0.532 0.594 -0.721 1.259
ma.L1 -1.0000 9104.226 -0.000 1.000 -1.78e+04 1.78e+04
ar.S.L7 -0.0979 0.797 -0.123 0.902 -1.660 1.465
ma.S.L7 -1.0004 4870.968 -0.000 1.000 -9547.922 9545.921
sigma2 3.5040 4.79e+04 7.31e-05 1.000 -9.4e+04 9.4e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.07
Prob(Q): 0.92 Prob(JB): 0.96
Heteroskedasticity (H): 4.34 Skew: 0.18
Prob(H) (two-sided): 0.18 Kurtosis: 3.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 213.71735914235234, Current Price: 215.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.942
Date: Wed, 09 Oct 2024 AIC 71.885
Time: 14:42:02 BIC 74.709
Sample: 0 HQIC 71.304
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2122 1.144 0.185 0.853 -2.030 2.455
ma.L1 -0.6527 0.886 -0.737 0.461 -2.390 1.084
ar.S.L7 -0.3714 0.608 -0.611 0.541 -1.563 0.820
ma.S.L7 -0.1817 0.847 -0.214 0.830 -1.842 1.479
sigma2 6.7149 3.494 1.922 0.055 -0.133 13.563
===================================================================================
Ljung-Box (L1) (Q): 0.18 Jarque-Bera (JB): 0.01
Prob(Q): 0.67 Prob(JB): 1.00
Heteroskedasticity (H): 0.31 Skew: -0.03
Prob(H) (two-sided): 0.28 Kurtosis: 2.91
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 215.60796353776598, Current Price: 217.99
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.909
Date: Wed, 09 Oct 2024 AIC 71.818
Time: 14:42:02 BIC 74.642
Sample: 0 HQIC 71.237
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2930 1.769 0.166 0.868 -3.174 3.760
ma.L1 -0.7264 1.339 -0.543 0.587 -3.351 1.898
ar.S.L7 -0.5086 0.671 -0.758 0.449 -1.824 0.807
ma.S.L7 0.1210 1.061 0.114 0.909 -1.959 2.201
sigma2 6.7312 3.979 1.692 0.091 -1.067 14.530
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.24
Prob(Q): 0.74 Prob(JB): 0.89
Heteroskedasticity (H): 0.33 Skew: -0.33
Prob(H) (two-sided): 0.31 Kurtosis: 2.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 215.3812593959635, Current Price: 220.93
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.273
Date: Wed, 09 Oct 2024 AIC 74.545
Time: 14:42:02 BIC 77.370
Sample: 0 HQIC 73.965
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4531 0.319 1.419 0.156 -0.173 1.079
ma.L1 -0.7928 0.449 -1.764 0.078 -1.673 0.088
ar.S.L7 -0.5983 0.271 -2.206 0.027 -1.130 -0.067
ma.S.L7 0.2683 0.767 0.350 0.726 -1.234 1.771
sigma2 8.0419 4.785 1.681 0.093 -1.336 17.420
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.36
Prob(Q): 0.84 Prob(JB): 0.84
Heteroskedasticity (H): 1.09 Skew: -0.31
Prob(H) (two-sided): 0.94 Kurtosis: 2.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 218.1937880851547, Current Price: 218.19
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.754
Date: Wed, 09 Oct 2024 AIC 73.507
Time: 14:42:02 BIC 76.332
Sample: 0 HQIC 72.927
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4262 0.665 0.641 0.522 -0.878 1.731
ma.L1 -0.7745 0.625 -1.240 0.215 -1.999 0.450
ar.S.L7 -0.6031 0.264 -2.287 0.022 -1.120 -0.086
ma.S.L7 0.2863 0.813 0.352 0.725 -1.307 1.879
sigma2 7.4453 4.341 1.715 0.086 -1.063 15.954
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.48
Prob(Q): 0.90 Prob(JB): 0.79
Heteroskedasticity (H): 1.32 Skew: -0.47
Prob(H) (two-sided): 0.79 Kurtosis: 3.00
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 218.2514862098414, Current Price: 218.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.623
Date: Wed, 09 Oct 2024 AIC 69.246
Time: 14:42:02 BIC 72.070
Sample: 0 HQIC 68.665
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.4794 0.446 1.074 0.283 -0.396 1.354
ma.L1 -0.7843 0.817 -0.960 0.337 -2.386 0.817
ar.S.L7 -0.2555 2.561 -0.100 0.921 -5.276 4.765
ma.S.L7 -0.0012 2.963 -0.000 1.000 -5.809 5.807
sigma2 5.5229 2.813 1.964 0.050 0.010 11.036
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 0.17
Prob(Q): 0.73 Prob(JB): 0.92
Heteroskedasticity (H): 2.73 Skew: -0.27
Prob(H) (two-sided): 0.35 Kurtosis: 3.16
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 218.41729842961047, Current Price: 219.36
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.813
Date: Wed, 09 Oct 2024 AIC 67.625
Time: 14:42:02 BIC 70.450
Sample: 0 HQIC 67.045
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3653 1.521 0.240 0.810 -2.616 3.346
ma.L1 -0.6829 1.503 -0.454 0.650 -3.628 2.262
ar.S.L7 -0.4892 0.811 -0.603 0.546 -2.078 1.100
ma.S.L7 0.3934 1.946 0.202 0.840 -3.420 4.207
sigma2 4.6347 5.578 0.831 0.406 -6.299 15.568
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.05
Prob(Q): 0.82 Prob(JB): 0.98
Heteroskedasticity (H): 1.30 Skew: 0.06
Prob(H) (two-sided): 0.80 Kurtosis: 3.27
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 220.03392502542243, Current Price: 223.25
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.063
Date: Wed, 09 Oct 2024 AIC 68.125
Time: 14:42:02 BIC 70.950
Sample: 0 HQIC 67.545
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0810 1.712 0.047 0.962 -3.274 3.436
ma.L1 -0.4525 1.852 -0.244 0.807 -4.082 3.177
ar.S.L7 -0.0558 0.600 -0.093 0.926 -1.232 1.120
ma.S.L7 -1.0002 4516.404 -0.000 1.000 -8852.990 8850.990
sigma2 3.0840 1.39e+04 0.000 1.000 -2.73e+04 2.73e+04
===================================================================================
Ljung-Box (L1) (Q): 0.05 Jarque-Bera (JB): 0.28
Prob(Q): 0.82 Prob(JB): 0.87
Heteroskedasticity (H): 0.41 Skew: 0.23
Prob(H) (two-sided): 0.42 Kurtosis: 3.55
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 221.42083954218677, Current Price: 223.11
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.273
Date: Wed, 09 Oct 2024 AIC 68.546
Time: 14:42:02 BIC 71.370
Sample: 0 HQIC 67.965
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.1115 2.170 0.051 0.959 -4.141 4.364
ma.L1 -0.4384 2.368 -0.185 0.853 -5.080 4.204
ar.S.L7 -0.0098 0.077 -0.127 0.899 -0.160 0.140
ma.S.L7 -1.0007 1505.885 -0.001 0.999 -2952.482 2950.480
sigma2 3.2421 4885.165 0.001 0.999 -9571.505 9577.989
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.12
Prob(Q): 0.90 Prob(JB): 0.94
Heteroskedasticity (H): 0.48 Skew: -0.07
Prob(H) (two-sided): 0.50 Kurtosis: 3.44
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 223.83555631106887, Current Price: 223.83
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.506
Date: Wed, 09 Oct 2024 AIC 69.012
Time: 14:42:02 BIC 71.836
Sample: 0 HQIC 68.431
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2961 2.745 0.108 0.914 -5.084 5.676
ma.L1 -0.5251 2.472 -0.212 0.832 -5.369 4.319
ar.S.L7 -0.3461 0.421 -0.822 0.411 -1.172 0.479
ma.S.L7 0.2131 1.180 0.180 0.857 -2.100 2.527
sigma2 5.3825 3.288 1.637 0.102 -1.063 11.828
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.40
Prob(Q): 0.84 Prob(JB): 0.82
Heteroskedasticity (H): 0.39 Skew: -0.43
Prob(H) (two-sided): 0.39 Kurtosis: 3.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 226.34641469271153, Current Price: 228.29
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.552
Date: Wed, 09 Oct 2024 AIC 65.104
Time: 14:42:02 BIC 67.929
Sample: 0 HQIC 64.524
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2778 1.691 0.164 0.869 -3.036 3.592
ma.L1 -0.5129 1.560 -0.329 0.742 -3.570 2.544
ar.S.L7 -0.3813 0.284 -1.342 0.180 -0.938 0.176
ma.S.L7 0.5656 1.346 0.420 0.674 -2.072 3.203
sigma2 3.4991 2.874 1.217 0.223 -2.134 9.132
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.41
Prob(Q): 0.99 Prob(JB): 0.82
Heteroskedasticity (H): 1.20 Skew: 0.26
Prob(H) (two-sided): 0.86 Kurtosis: 2.31
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 225.40215874136814, Current Price: 227.23
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -27.433
Date: Wed, 09 Oct 2024 AIC 64.865
Time: 14:42:02 BIC 67.690
Sample: 0 HQIC 64.284
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3037 2.203 0.138 0.890 -4.014 4.622
ma.L1 -0.5031 1.805 -0.279 0.780 -4.041 3.034
ar.S.L7 -0.3462 0.303 -1.142 0.253 -0.940 0.248
ma.S.L7 1.0000 1.13e+05 8.87e-06 1.000 -2.21e+05 2.21e+05
sigma2 2.4015 2.71e+05 8.87e-06 1.000 -5.31e+05 5.31e+05
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.47
Prob(Q): 0.97 Prob(JB): 0.79
Heteroskedasticity (H): 0.59 Skew: 0.05
Prob(H) (two-sided): 0.62 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 226.58459698118173, Current Price: 225.78
BUY EXECUTED at 225.78
BUY ORDER COMPLETED at 221.52
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.764
Date: Wed, 09 Oct 2024 AIC 63.529
Time: 14:42:02 BIC 66.353
Sample: 0 HQIC 62.948
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4258 0.624 -0.683 0.495 -1.648 0.796
ma.L1 0.8826 0.316 2.796 0.005 0.264 1.501
ar.S.L7 -3.133e-05 0.298 -0.000 1.000 -0.583 0.583
ma.S.L7 -0.0954 0.471 -0.202 0.840 -1.019 0.828
sigma2 3.5763 1.871 1.911 0.056 -0.092 7.244
===================================================================================
Ljung-Box (L1) (Q): 1.14 Jarque-Bera (JB): 0.31
Prob(Q): 0.28 Prob(JB): 0.86
Heteroskedasticity (H): 0.51 Skew: -0.07
Prob(H) (two-sided): 0.53 Kurtosis: 2.26
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 225.2756747338131, Current Price: 221.73
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.726
Date: Wed, 09 Oct 2024 AIC 69.452
Time: 14:42:02 BIC 72.277
Sample: 0 HQIC 68.871
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0745 1.780 -0.042 0.967 -3.562 3.414
ma.L1 0.3115 1.703 0.183 0.855 -3.026 3.649
ar.S.L7 -0.1646 0.345 -0.477 0.633 -0.841 0.511
ma.S.L7 -0.0473 0.606 -0.078 0.938 -1.235 1.140
sigma2 5.6655 4.272 1.326 0.185 -2.708 14.039
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.58
Prob(Q): 0.81 Prob(JB): 0.75
Heteroskedasticity (H): 0.92 Skew: -0.17
Prob(H) (two-sided): 0.94 Kurtosis: 2.03
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 224.00206322715073, Current Price: 221.8
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.612
Date: Wed, 09 Oct 2024 AIC 67.224
Time: 14:42:02 BIC 70.049
Sample: 0 HQIC 66.644
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6000 0.190 -3.158 0.002 -0.972 -0.228
ma.L1 1.0000 1.22e+04 8.21e-05 1.000 -2.39e+04 2.39e+04
ar.S.L7 -0.1466 0.497 -0.295 0.768 -1.121 0.828
ma.S.L7 -0.2058 0.852 -0.242 0.809 -1.875 1.463
sigma2 4.0828 4.97e+04 8.21e-05 1.000 -9.75e+04 9.75e+04
===================================================================================
Ljung-Box (L1) (Q): 1.30 Jarque-Bera (JB): 0.43
Prob(Q): 0.25 Prob(JB): 0.81
Heteroskedasticity (H): 1.40 Skew: -0.03
Prob(H) (two-sided): 0.75 Kurtosis: 2.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 221.47905772621232, Current Price: 222.58
SELL EXECUTED at 222.58
SELL ORDER COMPLETED at 223.47
OPERATION PROFIT, GROSS 1.9499999999999886, NET 1.5050099999999886
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.837
Date: Wed, 09 Oct 2024 AIC 67.674
Time: 14:42:02 BIC 70.499
Sample: 0 HQIC 67.093
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0576 0.706 -0.082 0.935 -1.442 1.327
ma.L1 0.6621 0.540 1.226 0.220 -0.396 1.720
ar.S.L7 0.0528 0.448 0.118 0.906 -0.826 0.932
ma.S.L7 -0.1519 0.464 -0.327 0.744 -1.062 0.758
sigma2 4.8791 3.702 1.318 0.187 -2.376 12.134
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.69
Prob(Q): 0.86 Prob(JB): 0.71
Heteroskedasticity (H): 0.90 Skew: 0.21
Prob(H) (two-sided): 0.92 Kurtosis: 1.95
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 224.52061763208604, Current Price: 221.8
BUY EXECUTED at 221.8
BUY ORDER COMPLETED at 219.02
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.874
Date: Wed, 09 Oct 2024 AIC 63.748
Time: 14:42:02 BIC 66.573
Sample: 0 HQIC 63.168
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.0648 0.545 -0.119 0.905 -1.133 1.004
ma.L1 0.8580 0.324 2.651 0.008 0.224 1.492
ar.S.L7 0.0841 0.224 0.376 0.707 -0.355 0.523
ma.S.L7 -1.0002 3598.360 -0.000 1.000 -7053.656 7051.656
sigma2 2.1976 7908.638 0.000 1.000 -1.55e+04 1.55e+04
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 1.08
Prob(Q): 0.93 Prob(JB): 0.58
Heteroskedasticity (H): 1.34 Skew: 0.08
Prob(H) (two-sided): 0.78 Kurtosis: 1.60
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 222.3340580306436, Current Price: 218.33
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -26.744
Date: Wed, 09 Oct 2024 AIC 63.489
Time: 14:42:02 BIC 66.313
Sample: 0 HQIC 62.908
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3623 0.563 0.643 0.520 -0.741 1.466
ma.L1 1.0000 1.46e+04 6.85e-05 1.000 -2.86e+04 2.86e+04
ar.S.L7 -0.0490 0.200 -0.245 0.807 -0.442 0.344
ma.S.L7 -1.0000 1.17e+04 -8.51e-05 1.000 -2.3e+04 2.3e+04
sigma2 1.9957 4.54e+04 4.39e-05 1.000 -8.9e+04 8.9e+04
===================================================================================
Ljung-Box (L1) (Q): 0.15 Jarque-Bera (JB): 1.17
Prob(Q): 0.69 Prob(JB): 0.56
Heteroskedasticity (H): 2.07 Skew: -0.13
Prob(H) (two-sided): 0.50 Kurtosis: 1.55
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 211.79568498558146, Current Price: 220.63
SELL EXECUTED at 220.63
SELL ORDER COMPLETED at 221.26
OPERATION PROFIT, GROSS 2.2399999999999807, NET 1.7997199999999807
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.830
Date: Wed, 09 Oct 2024 AIC 73.660
Time: 14:42:02 BIC 76.484
Sample: 0 HQIC 73.079
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3690 0.834 -0.443 0.658 -2.003 1.265
ma.L1 1.3414 1.379 0.973 0.331 -1.361 4.044
ar.S.L7 -0.6150 0.509 -1.207 0.227 -1.613 0.383
ma.S.L7 -1.0001 2.27e+04 -4.41e-05 1.000 -4.44e+04 4.44e+04
sigma2 2.6429 5.99e+04 4.41e-05 1.000 -1.17e+05 1.17e+05
===================================================================================
Ljung-Box (L1) (Q): 0.23 Jarque-Bera (JB): 0.39
Prob(Q): 0.63 Prob(JB): 0.82
Heteroskedasticity (H): 10.57 Skew: 0.31
Prob(H) (two-sided): 0.04 Kurtosis: 2.42
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 224.55338923235493, Current Price: 220.32
BUY EXECUTED at 220.32
BUY ORDER COMPLETED at 221.41
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.018
Date: Wed, 09 Oct 2024 AIC 74.037
Time: 14:42:02 BIC 76.861
Sample: 0 HQIC 73.456
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.6846 1.198 -0.571 0.568 -3.034 1.664
ma.L1 1.0000 3516.517 0.000 1.000 -6891.247 6893.247
ar.S.L7 -0.0002 0.078 -0.002 0.998 -0.154 0.153
ma.S.L7 -1.0000 7.72e+04 -1.3e-05 1.000 -1.51e+05 1.51e+05
sigma2 5.5376 4.18e+05 1.33e-05 1.000 -8.19e+05 8.19e+05
===================================================================================
Ljung-Box (L1) (Q): 0.39 Jarque-Bera (JB): 0.40
Prob(Q): 0.53 Prob(JB): 0.82
Heteroskedasticity (H): 3.56 Skew: 0.11
Prob(H) (two-sided): 0.25 Kurtosis: 2.17
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 218.00550944625616, Current Price: 222.52
SELL EXECUTED at 222.52
SELL ORDER COMPLETED at 223.73
OPERATION PROFIT, GROSS 2.319999999999993, NET 1.8748599999999933
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.504
Date: Wed, 09 Oct 2024 AIC 75.007
Time: 14:42:02 BIC 77.832
Sample: 0 HQIC 74.427
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2794 2.521 0.111 0.912 -4.662 5.220
ma.L1 -0.4145 2.386 -0.174 0.862 -5.092 4.263
ar.S.L7 -0.4846 0.557 -0.869 0.385 -1.577 0.608
ma.S.L7 -1.0003 3271.813 -0.000 1.000 -6413.636 6411.635
sigma2 5.2329 1.71e+04 0.000 1.000 -3.36e+04 3.36e+04
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 0.54
Prob(Q): 0.86 Prob(JB): 0.76
Heteroskedasticity (H): 3.64 Skew: -0.31
Prob(H) (two-sided): 0.24 Kurtosis: 2.22
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 225.01657814015368, Current Price: 226.55
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.344
Date: Wed, 09 Oct 2024 AIC 74.689
Time: 14:42:02 BIC 77.514
Sample: 0 HQIC 74.108
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2768 2.197 0.126 0.900 -4.030 4.583
ma.L1 -0.4280 2.121 -0.202 0.840 -4.584 3.728
ar.S.L7 -0.6346 0.477 -1.331 0.183 -1.569 0.300
ma.S.L7 -1.0000 1e+05 -9.97e-06 1.000 -1.97e+05 1.97e+05
sigma2 5.1078 5.13e+05 9.97e-06 1.000 -1e+06 1e+06
===================================================================================
Ljung-Box (L1) (Q): 0.02 Jarque-Bera (JB): 0.46
Prob(Q): 0.88 Prob(JB): 0.80
Heteroskedasticity (H): 0.98 Skew: -0.13
Prob(H) (two-sided): 0.98 Kurtosis: 2.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 225.32202146317735, Current Price: 225.77
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.409
Date: Wed, 09 Oct 2024 AIC 74.818
Time: 14:42:02 BIC 77.643
Sample: 0 HQIC 74.237
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2565 2.476 0.104 0.918 -4.597 5.110
ma.L1 -0.3994 2.335 -0.171 0.864 -4.975 4.176
ar.S.L7 -0.6382 0.460 -1.388 0.165 -1.539 0.263
ma.S.L7 -1.0001 1.86e+04 -5.38e-05 1.000 -3.64e+04 3.64e+04
sigma2 5.1593 9.58e+04 5.38e-05 1.000 -1.88e+05 1.88e+05
===================================================================================
Ljung-Box (L1) (Q): 0.01 Jarque-Bera (JB): 0.50
Prob(Q): 0.90 Prob(JB): 0.78
Heteroskedasticity (H): 0.08 Skew: -0.06
Prob(H) (two-sided): 0.03 Kurtosis: 2.05
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 227.82737045323879, Current Price: 225.34
BUY EXECUTED at 225.34
BUY ORDER COMPLETED at 220.56
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.822
Date: Wed, 09 Oct 2024 AIC 73.644
Time: 14:42:02 BIC 76.469
Sample: 0 HQIC 73.064
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3639 3.502 -0.104 0.917 -7.228 6.500
ma.L1 0.4170 3.470 0.120 0.904 -6.385 7.219
ar.S.L7 -0.8367 1.085 -0.771 0.440 -2.962 1.289
ma.S.L7 -0.4341 1.249 -0.348 0.728 -2.882 2.014
sigma2 7.2076 6.461 1.116 0.265 -5.455 19.870
===================================================================================
Ljung-Box (L1) (Q): 1.23 Jarque-Bera (JB): 1.39
Prob(Q): 0.27 Prob(JB): 0.50
Heteroskedasticity (H): 0.23 Skew: 0.77
Prob(H) (two-sided): 0.19 Kurtosis: 3.45
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 230.4523450614283, Current Price: 222.48
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -33.649
Date: Wed, 09 Oct 2024 AIC 77.298
Time: 14:42:02 BIC 80.123
Sample: 0 HQIC 76.718
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3668 3.921 -0.094 0.925 -8.051 7.317
ma.L1 0.4466 3.874 0.115 0.908 -7.145 8.039
ar.S.L7 -0.4205 1.062 -0.396 0.692 -2.503 1.662
ma.S.L7 -0.2146 1.268 -0.169 0.866 -2.699 2.270
sigma2 10.1838 6.129 1.662 0.097 -1.828 22.196
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 0.29
Prob(Q): 0.81 Prob(JB): 0.87
Heteroskedasticity (H): 0.69 Skew: 0.25
Prob(H) (two-sided): 0.73 Kurtosis: 2.47
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 222.1174524165521, Current Price: 220.7
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.197
Date: Wed, 09 Oct 2024 AIC 72.393
Time: 14:42:02 BIC 75.218
Sample: 0 HQIC 71.813
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.7124 0.268 2.663 0.008 0.188 1.237
ma.L1 -1.0000 8056.614 -0.000 1.000 -1.58e+04 1.58e+04
ar.S.L7 -0.7893 0.308 -2.563 0.010 -1.393 -0.186
ma.S.L7 1.0000 4.07e+04 2.46e-05 1.000 -7.98e+04 7.98e+04
sigma2 3.7830 1.78e+05 2.13e-05 1.000 -3.48e+05 3.48e+05
===================================================================================
Ljung-Box (L1) (Q): 0.17 Jarque-Bera (JB): 0.28
Prob(Q): 0.68 Prob(JB): 0.87
Heteroskedasticity (H): 1.41 Skew: -0.29
Prob(H) (two-sided): 0.75 Kurtosis: 2.56
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 220.58408132488873, Current Price: 220.55
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.453
Date: Wed, 09 Oct 2024 AIC 74.905
Time: 14:42:02 BIC 77.730
Sample: 0 HQIC 74.325
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4258 3.674 -0.116 0.908 -7.627 6.775
ma.L1 0.5316 3.444 0.154 0.877 -6.218 7.281
ar.S.L7 -0.1492 0.848 -0.176 0.860 -1.811 1.512
ma.S.L7 -1.0000 9.06e+05 -1.1e-06 1.000 -1.78e+06 1.78e+06
sigma2 5.2023 4.71e+06 1.1e-06 1.000 -9.23e+06 9.23e+06
===================================================================================
Ljung-Box (L1) (Q): 0.41 Jarque-Bera (JB): 0.18
Prob(Q): 0.52 Prob(JB): 0.91
Heteroskedasticity (H): 0.42 Skew: -0.28
Prob(H) (two-sided): 0.42 Kurtosis: 2.83
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 219.71190543504193, Current Price: 224.01
SELL EXECUTED at 224.01
SELL ORDER COMPLETED at 224.82
OPERATION PROFIT, GROSS 4.259999999999991, NET 3.814619999999991
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.882
Date: Wed, 09 Oct 2024 AIC 75.764
Time: 14:42:02 BIC 78.589
Sample: 0 HQIC 75.184
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.8440 0.673 -1.254 0.210 -2.163 0.475
ma.L1 1.0000 8628.666 0.000 1.000 -1.69e+04 1.69e+04
ar.S.L7 0.0119 0.058 0.205 0.837 -0.102 0.125
ma.S.L7 -0.6496 1.058 -0.614 0.539 -2.723 1.424
sigma2 7.0721 6.1e+04 0.000 1.000 -1.2e+05 1.2e+05
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.73
Prob(Q): 0.74 Prob(JB): 0.70
Heteroskedasticity (H): 0.46 Skew: -0.58
Prob(H) (two-sided): 0.47 Kurtosis: 3.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 226.92292578847872, Current Price: 224.56
BUY EXECUTED at 224.56
BUY ORDER COMPLETED at 226.14
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -32.883
Date: Wed, 09 Oct 2024 AIC 75.766
Time: 14:42:03 BIC 78.591
Sample: 0 HQIC 75.185
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.5118 1.113 -0.460 0.646 -2.693 1.670
ma.L1 0.4216 1.096 0.385 0.701 -1.727 2.570
ar.S.L7 -0.6449 0.219 -2.943 0.003 -1.074 -0.215
ma.S.L7 1.0000 1.61e+05 6.22e-06 1.000 -3.15e+05 3.15e+05
sigma2 5.3997 8.68e+05 6.22e-06 1.000 -1.7e+06 1.7e+06
===================================================================================
Ljung-Box (L1) (Q): 0.08 Jarque-Bera (JB): 0.64
Prob(Q): 0.78 Prob(JB): 0.73
Heteroskedasticity (H): 0.67 Skew: -0.51
Prob(H) (two-sided): 0.71 Kurtosis: 2.65
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 224.44803411075176, Current Price: 228.41
SELL EXECUTED at 228.41
SELL ORDER COMPLETED at 228.07
OPERATION PROFIT, GROSS 1.9300000000000068, NET 1.4757900000000068
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.478
Date: Wed, 09 Oct 2024 AIC 72.956
Time: 14:42:03 BIC 75.780
Sample: 0 HQIC 72.375
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.2998 1.024 0.293 0.770 -1.707 2.306
ma.L1 -1.0000 1.49e+04 -6.71e-05 1.000 -2.92e+04 2.92e+04
ar.S.L7 -0.5687 0.194 -2.931 0.003 -0.949 -0.188
ma.S.L7 1.0000 2.01e+04 4.99e-05 1.000 -3.93e+04 3.93e+04
sigma2 4.2482 9.13e+04 4.66e-05 1.000 -1.79e+05 1.79e+05
===================================================================================
Ljung-Box (L1) (Q): 0.06 Jarque-Bera (JB): 1.27
Prob(Q): 0.80 Prob(JB): 0.53
Heteroskedasticity (H): 0.55 Skew: -0.74
Prob(H) (two-sided): 0.58 Kurtosis: 3.39
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 225.94318909942749, Current Price: 228.06
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.173
Date: Wed, 09 Oct 2024 AIC 66.346
Time: 14:42:03 BIC 69.171
Sample: 0 HQIC 65.765
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.3656 0.555 0.659 0.510 -0.722 1.453
ma.L1 -1.0000 3343.273 -0.000 1.000 -6553.694 6551.694
ar.S.L7 -0.5287 0.142 -3.727 0.000 -0.807 -0.251
ma.S.L7 0.6197 1.202 0.516 0.606 -1.735 2.975
sigma2 3.5302 1.18e+04 0.000 1.000 -2.31e+04 2.31e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.48
Prob(Q): 0.97 Prob(JB): 0.79
Heteroskedasticity (H): 1.83 Skew: -0.45
Prob(H) (two-sided): 0.57 Kurtosis: 2.70
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 222.86025713932304, Current Price: 226.2
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.463
Date: Wed, 09 Oct 2024 AIC 68.927
Time: 14:42:03 BIC 71.752
Sample: 0 HQIC 68.346
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.3525 3.838 -0.092 0.927 -7.875 7.170
ma.L1 0.3086 3.817 0.081 0.936 -7.172 7.790
ar.S.L7 -0.5408 0.261 -2.074 0.038 -1.052 -0.030
ma.S.L7 0.3234 0.502 0.644 0.520 -0.661 1.308
sigma2 5.2177 3.822 1.365 0.172 -2.274 12.709
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.47
Prob(Q): 0.99 Prob(JB): 0.79
Heteroskedasticity (H): 1.36 Skew: -0.09
Prob(H) (two-sided): 0.77 Kurtosis: 2.08
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 225.40822847737178, Current Price: 226.91
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -28.707
Date: Wed, 09 Oct 2024 AIC 67.414
Time: 14:42:03 BIC 70.239
Sample: 0 HQIC 66.833
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6907 0.238 2.907 0.004 0.225 1.156
ma.L1 -1.0000 5629.052 -0.000 1.000 -1.1e+04 1.1e+04
ar.S.L7 -0.3375 0.207 -1.630 0.103 -0.743 0.068
ma.S.L7 -0.3099 0.637 -0.486 0.627 -1.559 0.939
sigma2 3.8778 2.18e+04 0.000 1.000 -4.28e+04 4.28e+04
===================================================================================
Ljung-Box (L1) (Q): 0.11 Jarque-Bera (JB): 0.66
Prob(Q): 0.74 Prob(JB): 0.72
Heteroskedasticity (H): 0.95 Skew: 0.04
Prob(H) (two-sided): 0.96 Kurtosis: 1.90
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 226.28983696320984, Current Price: 231.99
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.649
Date: Wed, 09 Oct 2024 AIC 71.298
Time: 14:42:03 BIC 74.123
Sample: 0 HQIC 70.718
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.1808 7.116 -0.025 0.980 -14.127 13.765
ma.L1 3.8966 110.334 0.035 0.972 -212.354 220.147
ar.S.L7 -0.3585 0.386 -0.928 0.353 -1.116 0.399
ma.S.L7 14.9285 223.620 0.067 0.947 -423.359 453.216
sigma2 0.0019 0.083 0.023 0.982 -0.161 0.165
===================================================================================
Ljung-Box (L1) (Q): 0.28 Jarque-Bera (JB): 0.67
Prob(Q): 0.60 Prob(JB): 0.72
Heteroskedasticity (H): 2.54 Skew: 0.26
Prob(H) (two-sided): 0.39 Kurtosis: 2.02
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 235.59507784016574, Current Price: 231.61
BUY EXECUTED at 231.61
BUY ORDER COMPLETED at 233.71
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
/Users/amv10802/Documents/Quant IC/sarima_forecast/sarima_forecast/lib/python3.10/site-packages/statsmodels/base/model.py:607: ConvergenceWarning: Maximum Likelihood optimization failed to converge. Check mle_retvals
warnings.warn("Maximum Likelihood optimization failed to "
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.189
Date: Wed, 09 Oct 2024 AIC 70.378
Time: 14:42:03 BIC 73.203
Sample: 0 HQIC 69.798
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -1.1332 0.201 -5.649 0.000 -1.526 -0.740
ma.L1 1.0000 6882.332 0.000 1.000 -1.35e+04 1.35e+04
ar.S.L7 -0.4014 0.243 -1.648 0.099 -0.879 0.076
ma.S.L7 0.0039 0.427 0.009 0.993 -0.833 0.841
sigma2 5.2132 3.59e+04 0.000 1.000 -7.03e+04 7.03e+04
===================================================================================
Ljung-Box (L1) (Q): 0.22 Jarque-Bera (JB): 0.92
Prob(Q): 0.64 Prob(JB): 0.63
Heteroskedasticity (H): 1.11 Skew: 0.11
Prob(H) (two-sided): 0.92 Kurtosis: 1.72
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 236.51815238578325, Current Price: 232.46
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.274
Date: Wed, 09 Oct 2024 AIC 68.548
Time: 14:42:03 BIC 71.373
Sample: 0 HQIC 67.968
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0162 2.678 0.006 0.995 -5.232 5.264
ma.L1 -0.2541 2.726 -0.093 0.926 -5.597 5.089
ar.S.L7 -0.1896 0.497 -0.382 0.703 -1.164 0.784
ma.S.L7 -1.0001 2.04e+04 -4.89e-05 1.000 -4.01e+04 4.01e+04
sigma2 3.1861 6.51e+04 4.89e-05 1.000 -1.28e+05 1.28e+05
===================================================================================
Ljung-Box (L1) (Q): 0.03 Jarque-Bera (JB): 1.61
Prob(Q): 0.86 Prob(JB): 0.45
Heteroskedasticity (H): 3.11 Skew: 0.83
Prob(H) (two-sided): 0.30 Kurtosis: 3.45
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 233.3260292604282, Current Price: 232.15
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.792
Date: Wed, 09 Oct 2024 AIC 69.584
Time: 14:42:03 BIC 72.409
Sample: 0 HQIC 69.003
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.0788 1.566 0.050 0.960 -2.990 3.148
ma.L1 -0.3292 1.545 -0.213 0.831 -3.358 2.699
ar.S.L7 -0.2477 0.307 -0.808 0.419 -0.849 0.353
ma.S.L7 -1.0001 1.32e+04 -7.56e-05 1.000 -2.59e+04 2.59e+04
sigma2 3.4494 4.57e+04 7.55e-05 1.000 -8.95e+04 8.95e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 1.59
Prob(Q): 0.95 Prob(JB): 0.45
Heteroskedasticity (H): 2.15 Skew: 0.85
Prob(H) (two-sided): 0.48 Kurtosis: 3.12
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 231.97660585412845, Current Price: 229.37
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.641
Date: Wed, 09 Oct 2024 AIC 71.281
Time: 14:42:03 BIC 74.106
Sample: 0 HQIC 70.701
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.9372 0.429 -2.184 0.029 -1.778 -0.096
ma.L1 1.0149 7.572 0.134 0.893 -13.825 15.855
ar.S.L7 -0.4885 0.372 -1.312 0.190 -1.218 0.241
ma.S.L7 -5.0969 20.214 -0.252 0.801 -44.715 34.521
sigma2 0.2193 2.794 0.078 0.937 -5.258 5.696
===================================================================================
Ljung-Box (L1) (Q): 0.04 Jarque-Bera (JB): 0.89
Prob(Q): 0.85 Prob(JB): 0.64
Heteroskedasticity (H): 0.65 Skew: 0.51
Prob(H) (two-sided): 0.68 Kurtosis: 2.23
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 226.45256684575318, Current Price: 232.02
SELL EXECUTED at 232.02
SELL ORDER COMPLETED at 233.45
OPERATION PROFIT, GROSS -0.2600000000000193, NET -0.7271600000000193
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -31.299
Date: Wed, 09 Oct 2024 AIC 72.599
Time: 14:42:03 BIC 75.424
Sample: 0 HQIC 72.018
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.4058 1.468 -0.276 0.782 -3.282 2.471
ma.L1 12.5852 271.506 0.046 0.963 -519.557 544.728
ar.S.L7 -0.3298 0.380 -0.867 0.386 -1.075 0.415
ma.S.L7 -0.5728 2.160 -0.265 0.791 -4.806 3.661
sigma2 0.0386 1.694 0.023 0.982 -3.281 3.358
===================================================================================
Ljung-Box (L1) (Q): 0.34 Jarque-Bera (JB): 0.92
Prob(Q): 0.56 Prob(JB): 0.63
Heteroskedasticity (H): 1.73 Skew: 0.45
Prob(H) (two-sided): 0.61 Kurtosis: 2.06
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 230.28843783061714, Current Price: 232.76
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.439
Date: Wed, 09 Oct 2024 AIC 70.878
Time: 14:42:03 BIC 73.703
Sample: 0 HQIC 70.298
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.6822 0.484 1.410 0.158 -0.266 1.630
ma.L1 -1.0000 4120.545 -0.000 1.000 -8077.120 8075.120
ar.S.L7 -0.0005 0.036 -0.015 0.988 -0.071 0.070
ma.S.L7 -1.0555 18.762 -0.056 0.955 -37.829 35.718
sigma2 3.7381 1.54e+04 0.000 1.000 -3.02e+04 3.02e+04
===================================================================================
Ljung-Box (L1) (Q): 1.94 Jarque-Bera (JB): 0.90
Prob(Q): 0.16 Prob(JB): 0.64
Heteroskedasticity (H): 1.58 Skew: 0.47
Prob(H) (two-sided): 0.67 Kurtosis: 2.11
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 233.94134929107355, Current Price: 233.39
BUY EXECUTED at 233.39
BUY ORDER COMPLETED at 232.0
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -30.496
Date: Wed, 09 Oct 2024 AIC 70.993
Time: 14:42:03 BIC 73.817
Sample: 0 HQIC 70.412
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 -0.7961 0.265 -3.009 0.003 -1.315 -0.278
ma.L1 1.0000 2.59e+04 3.86e-05 1.000 -5.08e+04 5.08e+04
ar.S.L7 -0.6210 0.828 -0.750 0.453 -2.245 1.003
ma.S.L7 -0.0094 0.459 -0.020 0.984 -0.909 0.891
sigma2 5.4714 1.42e+05 3.86e-05 1.000 -2.78e+05 2.78e+05
===================================================================================
Ljung-Box (L1) (Q): 0.32 Jarque-Bera (JB): 0.90
Prob(Q): 0.57 Prob(JB): 0.64
Heteroskedasticity (H): 4.26 Skew: 0.61
Prob(H) (two-sided): 0.19 Kurtosis: 2.57
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 235.69109569778976, Current Price: 231.75
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.766
Date: Wed, 09 Oct 2024 AIC 69.532
Time: 14:42:03 BIC 72.357
Sample: 0 HQIC 68.952
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5561 0.174 3.200 0.001 0.215 0.897
ma.L1 -1.0000 1983.143 -0.001 1.000 -3887.888 3885.888
ar.S.L7 -0.8005 0.244 -3.287 0.001 -1.278 -0.323
ma.S.L7 1.0001 5807.242 0.000 1.000 -1.14e+04 1.14e+04
sigma2 2.9896 1.79e+04 0.000 1.000 -3.51e+04 3.51e+04
===================================================================================
Ljung-Box (L1) (Q): 0.12 Jarque-Bera (JB): 1.18
Prob(Q): 0.73 Prob(JB): 0.55
Heteroskedasticity (H): 9.05 Skew: 0.58
Prob(H) (two-sided): 0.06 Kurtosis: 2.07
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 232.5440282484601, Current Price: 232.95
SARIMAX Results
=========================================================================================
Dep. Variable: y No. Observations: 30
Model: SARIMAX(1, 1, 1)x(1, 1, 1, 7) Log Likelihood -29.625
Date: Wed, 09 Oct 2024 AIC 69.250
Time: 14:42:03 BIC 72.075
Sample: 0 HQIC 68.670
- 30
Covariance Type: opg
==============================================================================
coef std err z P>|z| [0.025 0.975]
------------------------------------------------------------------------------
ar.L1 0.5288 0.325 1.627 0.104 -0.108 1.166
ma.L1 -1.0000 6184.478 -0.000 1.000 -1.21e+04 1.21e+04
ar.S.L7 -0.7570 0.317 -2.387 0.017 -1.379 -0.135
ma.S.L7 0.6742 2.165 0.311 0.756 -3.569 4.918
sigma2 3.9365 2.43e+04 0.000 1.000 -4.77e+04 4.77e+04
===================================================================================
Ljung-Box (L1) (Q): 0.00 Jarque-Bera (JB): 0.89
Prob(Q): 1.00 Prob(JB): 0.64
Heteroskedasticity (H): 0.73 Skew: 0.55
Prob(H) (two-sided): 0.77 Kurtosis: 2.35
===================================================================================
Warnings:
[1] Covariance matrix calculated using the outer product of gradients (complex-step).
Predicted Price: 235.2713817952592, Current Price: 231.29
Final Portfolio Value: 99831.00
Out[11]:
[[<Figure size 640x480 with 4 Axes>]]